Algo Type
ArrivalPrice
Algo Symbol
SIM:ESH6
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
6837.1250
Average Total
6836.6050
Destination Price
6836.5000
Slippage
-0.5200
Slippage Sweep
-0.0550
Sweep to Fill
6836.6600
Algo Diagnostics
{ "customState": { "init_half_min_move": { "asDouble": 0.3263695575395797 }, "n_kids": { "asInt32": 13 }, "slippage_passive": { "asDouble": -0.6450000000004366 }, "drift": { "asDouble": -0.5 }, "daily_vol_normal": { "asDouble": 31.053283885759527 }, "slippage_sweep_ticks": { "asDouble": -0.22000000000116415 }, "init_drift": { "asDouble": -0 }, "slippage_vwap_ticks": { "asDouble": -1.1460377358525875 }, "init_cost_per_share": { "asDouble": 0.465 }, "impact_model": { "asInt32": 2 }, "slippage_twap": { "asDouble": -0.36578032569104835 }, "slip_toler": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.32646479369868514 }, "ready": { "asBool": true }, "init_vol_normal": { "asDouble": 31.044225036101086 }, "total_drift": { "asDouble": -0.5 }, "worst_opt_t_minutes": { "asDouble": 0 }, "interval_twap": { "asDouble": 6836.970780325691 }, "slippage_sweep": { "asDouble": -0.05500000000029104 }, "slippage_mid_ticks": { "asDouble": -2.0800000000017462 }, "slippage_passive_money": { "asDouble": -32.25000000002183 }, "arrival_price": { "asDouble": 6837.125 }, "slippage_twap_money": { "asDouble": -18.289016284552417 }, "total_vol": { "asDouble": 7.4132170400860815 }, "init_opt_t_minutes": { "asDouble": 2.0299559805859384 }, "sweep_to_fill": { "asDouble": 6836.66 }, "seconds_spent": { "asDouble": 15.065 }, "slippage_aggressive_ticks": { "asDouble": -1.5800000000017462 }, "curr_cost_per_share": { "asDouble": 0.36 }, "slippage_mid": { "asDouble": -0.5200000000004366 }, "total_dollar": { "asDouble": 341830.25 }, "interval_vwap": { "asDouble": 6836.891509433963 }, "interval_market_size": { "asDouble": 106 }, "slippage_twap_ticks": { "asDouble": -1.4631213027641934 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slippage_aggressive_money": { "asDouble": -19.750000000021828 }, "init_liq_cost": { "asDouble": 23.25 }, "slippage": { "asDouble": -0.5200000000004366 }, "order_time_minutes": { "asDouble": 5 }, "market_vwap": { "asDouble": 6836.87 }, "slippage_passive_ticks": { "asDouble": -2.5800000000017462 }, "avg_total": { "asDouble": 6836.605 }, "init_min_duration": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "algo_status": { "asInt32": 4 }, "last_tactical_qty": { "asInt32": 3 }, "last_aggressive_qty": { "asInt32": 6 }, "percentage_passive": { "asDouble": 0 }, "slippage_sweep_money": { "asDouble": -2.750000000014552 }, "slippage_mid_money": { "asDouble": -26.000000000021828 }, "curr_liq_cost": { "asDouble": 18 }, "total_sent": { "asInt32": 50 }, "slippage_vwap_money": { "asDouble": -14.325471698157344 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 6836.5 }, "total_filled": { "asInt32": 50 }, "slippage_vwap": { "asDouble": -0.2865094339631469 }, "slippage_aggressive": { "asDouble": -0.39500000000043656 }, "model_size": { "asDouble": 9 }, "participation_rate": { "asDouble": 0.4716981132075472 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 6837.125<br />avg_total: 6836.605<br />curr_cost_per_share: 0.36<br />curr_half_min_move: 0.32646479369869<br />curr_liq_cost: 18<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 31.05328388576<br />destination_price: 6836.5<br />drift: -0.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.465<br />init_drift: 0<br />init_half_min_move: 0.32636955753958<br />init_liq_cost: 23.25<br />init_min_duration: 0<br />init_opt_t_minutes: 2.0299559805859<br />init_vol_normal: 31.044225036101<br />last_aggressive_qty: 6<br />last_tactical_qty: 3<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 9<br />n_kids: 13<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 15.065<br />slip_toler: 0<br />slippage: -0.52000000000044<br />slippage_sweep: -0.055000000000291<br />sweep_residual: 0<br />sweep_to_fill: 6836.66<br />total_dollar: 341830.25<br />total_drift: -0.5<br />total_filled: 50<br />total_sent: 50<br />total_vol: 7.4132170400861<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 6837.125<br />avg_total: 6836.605<br />destination_price: 6836.5<br />market_vwap (interval_vwap): 6836.87<br />n_kids: 13<br />slippage: -0.52000000000044<br />slippage_vwap: -0.28650943396315<br />slippage_vwap_pct: <br />total_dollar: 341830.25<br />total_filled: 50<br />total_sent: 50
Computed Average Total
6836.6050
Computed VWAP Slippage
-0.29
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8