Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
82.0150
Market VWAP
82.0375
Destination Price
82.0250
Slippage
-0.0072
SlippagePct
-0.0088
AggressivePct
17.8571
Algo Diagnostics
{ "customState": { "total_sent": { "asInt32": 338 }, "destination_price": { "asDouble": 82.025 }, "n_kids": { "asInt32": 28 }, "slippage_vwap": { "asDouble": -0.007184610761825638 }, "slippage_vwap_pct": { "asDouble": -0.00875848451682257 }, "market_vwap": { "asDouble": 82.03748046874999 }, "avg_total": { "asDouble": 82.03029585798816 }, "aggressive_pct": { "asDouble": 17.857142857142858 }, "total_dollar": { "asDouble": 27726.24 }, "algo_status": { "asInt32": 2 }, "slippage": { "asDouble": 0.01529585798817834 }, "total_filled": { "asInt32": 338 }, "arrival_price": { "asDouble": 82.01499999999999 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 82.015<br />avg_total: 82.030295857988<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: 82.025<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: 28<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.015295857988178<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 27726.24<br />total_drift: <br />total_filled: 338<br />total_sent: 338<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 17.857142857143<br />algo_status: 2<br />arrival_price: 82.015<br />avg_total: 82.030295857988<br />destination_price: 82.025<br />market_vwap: 82.03748046875<br />n_kids: 28<br />slippage: 0.015295857988178<br />slippage_vwap: -0.0071846107618256<br />slippage_vwap_pct: -0.0087584845168226<br />total_dollar: 27726.24<br />total_filled: 338<br />total_sent: 338
Computed Average Total
82.0303
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
338.00
Algo Model
UncertBands