Algo Type
VWAP
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
70.1600
Market VWAP
70.0961
Destination Price
70.0850
Slippage
0.0107
SlippagePct
0.0153
AggressivePct
26.5306
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": 0.07461187214610732 }, "destination_price": { "asDouble": 70.085 }, "total_dollar": { "asDouble": 30697.400000000005 }, "algo_status": { "asInt32": 2 }, "aggressive_pct": { "asDouble": 26.53061224489796 }, "total_sent": { "asInt32": 450 }, "slippage_vwap_pct": { "asDouble": 0.015294222219073979 }, "total_filled": { "asInt32": 438 }, "arrival_price": { "asDouble": 70.16 }, "avg_total": { "asDouble": 70.08538812785389 }, "slippage_vwap": { "asDouble": 0.010719015003374466 }, "n_kids": { "asInt32": 48 }, "market_vwap": { "asDouble": 70.09610714285726 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 2<br />arrival_price: 70.16<br />avg_total: 70.085388127854<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: 70.085<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: 48<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.074611872146107<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 30697.4<br />total_drift: <br />total_filled: 438<br />total_sent: 450<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 26.530612244898<br />algo_status: 2<br />arrival_price: 70.16<br />avg_total: 70.085388127854<br />destination_price: 70.085<br />market_vwap: 70.096107142857<br />n_kids: 48<br />slippage: 0.074611872146107<br />slippage_vwap: 0.010719015003374<br />slippage_vwap_pct: 0.015294222219074<br />total_dollar: 30697.4<br />total_filled: 438<br />total_sent: 450
Computed Average Total
70.0854
Computed VWAP Slippage
0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
438.00
Algo Model
Static