Algo Type
ArrivalPrice
Algo Symbol
SIM:ZNH6
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Sell
Quantity
200
Arrival Price
112.6016
Average Total
112.6080
Destination Price
112.6172
Slippage
0.0064
Slippage Sweep
0.0142
Sweep to Fill
112.5938
Algo Diagnostics
{ "customState": { "slippage_mid_money": { "asDouble": 6.406249999997726 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.014218749999997726 }, "init_cost_per_share": { "asDouble": 0.0078125 }, "init_min_duration": { "asDouble": 0 }, "total_sent": { "asInt32": 200 }, "slippage_vwap_money": { "asDouble": -1.4062500000022737 }, "init_vol_normal": { "asDouble": 0.3415971421426196 }, "slippage_sweep_money": { "asDouble": 14.218749999997726 }, "percentage_passive": { "asDouble": 0 }, "slippage_twap_ticks": { "asDouble": -0.0779617991320265 }, "slippage_passive": { "asDouble": -0.0014062500000022737 }, "destination_price": { "asDouble": 112.6171875 }, "slippage_passive_ticks": { "asDouble": -0.09000000000014552 }, "last_tactical_qty": { "asInt32": 199 }, "market_vwap": { "asDouble": 112.609375 }, "slippage_sweep_ticks": { "asDouble": 0.9099999999998545 }, "interval_vwap": { "asDouble": 112.609375 }, "participation_rate": { "asDouble": 14.285714285714286 }, "order_time_minutes": { "asDouble": 5 }, "total_dollar": { "asDouble": 22521.59375 }, "slippage_aggressive_ticks": { "asDouble": 0.9099999999998545 }, "n_kids": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "avg_total": { "asDouble": 112.60796875 }, "arrival_price": { "asDouble": 112.6015625 }, "slippage": { "asDouble": 0.006406249999997726 }, "init_opt_t_minutes": { "asDouble": 4.732536409299361 }, "algo_status": { "asInt32": 4 }, "curr_liq_cost": { "asDouble": 1.859375 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_mid_ticks": { "asDouble": 0.4099999999998545 }, "init_drift": { "asDouble": -0 }, "total_drift": { "asDouble": -0.015625 }, "sweep_residual": { "asDouble": 0 }, "seconds_spent": { "asDouble": 3.193 }, "ready": { "asBool": true }, "interval_twap": { "asDouble": 112.60918690311144 }, "slippage_aggressive": { "asDouble": 0.014218749999997726 }, "init_liq_cost": { "asDouble": 1.5625 }, "daily_vol_normal": { "asDouble": 0.3415971421426196 }, "interval_market_size": { "asDouble": 14 }, "sweep_to_fill": { "asDouble": 112.59375 }, "init_half_min_move": { "asDouble": 0.0035912285782049454 }, "slippage_vwap_ticks": { "asDouble": -0.09000000000014552 }, "slippage_twap": { "asDouble": -0.001218153111437914 }, "slippage_twap_money": { "asDouble": -1.218153111437914 }, "total_filled": { "asInt32": 200 }, "slippage_mid": { "asDouble": 0.006406249999997726 }, "slippage_aggressive_money": { "asDouble": 14.218749999997726 }, "curr_cost_per_share": { "asDouble": 0.009296875 }, "total_vol": { "asDouble": 0.03824740461198851 }, "drift": { "asDouble": -0.015625 }, "curr_half_min_move": { "asDouble": 0.0035912285782049454 }, "slippage_passive_money": { "asDouble": -1.4062500000022737 }, "model_size": { "asDouble": 199 }, "impact_model": { "asInt32": 2 }, "slippage_vwap": { "asDouble": -0.0014062500000022737 }, "economic_model": { "asInt32": 0 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 112.6015625<br />avg_total: 112.60796875<br />curr_cost_per_share: 0.009296875<br />curr_half_min_move: 0.0035912285782049<br />curr_liq_cost: 1.859375<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.34159714214262<br />destination_price: 112.6171875<br />drift: -0.015625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0078125<br />init_drift: 0<br />init_half_min_move: 0.0035912285782049<br />init_liq_cost: 1.5625<br />init_min_duration: 0<br />init_opt_t_minutes: 4.7325364092994<br />init_vol_normal: 0.34159714214262<br />last_aggressive_qty: <br />last_tactical_qty: 199<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 199<br />n_kids: 2<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 3.193<br />slip_toler: 0<br />slippage: 0.0064062499999977<br />slippage_sweep: 0.014218749999998<br />sweep_residual: 0<br />sweep_to_fill: 112.59375<br />total_dollar: 22521.59375<br />total_drift: -0.015625<br />total_filled: 200<br />total_sent: 200<br />total_vol: 0.038247404611989<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 112.6015625<br />avg_total: 112.60796875<br />destination_price: 112.6171875<br />market_vwap (interval_vwap): 112.609375<br />n_kids: 2<br />slippage: 0.0064062499999977<br />slippage_vwap: -0.0014062500000023<br />slippage_vwap_pct: <br />total_dollar: 22521.59375<br />total_filled: 200<br />total_sent: 200
Computed Average Total
112.6080
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
200.00
Algo Model
Version
0.20.8