Algo Type
ArrivalPrice
Algo Symbol
SIM:CLM5
Algo CQG Symbol
CLE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
63.1000
Average Total
63.0364
Destination Price
63.0150
Slippage
0.0636
Slippage Sweep
0.0470
Sweep to Fill
63.0834
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 3151.82 }, "slippage_sweep": { "asDouble": 0.046999999999997044 }, "init_vol_normal": { "asDouble": 0.5960825965584116 }, "slippage_vwap": { "asDouble": 706.970111056514 }, "worst_opt_t_minutes": { "asDouble": 5.028387775227979 }, "curr_liq_cost": { "asDouble": 0.6600000000003376 }, "slippage": { "asDouble": 0.06359999999999388 }, "slip_toler": { "asDouble": 0 }, "n_kids": { "asInt32": 33 }, "init_half_min_move": { "asDouble": 0.006266647438278127 }, "total_sent": { "asInt32": 50 }, "drift": { "asDouble": 0.005 }, "arrival_price": { "asDouble": 63.099999999999994 }, "init_liq_cost": { "asDouble": 0.8299999999998775 }, "init_min_duration": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 3 }, "seconds_spent": { "asDouble": 302.368 }, "sweep_residual": { "asDouble": 0 }, "total_drift": { "asDouble": 0.005 }, "total_vol": { "asDouble": 0.6605609903088496 }, "init_drift": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.006301214081983496 }, "init_cost_per_share": { "asDouble": 0.01659999999999755 }, "init_opt_t_minutes": { "asDouble": 7.016905894578769 }, "destination_price": { "asDouble": 63.015 }, "daily_vol_normal": { "asDouble": 0.5993705707004301 }, "model_size": { "asDouble": 3 }, "impact_model": { "asInt32": 2 }, "slippage_vwap_pct": { "asDouble": 1121.5267862005348 }, "order_time_minutes": { "asDouble": 10 }, "avg_total": { "asDouble": 63.0364 }, "curr_cost_per_share": { "asDouble": 0.013200000000006753 }, "ready": { "asBool": true }, "market_vwap": { "asDouble": 770.006511056514 }, "algo_status": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 6.10750423784241 }, "sweep_to_fill": { "asDouble": 63.0834 }, "last_aggressive_qty": { "asInt32": 4 }, "total_filled": { "asInt32": 50 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 63.1<br />avg_total: 63.0364<br />curr_cost_per_share: 0.013200000000007<br />curr_half_min_move: 0.0063012140819835<br />curr_liq_cost: 0.66000000000034<br />curr_opt_t_minutes: 6.1075042378424<br />daily_vol_normal: 0.59937057070043<br />destination_price: 63.015<br />drift: 0.005<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.016599999999998<br />init_drift: 0<br />init_half_min_move: 0.0062666474382781<br />init_liq_cost: 0.82999999999988<br />init_min_duration: 0<br />init_opt_t_minutes: 7.0169058945788<br />init_vol_normal: 0.59608259655841<br />last_aggressive_qty: 4<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 33<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 302.368<br />slip_toler: 0<br />slippage: 0.063599999999994<br />slippage_sweep: 0.046999999999997<br />sweep_residual: 0<br />sweep_to_fill: 63.0834<br />total_dollar: 3151.82<br />total_drift: 0.005<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.66056099030885<br />worst_opt_t_minutes: 5.028387775228
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 63.1<br />avg_total: 63.0364<br />destination_price: 63.015<br />market_vwap: 770.00651105651<br />n_kids: 33<br />slippage: 0.063599999999994<br />slippage_vwap: 706.97011105651<br />slippage_vwap_pct: 1121.5267862005<br />total_dollar: 3151.82<br />total_filled: 50<br />total_sent: 50
Computed Average Total
63.0364
Computed VWAP Slippage
706.97
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model