Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
76.9400
Average Total
76.9380
Destination Price
76.9550
Slippage
0.0020
Slippage Sweep
-0.0150
Sweep to Fill
76.9230
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 76.94 }, "avg_total": { "asDouble": 76.93799999999996 }, "daily_vol_normal": { "asDouble": 1.4678205234276962 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.014999999999957936 }, "total_drift": { "asDouble": 0.009886918529931897 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 33 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 76.923 }, "init_half_min_move": { "asDouble": 0.008467682492522737 }, "init_vol_normal": { "asDouble": 0.8054447320818209 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 4.030590829100041 }, "init_liq_cost": { "asDouble": 0.8499999999999375 }, "worst_opt_t_minutes": { "asDouble": 1.1868934280861814 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015431273746454479 }, "curr_cost_per_share": { "asDouble": 0.014199999999988791 }, "init_cost_per_share": { "asDouble": 0.01699999999999875 }, "curr_opt_t_minutes": { "asDouble": 0.941363035499778 }, "drift": { "asDouble": 0.0015702429432187404 }, "slippage": { "asDouble": 0.0020000000000379714 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 2 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.95499999999998 }, "total_dollar": { "asDouble": 3846.899999999998 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 26 }, "total_vol": { "asDouble": 1.6352923397362265 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.7099999999994395 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.94<br />avg_total: 76.938<br />curr_cost_per_share: 0.014199999999989<br />curr_half_min_move: 0.015431273746454<br />curr_liq_cost: 0.70999999999944<br />curr_opt_t_minutes: 0.94136303549978<br />daily_vol_normal: 1.4678205234277<br />destination_price: 76.955<br />drift: 0.0015702429432187<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016999999999999<br />init_drift: 0<br />init_half_min_move: 0.0084676824925227<br />init_liq_cost: 0.84999999999994<br />init_min_duration: 0<br />init_opt_t_minutes: 4.0305908291<br />init_vol_normal: 0.80544473208182<br />last_aggressive_qty: 1<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: 33<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 26<br />slip_toler: 0<br />slippage: 0.002000000000038<br />slippage_sweep: -0.014999999999958<br />sweep_residual: 0<br />sweep_to_fill: 76.923<br />total_dollar: 3846.9<br />total_drift: 0.0098869185299319<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6352923397362<br />worst_opt_t_minutes: 1.1868934280862
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.94<br />avg_total: 76.938<br />destination_price: 76.955<br />market_vwap: <br />n_kids: 33<br />slippage: 0.002000000000038<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3846.9<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9380
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model