Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
82.4150
Market VWAP
82.4300
Destination Price
82.4350
Slippage
0.0138
SlippagePct
0.0168
AggressivePct
45.8333
Algo Diagnostics
{ "customState": { "algo_status": { "asInt32": 2 }, "slippage": { "asDouble": -0.0011780104712215689 }, "arrival_price": { "asDouble": 82.41499999999999 }, "avg_total": { "asDouble": 82.41617801047121 }, "market_vwap": { "asDouble": 82.43 }, "total_dollar": { "asDouble": 15741.490000000002 }, "slippage_vwap_pct": { "asDouble": 0.01677096640787818 }, "slippage_vwap": { "asDouble": 0.01382198952879321 }, "n_kids": { "asInt32": 24 }, "aggressive_pct": { "asDouble": 45.833333333333336 }, "total_sent": { "asInt32": 206 }, "destination_price": { "asDouble": 82.435 }, "total_filled": { "asInt32": 191 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 82.415<br />avg_total: 82.416178010471<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: 82.435<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: 24<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.0011780104712216<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 15741.49<br />total_drift: <br />total_filled: 191<br />total_sent: 206<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 45.833333333333<br />algo_status: 2<br />arrival_price: 82.415<br />avg_total: 82.416178010471<br />destination_price: 82.435<br />market_vwap: 82.43<br />n_kids: 24<br />slippage: -0.0011780104712216<br />slippage_vwap: 0.013821989528793<br />slippage_vwap_pct: 0.016770966407878<br />total_dollar: 15741.49<br />total_filled: 191<br />total_sent: 206
Computed Average Total
82.4162
Computed VWAP Slippage
0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
191.00
Algo Model