Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH6
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
443.8750
Average Total
443.5050
Destination Price
443.8750
Slippage
-0.3700
Slippage Sweep
-0.2450
Sweep to Fill
443.7500
Algo Diagnostics
{ "customState": { "slippage_mid": { "asDouble": -0.37000000000000455 }, "slippage": { "asDouble": -0.37000000000000455 }, "total_sent": { "asInt32": 50 }, "curr_half_min_move": { "asDouble": 0.019319459947704315 }, "slippage_mid_money": { "asDouble": -18.500000000000227 }, "slippage_vwap_ticks": { "asDouble": -0.9800000000000182 }, "slippage_aggressive": { "asDouble": -0.24500000000000455 }, "percentage_passive": { "asDouble": 0 }, "slippage_twap_ticks": { "asDouble": -0.9800000000000182 }, "slip_toler": { "asDouble": 0 }, "init_vol_normal": { "asDouble": 1.83766423165782 }, "participation_rate": { "asDouble": 50 }, "daily_vol_normal": { "asDouble": 1.83766423165782 }, "sweep_to_fill": { "asDouble": 443.75 }, "sweep_residual": { "asDouble": 0 }, "slippage_sweep": { "asDouble": -0.24500000000000455 }, "init_cost_per_share": { "asDouble": 0.125 }, "seconds_spent": { "asDouble": 293.23 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 22175.25 }, "order_time_minutes": { "asDouble": 5 }, "ready": { "asBool": true }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 5 }, "slippage_passive_money": { "asDouble": -24.750000000000227 }, "impact_model": { "asInt32": 2 }, "slippage_aggressive_ticks": { "asDouble": -0.9800000000000182 }, "total_drift": { "asDouble": -0 }, "n_kids": { "asInt32": 50 }, "arrival_price": { "asDouble": 443.875 }, "slippage_sweep_money": { "asDouble": -12.250000000000227 }, "slippage_vwap": { "asDouble": -0.24500000000000455 }, "slippage_sweep_ticks": { "asDouble": -0.9800000000000182 }, "interval_market_size": { "asDouble": 1 }, "slippage_passive_ticks": { "asDouble": -1.9800000000000182 }, "curr_liq_cost": { "asDouble": 6.25 }, "total_vol": { "asDouble": 0.6118559159051591 }, "model_size": { "asDouble": 0 }, "drift": { "asDouble": -0 }, "interval_twap": { "asDouble": 443.75 }, "slippage_vwap_money": { "asDouble": -12.250000000000227 }, "init_half_min_move": { "asDouble": 0.019319459947704315 }, "slippage_mid_ticks": { "asDouble": -1.4800000000000182 }, "slippage_twap": { "asDouble": -0.24500000000000455 }, "economic_model": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 5 }, "slippage_aggressive_money": { "asDouble": -12.250000000000227 }, "destination_price": { "asDouble": 443.875 }, "avg_total": { "asDouble": 443.505 }, "init_liq_cost": { "asDouble": 6.25 }, "algo_status": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 0.125 }, "slippage_passive": { "asDouble": -0.49500000000000455 }, "interval_vwap": { "asDouble": 443.75 }, "last_tactical_qty": { "asInt32": 1 }, "init_drift": { "asDouble": -0 }, "slippage_twap_money": { "asDouble": -12.250000000000227 }, "init_opt_t_minutes": { "asDouble": 41.86297245161082 }, "market_vwap": { "asDouble": 443.63659793814435 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 443.875<br />avg_total: 443.505<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.019319459947704<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 5<br />daily_vol_normal: 1.8376642316578<br />destination_price: 443.875<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.125<br />init_drift: 0<br />init_half_min_move: 0.019319459947704<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 41.862972451611<br />init_vol_normal: 1.8376642316578<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 0<br />n_kids: 50<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 293.23<br />slip_toler: 0<br />slippage: -0.37<br />slippage_sweep: -0.245<br />sweep_residual: 0<br />sweep_to_fill: 443.75<br />total_dollar: 22175.25<br />total_drift: 0<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.61185591590516<br />worst_opt_t_minutes: 5
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 443.875<br />avg_total: 443.505<br />destination_price: 443.875<br />market_vwap (interval_vwap): 443.63659793814<br />n_kids: 50<br />slippage: -0.37<br />slippage_vwap: -0.245<br />slippage_vwap_pct: <br />total_dollar: 22175.25<br />total_filled: 50<br />total_sent: 50
Computed Average Total
443.5050
Computed VWAP Slippage
-0.25
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8