Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
25
Arrival Price
15344.2500
Average Total
15343.9800
Destination Price
15343.7500
Slippage
-0.2700
Slippage Sweep
-0.8200
Sweep to Fill
15344.8000
Algo Diagnostics
{ "customState": { "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 18.75 }, "arrival_price": { "asDouble": 15344.249999999998 }, "avg_total": { "asDouble": 15343.98 }, "daily_vol_normal": { "asDouble": 40.59300190938021 }, "last_aggressive_qty": { "asInt32": 3 }, "slippage_sweep": { "asDouble": -0.81999999999789 }, "total_drift": { "asDouble": -6.00283627828128 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 16 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15344.799999999997 }, "init_half_min_move": { "asDouble": 1.688721563372654 }, "init_vol_normal": { "asDouble": 160.63095048409772 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.10607408179804347 }, "init_liq_cost": { "asDouble": 13.75 }, "worst_opt_t_minutes": { "asDouble": 2.999093772380164 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.42675634701659865 }, "curr_cost_per_share": { "asDouble": 0.8522727272727273 }, "init_cost_per_share": { "asDouble": 0.55 }, "drift": { "asDouble": -0.05924097907427943 }, "curr_opt_t_minutes": { "asDouble": 4.267366817951696 }, "slippage": { "asDouble": -0.26999999999861757 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 15343.749999999998 }, "total_dollar": { "asDouble": 383599.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.63095048409772 }, "seconds_spent": { "asDouble": 39 }, "total_filled": { "asInt32": 25 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15344.25<br />avg_total: 15343.98<br />curr_cost_per_share: 0.85227272727273<br />curr_half_min_move: 0.4267563470166<br />curr_liq_cost: 18.75<br />curr_opt_t_minutes: 4.2673668179517<br />daily_vol_normal: 40.59300190938<br />destination_price: 15343.75<br />drift: -0.059240979074279<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.55<br />init_drift: 0<br />init_half_min_move: 1.6887215633727<br />init_liq_cost: 13.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.10607408179804<br />init_vol_normal: 160.6309504841<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: 16<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 39<br />slip_toler: 0<br />slippage: -0.26999999999862<br />slippage_sweep: -0.81999999999789<br />sweep_residual: 0<br />sweep_to_fill: 15344.8<br />total_dollar: 383599.5<br />total_drift: -6.0028362782813<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.6309504841<br />worst_opt_t_minutes: 2.9990937723802
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15344.25<br />avg_total: 15343.98<br />destination_price: 15343.75<br />market_vwap: <br />n_kids: 16<br />slippage: -0.26999999999862<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383599.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15343.9800
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model