Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
82.4850
Market VWAP
82.4113
Destination Price
82.3850
Slippage
-0.0011
SlippagePct
-0.0014
AggressivePct
23.5294
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 82.41238 }, "slippage_vwap": { "asDouble": -0.001125819398140493 }, "slippage_vwap_pct": { "asDouble": -0.0013660804337169887 }, "total_sent": { "asInt32": 500 }, "aggressive_pct": { "asDouble": 23.529411764705884 }, "algo_status": { "asInt32": 4 }, "arrival_price": { "asDouble": 82.48499999999999 }, "total_filled": { "asInt32": 500 }, "market_vwap": { "asDouble": 82.41125418060186 }, "n_kids": { "asInt32": 51 }, "destination_price": { "asDouble": 82.38499999999999 }, "slippage": { "asDouble": 0.07261999999998636 }, "total_dollar": { "asDouble": 41206.19 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 4<br />arrival_price: 82.485<br />avg_total: 82.41238<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: 82.385<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: 51<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.072619999999986<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 41206.19<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 23.529411764706<br />algo_status: 4<br />arrival_price: 82.485<br />avg_total: 82.41238<br />destination_price: 82.385<br />market_vwap: 82.411254180602<br />n_kids: 51<br />slippage: 0.072619999999986<br />slippage_vwap: -0.0011258193981405<br />slippage_vwap_pct: -0.001366080433717<br />total_dollar: 41206.19<br />total_filled: 500<br />total_sent: 500
Computed Average Total
82.4124
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
UncertBands