Algo Type
ArrivalPrice
Algo Symbol
SIM:NQH6
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
25351.6250
Average Total
25349.7200
Destination Price
25349.7500
Slippage
-1.9050
Slippage Sweep
-0.9116
Sweep to Fill
25350.6316
Algo Diagnostics
{ "customState": { "slippage_twap_money": { "asDouble": -4.702859198805527 }, "slippage_vwap_money": { "asDouble": -12.631249999976717 }, "curr_opt_t_minutes": { "asDouble": 0.21844640657065348 }, "slippage_mid_ticks": { "asDouble": -7.619999999995343 }, "total_drift": { "asDouble": -0.75 }, "algo_status": { "asInt32": 4 }, "curr_cost_per_share": { "asDouble": 1.0808823529411764 }, "ready": { "asBool": true }, "total_filled": { "asInt32": 25 }, "slippage_sweep_money": { "asDouble": -18.231578947379603 }, "slip_toler": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -0.6315624999988358 }, "impact_model": { "asInt32": 2 }, "curr_half_min_move": { "asDouble": 1.3626127619996553 }, "sweep_to_fill": { "asDouble": 25350.63157894737 }, "slippage_passive_money": { "asDouble": -45.59999999997672 }, "init_half_min_move": { "asDouble": 1.3622793452800108 }, "percentage_passive": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 18.375 }, "slippage_twap": { "asDouble": -0.23514295994027634 }, "slippage_aggressive_money": { "asDouble": -30.599999999976717 }, "slippage_aggressive": { "asDouble": -1.5299999999988358 }, "last_aggressive_qty": { "asInt32": 2 }, "n_kids": { "asInt32": 17 }, "slippage_passive": { "asDouble": -2.279999999998836 }, "worst_opt_t_minutes": { "asDouble": 2.139816083604924 }, "slippage_mid": { "asDouble": -1.9049999999988358 }, "slippage_passive_ticks": { "asDouble": -9.119999999995343 }, "market_vwap": { "asDouble": 25350.3125 }, "init_cost_per_share": { "asDouble": 0.993421052631579 }, "slippage_vwap_ticks": { "asDouble": -2.5262499999953434 }, "avg_total": { "asDouble": 25349.72 }, "total_vol": { "asDouble": 41.41215788664757 }, "slippage_sweep_ticks": { "asDouble": -3.6463157894759206 }, "init_liq_cost": { "asDouble": 18.875 }, "participation_rate": { "asDouble": 0.78125 }, "economic_model": { "asInt32": 0 }, "slippage_twap_ticks": { "asDouble": -0.9405718397611054 }, "init_min_duration": { "asDouble": 0 }, "slippage_aggressive_ticks": { "asDouble": -6.119999999995343 }, "total_dollar": { "asDouble": 633743 }, "init_opt_t_minutes": { "asDouble": 0.5317829082582207 }, "arrival_price": { "asDouble": 25351.625 }, "sweep_residual": { "asDouble": 6 }, "last_tactical_qty": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "init_drift": { "asDouble": -0 }, "interval_twap": { "asDouble": 25349.95514295994 }, "total_sent": { "asInt32": 25 }, "seconds_spent": { "asDouble": 13.96 }, "interval_market_size": { "asDouble": 32 }, "destination_price": { "asDouble": 25349.75 }, "interval_vwap": { "asDouble": 25350.3515625 }, "drift": { "asDouble": -0.75 }, "slippage": { "asDouble": -1.9049999999988358 }, "order_time_minutes": { "asDouble": 5 }, "slippage_mid_money": { "asDouble": -38.09999999997672 }, "slippage_sweep": { "asDouble": -0.9115789473689802 }, "init_vol_normal": { "asDouble": 129.57981398671467 }, "daily_vol_normal": { "asDouble": 129.61152853678934 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 25351.625<br />avg_total: 25349.72<br />curr_cost_per_share: 1.0808823529412<br />curr_half_min_move: 1.3626127619997<br />curr_liq_cost: 18.375<br />curr_opt_t_minutes: 0.21844640657065<br />daily_vol_normal: 129.61152853679<br />destination_price: 25349.75<br />drift: -0.75<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.99342105263158<br />init_drift: 0<br />init_half_min_move: 1.36227934528<br />init_liq_cost: 18.875<br />init_min_duration: 0<br />init_opt_t_minutes: 0.53178290825822<br />init_vol_normal: 129.57981398671<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 17<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 13.96<br />slip_toler: 0<br />slippage: -1.9049999999988<br />slippage_sweep: -0.91157894736898<br />sweep_residual: 6<br />sweep_to_fill: 25350.631578947<br />total_dollar: 633743<br />total_drift: -0.75<br />total_filled: 25<br />total_sent: 25<br />total_vol: 41.412157886648<br />worst_opt_t_minutes: 2.1398160836049
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 25351.625<br />avg_total: 25349.72<br />destination_price: 25349.75<br />market_vwap (interval_vwap): 25350.3125<br />n_kids: 17<br />slippage: -1.9049999999988<br />slippage_vwap: -0.63156249999884<br />slippage_vwap_pct: <br />total_dollar: 633743<br />total_filled: 25<br />total_sent: 25
Computed Average Total
25349.7200
Computed VWAP Slippage
-0.63
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model
Version
0.20.8