Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCN6
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
405.8750
Average Total
405.5950
Destination Price
405.3750
Slippage
-0.2800
Slippage Sweep
-0.1550
Sweep to Fill
405.7500
Algo Diagnostics
{ "customState": { "interval_vwap": { "asDouble": 405.8790322580645 }, "slippage_passive": { "asDouble": -0.4049999999999727 }, "init_min_duration": { "asDouble": 0 }, "total_filled": { "asInt32": 50 }, "slippage_twap_money": { "asDouble": -3.8287631835430602 }, "init_half_min_move": { "asDouble": 0.03956960079941184 }, "slippage_aggressive": { "asDouble": -0.15499999999997272 }, "slippage_twap": { "asDouble": -0.0765752636708612 }, "economic_model": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 5 }, "interval_market_size": { "asDouble": 217 }, "percentage_passive": { "asDouble": 0 }, "destination_price": { "asDouble": 405.375 }, "impact_model": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -0.15499999999997272 }, "daily_vol_normal": { "asDouble": 3.8641979063206007 }, "participation_rate": { "asDouble": 0.2304147465437788 }, "n_kids": { "asInt32": 50 }, "init_cost_per_share": { "asDouble": 0.125 }, "ready": { "asBool": true }, "interval_twap": { "asDouble": 405.6715752636709 }, "slip_toler": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -0.2840322580644852 }, "curr_liq_cost": { "asDouble": 15 }, "last_tactical_qty": { "asInt32": 1 }, "slippage_aggressive_money": { "asDouble": -7.749999999998636 }, "total_dollar": { "asDouble": 20279.75 }, "order_time_minutes": { "asDouble": 5 }, "algo_status": { "asInt32": 4 }, "slippage_vwap_ticks": { "asDouble": -1.1361290322579407 }, "sweep_residual": { "asDouble": 0 }, "arrival_price": { "asDouble": 405.875 }, "slippage_twap_ticks": { "asDouble": -0.3063010546834448 }, "seconds_spent": { "asDouble": 293.236 }, "total_drift": { "asDouble": 0.125 }, "slippage": { "asDouble": -0.2799999999999727 }, "slippage_vwap_money": { "asDouble": -14.201612903224259 }, "init_drift": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.3 }, "init_vol_normal": { "asDouble": 3.763854696088358 }, "slippage_sweep_ticks": { "asDouble": -0.6199999999998909 }, "total_vol": { "asDouble": 2.6744816205872697 }, "init_liq_cost": { "asDouble": 6.25 }, "init_opt_t_minutes": { "asDouble": 9.979222094506945 }, "sweep_to_fill": { "asDouble": 405.75 }, "slippage_mid_money": { "asDouble": -13.999999999998636 }, "drift": { "asDouble": 0.125 }, "slippage_mid_ticks": { "asDouble": -1.1199999999998909 }, "worst_opt_t_minutes": { "asDouble": 5 }, "total_sent": { "asInt32": 50 }, "slippage_sweep_money": { "asDouble": -7.749999999998636 }, "curr_half_min_move": { "asDouble": 0.04062451420399883 }, "market_vwap": { "asDouble": 405.79609375 }, "slippage_mid": { "asDouble": -0.2799999999999727 }, "avg_total": { "asDouble": 405.595 }, "slippage_passive_money": { "asDouble": -20.249999999998636 }, "slippage_passive_ticks": { "asDouble": -1.6199999999998909 }, "slippage_aggressive_ticks": { "asDouble": -0.6199999999998909 }, "model_size": { "asDouble": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 405.875<br />avg_total: 405.595<br />curr_cost_per_share: 0.3<br />curr_half_min_move: 0.040624514203999<br />curr_liq_cost: 15<br />curr_opt_t_minutes: 5<br />daily_vol_normal: 3.8641979063206<br />destination_price: 405.375<br />drift: 0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.125<br />init_drift: 0<br />init_half_min_move: 0.039569600799412<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 9.9792220945069<br />init_vol_normal: 3.7638546960884<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 0<br />n_kids: 50<br />order_time_minutes: 5<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 293.236<br />slip_toler: 0<br />slippage: -0.27999999999997<br />slippage_sweep: -0.15499999999997<br />sweep_residual: 0<br />sweep_to_fill: 405.75<br />total_dollar: 20279.75<br />total_drift: 0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 2.6744816205873<br />worst_opt_t_minutes: 5
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 405.875<br />avg_total: 405.595<br />destination_price: 405.375<br />market_vwap (interval_vwap): 405.79609375<br />n_kids: 50<br />slippage: -0.27999999999997<br />slippage_vwap: -0.28403225806449<br />slippage_vwap_pct: <br />total_dollar: 20279.75<br />total_filled: 50<br />total_sent: 50
Computed Average Total
405.5950
Computed VWAP Slippage
-0.28
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Version
0.20.8