Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
77.0050
Market VWAP
76.8568
Destination Price
76.7650
Slippage
-0.0033
SlippagePct
-0.0043
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": -0.1515200000000192 }, "destination_price": { "asDouble": 76.76499999999999 }, "total_dollar": { "asDouble": 38426.73999999999 }, "aggressive_pct": { "asDouble": 2.5 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.00432173790347462 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 77.005 }, "avg_total": { "asDouble": 76.85347999999998 }, "slippage_vwap": { "asDouble": -0.0033214059752992853 }, "n_kids": { "asInt32": 40 }, "market_vwap": { "asDouble": 76.85680140597528 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 77.005<br />avg_total: 76.85348<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 76.765<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 40<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.15152000000002<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 38426.74<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 2.5<br />algo_status: 4<br />arrival_price: 77.005<br />avg_total: 76.85348<br />destination_price: 76.765<br />market_vwap: 76.856801405975<br />n_kids: 40<br />slippage: -0.15152000000002<br />slippage_vwap: -0.0033214059752993<br />slippage_vwap_pct: -0.0043217379034746<br />total_dollar: 38426.74<br />total_filled: 500<br />total_sent: 500
Computed Average Total
76.8535
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model