Algo Type
ArrivalPrice
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
63.1800
Average Total
63.1906
Destination Price
63.2000
Slippage
-0.0106
Slippage Sweep
-0.0364
Sweep to Fill
63.1542
Algo Diagnostics
{ "customState": { "sweep_to_fill": { "asDouble": 63.154199999999996 }, "last_aggressive_qty": { "asInt32": 18 }, "daily_vol_normal": { "asDouble": 0.5614925751705512 }, "destination_price": { "asDouble": 63.199999999999996 }, "init_cost_per_share": { "asDouble": 0.025799999999996572 }, "slip_toler": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.005903000738690279 }, "curr_cost_per_share": { "asDouble": 0.01839999999999762 }, "market_vwap": { "asDouble": 981.9226153846153 }, "init_vol_normal": { "asDouble": 0.5598868868521885 }, "order_time_minutes": { "asDouble": 10 }, "init_half_min_move": { "asDouble": 0.005886120053622409 }, "impact_model": { "asInt32": 2 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.03640000000000754 }, "total_vol": { "asDouble": 0.661398468584994 }, "ready": { "asBool": true }, "seconds_spent": { "asDouble": 13.058 }, "slippage": { "asDouble": -0.010600000000010823 }, "total_dollar": { "asDouble": 3159.53 }, "n_kids": { "asInt32": 8 }, "total_drift": { "asDouble": -0.020000000000003126 }, "total_filled": { "asInt32": 50 }, "sweep_residual": { "asDouble": 0 }, "model_size": { "asDouble": 1 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": 1453.9061432944382 }, "init_liq_cost": { "asDouble": 1.2899999999998286 }, "avg_total": { "asDouble": 63.1906 }, "slippage_vwap": { "asDouble": 918.7320153846152 }, "drift": { "asDouble": -0.020000000000003126 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "curr_liq_cost": { "asDouble": 0.9199999999998809 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 19.212380553255535 }, "arrival_price": { "asDouble": 63.17999999999999 }, "init_min_duration": { "asDouble": 0 }, "init_drift": { "asDouble": -0 }, "economic_model": { "asInt32": 0 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.18<br />avg_total: 63.1906<br />curr_cost_per_share: 0.018399999999998<br />curr_half_min_move: 0.0059030007386903<br />curr_liq_cost: 0.91999999999988<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.56149257517055<br />destination_price: 63.2<br />drift: -0.020000000000003<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.025799999999997<br />init_drift: 0<br />init_half_min_move: 0.0058861200536224<br />init_liq_cost: 1.2899999999998<br />init_min_duration: 0<br />init_opt_t_minutes: 19.212380553256<br />init_vol_normal: 0.55988688685219<br />last_aggressive_qty: 18<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 8<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 13.058<br />slip_toler: 0<br />slippage: -0.010600000000011<br />slippage_sweep: -0.036400000000008<br />sweep_residual: 0<br />sweep_to_fill: 63.1542<br />total_dollar: 3159.53<br />total_drift: -0.020000000000003<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66139846858499<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.18<br />avg_total: 63.1906<br />destination_price: 63.2<br />market_vwap: 981.92261538462<br />n_kids: 8<br />slippage: -0.010600000000011<br />slippage_vwap: 918.73201538462<br />slippage_vwap_pct: 1453.9061432944<br />total_dollar: 3159.53<br />total_filled: 50<br />total_sent: 50
Computed Average Total
63.1906
Computed VWAP Slippage
918.73
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive