Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
76.8900
Average Total
76.9472
Destination Price
76.9700
Slippage
0.0572
Slippage Sweep
0.0276
Sweep to Fill
76.9196
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 76.9196 }, "init_half_min_move": { "asDouble": 0.008462179709514857 }, "init_vol_normal": { "asDouble": 0.8049213081592305 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 1.4800000000005582 }, "init_opt_t_minutes": { "asDouble": 12.2354214680641 }, "worst_opt_t_minutes": { "asDouble": 0.6947731074177196 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015376279896488607 }, "curr_cost_per_share": { "asDouble": 0.019799999999995918 }, "init_cost_per_share": { "asDouble": 0.029600000000011163 }, "curr_opt_t_minutes": { "asDouble": 1.4292893793231993 }, "drift": { "asDouble": 0.002768105796642884 }, "slippage": { "asDouble": 0.05720000000006564 }, "pov_agg_limit": { "asInt32": 2 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 76.97 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3847.3600000000024 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 119 }, "total_vol": { "asDouble": 1.634229633510767 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9899999999997959 }, "arrival_price": { "asDouble": 76.88999999999999 }, "avg_total": { "asDouble": 76.94720000000005 }, "daily_vol_normal": { "asDouble": 1.4625895163852116 }, "slippage_sweep": { "asDouble": 0.027600000000049363 }, "total_drift": { "asDouble": 0.009880493446405816 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 41 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.89<br />avg_total: 76.9472<br />curr_cost_per_share: 0.019799999999996<br />curr_half_min_move: 0.015376279896489<br />curr_liq_cost: 0.9899999999998<br />curr_opt_t_minutes: 1.4292893793232<br />daily_vol_normal: 1.4625895163852<br />destination_price: 76.97<br />drift: 0.0027681057966429<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.029600000000011<br />init_drift: 0<br />init_half_min_move: 0.0084621797095149<br />init_liq_cost: 1.4800000000006<br />init_min_duration: 0<br />init_opt_t_minutes: 12.235421468064<br />init_vol_normal: 0.80492130815923<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 1<br />n_kids: 41<br />order_time_minutes: 10<br />pov_agg_limit: 2<br />ready: 1<br />seconds_spent: 119<br />slip_toler: 0<br />slippage: 0.057200000000066<br />slippage_sweep: 0.027600000000049<br />sweep_residual: 0<br />sweep_to_fill: 76.9196<br />total_dollar: 3847.36<br />total_drift: 0.0098804934464058<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6342296335108<br />worst_opt_t_minutes: 0.69477310741772
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.89<br />avg_total: 76.9472<br />destination_price: 76.97<br />market_vwap: <br />n_kids: 41<br />slippage: 0.057200000000066<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3847.36<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9472
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model