Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
77.0150
Average Total
76.9864
Destination Price
76.9750
Slippage
-0.0286
Slippage Sweep
-0.0478
Sweep to Fill
77.0342
Algo Diagnostics
{ "customState": { "init_half_min_move": { "asDouble": 0.008475936667034552 }, "init_vol_normal": { "asDouble": 0.8062298679657061 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 5.131295807708936 }, "init_liq_cost": { "asDouble": 0.9600000000004627 }, "worst_opt_t_minutes": { "asDouble": 0.5945067267071914 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.01373418918536126 }, "curr_cost_per_share": { "asDouble": 0.018800000000002513 }, "init_cost_per_share": { "asDouble": 0.019200000000009255 }, "curr_opt_t_minutes": { "asDouble": 1.755884729900652 }, "drift": { "asDouble": 0.0011893369844068792 }, "slippage": { "asDouble": -0.02859999999995466 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.975 }, "total_dollar": { "asDouble": 3849.3200000000015 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6368863990744145 }, "seconds_spent": { "asDouble": 43 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9400000000001256 }, "arrival_price": { "asDouble": 77.01499999999999 }, "avg_total": { "asDouble": 76.98640000000003 }, "daily_vol_normal": { "asDouble": 1.306394085811861 }, "last_aggressive_qty": { "asInt32": 6 }, "slippage_sweep": { "asDouble": -0.04779999999996676 }, "total_drift": { "asDouble": 0.009896556155221016 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 18 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 77.0342 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 77.015<br />avg_total: 76.9864<br />curr_cost_per_share: 0.018800000000003<br />curr_half_min_move: 0.013734189185361<br />curr_liq_cost: 0.94000000000013<br />curr_opt_t_minutes: 1.7558847299007<br />daily_vol_normal: 1.3063940858119<br />destination_price: 76.975<br />drift: 0.0011893369844069<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.019200000000009<br />init_drift: 0<br />init_half_min_move: 0.0084759366670346<br />init_liq_cost: 0.96000000000046<br />init_min_duration: 0<br />init_opt_t_minutes: 5.1312958077089<br />init_vol_normal: 0.80622986796571<br />last_aggressive_qty: 6<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 0<br />n_kids: 18<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 43<br />slip_toler: 0<br />slippage: -0.028599999999955<br />slippage_sweep: -0.047799999999967<br />sweep_residual: 0<br />sweep_to_fill: 77.0342<br />total_dollar: 3849.32<br />total_drift: 0.009896556155221<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6368863990744<br />worst_opt_t_minutes: 0.59450672670719
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 77.015<br />avg_total: 76.9864<br />destination_price: 76.975<br />market_vwap: <br />n_kids: 18<br />slippage: -0.028599999999955<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3849.32<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9864
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model