Algo Type
VWAP
Algo Symbol
SIM:ZNH6
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
112.6328
Market VWAP
112.6413
Destination Price
112.6484
Slippage
-0.0156
Algo Diagnostics
{ "customState": { "slippage_twap": { "asDouble": -0.0054840618481364345 }, "avg_total": { "asDouble": 112.648375 }, "slippage_mid_ticks": { "asDouble": -0.9960000000000946 }, "slippage_sweep": { "asDouble": -0.007750000000001478 }, "algo_status": { "asInt32": 4 }, "slippage_twap_money": { "asDouble": -5.4840618481364345 }, "slippage_passive_ticks": { "asDouble": -1.4960000000000946 }, "sweep_to_fill": { "asDouble": 112.640625 }, "slippage_sweep_ticks": { "asDouble": -0.4960000000000946 }, "slippage_vwap": { "asDouble": -0.007079954954960499 }, "slippage_twap_ticks": { "asDouble": -0.3509799582807318 }, "interval_twap": { "asDouble": 112.64289093815187 }, "percentage_passive": { "asDouble": 0 }, "slippage": { "asDouble": -0.015562500000001478 }, "destination_price": { "asDouble": 112.6484375 }, "slippage_aggressive": { "asDouble": -0.007750000000001478 }, "aggressive_pct": { "asDouble": 40 }, "slippage_vwap_ticks": { "asDouble": -0.45311711711747193 }, "total_filled": { "asInt32": 500 }, "slippage_mid": { "asDouble": -0.015562500000001478 }, "interval_vwap": { "asDouble": 112.64129504504504 }, "total_dollar": { "asDouble": 56324.1875 }, "slippage_passive": { "asDouble": -0.023375000000001478 }, "participation_rate": { "asDouble": 0.09009009009009009 }, "arrival_price": { "asDouble": 112.6328125 }, "slippage_sweep_money": { "asDouble": -7.750000000001478 }, "total_sent": { "asInt32": 500 }, "slippage_aggressive_money": { "asDouble": -7.750000000001478 }, "n_kids": { "asInt32": 65 }, "slippage_mid_money": { "asDouble": -15.562500000001478 }, "slippage_aggressive_ticks": { "asDouble": -0.4960000000000946 }, "interval_market_size": { "asDouble": 5550 }, "slippage_passive_money": { "asDouble": -23.375000000001478 }, "slippage_vwap_money": { "asDouble": -7.079954954960499 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 112.6328125<br />avg_total: 112.648375<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: 112.6484375<br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 65<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.015562500000001<br />slippage_sweep: -0.0077500000000015<br />sweep_residual: <br />sweep_to_fill: 112.640625<br />total_dollar: 56324.1875<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 40<br />algo_status: 4<br />arrival_price: 112.6328125<br />avg_total: 112.648375<br />destination_price: 112.6484375<br />market_vwap (interval_vwap): 112.64129504505<br />n_kids: 65<br />slippage: -0.015562500000001<br />slippage_vwap: -0.0070799549549605<br />slippage_vwap_pct: <br />total_dollar: 56324.1875<br />total_filled: 500<br />total_sent: 500
Computed Average Total
112.6484
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Version
0.20.8