Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
82.0300
Market VWAP
82.1215
Destination Price
82.1650
Slippage
0.0326
SlippagePct
0.0397
AggressivePct
26.3158
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 38 }, "slippage_vwap_pct": { "asDouble": 0.039717882280159766 }, "total_sent": { "asInt32": 369 }, "avg_total": { "asDouble": 82.0888888888889 }, "slippage": { "asDouble": -0.05888888888890165 }, "total_filled": { "asInt32": 369 }, "market_vwap": { "asDouble": 82.12149285714288 }, "slippage_vwap": { "asDouble": 0.03260396825398004 }, "destination_price": { "asDouble": 82.16499999999999 }, "total_dollar": { "asDouble": 30290.800000000007 }, "aggressive_pct": { "asDouble": 26.31578947368421 }, "arrival_price": { "asDouble": 82.03 }, "algo_status": { "asInt32": 2 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 82.03<br />avg_total: 82.088888888889<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: 82.165<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: -0.058888888888902<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 30290.8<br />total_drift: <br />total_filled: 369<br />total_sent: 369<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 26.315789473684<br />algo_status: 2<br />arrival_price: 82.03<br />avg_total: 82.088888888889<br />destination_price: 82.165<br />market_vwap: 82.121492857143<br />n_kids: 38<br />slippage: -0.058888888888902<br />slippage_vwap: 0.03260396825398<br />slippage_vwap_pct: 0.03971788228016<br />total_dollar: 30290.8<br />total_filled: 369<br />total_sent: 369
Computed Average Total
82.0889
Computed VWAP Slippage
0.03
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
369.00
Algo Model