Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU6
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
30111.2500
Average Total
30110.9900
Destination Price
30112.6250
Slippage
-0.2600
Slippage Sweep
0.8764
Sweep to Fill
30110.1136
Algo Diagnostics
{ "customState": { "slippage_mid": { "asDouble": -0.2599999999947613 }, "seconds_spent": { "asDouble": 13.369 }, "slippage_mid_ticks": { "asDouble": -1.0399999999790452 }, "slippage": { "asDouble": -0.2599999999947613 }, "slippage_passive_money": { "asDouble": -20.199999999895226 }, "total_vol": { "asDouble": 315.2189717818914 }, "market_vwap": { "asDouble": 11664.535926290446 }, "curr_cost_per_share": { "asDouble": 1.125 }, "init_min_duration": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.8763636363692058 }, "curr_opt_t_minutes": { "asDouble": 0 }, "total_drift": { "asDouble": -1.375 }, "slippage_vwap_ticks": { "asDouble": 70176.87767172114 }, "slippage_passive": { "asDouble": -1.0099999999947613 }, "slippage_aggressive": { "asDouble": 0.4900000000052387 }, "slippage_aggressive_money": { "asDouble": 9.800000000104774 }, "avg_total": { "asDouble": 30110.99 }, "model_size": { "asDouble": 2 }, "slippage_sweep_money": { "asDouble": 17.527272727384116 }, "slippage_vwap": { "asDouble": 17544.219417930286 }, "daily_vol_normal": { "asDouble": 315.2189717818914 }, "worst_opt_t_minutes": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 9 }, "percentage_passive": { "asDouble": 0 }, "slippage_mid_money": { "asDouble": -5.199999999895226 }, "last_aggressive_qty": { "asInt32": 2 }, "participation_rate": { "asDouble": 1.0869565217391304 }, "init_drift": { "asDouble": 0 }, "slippage_twap_money": { "asDouble": 343450.24063370435 }, "total_sent": { "asInt32": 25 }, "slippage_vwap_money": { "asDouble": 350884.38835860573 }, "slippage_twap_ticks": { "asDouble": 68690.04812674088 }, "interval_twap": { "asDouble": 12938.477968314784 }, "arrival_price": { "asDouble": 30111.249999999996 }, "sweep_residual": { "asDouble": 14 }, "n_kids": { "asInt32": 16 }, "interval_market_size": { "asDouble": 23 }, "slippage_sweep_ticks": { "asDouble": 3.505454545476823 }, "ready": { "asBool": true }, "slippage_aggressive_ticks": { "asDouble": 1.9600000000209548 }, "last_tactical_qty": { "asInt32": 2 }, "impact_model": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 1.1363636363636365 }, "total_filled": { "asInt32": 25 }, "order_time_minutes": { "asDouble": 5 }, "total_dollar": { "asDouble": 752774.75 }, "interval_vwap": { "asDouble": 12566.770582069716 }, "slip_toler": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 0.11758510735527741 }, "economic_model": { "asInt32": 0 }, "init_half_min_move": { "asDouble": 3.3139134969193558 }, "curr_half_min_move": { "asDouble": 3.3139134969193558 }, "init_vol_normal": { "asDouble": 315.2189717818914 }, "slippage_twap": { "asDouble": 17172.51203168522 }, "slippage_passive_ticks": { "asDouble": -4.039999999979045 }, "destination_price": { "asDouble": 30112.624999999996 }, "sweep_to_fill": { "asDouble": 30110.113636363632 }, "algo_status": { "asInt32": 4 }, "drift": { "asDouble": -1.375 }, "init_liq_cost": { "asDouble": 12.5 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 30111.25<br />avg_total: 30110.99<br />curr_cost_per_share: 1.125<br />curr_half_min_move: 3.3139134969194<br />curr_liq_cost: 9<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 315.21897178189<br />destination_price: 30112.625<br />drift: -1.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.1363636363636<br />init_drift: 0<br />init_half_min_move: 3.3139134969194<br />init_liq_cost: 12.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.11758510735528<br />init_vol_normal: 315.21897178189<br />last_aggressive_qty: 2<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 16<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 13.369<br />slip_toler: 0<br />slippage: -0.25999999999476<br />slippage_sweep: 0.87636363636921<br />sweep_residual: 14<br />sweep_to_fill: 30110.113636364<br />total_dollar: 752774.75<br />total_drift: -1.375<br />total_filled: 25<br />total_sent: 25<br />total_vol: 315.21897178189<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 30111.25<br />avg_total: 30110.99<br />destination_price: 30112.625<br />market_vwap (interval_vwap): 11664.53592629<br />n_kids: 16<br />slippage: -0.25999999999476<br />slippage_vwap: 17544.21941793<br />slippage_vwap_pct: <br />total_dollar: 752774.75<br />total_filled: 25<br />total_sent: 25
Computed Average Total
30110.9900
Computed VWAP Slippage
17544.22
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model
Version
0.20.8