Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
76.9650
Average Total
76.9226
Destination Price
76.9900
Slippage
0.0424
Slippage Sweep
0.0262
Sweep to Fill
76.9488
Algo Diagnostics
{ "customState": { "worst_opt_t_minutes": { "asDouble": 1.1862958086955244 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.013850470897622376 }, "curr_cost_per_share": { "asDouble": 0.014200000000001297 }, "init_cost_per_share": { "asDouble": 0.01620000000001113 }, "curr_opt_t_minutes": { "asDouble": 1.0400434113065338 }, "drift": { "asDouble": -0.00014962959435843093 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.042399999999943816 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.99 }, "total_dollar": { "asDouble": 3846.130000000003 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 186 }, "total_vol": { "asDouble": 1.635823692848956 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7100000000000648 }, "arrival_price": { "asDouble": 76.965 }, "avg_total": { "asDouble": 76.92260000000006 }, "daily_vol_normal": { "asDouble": 1.3174547854378653 }, "total_drift": { "asDouble": 0.009890131071694938 }, "slippage_sweep": { "asDouble": 0.026199999999931833 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 48 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 76.94879999999999 }, "init_half_min_move": { "asDouble": 0.008470433884026676 }, "init_vol_normal": { "asDouble": 0.805706444043116 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 3.6577895534533837 }, "init_liq_cost": { "asDouble": 0.8100000000005565 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.965<br />avg_total: 76.9226<br />curr_cost_per_share: 0.014200000000001<br />curr_half_min_move: 0.013850470897622<br />curr_liq_cost: 0.71000000000006<br />curr_opt_t_minutes: 1.0400434113065<br />daily_vol_normal: 1.3174547854379<br />destination_price: 76.99<br />drift: -0.00014962959435843<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016200000000011<br />init_drift: 0<br />init_half_min_move: 0.0084704338840267<br />init_liq_cost: 0.81000000000056<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6577895534534<br />init_vol_normal: 0.80570644404312<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 2<br />mbo_min: 1<br />model_size: 2<br />n_kids: 48<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 186<br />slip_toler: 0<br />slippage: 0.042399999999944<br />slippage_sweep: 0.026199999999932<br />sweep_residual: 0<br />sweep_to_fill: 76.9488<br />total_dollar: 3846.13<br />total_drift: 0.0098901310716949<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.635823692849<br />worst_opt_t_minutes: 1.1862958086955
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.965<br />avg_total: 76.9226<br />destination_price: 76.99<br />market_vwap: <br />n_kids: 48<br />slippage: 0.042399999999944<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3846.13<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9226
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model