Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
82.0350
Market VWAP
82.0367
Destination Price
82.0150
Slippage
0.0208
SlippagePct
0.0254
AggressivePct
12.8205
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 39 }, "algo_status": { "asInt32": 2 }, "avg_total": { "asDouble": 82.0574945054945 }, "total_filled": { "asInt32": 455 }, "market_vwap": { "asDouble": 82.0366907775771 }, "arrival_price": { "asDouble": 82.035 }, "aggressive_pct": { "asDouble": 12.820512820512821 }, "total_dollar": { "asDouble": 37336.159999999996 }, "slippage_vwap": { "asDouble": 0.020803727917396486 }, "destination_price": { "asDouble": 82.01499999999999 }, "slippage": { "asDouble": 0.02249450549450671 }, "slippage_vwap_pct": { "asDouble": 0.025352623843521674 }, "total_sent": { "asInt32": 455 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 82.035<br />avg_total: 82.057494505495<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: 82.015<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: 39<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.022494505494507<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 37336.16<br />total_drift: <br />total_filled: 455<br />total_sent: 455<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 12.820512820513<br />algo_status: 2<br />arrival_price: 82.035<br />avg_total: 82.057494505495<br />destination_price: 82.015<br />market_vwap: 82.036690777577<br />n_kids: 39<br />slippage: 0.022494505494507<br />slippage_vwap: 0.020803727917396<br />slippage_vwap_pct: 0.025352623843522<br />total_dollar: 37336.16<br />total_filled: 455<br />total_sent: 455
Computed Average Total
82.0575
Computed VWAP Slippage
0.02
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
455.00
Algo Model
UncertBands