Algo Type
ArrivalPrice
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
63.2400
Average Total
63.2222
Destination Price
63.2100
Slippage
-0.0178
Slippage Sweep
-0.0370
Sweep to Fill
63.2592
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 63.209999999999994 }, "arrival_price": { "asDouble": 63.239999999999995 }, "init_liq_cost": { "asDouble": 0.9600000000000506 }, "curr_liq_cost": { "asDouble": 1.280000000000122 }, "curr_cost_per_share": { "asDouble": 0.02560000000000244 }, "sweep_to_fill": { "asDouble": 63.25919999999999 }, "seconds_spent": { "asDouble": 40.804 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -0.03700000000002035 }, "impact_model": { "asInt32": 2 }, "init_min_duration": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "total_dollar": { "asDouble": 3161.1099999999988 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.01920000000000101 }, "slippage": { "asDouble": -0.017800000000022465 }, "avg_total": { "asDouble": 63.22219999999997 }, "order_time_minutes": { "asDouble": 10 }, "total_filled": { "asInt32": 50 }, "market_vwap": { "asDouble": 2119.7599999999998 }, "last_tactical_qty": { "asInt32": 7 }, "total_drift": { "asDouble": 0.030000000000001137 }, "total_vol": { "asDouble": 0.6620265772921022 }, "n_kids": { "asInt32": 13 }, "init_opt_t_minutes": { "asDouble": 10.665748409075439 }, "model_size": { "asDouble": 7 }, "total_sent": { "asInt32": 50 }, "sweep_residual": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 0.5599943918085377 }, "init_half_min_move": { "asDouble": 0.005879028441055941 }, "slippage_vwap": { "asDouble": -2056.5377999999996 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.0058872502588375895 }, "curr_opt_t_minutes": { "asDouble": 0 }, "drift": { "asDouble": 0.030000000000001137 }, "init_drift": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 0.5592123336921389 }, "slippage_vwap_pct": { "asDouble": -3252.8728832593624 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.24<br />avg_total: 63.2222<br />curr_cost_per_share: 0.025600000000002<br />curr_half_min_move: 0.0058872502588376<br />curr_liq_cost: 1.2800000000001<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.55999439180854<br />destination_price: 63.21<br />drift: 0.030000000000001<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.019200000000001<br />init_drift: 0<br />init_half_min_move: 0.0058790284410559<br />init_liq_cost: 0.96000000000005<br />init_min_duration: 0<br />init_opt_t_minutes: 10.665748409075<br />init_vol_normal: 0.55921233369214<br />last_aggressive_qty: <br />last_tactical_qty: 7<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 7<br />n_kids: 13<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 40.804<br />slip_toler: 0<br />slippage: -0.017800000000022<br />slippage_sweep: -0.03700000000002<br />sweep_residual: 0<br />sweep_to_fill: 63.2592<br />total_dollar: 3161.11<br />total_drift: 0.030000000000001<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.6620265772921<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.24<br />avg_total: 63.2222<br />destination_price: 63.21<br />market_vwap: 2119.76<br />n_kids: 13<br />slippage: -0.017800000000022<br />slippage_vwap: -2056.5378<br />slippage_vwap_pct: -3252.8728832594<br />total_dollar: 3161.11<br />total_filled: 50<br />total_sent: 50
Computed Average Total
63.2222
Computed VWAP Slippage
-2056.54
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model