Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
76.9100
Market VWAP
76.8538
Destination Price
76.7900
Slippage
0.0059
SlippagePct
0.0076
AggressivePct
9.3023
Algo Diagnostics
{ "customState": { "slippage_vwap_pct": { "asDouble": 0.0076148755802500755 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 76.91 }, "avg_total": { "asDouble": 76.85964 }, "slippage_vwap": { "asDouble": 0.005852765957428119 }, "n_kids": { "asInt32": 43 }, "market_vwap": { "asDouble": 76.85378723404257 }, "slippage": { "asDouble": -0.05035999999999774 }, "destination_price": { "asDouble": 76.78999999999999 }, "total_dollar": { "asDouble": 38429.82 }, "aggressive_pct": { "asDouble": 9.30232558139535 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.91<br />avg_total: 76.85964<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: 76.79<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: 43<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.050359999999998<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 38429.82<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 9.3023255813953<br />algo_status: 4<br />arrival_price: 76.91<br />avg_total: 76.85964<br />destination_price: 76.79<br />market_vwap: 76.853787234043<br />n_kids: 43<br />slippage: -0.050359999999998<br />slippage_vwap: 0.0058527659574281<br />slippage_vwap_pct: 0.0076148755802501<br />total_dollar: 38429.82<br />total_filled: 500<br />total_sent: 500
Computed Average Total
76.8596
Computed VWAP Slippage
0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model