Algo Type
VWAP
Algo Symbol
SIM:CLQ4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
81.8950
Market VWAP
82.0575
Destination Price
82.1050
Slippage
-0.0114
SlippagePct
-0.0139
AggressivePct
7.3171
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 82.04609411764704 }, "total_dollar": { "asDouble": 34869.59 }, "slippage": { "asDouble": 0.15109411764704817 }, "market_vwap": { "asDouble": 82.05749090909065 }, "algo_status": { "asInt32": 2 }, "destination_price": { "asDouble": 82.10499999999999 }, "arrival_price": { "asDouble": 81.895 }, "n_kids": { "asInt32": 41 }, "total_filled": { "asInt32": 425 }, "total_sent": { "asInt32": 437 }, "aggressive_pct": { "asDouble": 7.317073170731708 }, "slippage_vwap_pct": { "asDouble": -0.013890717853380941 }, "slippage_vwap": { "asDouble": -0.011396791443601728 } } }
Source URL
UncertBands
Computed diagnostics AP
algo_status: 2<br />arrival_price: 81.895<br />avg_total: 82.046094117647<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: 82.105<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: 41<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.15109411764705<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 34869.59<br />total_drift: <br />total_filled: 425<br />total_sent: 437<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 7.3170731707317<br />algo_status: 2<br />arrival_price: 81.895<br />avg_total: 82.046094117647<br />destination_price: 82.105<br />market_vwap: 82.057490909091<br />n_kids: 41<br />slippage: 0.15109411764705<br />slippage_vwap: -0.011396791443602<br />slippage_vwap_pct: -0.013890717853381<br />total_dollar: 34869.59<br />total_filled: 425<br />total_sent: 437
Computed Average Total
82.0461
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
425.00
Algo Model
UncertBands