Algo Type
VWAP
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
70.3750
Market VWAP
70.3889
Destination Price
70.3650
Slippage
-0.0071
SlippagePct
-0.0101
AggressivePct
20.4082
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 70.365 }, "total_dollar": { "asDouble": 35197.99999999999 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 20.408163265306122 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.010071404848169534 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 70.375 }, "avg_total": { "asDouble": 70.39599999999999 }, "slippage_vwap": { "asDouble": -0.007089866156917424 }, "n_kids": { "asInt32": 49 }, "market_vwap": { "asDouble": 70.38891013384307 }, "slippage": { "asDouble": -0.020999999999986585 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.375<br />avg_total: 70.396<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: 70.365<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: 49<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.020999999999987<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 35198<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 20.408163265306<br />algo_status: 4<br />arrival_price: 70.375<br />avg_total: 70.396<br />destination_price: 70.365<br />market_vwap: 70.388910133843<br />n_kids: 49<br />slippage: -0.020999999999987<br />slippage_vwap: -0.0070898661569174<br />slippage_vwap_pct: -0.01007140484817<br />total_dollar: 35198<br />total_filled: 500<br />total_sent: 500
Computed Average Total
70.3960
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static