Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
76.9550
Average Total
76.9454
Destination Price
76.9350
Slippage
-0.0096
Slippage Sweep
-0.0272
Sweep to Fill
76.9726
Algo Diagnostics
{ "customState": { "init_half_min_move": { "asDouble": 0.008469333327425098 }, "init_vol_normal": { "asDouble": 0.8056017592585978 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8800000000004786 }, "init_opt_t_minutes": { "asDouble": 4.318439942835737 }, "worst_opt_t_minutes": { "asDouble": 0.5958804139315867 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015670577388549083 }, "curr_cost_per_share": { "asDouble": 0.01879999999998944 }, "init_cost_per_share": { "asDouble": 0.017600000000009573 }, "drift": { "asDouble": 0.0008912502755186966 }, "pov_agg_limit": { "asInt32": 8 }, "slippage": { "asDouble": -0.009599999999977626 }, "curr_opt_t_minutes": { "asDouble": 1.3713432729427388 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 76.935 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3847.2700000000004 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.6356111516038638 }, "seconds_spent": { "asDouble": 13 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9399999999994719 }, "arrival_price": { "asDouble": 76.95499999999998 }, "avg_total": { "asDouble": 76.9454 }, "daily_vol_normal": { "asDouble": 1.4905830511988183 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.02719999999999345 }, "total_drift": { "asDouble": 0.009888846054989719 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 20 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.9726 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.955<br />avg_total: 76.9454<br />curr_cost_per_share: 0.018799999999989<br />curr_half_min_move: 0.015670577388549<br />curr_liq_cost: 0.93999999999947<br />curr_opt_t_minutes: 1.3713432729427<br />daily_vol_normal: 1.4905830511988<br />destination_price: 76.935<br />drift: 0.0008912502755187<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.01760000000001<br />init_drift: 0<br />init_half_min_move: 0.0084693333274251<br />init_liq_cost: 0.88000000000048<br />init_min_duration: 0<br />init_opt_t_minutes: 4.3184399428357<br />init_vol_normal: 0.8056017592586<br />last_aggressive_qty: 2<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: 20<br />order_time_minutes: 10<br />pov_agg_limit: 8<br />ready: 1<br />seconds_spent: 13<br />slip_toler: 0<br />slippage: -0.0095999999999776<br />slippage_sweep: -0.027199999999993<br />sweep_residual: 0<br />sweep_to_fill: 76.9726<br />total_dollar: 3847.27<br />total_drift: 0.0098888460549897<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6356111516039<br />worst_opt_t_minutes: 0.59588041393159
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.955<br />avg_total: 76.9454<br />destination_price: 76.935<br />market_vwap: <br />n_kids: 20<br />slippage: -0.0095999999999776<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3847.27<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9454
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive