Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15332.5000
Average Total
15332.5800
Destination Price
15332.8750
Slippage
-0.0800
Slippage Sweep
-0.7200
Sweep to Fill
15331.8600
Algo Diagnostics
{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.3783942440161896 }, "curr_cost_per_share": { "asDouble": 0.875 }, "init_cost_per_share": { "asDouble": 0.64 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": -0.08000000000174623 }, "drift": { "asDouble": -0.03274617904437039 }, "curr_opt_t_minutes": { "asDouble": 5.147773123455273 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15332.874999999998 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 383314.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.50794586228903 }, "seconds_spent": { "asDouble": 213 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 21.875 }, "arrival_price": { "asDouble": 15332.499999999998 }, "avg_total": { "asDouble": 15332.58 }, "daily_vol_normal": { "asDouble": 35.9928056775925 }, "slippage_sweep": { "asDouble": -0.7200000000011642 }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": -5.9982395514116185 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 21 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15331.859999999999 }, "init_half_min_move": { "asDouble": 1.6874284093658023 }, "init_vol_normal": { "asDouble": 160.507945862289 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.14384979086492478 }, "init_liq_cost": { "asDouble": 16 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15332.5<br />avg_total: 15332.58<br />curr_cost_per_share: 0.875<br />curr_half_min_move: 0.37839424401619<br />curr_liq_cost: 21.875<br />curr_opt_t_minutes: 5.1477731234553<br />daily_vol_normal: 35.992805677593<br />destination_price: 15332.875<br />drift: -0.03274617904437<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.64<br />init_drift: 0<br />init_half_min_move: 1.6874284093658<br />init_liq_cost: 16<br />init_min_duration: 0<br />init_opt_t_minutes: 0.14384979086492<br />init_vol_normal: 160.50794586229<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: 0<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 213<br />slip_toler: 0<br />slippage: -0.080000000001746<br />slippage_sweep: -0.72000000000116<br />sweep_residual: 0<br />sweep_to_fill: 15331.86<br />total_dollar: 383314.5<br />total_drift: -5.9982395514116<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.50794586229<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15332.5<br />avg_total: 15332.58<br />destination_price: 15332.875<br />market_vwap: <br />n_kids: 21<br />slippage: -0.080000000001746<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383314.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15332.5800
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model