Algo Type
ArrivalPrice
Algo Symbol
SIM:ZNH6
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Sell
Quantity
200
Arrival Price
112.6328
Average Total
112.6119
Destination Price
112.6328
Slippage
-0.0209
Slippage Sweep
-0.0035
Sweep to Fill
112.6154
Algo Diagnostics
{ "customState": { "participation_rate": { "asDouble": 0.18115942028985507 }, "slippage_sweep": { "asDouble": -0.0035156250000056843 }, "total_sent": { "asInt32": 200 }, "order_time_minutes": { "asDouble": 5 }, "init_cost_per_share": { "asDouble": 0.017421875 }, "total_dollar": { "asDouble": 22522.375 }, "slippage_sweep_money": { "asDouble": -3.5156250000056843 }, "slippage_passive_money": { "asDouble": -28.750000000002274 }, "slippage_aggressive": { "asDouble": -0.013125000000002274 }, "init_vol_normal": { "asDouble": 0.4093357741960211 }, "slippage_mid_ticks": { "asDouble": -1.3400000000001455 }, "percentage_passive": { "asDouble": 0 }, "slippage": { "asDouble": -0.020937500000002274 }, "n_kids": { "asInt32": 8 }, "init_drift": { "asDouble": -0 }, "market_vwap": { "asDouble": 112.62279211956522 }, "avg_total": { "asDouble": 112.611875 }, "last_tactical_qty": { "asInt32": 137 }, "slippage_twap_ticks": { "asDouble": -0.49531549637504213 }, "interval_twap": { "asDouble": 112.61961430463086 }, "init_liq_cost": { "asDouble": 3.484375 }, "seconds_spent": { "asDouble": 12.138 }, "total_drift": { "asDouble": -0.015625 }, "curr_cost_per_share": { "asDouble": 0.0078125 }, "curr_liq_cost": { "asDouble": 1.5625 }, "init_half_min_move": { "asDouble": 0.004303368351251172 }, "curr_opt_t_minutes": { "asDouble": 0 }, "model_size": { "asDouble": 137 }, "impact_model": { "asInt32": 2 }, "slippage_mid": { "asDouble": -0.020937500000002274 }, "slippage_passive": { "asDouble": -0.028750000000002274 }, "sweep_residual": { "asDouble": 0 }, "arrival_price": { "asDouble": 112.6328125 }, "slippage_vwap": { "asDouble": -0.012926856884064364 }, "total_filled": { "asInt32": 200 }, "total_vol": { "asDouble": 0.03825801930833542 }, "economic_model": { "asInt32": 0 }, "drift": { "asDouble": -0.015625 }, "curr_half_min_move": { "asDouble": 0.004303368351251172 }, "slippage_passive_ticks": { "asDouble": -1.8400000000001455 }, "destination_price": { "asDouble": 112.6328125 }, "ready": { "asBool": true }, "slippage_twap": { "asDouble": -0.007739304630860033 }, "slippage_twap_money": { "asDouble": -7.739304630860033 }, "init_opt_t_minutes": { "asDouble": 16.38976564452747 }, "slippage_vwap_ticks": { "asDouble": -0.8273188405801193 }, "slippage_mid_money": { "asDouble": -20.937500000002274 }, "slippage_aggressive_money": { "asDouble": -13.125000000002274 }, "worst_opt_t_minutes": { "asDouble": 0 }, "interval_vwap": { "asDouble": 112.62480185688406 }, "daily_vol_normal": { "asDouble": 0.4093357741960211 }, "algo_status": { "asInt32": 4 }, "sweep_to_fill": { "asDouble": 112.615390625 }, "slippage_vwap_money": { "asDouble": -12.926856884064364 }, "slippage_aggressive_ticks": { "asDouble": -0.8400000000001455 }, "slippage_sweep_ticks": { "asDouble": -0.2250000000003638 }, "init_min_duration": { "asDouble": 0 }, "interval_market_size": { "asDouble": 1104 }, "slip_toler": { "asDouble": 0 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 112.6328125<br />avg_total: 112.611875<br />curr_cost_per_share: 0.0078125<br />curr_half_min_move: 0.0043033683512512<br />curr_liq_cost: 1.5625<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.40933577419602<br />destination_price: 112.6328125<br />drift: -0.015625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.017421875<br />init_drift: 0<br />init_half_min_move: 0.0043033683512512<br />init_liq_cost: 3.484375<br />init_min_duration: 0<br />init_opt_t_minutes: 16.389765644527<br />init_vol_normal: 0.40933577419602<br />last_aggressive_qty: <br />last_tactical_qty: 137<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 137<br />n_kids: 8<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 12.138<br />slip_toler: 0<br />slippage: -0.020937500000002<br />slippage_sweep: -0.0035156250000057<br />sweep_residual: 0<br />sweep_to_fill: 112.615390625<br />total_dollar: 22522.375<br />total_drift: -0.015625<br />total_filled: 200<br />total_sent: 200<br />total_vol: 0.038258019308335<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 112.6328125<br />avg_total: 112.611875<br />destination_price: 112.6328125<br />market_vwap (interval_vwap): 112.62279211957<br />n_kids: 8<br />slippage: -0.020937500000002<br />slippage_vwap: -0.012926856884064<br />slippage_vwap_pct: <br />total_dollar: 22522.375<br />total_filled: 200<br />total_sent: 200
Computed Average Total
112.6119
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
200.00
Algo Model
Version
0.20.8