Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH6
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
443.6250
Average Total
443.5000
Destination Price
443.6250
Slippage
-0.1250
Slippage Sweep
0.0000
Sweep to Fill
443.5000
Algo Diagnostics
{ "customState": { "daily_vol_normal": { "asDouble": 1.8744865718634096 }, "seconds_spent": { "asDouble": 293.233 }, "curr_half_min_move": { "asDouble": 0.01970657513149437 }, "slippage_aggressive": { "asDouble": 0 }, "drift": { "asDouble": -0 }, "slippage_twap_money": { "asDouble": -6.34512141988921 }, "arrival_price": { "asDouble": 443.625 }, "total_filled": { "asInt32": 50 }, "total_dollar": { "asDouble": 22175 }, "slippage_sweep": { "asDouble": 0 }, "interval_vwap": { "asDouble": 443.7083333333333 }, "init_drift": { "asDouble": -0 }, "curr_cost_per_share": { "asDouble": 0.125 }, "slippage_twap_ticks": { "asDouble": -0.5076097135911368 }, "slippage_vwap_ticks": { "asDouble": -0.8333333333332575 }, "sweep_residual": { "asDouble": 0 }, "slippage_mid": { "asDouble": -0.125 }, "slippage_sweep_money": { "asDouble": 0 }, "slippage_vwap_money": { "asDouble": -10.41666666666572 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 0.01970657513149437 }, "slippage_vwap": { "asDouble": -0.20833333333331439 }, "slippage_aggressive_ticks": { "asDouble": 0 }, "slippage_passive_ticks": { "asDouble": -1 }, "init_cost_per_share": { "asDouble": 0.125 }, "participation_rate": { "asDouble": 4.166666666666667 }, "slippage": { "asDouble": -0.125 }, "sweep_to_fill": { "asDouble": 443.5 }, "impact_model": { "asInt32": 2 }, "slippage_mid_ticks": { "asDouble": -0.5 }, "slippage_passive_money": { "asDouble": -12.5 }, "slippage_sweep_ticks": { "asDouble": 0 }, "slippage_aggressive_money": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 5 }, "destination_price": { "asDouble": 443.625 }, "total_drift": { "asDouble": -0 }, "avg_total": { "asDouble": 443.5 }, "curr_liq_cost": { "asDouble": 6.25 }, "algo_status": { "asInt32": 4 }, "curr_opt_t_minutes": { "asDouble": 5 }, "model_size": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 1 }, "init_vol_normal": { "asDouble": 1.8744865718634096 }, "init_opt_t_minutes": { "asDouble": 40.23441759662019 }, "init_liq_cost": { "asDouble": 6.25 }, "total_vol": { "asDouble": 0.6115113054202787 }, "interval_market_size": { "asDouble": 12 }, "interval_twap": { "asDouble": 443.6269024283978 }, "slippage_mid_money": { "asDouble": -6.25 }, "init_min_duration": { "asDouble": 0 }, "ready": { "asBool": true }, "percentage_passive": { "asDouble": 0 }, "market_vwap": { "asDouble": 443.54464285714283 }, "total_sent": { "asInt32": 50 }, "worst_opt_t_minutes": { "asDouble": 5 }, "n_kids": { "asInt32": 50 }, "slip_toler": { "asDouble": 0 }, "slippage_passive": { "asDouble": -0.25 }, "slippage_twap": { "asDouble": -0.1269024283977842 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 443.625<br />avg_total: 443.5<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.019706575131494<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 5<br />daily_vol_normal: 1.8744865718634<br />destination_price: 443.625<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: 0.019706575131494<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 40.23441759662<br />init_vol_normal: 1.8744865718634<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: 293.233<br />slip_toler: 0<br />slippage: -0.125<br />slippage_sweep: 0<br />sweep_residual: 0<br />sweep_to_fill: 443.5<br />total_dollar: 22175<br />total_drift: 0<br />total_filled: 50<br />total_sent: 50<br />total_vol: 0.61151130542028<br />worst_opt_t_minutes: 5
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 443.625<br />avg_total: 443.5<br />destination_price: 443.625<br />market_vwap (interval_vwap): 443.54464285714<br />n_kids: 50<br />slippage: -0.125<br />slippage_vwap: -0.20833333333331<br />slippage_vwap_pct: <br />total_dollar: 22175<br />total_filled: 50<br />total_sent: 50
Computed Average Total
443.5000
Computed VWAP Slippage
-0.21
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8