Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
76.0500
Market VWAP
75.9678
Destination Price
75.9750
Slippage
0.0047
SlippagePct
0.0062
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.006228150703596845 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 76.05 }, "avg_total": { "asDouble": 75.97254000000004 }, "slippage_vwap": { "asDouble": 0.004731684284550397 }, "n_kids": { "asInt32": 40 }, "market_vwap": { "asDouble": 75.96780831571549 }, "slippage": { "asDouble": -0.07745999999995945 }, "destination_price": { "asDouble": 75.975 }, "total_dollar": { "asDouble": 37986.27000000002 }, "aggressive_pct": { "asDouble": 2.5 }, "algo_status": { "asInt32": 4 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.05<br />avg_total: 75.97254<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: 75.975<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: -0.077459999999959<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 37986.27<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: 76.05<br />avg_total: 75.97254<br />destination_price: 75.975<br />market_vwap: 75.967808315715<br />n_kids: 40<br />slippage: -0.077459999999959<br />slippage_vwap: 0.0047316842845504<br />slippage_vwap_pct: 0.0062281507035968<br />total_dollar: 37986.27<br />total_filled: 500<br />total_sent: 500
Computed Average Total
75.9725
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static