Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
25
Arrival Price
15342.8750
Average Total
15343.5000
Destination Price
15342.2500
Slippage
0.6250
Slippage Sweep
-0.2600
Sweep to Fill
15343.7600
Algo Diagnostics
{ "customState": { "daily_vol_normal": { "asDouble": 32.09956764135532 }, "slippage_sweep": { "asDouble": -0.2599999999983993 }, "total_drift": { "asDouble": -6.00229836343483 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 23 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15343.759999999998 }, "init_half_min_move": { "asDouble": 1.6885702368399371 }, "init_vol_normal": { "asDouble": 160.6165563262265 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 22.125 }, "init_opt_t_minutes": { "asDouble": 0.27469343574121946 }, "worst_opt_t_minutes": { "asDouble": 1.621593744278441 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.3374644294112066 }, "curr_cost_per_share": { "asDouble": 0.36 }, "init_cost_per_share": { "asDouble": 0.885 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.625000000001819 }, "drift": { "asDouble": -0.10095420693311519 }, "curr_opt_t_minutes": { "asDouble": 1.4652570962075684 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15342.249999999998 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 383587.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 116 }, "total_vol": { "asDouble": 160.6165563262265 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 9 }, "arrival_price": { "asDouble": 15342.874999999998 }, "avg_total": { "asDouble": 15343.5 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15342.875<br />avg_total: 15343.5<br />curr_cost_per_share: 0.36<br />curr_half_min_move: 0.33746442941121<br />curr_liq_cost: 9<br />curr_opt_t_minutes: 1.4652570962076<br />daily_vol_normal: 32.099567641355<br />destination_price: 15342.25<br />drift: -0.10095420693312<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.885<br />init_drift: 0<br />init_half_min_move: 1.6885702368399<br />init_liq_cost: 22.125<br />init_min_duration: 0<br />init_opt_t_minutes: 0.27469343574122<br />init_vol_normal: 160.61655632623<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 1<br />n_kids: 23<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 116<br />slip_toler: 0<br />slippage: 0.62500000000182<br />slippage_sweep: -0.2599999999984<br />sweep_residual: 0<br />sweep_to_fill: 15343.76<br />total_dollar: 383587.5<br />total_drift: -6.0022983634348<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.61655632623<br />worst_opt_t_minutes: 1.6215937442784
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15342.875<br />avg_total: 15343.5<br />destination_price: 15342.25<br />market_vwap: <br />n_kids: 23<br />slippage: 0.62500000000182<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383587.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15343.5000
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model