Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
81.6950
Market VWAP
81.6734
Destination Price
81.6650
Slippage
-0.0053
SlippagePct
-0.0065
AggressivePct
3.1250
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 81.6787536231884 }, "n_kids": { "asInt32": 32 }, "arrival_price": { "asDouble": 81.695 }, "total_dollar": { "asDouble": 28179.17 }, "slippage": { "asDouble": 0.016246376811594132 }, "slippage_vwap": { "asDouble": -0.005313130712679026 }, "slippage_vwap_pct": { "asDouble": -0.006504911592052797 }, "destination_price": { "asDouble": 81.66499999999999 }, "market_vwap": { "asDouble": 81.67344049247572 }, "total_filled": { "asInt32": 345 }, "total_sent": { "asInt32": 345 }, "aggressive_pct": { "asDouble": 3.125 }, "algo_status": { "asInt32": 2 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 81.695<br />avg_total: 81.678753623188<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: 81.665<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: 32<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.016246376811594<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 28179.17<br />total_drift: <br />total_filled: 345<br />total_sent: 345<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 3.125<br />algo_status: 2<br />arrival_price: 81.695<br />avg_total: 81.678753623188<br />destination_price: 81.665<br />market_vwap: 81.673440492476<br />n_kids: 32<br />slippage: 0.016246376811594<br />slippage_vwap: -0.005313130712679<br />slippage_vwap_pct: -0.0065049115920528<br />total_dollar: 28179.17<br />total_filled: 345<br />total_sent: 345
Computed Average Total
81.6788
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
345.00
Algo Model