Algo Type
ArrivalPrice
Algo Symbol
SIM:ESU6
Algo CQG Symbol
EP
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
7475.6250
Average Total
7475.5850
Destination Price
7476.1250
Slippage
-0.0400
Slippage Sweep
0.4650
Sweep to Fill
7475.1200
Algo Diagnostics
{ "customState": { "daily_vol_normal": { "asDouble": 53.65617807865421 }, "slippage": { "asDouble": -0.03999999999996362 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_money": { "asDouble": 9.79123711340435 }, "avg_total": { "asDouble": 7475.585 }, "init_min_duration": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 5 }, "interval_market_size": { "asDouble": 291 }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 7475.12 }, "init_liq_cost": { "asDouble": 25.25 }, "slippage_twap_ticks": { "asDouble": 0.5110248900164152 }, "slippage_passive_ticks": { "asDouble": -0.6599999999998545 }, "total_vol": { "asDouble": 6.233631826503811 }, "participation_rate": { "asDouble": 0.1718213058419244 }, "curr_cost_per_share": { "asDouble": 0.595 }, "slippage_twap_money": { "asDouble": 6.3878111252051895 }, "slippage_mid_money": { "asDouble": -1.999999999998181 }, "slip_toler": { "asDouble": 0 }, "slippage_passive": { "asDouble": -0.16499999999996362 }, "slippage_mid_ticks": { "asDouble": -0.15999999999985448 }, "slippage_passive_money": { "asDouble": -8.249999999998181 }, "slippage_sweep_ticks": { "asDouble": 1.860000000000582 }, "drift": { "asDouble": -0.375 }, "slippage_twap": { "asDouble": 0.1277562225041038 }, "total_dollar": { "asDouble": 373779.25 }, "slippage_aggressive_ticks": { "asDouble": 0.3400000000001455 }, "slippage_aggressive_money": { "asDouble": 4.250000000001819 }, "curr_liq_cost": { "asDouble": 29.75 }, "seconds_spent": { "asDouble": 33.257 }, "interval_twap": { "asDouble": 7475.457243777496 }, "arrival_price": { "asDouble": 7475.625 }, "curr_half_min_move": { "asDouble": 0.5640901996564901 }, "destination_price": { "asDouble": 7476.125 }, "total_sent": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "interval_vwap": { "asDouble": 7475.389175257732 }, "total_drift": { "asDouble": -0.375 }, "ready": { "asBool": true }, "order_time_minutes": { "asDouble": 5 }, "slippage_vwap": { "asDouble": 0.195824742268087 }, "last_aggressive_qty": { "asInt32": 8 }, "init_vol_normal": { "asDouble": 53.63127308182914 }, "slippage_mid": { "asDouble": -0.03999999999996362 }, "impact_model": { "asInt32": 2 }, "init_opt_t_minutes": { "asDouble": 0.8022115383704482 }, "init_drift": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 0.5638283721254479 }, "economic_model": { "asInt32": 0 }, "slippage_sweep_money": { "asDouble": 23.250000000007276 }, "last_tactical_qty": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.505 }, "sweep_residual": { "asDouble": 0 }, "market_vwap": { "asDouble": 7475.390224358975 }, "percentage_passive": { "asDouble": 4 }, "n_kids": { "asInt32": 24 }, "slippage_sweep": { "asDouble": 0.4650000000001455 }, "slippage_aggressive": { "asDouble": 0.08500000000003638 }, "slippage_vwap_ticks": { "asDouble": 0.783298969072348 }, "curr_opt_t_minutes": { "asDouble": 0.4497502784728445 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 7475.625<br />avg_total: 7475.585<br />curr_cost_per_share: 0.595<br />curr_half_min_move: 0.56409019965649<br />curr_liq_cost: 29.75<br />curr_opt_t_minutes: 0.44975027847284<br />daily_vol_normal: 53.656178078654<br />destination_price: 7476.125<br />drift: -0.375<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.505<br />init_drift: 0<br />init_half_min_move: 0.56382837212545<br />init_liq_cost: 25.25<br />init_min_duration: 0<br />init_opt_t_minutes: 0.80221153837045<br />init_vol_normal: 53.631273081829<br />last_aggressive_qty: 8<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 24<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 33.257<br />slip_toler: 0<br />slippage: -0.039999999999964<br />slippage_sweep: 0.46500000000015<br />sweep_residual: 0<br />sweep_to_fill: 7475.12<br />total_dollar: 373779.25<br />total_drift: -0.375<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: 7475.585<br />destination_price: 7476.125<br />market_vwap (interval_vwap): 7475.390224359<br />n_kids: 24<br />slippage: -0.039999999999964<br />slippage_vwap: 0.19582474226809<br />slippage_vwap_pct: <br />total_dollar: 373779.25<br />total_filled: 50<br />total_sent: 50
Computed Average Total
7475.5850
Computed VWAP Slippage
0.20
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8