Algo Type
VWAP
Algo Symbol
SIM:CLQ3
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
70.0250
Market VWAP
70.0627
Destination Price
70.0650
Slippage
0.0050
SlippagePct
0.0071
AggressivePct
43.4783
Algo Diagnostics
{ "customState": { "slippage_vwap_pct": { "asDouble": 0.007095520597704466 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 70.025 }, "avg_total": { "asDouble": 70.06768000000002 }, "slippage_vwap": { "asDouble": 0.004971666666733654 }, "n_kids": { "asInt32": 69 }, "market_vwap": { "asDouble": 70.06270833333329 }, "slippage": { "asDouble": 0.04268000000001848 }, "destination_price": { "asDouble": 70.065 }, "total_dollar": { "asDouble": 35033.84000000001 }, "aggressive_pct": { "asDouble": 43.47826086956522 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 70.025<br />avg_total: 70.06768<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: 70.065<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: 69<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.042680000000018<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 35033.84<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 43.478260869565<br />algo_status: 4<br />arrival_price: 70.025<br />avg_total: 70.06768<br />destination_price: 70.065<br />market_vwap: 70.062708333333<br />n_kids: 69<br />slippage: 0.042680000000018<br />slippage_vwap: 0.0049716666667337<br />slippage_vwap_pct: 0.0070955205977045<br />total_dollar: 35033.84<br />total_filled: 500<br />total_sent: 500
Computed Average Total
70.0677
Computed VWAP Slippage
0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static