Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
76.6850
Market VWAP
76.6813
Destination Price
76.7150
Slippage
-0.0017
SlippagePct
-0.0023
AggressivePct
4.8780
Algo Diagnostics
{ "customState": { "slippage_vwap_pct": { "asDouble": -0.0022671165841297684 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 76.685 }, "avg_total": { "asDouble": 76.68300000000002 }, "slippage_vwap": { "asDouble": -0.0017384930102082308 }, "n_kids": { "asInt32": 41 }, "market_vwap": { "asDouble": 76.68126150698981 }, "slippage": { "asDouble": 0.001999999999981128 }, "destination_price": { "asDouble": 76.715 }, "total_dollar": { "asDouble": 38341.50000000001 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 4.878048780487805 }, "total_sent": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.685<br />avg_total: 76.683<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: 76.715<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: 41<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.0019999999999811<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 38341.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 4.8780487804878<br />algo_status: 4<br />arrival_price: 76.685<br />avg_total: 76.683<br />destination_price: 76.715<br />market_vwap: 76.68126150699<br />n_kids: 41<br />slippage: 0.0019999999999811<br />slippage_vwap: -0.0017384930102082<br />slippage_vwap_pct: -0.0022671165841298<br />total_dollar: 38341.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
76.6830
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static