Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15353.0000
Average Total
15353.3000
Destination Price
15353.7500
Slippage
-0.3000
Slippage Sweep
-3.0300
Sweep to Fill
15350.2700
Algo Diagnostics
{ "customState": { "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -3.030000000000655 }, "total_drift": { "asDouble": -6.006259372758688 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 14 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15350.269999999999 }, "init_half_min_move": { "asDouble": 1.6896845503990325 }, "init_vol_normal": { "asDouble": 160.72254967055102 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.1970204290634111 }, "init_liq_cost": { "asDouble": 12 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.4927349229328248 }, "curr_cost_per_share": { "asDouble": 0.84375 }, "init_cost_per_share": { "asDouble": 0.75 }, "slippage": { "asDouble": -0.3000000000010914 }, "pov_agg_limit": { "asInt32": 1 }, "drift": { "asDouble": -0.06472861416246525 }, "curr_opt_t_minutes": { "asDouble": 2.7088678383648697 }, "mbo_max": { "asInt32": 6 }, "destination_price": { "asDouble": 15353.749999999998 }, "sweep_residual": { "asDouble": 9 }, "total_dollar": { "asDouble": 383832.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 25 }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.72254967055102 }, "seconds_spent": { "asDouble": 16 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 20.25 }, "arrival_price": { "asDouble": 15352.999999999998 }, "avg_total": { "asDouble": 15353.3 }, "daily_vol_normal": { "asDouble": 46.868874493043 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15353<br />avg_total: 15353.3<br />curr_cost_per_share: 0.84375<br />curr_half_min_move: 0.49273492293282<br />curr_liq_cost: 20.25<br />curr_opt_t_minutes: 2.7088678383649<br />daily_vol_normal: 46.868874493043<br />destination_price: 15353.75<br />drift: -0.064728614162465<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.75<br />init_drift: 0<br />init_half_min_move: 1.689684550399<br />init_liq_cost: 12<br />init_min_duration: 0<br />init_opt_t_minutes: 0.19702042906341<br />init_vol_normal: 160.72254967055<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 6<br />mbo_min: 1<br />model_size: 0<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 16<br />slip_toler: 0<br />slippage: -0.30000000000109<br />slippage_sweep: -3.0300000000007<br />sweep_residual: 9<br />sweep_to_fill: 15350.27<br />total_dollar: 383832.5<br />total_drift: -6.0062593727587<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.72254967055<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15353<br />avg_total: 15353.3<br />destination_price: 15353.75<br />market_vwap: <br />n_kids: 14<br />slippage: -0.30000000000109<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383832.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15353.3000
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model
Optimistic