Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
76.0150
Market VWAP
75.9285
Destination Price
75.8950
Slippage
0.0031
SlippagePct
0.0041
AggressivePct
0.0000
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 5 }, "market_vwap": { "asDouble": 75.92847250509162 }, "slippage": { "asDouble": 0.0896666666666448 }, "destination_price": { "asDouble": 75.895 }, "total_dollar": { "asDouble": 5694.400000000001 }, "algo_status": { "asInt32": 2 }, "aggressive_pct": { "asDouble": 0 }, "total_sent": { "asInt32": 75 }, "slippage_vwap_pct": { "asDouble": 0.004134551170814078 }, "total_filled": { "asInt32": 75 }, "arrival_price": { "asDouble": 76.01499999999999 }, "avg_total": { "asDouble": 75.92533333333334 }, "slippage_vwap": { "asDouble": 0.0031391717582778256 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 2<br />arrival_price: 76.015<br />avg_total: 75.925333333333<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: 75.895<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: 5<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.089666666666645<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 5694.4<br />total_drift: <br />total_filled: 75<br />total_sent: 75<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 0<br />algo_status: 2<br />arrival_price: 76.015<br />avg_total: 75.925333333333<br />destination_price: 75.895<br />market_vwap: 75.928472505092<br />n_kids: 5<br />slippage: 0.089666666666645<br />slippage_vwap: 0.0031391717582778<br />slippage_vwap_pct: 0.0041345511708141<br />total_dollar: 5694.4<br />total_filled: 75<br />total_sent: 75
Computed Average Total
75.9253
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
75.00
Algo Model
Static