Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15352.5000
Average Total
15352.1000
Destination Price
15353.5000
Slippage
0.4000
Slippage Sweep
-2.1400
Sweep to Fill
15349.9600
Algo Diagnostics
{ "customState": { "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15353.499999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 383802.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 292 }, "total_vol": { "asDouble": 160.71731543132512 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.25 }, "arrival_price": { "asDouble": 15352.499999999998 }, "avg_total": { "asDouble": 15352.1 }, "daily_vol_normal": { "asDouble": 50.02623483411758 }, "total_drift": { "asDouble": -6.006063767359978 }, "slippage_sweep": { "asDouble": -2.140000000003056 }, "last_aggressive_qty": { "asInt32": 2 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 22 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 2 }, "sweep_to_fill": { "asDouble": 15349.959999999997 }, "init_half_min_move": { "asDouble": 1.6896295225689537 }, "init_vol_normal": { "asDouble": 160.7173154313251 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 13.5 }, "init_opt_t_minutes": { "asDouble": 0.22089542219435182 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5259284169340829 }, "curr_cost_per_share": { "asDouble": 0.7794117647058824 }, "init_cost_per_share": { "asDouble": 0.7941176470588235 }, "curr_opt_t_minutes": { "asDouble": 2.364399008914725 }, "drift": { "asDouble": 0.05926611874651734 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.3999999999978172 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15352.5<br />avg_total: 15352.1<br />curr_cost_per_share: 0.77941176470588<br />curr_half_min_move: 0.52592841693408<br />curr_liq_cost: 13.25<br />curr_opt_t_minutes: 2.3643990089147<br />daily_vol_normal: 50.026234834118<br />destination_price: 15353.5<br />drift: 0.059266118746517<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: 1.689629522569<br />init_liq_cost: 13.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.22089542219435<br />init_vol_normal: 160.71731543133<br />last_aggressive_qty: 2<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 2<br />n_kids: 22<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 292<br />slip_toler: 0<br />slippage: 0.39999999999782<br />slippage_sweep: -2.1400000000031<br />sweep_residual: 8<br />sweep_to_fill: 15349.96<br />total_dollar: 383802.5<br />total_drift: -6.00606376736<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.71731543133<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15352.5<br />avg_total: 15352.1<br />destination_price: 15353.5<br />market_vwap: <br />n_kids: 22<br />slippage: 0.39999999999782<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383802.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15352.1000
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model