Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
76.7600
Market VWAP
76.8015
Destination Price
76.8650
Slippage
0.0226
SlippagePct
0.0295
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 76.75999999999999 }, "avg_total": { "asDouble": 76.77887999999999 }, "slippage_vwap": { "asDouble": 0.02262168098545203 }, "n_kids": { "asInt32": 40 }, "market_vwap": { "asDouble": 76.80150168098544 }, "slippage": { "asDouble": -0.01887999999999579 }, "destination_price": { "asDouble": 76.865 }, "total_dollar": { "asDouble": 38389.439999999995 }, "aggressive_pct": { "asDouble": 2.5 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.029463416222601884 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.76<br />avg_total: 76.77888<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: 76.865<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: -0.018879999999996<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 38389.44<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: 76.76<br />avg_total: 76.77888<br />destination_price: 76.865<br />market_vwap: 76.801501680985<br />n_kids: 40<br />slippage: -0.018879999999996<br />slippage_vwap: 0.022621680985452<br />slippage_vwap_pct: 0.029463416222602<br />total_dollar: 38389.44<br />total_filled: 500<br />total_sent: 500
Computed Average Total
76.7789
Computed VWAP Slippage
0.02
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model