Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU6
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
30132.3750
Average Total
30131.6600
Destination Price
30132.1250
Slippage
-0.7150
Slippage Sweep
0.6322
Sweep to Fill
30131.0278
Algo Diagnostics
{ "customState": { "last_tactical_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": 0.6322222222261189 }, "slippage_passive_ticks": { "asDouble": -5.35999999998603 }, "curr_opt_t_minutes": { "asDouble": 0.14781852891127695 }, "destination_price": { "asDouble": 30132.124999999996 }, "total_filled": { "asInt32": 25 }, "n_kids": { "asInt32": 19 }, "total_dollar": { "asDouble": 753291.5 }, "interval_market_size": { "asDouble": 68 }, "slippage_passive": { "asDouble": -1.3399999999965075 }, "init_cost_per_share": { "asDouble": 1.3472222222222223 }, "total_sent": { "asInt32": 25 }, "order_time_minutes": { "asDouble": 5 }, "slippage_vwap": { "asDouble": 2542.68905427981 }, "total_vol": { "asDouble": 315.4401183891858 }, "curr_half_min_move": { "asDouble": 3.3162384227401844 }, "slippage_mid": { "asDouble": -0.7149999999965075 }, "arrival_price": { "asDouble": 30132.374999999996 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 30131.027777777774 }, "init_drift": { "asDouble": 0 }, "participation_rate": { "asDouble": 0.36764705882352944 }, "slippage_sweep_ticks": { "asDouble": 2.5288888889044756 }, "algo_status": { "asInt32": 4 }, "slippage": { "asDouble": -0.7149999999965075 }, "curr_cost_per_share": { "asDouble": 1.275 }, "economic_model": { "asInt32": 0 }, "slippage_aggressive_ticks": { "asDouble": -0.35999999998603016 }, "seconds_spent": { "asDouble": 15.502 }, "slippage_aggressive": { "asDouble": -0.08999999999650754 }, "slippage_passive_money": { "asDouble": -26.79999999993015 }, "drift": { "asDouble": 0 }, "slippage_twap_money": { "asDouble": 79467.95397239926 }, "interval_vwap": { "asDouble": 27588.97094572019 }, "curr_liq_cost": { "asDouble": 31.875 }, "init_liq_cost": { "asDouble": 12.125 }, "last_aggressive_qty": { "asInt32": 2 }, "slip_toler": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "percentage_passive": { "asDouble": 0 }, "slippage_twap": { "asDouble": 3973.397698619963 }, "worst_opt_t_minutes": { "asDouble": 0.14781852891127695 }, "slippage_mid_ticks": { "asDouble": -2.85999999998603 }, "avg_total": { "asDouble": 30131.66 }, "total_drift": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "init_vol_normal": { "asDouble": 315.4401183891858 }, "sweep_residual": { "asDouble": 16 }, "ready": { "asBool": true }, "slippage_twap_ticks": { "asDouble": 15893.590794479853 }, "slippage_vwap_ticks": { "asDouble": 10170.75621711924 }, "slippage_mid_money": { "asDouble": -14.29999999993015 }, "slippage_aggressive_money": { "asDouble": -1.7999999999301508 }, "daily_vol_normal": { "asDouble": 315.4401183891858 }, "init_half_min_move": { "asDouble": 3.3162384227401844 }, "market_vwap": { "asDouble": 27213.41391238773 }, "slippage_vwap_money": { "asDouble": 50853.7810855962 }, "slippage_sweep_money": { "asDouble": 12.644444444522378 }, "interval_twap": { "asDouble": 26158.262301380037 }, "init_opt_t_minutes": { "asDouble": 0.16503915143347114 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 30132.375<br />avg_total: 30131.66<br />curr_cost_per_share: 1.275<br />curr_half_min_move: 3.3162384227402<br />curr_liq_cost: 31.875<br />curr_opt_t_minutes: 0.14781852891128<br />daily_vol_normal: 315.44011838919<br />destination_price: 30132.125<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.3472222222222<br />init_drift: 0<br />init_half_min_move: 3.3162384227402<br />init_liq_cost: 12.125<br />init_min_duration: 0<br />init_opt_t_minutes: 0.16503915143347<br />init_vol_normal: 315.44011838919<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 1<br />n_kids: 19<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 15.502<br />slip_toler: 0<br />slippage: -0.71499999999651<br />slippage_sweep: 0.63222222222612<br />sweep_residual: 16<br />sweep_to_fill: 30131.027777778<br />total_dollar: 753291.5<br />total_drift: 0<br />total_filled: 25<br />total_sent: 25<br />total_vol: 315.44011838919<br />worst_opt_t_minutes: 0.14781852891128
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 30132.375<br />avg_total: 30131.66<br />destination_price: 30132.125<br />market_vwap (interval_vwap): 27213.413912388<br />n_kids: 19<br />slippage: -0.71499999999651<br />slippage_vwap: 2542.6890542798<br />slippage_vwap_pct: <br />total_dollar: 753291.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
30131.6600
Computed VWAP Slippage
2542.69
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model
Version
0.20.8