Algo Type
VWAP
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
70.0350
Market VWAP
69.9004
Destination Price
69.8550
Slippage
-0.0319
SlippagePct
-0.0456
AggressivePct
25.0000
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": 0.1026600000000144 }, "destination_price": { "asDouble": 69.85499999999999 }, "total_dollar": { "asDouble": 34966.16999999999 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 25 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.0456403678943229 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 70.035 }, "avg_total": { "asDouble": 69.93233999999998 }, "slippage_vwap": { "asDouble": -0.031917377253108725 }, "n_kids": { "asInt32": 52 }, "market_vwap": { "asDouble": 69.90042262274687 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.035<br />avg_total: 69.93234<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 69.855<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 52<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.10266000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 34966.17<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 25<br />algo_status: 4<br />arrival_price: 70.035<br />avg_total: 69.93234<br />destination_price: 69.855<br />market_vwap: 69.900422622747<br />n_kids: 52<br />slippage: 0.10266000000001<br />slippage_vwap: -0.031917377253109<br />slippage_vwap_pct: -0.045640367894323<br />total_dollar: 34966.17<br />total_filled: 500<br />total_sent: 500
Computed Average Total
69.9323
Computed VWAP Slippage
-0.03
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model