Algo Type
ArrivalPrice
Algo Symbol
SIM:ESH6
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
6822.3750
Average Total
6822.5600
Destination Price
6822.8750
Slippage
0.1850
Slippage Sweep
0.4500
Sweep to Fill
6822.1100
Algo Diagnostics
{ "customState": { "init_half_min_move": { "asDouble": 0.31492037170643766 }, "init_min_duration": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 0.37 }, "init_opt_t_minutes": { "asDouble": 0.7080928956863087 }, "total_vol": { "asDouble": 7.397224213957955 }, "last_tactical_qty": { "asInt32": 5 }, "slippage_passive_money": { "asDouble": 3.000000000020009 }, "n_kids": { "asInt32": 7 }, "destination_price": { "asDouble": 6822.875 }, "ready": { "asBool": true }, "init_drift": { "asDouble": -0 }, "slippage_mid": { "asDouble": 0.18500000000040018 }, "total_dollar": { "asDouble": 341128 }, "init_cost_per_share": { "asDouble": 0.265 }, "model_size": { "asDouble": 22 }, "drift": { "asDouble": -0.375 }, "curr_liq_cost": { "asDouble": 18.5 }, "slippage_sweep": { "asDouble": 0.4500000000007276 }, "sweep_residual": { "asDouble": 0 }, "slippage_twap_ticks": { "asDouble": -0.052235416555049596 }, "worst_opt_t_minutes": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "slippage_passive": { "asDouble": 0.06000000000040018 }, "curr_half_min_move": { "asDouble": 0.31506017053866303 }, "sweep_to_fill": { "asDouble": 6822.11 }, "slippage_aggressive_money": { "asDouble": 15.500000000020009 }, "slippage_twap": { "asDouble": -0.013058854138762399 }, "avg_total": { "asDouble": 6822.56 }, "participation_rate": { "asDouble": 1.1627906976744187 }, "slippage_vwap_money": { "asDouble": -3.3953488371935237 }, "interval_vwap": { "asDouble": 6822.627906976744 }, "seconds_spent": { "asDouble": 5.915 }, "slippage_twap_money": { "asDouble": -0.65294270693812 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 29.955180138152546 }, "slippage_vwap": { "asDouble": -0.06790697674387047 }, "slippage_aggressive": { "asDouble": 0.3100000000004002 }, "interval_twap": { "asDouble": 6822.573058854139 }, "slippage_passive_ticks": { "asDouble": 0.2400000000016007 }, "total_filled": { "asInt32": 50 }, "total_sent": { "asInt32": 50 }, "daily_vol_normal": { "asDouble": 29.968477782822916 }, "impact_model": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "arrival_price": { "asDouble": 6822.375 }, "slippage_mid_ticks": { "asDouble": 0.7400000000016007 }, "order_time_minutes": { "asDouble": 5 }, "interval_market_size": { "asDouble": 43 }, "slippage_sweep_ticks": { "asDouble": 1.8000000000029104 }, "slippage": { "asDouble": 0.18500000000040018 }, "slippage_vwap_ticks": { "asDouble": -0.2716279069754819 }, "percentage_passive": { "asDouble": 0 }, "slippage_aggressive_ticks": { "asDouble": 1.2400000000016007 }, "market_vwap": { "asDouble": 6822.635869565217 }, "init_liq_cost": { "asDouble": 13.25 }, "last_aggressive_qty": { "asInt32": 17 }, "total_drift": { "asDouble": -0.375 }, "slippage_sweep_money": { "asDouble": 22.50000000003638 }, "slippage_mid_money": { "asDouble": 9.250000000020009 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 6822.375<br />avg_total: 6822.56<br />curr_cost_per_share: 0.37<br />curr_half_min_move: 0.31506017053866<br />curr_liq_cost: 18.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 29.968477782823<br />destination_price: 6822.875<br />drift: -0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.265<br />init_drift: 0<br />init_half_min_move: 0.31492037170644<br />init_liq_cost: 13.25<br />init_min_duration: 0<br />init_opt_t_minutes: 0.70809289568631<br />init_vol_normal: 29.955180138153<br />last_aggressive_qty: 17<br />last_tactical_qty: 5<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 22<br />n_kids: 7<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 5.915<br />slip_toler: 0<br />slippage: 0.1850000000004<br />slippage_sweep: 0.45000000000073<br />sweep_residual: 0<br />sweep_to_fill: 6822.11<br />total_dollar: 341128<br />total_drift: -0.375<br />total_filled: 50<br />total_sent: 50<br />total_vol: 7.397224213958<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 6822.375<br />avg_total: 6822.56<br />destination_price: 6822.875<br />market_vwap (interval_vwap): 6822.6358695652<br />n_kids: 7<br />slippage: 0.1850000000004<br />slippage_vwap: -0.06790697674387<br />slippage_vwap_pct: <br />total_dollar: 341128<br />total_filled: 50<br />total_sent: 50
Computed Average Total
6822.5600
Computed VWAP Slippage
-0.07
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8