Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
76.9450
Average Total
76.9778
Destination Price
76.9950
Slippage
-0.0328
Slippage Sweep
-0.0482
Sweep to Fill
76.9296
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 76.97779999999997 }, "daily_vol_normal": { "asDouble": 1.205937640365237 }, "total_drift": { "asDouble": 0.009887561038284504 }, "slippage_sweep": { "asDouble": -0.04819999999998004 }, "last_aggressive_qty": { "asInt32": 6 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 26 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.9296 }, "init_half_min_move": { "asDouble": 0.008468232770823524 }, "init_vol_normal": { "asDouble": 0.8054970744740798 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.7699999999998965 }, "init_opt_t_minutes": { "asDouble": 3.3071650315975343 }, "worst_opt_t_minutes": { "asDouble": 1.374791451166963 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.012678085333057422 }, "curr_cost_per_share": { "asDouble": 0.015600000000011107 }, "init_cost_per_share": { "asDouble": 0.015399999999997931 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.0327999999999804 }, "drift": { "asDouble": -0.0004990243811254774 }, "curr_opt_t_minutes": { "asDouble": 1.4657637119833904 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.995 }, "total_dollar": { "asDouble": 3848.8899999999985 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 23 }, "total_vol": { "asDouble": 1.635398610358772 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7800000000005554 }, "arrival_price": { "asDouble": 76.945 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.945<br />avg_total: 76.9778<br />curr_cost_per_share: 0.015600000000011<br />curr_half_min_move: 0.012678085333057<br />curr_liq_cost: 0.78000000000056<br />curr_opt_t_minutes: 1.4657637119834<br />daily_vol_normal: 1.2059376403652<br />destination_price: 76.995<br />drift: -0.00049902438112548<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.015399999999998<br />init_drift: 0<br />init_half_min_move: 0.0084682327708235<br />init_liq_cost: 0.7699999999999<br />init_min_duration: 0<br />init_opt_t_minutes: 3.3071650315975<br />init_vol_normal: 0.80549707447408<br />last_aggressive_qty: 6<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 23<br />slip_toler: 0<br />slippage: -0.03279999999998<br />slippage_sweep: -0.04819999999998<br />sweep_residual: 0<br />sweep_to_fill: 76.9296<br />total_dollar: 3848.89<br />total_drift: 0.0098875610382845<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6353986103588<br />worst_opt_t_minutes: 1.374791451167
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.945<br />avg_total: 76.9778<br />destination_price: 76.995<br />market_vwap: <br />n_kids: 26<br />slippage: -0.03279999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3848.89<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9778
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive