Algo Type
VWAP
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
70.1150
Market VWAP
70.1267
Destination Price
70.1350
Slippage
0.0119
SlippagePct
0.0169
AggressivePct
41.7910
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 70.13499999999999 }, "total_dollar": { "asDouble": 35057.39 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 41.791044776119406 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.016933262380901384 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 70.115 }, "avg_total": { "asDouble": 70.11478 }, "slippage_vwap": { "asDouble": 0.011872719665191767 }, "n_kids": { "asInt32": 67 }, "market_vwap": { "asDouble": 70.12665271966519 }, "slippage": { "asDouble": 0.00021999999999877673 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.115<br />avg_total: 70.11478<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: 70.135<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: 67<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.00021999999999878<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 35057.39<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 41.791044776119<br />algo_status: 4<br />arrival_price: 70.115<br />avg_total: 70.11478<br />destination_price: 70.135<br />market_vwap: 70.126652719665<br />n_kids: 67<br />slippage: 0.00021999999999878<br />slippage_vwap: 0.011872719665192<br />slippage_vwap_pct: 0.016933262380901<br />total_dollar: 35057.39<br />total_filled: 500<br />total_sent: 500
Computed Average Total
70.1148
Computed VWAP Slippage
0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model