Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15338.3750
Average Total
15338.9800
Destination Price
15339.3750
Slippage
-0.6050
Slippage Sweep
-1.7350
Sweep to Fill
15337.2450
Algo Diagnostics
{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.25311576319185036 }, "curr_cost_per_share": { "asDouble": 0.8641304347826086 }, "init_cost_per_share": { "asDouble": 0.9166666666666666 }, "curr_opt_t_minutes": { "asDouble": 8.101441575147707 }, "slippage": { "asDouble": -0.6050000000013824 }, "drift": { "asDouble": -0.27115978192759316 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 1 }, "destination_price": { "asDouble": 15339.374999999998 }, "total_dollar": { "asDouble": 383474.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.56944817319336 }, "seconds_spent": { "asDouble": 40 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 19.875 }, "arrival_price": { "asDouble": 15338.374999999998 }, "avg_total": { "asDouble": 15338.98 }, "daily_vol_normal": { "asDouble": 24.07633472910334 }, "slippage_sweep": { "asDouble": -1.735000000000582 }, "total_drift": { "asDouble": -6.00053791484645 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 13 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15337.244999999999 }, "init_half_min_move": { "asDouble": 1.6880749863692284 }, "init_vol_normal": { "asDouble": 160.56944817319336 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 22 }, "init_opt_t_minutes": { "asDouble": 0.29487598797795356 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15338.375<br />avg_total: 15338.98<br />curr_cost_per_share: 0.86413043478261<br />curr_half_min_move: 0.25311576319185<br />curr_liq_cost: 19.875<br />curr_opt_t_minutes: 8.1014415751477<br />daily_vol_normal: 24.076334729103<br />destination_price: 15339.375<br />drift: -0.27115978192759<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.91666666666667<br />init_drift: 0<br />init_half_min_move: 1.6880749863692<br />init_liq_cost: 22<br />init_min_duration: 0<br />init_opt_t_minutes: 0.29487598797795<br />init_vol_normal: 160.56944817319<br />last_aggressive_qty: 2<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: 13<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 40<br />slip_toler: 0<br />slippage: -0.60500000000138<br />slippage_sweep: -1.7350000000006<br />sweep_residual: 1<br />sweep_to_fill: 15337.245<br />total_dollar: 383474.5<br />total_drift: -6.0005379148464<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.56944817319<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15338.375<br />avg_total: 15338.98<br />destination_price: 15339.375<br />market_vwap: <br />n_kids: 13<br />slippage: -0.60500000000138<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383474.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15338.9800
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model