Algo Type
ArrivalPrice
Algo Symbol
SIM:ZNU6
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Sell
Quantity
200
Arrival Price
109.8672
Average Total
109.8750
Destination Price
109.8828
Slippage
0.0078
Slippage Sweep
0.0156
Sweep to Fill
109.8594
Algo Diagnostics
{ "customState": { "init_cost_per_share": { "asDouble": 0.0078125 }, "init_drift": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 109.859375 }, "init_vol_normal": { "asDouble": 0.08037485698840796 }, "slippage_vwap": { "asDouble": 0 }, "market_vwap": { "asDouble": 109.875 }, "slippage_sweep_ticks": { "asDouble": 1 }, "daily_vol_normal": { "asDouble": 0.08037485698840796 }, "init_half_min_move": { "asDouble": 0.0008449850650840478 }, "model_size": { "asDouble": 196 }, "percentage_passive": { "asDouble": 0 }, "economic_model": { "asInt32": 0 }, "ready": { "asBool": true }, "drift": { "asDouble": -0.015625 }, "total_vol": { "asDouble": 0.08037485698840796 }, "curr_liq_cost": { "asDouble": 1.5625 }, "curr_opt_t_minutes": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "total_sent": { "asInt32": 200 }, "slippage_twap": { "asDouble": 0.0003602820142134533 }, "curr_half_min_move": { "asDouble": 0.0008449850650840478 }, "slippage_passive_money": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "total_filled": { "asInt32": 200 }, "slippage_vwap_ticks": { "asDouble": 0 }, "slippage_mid": { "asDouble": 0.0078125 }, "destination_price": { "asDouble": 109.8828125 }, "participation_rate": { "asDouble": 0.17513134851138354 }, "slippage_twap_ticks": { "asDouble": 0.02305804890966101 }, "slippage_sweep": { "asDouble": 0.015625 }, "last_tactical_qty": { "asInt32": 196 }, "slippage_aggressive_money": { "asDouble": 15.625 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 5 }, "order_time_minutes": { "asDouble": 5 }, "algo_status": { "asInt32": 4 }, "init_liq_cost": { "asDouble": 1.5625 }, "interval_market_size": { "asDouble": 1142 }, "slippage": { "asDouble": 0.0078125 }, "curr_cost_per_share": { "asDouble": 0.0078125 }, "slippage_sweep_money": { "asDouble": 15.625 }, "total_dollar": { "asDouble": 21975 }, "slippage_vwap_money": { "asDouble": 0 }, "arrival_price": { "asDouble": 109.8671875 }, "slippage_passive_ticks": { "asDouble": 0 }, "slippage_mid_money": { "asDouble": 7.8125 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slippage_aggressive": { "asDouble": 0.015625 }, "init_opt_t_minutes": { "asDouble": 85.48344082302937 }, "slippage_mid_ticks": { "asDouble": 0.5 }, "interval_vwap": { "asDouble": 109.875 }, "seconds_spent": { "asDouble": 6.198 }, "slippage_passive": { "asDouble": 0 }, "slippage_aggressive_ticks": { "asDouble": 1 }, "interval_twap": { "asDouble": 109.87463971798579 }, "sweep_residual": { "asDouble": 0 }, "slippage_twap_money": { "asDouble": 0.3602820142134533 }, "total_drift": { "asDouble": -0.015625 }, "avg_total": { "asDouble": 109.875 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 109.8671875<br />avg_total: 109.875<br />curr_cost_per_share: 0.0078125<br />curr_half_min_move: 0.00084498506508405<br />curr_liq_cost: 1.5625<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 0.080374856988408<br />destination_price: 109.8828125<br />drift: -0.015625<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.0078125<br />init_drift: 0<br />init_half_min_move: 0.00084498506508405<br />init_liq_cost: 1.5625<br />init_min_duration: 0<br />init_opt_t_minutes: 85.483440823029<br />init_vol_normal: 0.080374856988408<br />last_aggressive_qty: <br />last_tactical_qty: 196<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 196<br />n_kids: 5<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6.198<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: 0.015625<br />sweep_residual: 0<br />sweep_to_fill: 109.859375<br />total_dollar: 21975<br />total_drift: -0.015625<br />total_filled: 200<br />total_sent: 200<br />total_vol: 0.080374856988408<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 109.8671875<br />avg_total: 109.875<br />destination_price: 109.8828125<br />market_vwap (interval_vwap): 109.875<br />n_kids: 5<br />slippage: 0.0078125<br />slippage_vwap: 0<br />slippage_vwap_pct: <br />total_dollar: 21975<br />total_filled: 200<br />total_sent: 200
Computed Average Total
109.8750
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
200.00
Algo Model
Version
0.20.8