Algo Type
ArrivalPrice
Algo Symbol
SIM:CLV4
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
70.0150
Average Total
70.0579
Destination Price
70.0900
Slippage
0.0429
Slippage Sweep
0.0248
Sweep to Fill
70.0331
Algo Diagnostics
{ "customState": { "slippage_vwap": { "asDouble": 28.991305418719236 }, "init_min_duration": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 1 }, "algo_status": { "asInt32": 2 }, "daily_vol_normal": { "asDouble": 0.7329505188030762 }, "slippage": { "asDouble": 0.04285714285715869 }, "sweep_residual": { "asDouble": 8 }, "last_tactical_qty": { "asInt32": 1 }, "worst_opt_t_minutes": { "asDouble": 10 }, "init_vol_normal": { "asDouble": 0.7329505188030762 }, "slippage_sweep": { "asDouble": 0.024761904761902542 }, "n_kids": { "asInt32": 21 }, "init_half_min_move": { "asDouble": 0.007705547045931626 }, "ready": { "asBool": true }, "impact_model": { "asInt32": 2 }, "total_filled": { "asInt32": 14 }, "destination_price": { "asDouble": 70.09 }, "market_vwap": { "asDouble": 41.06655172413791 }, "init_drift": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "curr_cost_per_share": { "asDouble": 0.025937499999994174 }, "arrival_price": { "asDouble": 70.01499999999999 }, "total_drift": { "asDouble": -0.07500000000001705 }, "total_vol": { "asDouble": 0.7329505188030762 }, "curr_liq_cost": { "asDouble": 0.8299999999998136 }, "drift": { "asDouble": -0.07500000000001705 }, "curr_half_min_move": { "asDouble": 0.007705547045931626 }, "seconds_spent": { "asDouble": 229.954 }, "total_dollar": { "asDouble": 980.81 }, "total_sent": { "asInt32": 22 }, "sweep_to_fill": { "asDouble": 70.03309523809524 }, "slip_toler": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "init_liq_cost": { "asDouble": 0.7600000000005025 }, "init_opt_t_minutes": { "asDouble": 5.514696943305575 }, "curr_opt_t_minutes": { "asDouble": 10 }, "avg_total": { "asDouble": 70.05785714285715 }, "init_cost_per_share": { "asDouble": 0.01809523809525006 }, "slippage_vwap_pct": { "asDouble": 41.38194715205486 }, "model_size": { "asDouble": 0 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 2<br />arrival_price: 70.015<br />avg_total: 70.057857142857<br />curr_cost_per_share: 0.025937499999994<br />curr_half_min_move: 0.0077055470459316<br />curr_liq_cost: 0.82999999999981<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.73295051880308<br />destination_price: 70.09<br />drift: -0.075000000000017<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.01809523809525<br />init_drift: 0<br />init_half_min_move: 0.0077055470459316<br />init_liq_cost: 0.7600000000005<br />init_min_duration: 0<br />init_opt_t_minutes: 5.5146969433056<br />init_vol_normal: 0.73295051880308<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 0<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 229.954<br />slip_toler: 0<br />slippage: 0.042857142857159<br />slippage_sweep: 0.024761904761903<br />sweep_residual: 8<br />sweep_to_fill: 70.033095238095<br />total_dollar: 980.81<br />total_drift: -0.075000000000017<br />total_filled: 14<br />total_sent: 22<br />total_vol: 0.73295051880308<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 2<br />arrival_price: 70.015<br />avg_total: 70.057857142857<br />destination_price: 70.09<br />market_vwap: 41.066551724138<br />n_kids: 21<br />slippage: 0.042857142857159<br />slippage_vwap: 28.991305418719<br />slippage_vwap_pct: 41.381947152055<br />total_dollar: 980.81<br />total_filled: 14<br />total_sent: 22
Computed Average Total
70.0579
Computed VWAP Slippage
28.99
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
14.00
Algo Model
Aggressive