Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15341.7500
Average Total
15337.7900
Destination Price
15339.6250
Slippage
3.9600
Slippage Sweep
1.4200
Sweep to Fill
15339.2100
Algo Diagnostics
{ "customState": { "curr_cost_per_share": { "asDouble": 0.635 }, "init_cost_per_share": { "asDouble": 0.7941176470588235 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 3.959999999997308 }, "drift": { "asDouble": -0.10500279613929597 }, "curr_opt_t_minutes": { "asDouble": 2.831360622604624 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 8 }, "destination_price": { "asDouble": 15339.624999999998 }, "total_dollar": { "asDouble": 383444.75 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.6047792879682 }, "seconds_spent": { "asDouble": 263 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 15.875 }, "arrival_price": { "asDouble": 15341.749999999998 }, "avg_total": { "asDouble": 15337.79 }, "daily_vol_normal": { "asDouble": 32.84290510165502 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": 1.4199999999964348 }, "total_drift": { "asDouble": -6.001858251287735 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15339.209999999997 }, "init_half_min_move": { "asDouble": 1.6884464242222599 }, "init_vol_normal": { "asDouble": 160.6047792879682 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.22120509452527926 }, "init_liq_cost": { "asDouble": 13.5 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.34527917491503174 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15341.75<br />avg_total: 15337.79<br />curr_cost_per_share: 0.635<br />curr_half_min_move: 0.34527917491503<br />curr_liq_cost: 15.875<br />curr_opt_t_minutes: 2.8313606226046<br />daily_vol_normal: 32.842905101655<br />destination_price: 15339.625<br />drift: -0.1050027961393<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.79411764705882<br />init_drift: 0<br />init_half_min_move: 1.6884464242223<br />init_liq_cost: 13.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.22120509452528<br />init_vol_normal: 160.60477928797<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: 25<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 263<br />slip_toler: 0<br />slippage: 3.9599999999973<br />slippage_sweep: 1.4199999999964<br />sweep_residual: 8<br />sweep_to_fill: 15339.21<br />total_dollar: 383444.75<br />total_drift: -6.0018582512877<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.60477928797<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15341.75<br />avg_total: 15337.79<br />destination_price: 15339.625<br />market_vwap: <br />n_kids: 25<br />slippage: 3.9599999999973<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383444.75<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15337.7900
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model