Algo Type
VWAP
Algo Symbol
SIM:ZCH6
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
443.8750
Market VWAP
443.7558
Destination Price
443.6250
Slippage
0.1140
Algo Diagnostics
{ "customState": { "slippage_aggressive_money": { "asDouble": 11.949999999998795 }, "interval_twap": { "asDouble": 443.73648105179285 }, "slippage_vwap_money": { "asDouble": -0.2615384615410221 }, "slippage_twap_ticks": { "asDouble": -0.09807579282869483 }, "n_kids": { "asInt32": 75 }, "aggressive_pct": { "asDouble": 50 }, "slippage_sweep": { "asDouble": 0.5024999999999977 }, "total_filled": { "asInt32": 500 }, "slippage_vwap_ticks": { "asDouble": -0.02092307692328177 }, "slippage_twap_money": { "asDouble": -1.2259474103586854 }, "avg_total": { "asDouble": 443.761 }, "slippage_sweep_money": { "asDouble": 25.124999999999886 }, "slippage_mid": { "asDouble": 0.1139999999999759 }, "interval_vwap": { "asDouble": 443.7557692307692 }, "sweep_to_fill": { "asDouble": 444.2635 }, "slippage_mid_ticks": { "asDouble": 0.4559999999999036 }, "slippage_passive_money": { "asDouble": -0.5500000000012051 }, "arrival_price": { "asDouble": 443.875 }, "slippage_vwap": { "asDouble": -0.005230769230820442 }, "participation_rate": { "asDouble": 1.2820512820512822 }, "total_dollar": { "asDouble": 221880.5 }, "slippage_mid_money": { "asDouble": 5.699999999998795 }, "algo_status": { "asInt32": 4 }, "destination_price": { "asDouble": 443.625 }, "interval_market_size": { "asDouble": 390 }, "slippage_passive_ticks": { "asDouble": -0.044000000000096406 }, "total_sent": { "asInt32": 500 }, "slippage_aggressive_ticks": { "asDouble": 0.9559999999999036 }, "percentage_passive": { "asDouble": 0 }, "slippage_passive": { "asDouble": -0.011000000000024102 }, "slippage_twap": { "asDouble": -0.024518948207173707 }, "slippage": { "asDouble": 0.1139999999999759 }, "slippage_aggressive": { "asDouble": 0.2389999999999759 }, "slippage_sweep_ticks": { "asDouble": 2.009999999999991 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 443.875<br />avg_total: 443.761<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: 443.625<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: 75<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.11399999999998<br />slippage_sweep: 0.5025<br />sweep_residual: <br />sweep_to_fill: 444.2635<br />total_dollar: 221880.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 50<br />algo_status: 4<br />arrival_price: 443.875<br />avg_total: 443.761<br />destination_price: 443.625<br />market_vwap (interval_vwap): 443.75576923077<br />n_kids: 75<br />slippage: 0.11399999999998<br />slippage_vwap: -0.0052307692308204<br />slippage_vwap_pct: <br />total_dollar: 221880.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
443.7610
Computed VWAP Slippage
-0.01
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Version
0.20.8