Algo Type
ArrivalPrice
Algo Symbol
SIM:NQH6
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
25275.2500
Average Total
25276.0700
Destination Price
25277.5000
Slippage
0.8200
Slippage Sweep
1.5437
Sweep to Fill
25274.5263
Algo Diagnostics
{ "customState": { "init_vol_normal": { "asDouble": 124.68310961284217 }, "ready": { "asBool": true }, "last_tactical_qty": { "asInt32": 1 }, "algo_status": { "asInt32": 4 }, "slippage_aggressive": { "asDouble": 1.069999999999709 }, "economic_model": { "asInt32": 0 }, "sweep_residual": { "asDouble": 6 }, "order_time_minutes": { "asDouble": 5 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 25 }, "init_liq_cost": { "asDouble": 13.75 }, "seconds_spent": { "asDouble": 19.745 }, "impact_model": { "asInt32": 2 }, "slippage_sweep_money": { "asDouble": 30.873684210528154 }, "init_drift": { "asDouble": -0 }, "init_half_min_move": { "asDouble": 1.3108000367115271 }, "curr_liq_cost": { "asDouble": 18.75 }, "slippage_aggressive_ticks": { "asDouble": 4.279999999998836 }, "avg_total": { "asDouble": 25276.07 }, "init_cost_per_share": { "asDouble": 0.7236842105263158 }, "slippage_mid_money": { "asDouble": 16.39999999999418 }, "init_opt_t_minutes": { "asDouble": 0.3048072583994719 }, "slippage_vwap": { "asDouble": -0.07285714285899303 }, "slippage_passive": { "asDouble": 0.569999999999709 }, "total_drift": { "asDouble": -2 }, "slippage_mid": { "asDouble": 0.819999999999709 }, "total_sent": { "asInt32": 25 }, "slippage_vwap_ticks": { "asDouble": -0.2914285714359721 }, "slippage_twap": { "asDouble": -0.29597834018204594 }, "curr_half_min_move": { "asDouble": 1.3116060655652533 }, "slippage_twap_money": { "asDouble": -5.919566803640919 }, "interval_market_size": { "asDouble": 35 }, "slippage_passive_ticks": { "asDouble": 2.279999999998836 }, "drift": { "asDouble": -2 }, "curr_cost_per_share": { "asDouble": 1.171875 }, "slippage_mid_ticks": { "asDouble": 3.279999999998836 }, "participation_rate": { "asDouble": 0.7142857142857143 }, "slippage_sweep": { "asDouble": 1.5436842105264077 }, "arrival_price": { "asDouble": 25275.25 }, "total_dollar": { "asDouble": 631901.75 }, "slippage_passive_money": { "asDouble": 11.39999999999418 }, "slippage_aggressive_money": { "asDouble": 21.39999999999418 }, "model_size": { "asDouble": 3 }, "curr_opt_t_minutes": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 2 }, "market_vwap": { "asDouble": 25276.105 }, "sweep_to_fill": { "asDouble": 25274.526315789473 }, "worst_opt_t_minutes": { "asDouble": 0 }, "n_kids": { "asInt32": 22 }, "total_vol": { "asDouble": 41.287398485284044 }, "daily_vol_normal": { "asDouble": 124.7597789606493 }, "init_min_duration": { "asDouble": 0 }, "destination_price": { "asDouble": 25277.5 }, "slippage_vwap_money": { "asDouble": -1.4571428571798606 }, "percentage_passive": { "asDouble": 0 }, "slippage_sweep_ticks": { "asDouble": 6.174736842105631 }, "interval_twap": { "asDouble": 25276.36597834018 }, "slippage_twap_ticks": { "asDouble": -1.1839133607281838 }, "interval_vwap": { "asDouble": 25276.14285714286 }, "slippage": { "asDouble": 0.819999999999709 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 25275.25<br />avg_total: 25276.07<br />curr_cost_per_share: 1.171875<br />curr_half_min_move: 1.3116060655653<br />curr_liq_cost: 18.75<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 124.75977896065<br />destination_price: 25277.5<br />drift: -2<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.72368421052632<br />init_drift: 0<br />init_half_min_move: 1.3108000367115<br />init_liq_cost: 13.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.30480725839947<br />init_vol_normal: 124.68310961284<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 3<br />n_kids: 22<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 19.745<br />slip_toler: 0<br />slippage: 0.81999999999971<br />slippage_sweep: 1.5436842105264<br />sweep_residual: 6<br />sweep_to_fill: 25274.526315789<br />total_dollar: 631901.75<br />total_drift: -2<br />total_filled: 25<br />total_sent: 25<br />total_vol: 41.287398485284<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 25275.25<br />avg_total: 25276.07<br />destination_price: 25277.5<br />market_vwap (interval_vwap): 25276.105<br />n_kids: 22<br />slippage: 0.81999999999971<br />slippage_vwap: -0.072857142858993<br />slippage_vwap_pct: <br />total_dollar: 631901.75<br />total_filled: 25<br />total_sent: 25
Computed Average Total
25276.0700
Computed VWAP Slippage
-0.07
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model
Version
0.20.8