Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
25
Arrival Price
15356.6250
Average Total
15355.9200
Destination Price
15355.3750
Slippage
-0.7050
Slippage Sweep
-2.7450
Sweep to Fill
15358.6650
Algo Diagnostics
{ "customState": { "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 15 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15358.664999999999 }, "init_half_min_move": { "asDouble": 1.6900835021671037 }, "init_vol_normal": { "asDouble": 160.7604979049388 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 19.75 }, "init_opt_t_minutes": { "asDouble": 0.3413955719501124 }, "worst_opt_t_minutes": { "asDouble": 3.031132410953254 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5618931439524065 }, "curr_cost_per_share": { "asDouble": 0.8641304347826086 }, "init_cost_per_share": { "asDouble": 0.9875 }, "slippage": { "asDouble": -0.7049999999981083 }, "drift": { "asDouble": 0.02150408993868135 }, "curr_opt_t_minutes": { "asDouble": 2.3063856285643944 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15355.374999999998 }, "sweep_residual": { "asDouble": 5 }, "total_dollar": { "asDouble": 383898 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.7604979049388 }, "seconds_spent": { "asDouble": 9 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 19.875 }, "arrival_price": { "asDouble": 15356.624999999998 }, "avg_total": { "asDouble": 15355.92 }, "daily_vol_normal": { "asDouble": 53.44719445834168 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": -2.7449999999989814 }, "total_drift": { "asDouble": -6.007677511899328 }, "economic_model": { "asInt32": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15356.625<br />avg_total: 15355.92<br />curr_cost_per_share: 0.86413043478261<br />curr_half_min_move: 0.56189314395241<br />curr_liq_cost: 19.875<br />curr_opt_t_minutes: 2.3063856285644<br />daily_vol_normal: 53.447194458342<br />destination_price: 15355.375<br />drift: 0.021504089938681<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.9875<br />init_drift: 0<br />init_half_min_move: 1.6900835021671<br />init_liq_cost: 19.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.34139557195011<br />init_vol_normal: 160.76049790494<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: 0<br />n_kids: 15<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 9<br />slip_toler: 0<br />slippage: -0.70499999999811<br />slippage_sweep: -2.744999999999<br />sweep_residual: 5<br />sweep_to_fill: 15358.665<br />total_dollar: 383898<br />total_drift: -6.0076775118993<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.76049790494<br />worst_opt_t_minutes: 3.0311324109533
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15356.625<br />avg_total: 15355.92<br />destination_price: 15355.375<br />market_vwap: <br />n_kids: 15<br />slippage: -0.70499999999811<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383898<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15355.9200
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model