Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
82.3900
Market VWAP
82.4055
Destination Price
82.3800
Slippage
-0.0014
SlippagePct
-0.0017
AggressivePct
42.1053
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": -0.0014030538749381094 }, "total_filled": { "asInt32": 312 }, "avg_total": { "asDouble": 82.40410256410256 }, "destination_price": { "asDouble": 82.38 }, "slippage_vwap_pct": { "asDouble": -0.0017026505128754565 }, "slippage": { "asDouble": 0.014102564102572046 }, "algo_status": { "asInt32": 2 }, "market_vwap": { "asDouble": 82.4055056179775 }, "total_sent": { "asInt32": 327 }, "n_kids": { "asInt32": 38 }, "aggressive_pct": { "asDouble": 42.10526315789474 }, "arrival_price": { "asDouble": 82.38999999999999 }, "total_dollar": { "asDouble": 25710.079999999998 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 82.39<br />avg_total: 82.404102564103<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: 82.38<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: 38<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.014102564102572<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 25710.08<br />total_drift: <br />total_filled: 312<br />total_sent: 327<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 42.105263157895<br />algo_status: 2<br />arrival_price: 82.39<br />avg_total: 82.404102564103<br />destination_price: 82.38<br />market_vwap: 82.405505617977<br />n_kids: 38<br />slippage: 0.014102564102572<br />slippage_vwap: -0.0014030538749381<br />slippage_vwap_pct: -0.0017026505128755<br />total_dollar: 25710.08<br />total_filled: 312<br />total_sent: 327
Computed Average Total
82.4041
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
312.00
Algo Model
UncertBands