Algo Type
ArrivalPrice
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
76.9850
Average Total
76.9718
Destination Price
76.9650
Slippage
-0.0132
Slippage Sweep
-0.0294
Sweep to Fill
77.0012
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 17 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 77.0012 }, "init_half_min_move": { "asDouble": 0.008472634997229826 }, "init_vol_normal": { "asDouble": 0.8059158136121519 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8100000000005849 }, "init_opt_t_minutes": { "asDouble": 3.6558892796739233 }, "worst_opt_t_minutes": { "asDouble": 0.6723500230204904 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.015671570540779365 }, "curr_cost_per_share": { "asDouble": 0.019599999999990132 }, "init_cost_per_share": { "asDouble": 0.016200000000011698 }, "drift": { "asDouble": 0.001351561163889162 }, "curr_opt_t_minutes": { "asDouble": 1.4569952954204646 }, "slippage": { "asDouble": -0.013200000000011869 }, "pov_agg_limit": { "asInt32": 15 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 76.965 }, "total_dollar": { "asDouble": 3848.589999999999 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 1.636248775339139 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.9799999999995066 }, "arrival_price": { "asDouble": 76.98499999999999 }, "avg_total": { "asDouble": 76.97179999999997 }, "daily_vol_normal": { "asDouble": 1.4906775196950974 }, "total_drift": { "asDouble": 0.009892701105105367 }, "last_aggressive_qty": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -0.02940000000002385 }, "economic_model": { "asInt32": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.985<br />avg_total: 76.9718<br />curr_cost_per_share: 0.01959999999999<br />curr_half_min_move: 0.015671570540779<br />curr_liq_cost: 0.97999999999951<br />curr_opt_t_minutes: 1.4569952954205<br />daily_vol_normal: 1.4906775196951<br />destination_price: 76.965<br />drift: 0.0013515611638892<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016200000000012<br />init_drift: 0<br />init_half_min_move: 0.0084726349972298<br />init_liq_cost: 0.81000000000058<br />init_min_duration: 0<br />init_opt_t_minutes: 3.6558892796739<br />init_vol_normal: 0.80591581361215<br />last_aggressive_qty: 4<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: 17<br />order_time_minutes: 10<br />pov_agg_limit: 15<br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.013200000000012<br />slippage_sweep: -0.029400000000024<br />sweep_residual: 0<br />sweep_to_fill: 77.0012<br />total_dollar: 3848.59<br />total_drift: 0.0098927011051054<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6362487753391<br />worst_opt_t_minutes: 0.67235002302049
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 76.985<br />avg_total: 76.9718<br />destination_price: 76.965<br />market_vwap: <br />n_kids: 17<br />slippage: -0.013200000000012<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3848.59<br />total_filled: 50<br />total_sent: 50
Computed Average Total
76.9718
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model