Algo Type
ArrivalPrice
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
63.0700
Average Total
63.1230
Destination Price
63.1200
Slippage
0.0530
Slippage Sweep
0.0269
Sweep to Fill
63.0961
Algo Diagnostics
{ "customState": { "init_opt_t_minutes": { "asDouble": 18.826385408683283 }, "curr_cost_per_share": { "asDouble": 0.0293333333333316 }, "sweep_residual": { "asDouble": 1 }, "curr_liq_cost": { "asDouble": 1.3199999999999221 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 0.006045189341084286 }, "market_vwap": { "asDouble": 1213.618450704223 }, "init_vol_normal": { "asDouble": 0.5726662611526128 }, "curr_opt_t_minutes": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 3156.15 }, "slippage_vwap_pct": { "asDouble": -1822.6247971487778 }, "sweep_to_fill": { "asDouble": 63.096122448979585 }, "daily_vol_normal": { "asDouble": 0.5750175344331899 }, "total_drift": { "asDouble": 0.05000000000000426 }, "arrival_price": { "asDouble": 63.06999999999999 }, "init_drift": { "asDouble": 0 }, "total_vol": { "asDouble": 0.6602469359552955 }, "model_size": { "asDouble": 2 }, "order_time_minutes": { "asDouble": 10 }, "slippage_sweep": { "asDouble": 0.026877551020419332 }, "algo_status": { "asInt32": 4 }, "drift": { "asDouble": 0.05000000000000426 }, "init_cost_per_share": { "asDouble": 0.026122448979595342 }, "last_tactical_qty": { "asInt32": 2 }, "slippage": { "asDouble": 0.05300000000001148 }, "economic_model": { "asInt32": 0 }, "avg_total": { "asDouble": 63.123000000000005 }, "seconds_spent": { "asDouble": 79.852 }, "n_kids": { "asInt32": 16 }, "destination_price": { "asDouble": 63.12 }, "ready": { "asBool": true }, "init_liq_cost": { "asDouble": 1.2800000000001717 }, "total_sent": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -1150.495450704223 }, "init_min_duration": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.006020470282407698 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.07<br />avg_total: 63.123<br />curr_cost_per_share: 0.029333333333332<br />curr_half_min_move: 0.0060451893410843<br />curr_liq_cost: 1.3199999999999<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.57501753443319<br />destination_price: 63.12<br />drift: 0.050000000000004<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.026122448979595<br />init_drift: 0<br />init_half_min_move: 0.0060204702824077<br />init_liq_cost: 1.2800000000002<br />init_min_duration: 0<br />init_opt_t_minutes: 18.826385408683<br />init_vol_normal: 0.57266626115261<br />last_aggressive_qty: <br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 79.852<br />slip_toler: 0<br />slippage: 0.053000000000011<br />slippage_sweep: 0.026877551020419<br />sweep_residual: 1<br />sweep_to_fill: 63.09612244898<br />total_dollar: 3156.15<br />total_drift: 0.050000000000004<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.6602469359553<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.07<br />avg_total: 63.123<br />destination_price: 63.12<br />market_vwap: 1213.6184507042<br />n_kids: 16<br />slippage: 0.053000000000011<br />slippage_vwap: -1150.4954507042<br />slippage_vwap_pct: -1822.6247971488<br />total_dollar: 3156.15<br />total_filled: 50<br />total_sent: 50
Computed Average Total
63.1230
Computed VWAP Slippage
-1150.50
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Aggressive