Algo Type
VWAP
Algo Symbol
SIM:CLH4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
76.0550
Market VWAP
76.0580
Destination Price
75.9950
Slippage
-0.0036
SlippagePct
-0.0048
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 75.995 }, "total_dollar": { "asDouble": 38027.20000000001 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 2.5 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.004770232922935894 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 76.055 }, "avg_total": { "asDouble": 76.05440000000003 }, "slippage_vwap": { "asDouble": -0.0036279720281413574 }, "n_kids": { "asInt32": 40 }, "market_vwap": { "asDouble": 76.05802797202817 }, "slippage": { "asDouble": -0.0005999999999772854 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 76.055<br />avg_total: 76.0544<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: 75.995<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: -0.00059999999997729<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 38027.2<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: 76.055<br />avg_total: 76.0544<br />destination_price: 75.995<br />market_vwap: 76.058027972028<br />n_kids: 40<br />slippage: -0.00059999999997729<br />slippage_vwap: -0.0036279720281414<br />slippage_vwap_pct: -0.0047702329229359<br />total_dollar: 38027.2<br />total_filled: 500<br />total_sent: 500
Computed Average Total
76.0544
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static