Algo Type
ArrivalPrice
Algo Symbol
SIM:ESU6
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
7475.6250
Average Total
7475.2750
Destination Price
7474.7500
Slippage
-0.3500
Slippage Sweep
-0.0500
Sweep to Fill
7475.3250
Algo Diagnostics
{ "customState": { "init_opt_t_minutes": { "asDouble": 0.2918016052527379 }, "curr_opt_t_minutes": { "asDouble": 0.7773607705218661 }, "drift": { "asDouble": 0.125 }, "slippage_mid_ticks": { "asDouble": -1.4000000000014552 }, "total_filled": { "asInt32": 50 }, "slippage_vwap_ticks": { "asDouble": 0.6179856115086295 }, "daily_vol_normal": { "asDouble": 52.85966994308501 }, "init_vol_normal": { "asDouble": 52.826105771495705 }, "total_vol": { "asDouble": 6.233631826503811 }, "curr_half_min_move": { "asDouble": 0.5557164680693722 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 7475.325 }, "seconds_spent": { "asDouble": 51.738 }, "slip_toler": { "asDouble": 0 }, "avg_total": { "asDouble": 7475.275 }, "init_half_min_move": { "asDouble": 0.5553636061822405 }, "last_tactical_qty": { "asInt32": 1 }, "slippage_passive_money": { "asDouble": -23.75000000001819 }, "slippage_aggressive_money": { "asDouble": -11.25000000001819 }, "slippage_mid": { "asDouble": -0.3500000000003638 }, "curr_liq_cost": { "asDouble": 21.5 }, "ready": { "asBool": true }, "init_cost_per_share": { "asDouble": 0.3 }, "slippage_passive": { "asDouble": -0.4750000000003638 }, "order_time_minutes": { "asDouble": 5 }, "total_drift": { "asDouble": 0.125 }, "slippage_passive_ticks": { "asDouble": -1.9000000000014552 }, "destination_price": { "asDouble": 7474.75 }, "interval_vwap": { "asDouble": 7475.1205035971225 }, "init_min_duration": { "asDouble": 0 }, "slippage_twap_ticks": { "asDouble": 0.46363404681687825 }, "n_kids": { "asInt32": 20 }, "curr_cost_per_share": { "asDouble": 0.43 }, "slippage_aggressive_ticks": { "asDouble": -0.9000000000014552 }, "slippage": { "asDouble": -0.3500000000003638 }, "percentage_passive": { "asDouble": 10 }, "init_drift": { "asDouble": 0 }, "sweep_residual": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "slippage_aggressive": { "asDouble": -0.2250000000003638 }, "slippage_vwap_money": { "asDouble": 7.724820143857869 }, "impact_model": { "asInt32": 2 }, "slippage_twap": { "asDouble": 0.11590851170421956 }, "slippage_mid_money": { "asDouble": -17.50000000001819 }, "init_liq_cost": { "asDouble": 15 }, "slippage_sweep_money": { "asDouble": -2.500000000009095 }, "last_aggressive_qty": { "asInt32": 4 }, "interval_twap": { "asDouble": 7475.159091488295 }, "slippage_sweep_ticks": { "asDouble": -0.2000000000007276 }, "slippage_twap_money": { "asDouble": 5.795425585210978 }, "slippage_vwap": { "asDouble": 0.15449640287715738 }, "interval_market_size": { "asDouble": 278 }, "economic_model": { "asInt32": 0 }, "arrival_price": { "asDouble": 7475.625 }, "slippage_sweep": { "asDouble": -0.0500000000001819 }, "market_vwap": { "asDouble": 7475.104304635762 }, "total_dollar": { "asDouble": 373763.75 }, "algo_status": { "asInt32": 4 }, "participation_rate": { "asDouble": 0.17985611510791366 }, "worst_opt_t_minutes": { "asDouble": 5 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 7475.625<br />avg_total: 7475.275<br />curr_cost_per_share: 0.43<br />curr_half_min_move: 0.55571646806937<br />curr_liq_cost: 21.5<br />curr_opt_t_minutes: 0.77736077052187<br />daily_vol_normal: 52.859669943085<br />destination_price: 7474.75<br />drift: 0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.3<br />init_drift: 0<br />init_half_min_move: 0.55536360618224<br />init_liq_cost: 15<br />init_min_duration: 0<br />init_opt_t_minutes: 0.29180160525274<br />init_vol_normal: 52.826105771496<br />last_aggressive_qty: 4<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 20<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 51.738<br />slip_toler: 0<br />slippage: -0.35000000000036<br />slippage_sweep: -0.050000000000182<br />sweep_residual: 0<br />sweep_to_fill: 7475.325<br />total_dollar: 373763.75<br />total_drift: 0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 6.2336318265038<br />worst_opt_t_minutes: 5
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 7475.625<br />avg_total: 7475.275<br />destination_price: 7474.75<br />market_vwap (interval_vwap): 7475.1043046358<br />n_kids: 20<br />slippage: -0.35000000000036<br />slippage_vwap: 0.15449640287716<br />slippage_vwap_pct: <br />total_dollar: 373763.75<br />total_filled: 50<br />total_sent: 50
Computed Average Total
7475.2750
Computed VWAP Slippage
0.15
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8