Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
25
Arrival Price
15339.0000
Average Total
15338.1800
Destination Price
15338.3750
Slippage
-0.8200
Slippage Sweep
-3.8100
Sweep to Fill
15341.9900
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15341.989999999998 }, "init_half_min_move": { "asDouble": 1.6881437711568268 }, "init_vol_normal": { "asDouble": 160.57599097222575 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.23402960412098833 }, "init_liq_cost": { "asDouble": 12.25 }, "worst_opt_t_minutes": { "asDouble": 3.065254618818231 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.2527778635351064 }, "curr_cost_per_share": { "asDouble": 0.875 }, "init_cost_per_share": { "asDouble": 0.8166666666666667 }, "curr_opt_t_minutes": { "asDouble": 10 }, "drift": { "asDouble": -0.26817233822399505 }, "slippage": { "asDouble": -0.81999999999789 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 10 }, "destination_price": { "asDouble": 15338.374999999998 }, "total_dollar": { "asDouble": 383454.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.57599097222575 }, "seconds_spent": { "asDouble": 25 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 21.875 }, "arrival_price": { "asDouble": 15338.999999999998 }, "avg_total": { "asDouble": 15338.18 }, "daily_vol_normal": { "asDouble": 24.04419376270114 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -3.8099999999976717 }, "total_drift": { "asDouble": -6.0007824215948355 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 11 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15339<br />avg_total: 15338.18<br />curr_cost_per_share: 0.875<br />curr_half_min_move: 0.25277786353511<br />curr_liq_cost: 21.875<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 24.044193762701<br />destination_price: 15338.375<br />drift: -0.268172338224<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.81666666666667<br />init_drift: 0<br />init_half_min_move: 1.6881437711568<br />init_liq_cost: 12.25<br />init_min_duration: 0<br />init_opt_t_minutes: 0.23402960412099<br />init_vol_normal: 160.57599097223<br />last_aggressive_qty: 3<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 0<br />n_kids: 11<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 25<br />slip_toler: 0<br />slippage: -0.81999999999789<br />slippage_sweep: -3.8099999999977<br />sweep_residual: 10<br />sweep_to_fill: 15341.99<br />total_dollar: 383454.5<br />total_drift: -6.0007824215948<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.57599097223<br />worst_opt_t_minutes: 3.0652546188182
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15339<br />avg_total: 15338.18<br />destination_price: 15338.375<br />market_vwap: <br />n_kids: 11<br />slippage: -0.81999999999789<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383454.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15338.1800
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model