Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15355.2500
Average Total
15355.6600
Destination Price
15356.1250
Slippage
-0.4100
Slippage Sweep
-2.2800
Sweep to Fill
15353.3800
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 15353.379999999997 }, "init_half_min_move": { "asDouble": 1.6899321756343872 }, "init_vol_normal": { "asDouble": 160.74610374706756 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 15.5 }, "init_opt_t_minutes": { "asDouble": 0.2103123883551613 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.5619933990655046 }, "curr_cost_per_share": { "asDouble": 0.9083333333333333 }, "init_cost_per_share": { "asDouble": 0.775 }, "slippage": { "asDouble": -0.41000000000167347 }, "drift": { "asDouble": 0.007755368241463881 }, "curr_opt_t_minutes": { "asDouble": 2.6346516489384286 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15356.124999999998 }, "sweep_residual": { "asDouble": 5 }, "total_dollar": { "asDouble": 383891.5 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.74610374706756 }, "seconds_spent": { "asDouble": 6 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 13.625 }, "arrival_price": { "asDouble": 15355.249999999998 }, "avg_total": { "asDouble": 15355.66 }, "daily_vol_normal": { "asDouble": 53.45673071017686 }, "slippage_sweep": { "asDouble": -2.280000000002474 }, "total_drift": { "asDouble": -6.007139597052879 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 20 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15355.25<br />avg_total: 15355.66<br />curr_cost_per_share: 0.90833333333333<br />curr_half_min_move: 0.5619933990655<br />curr_liq_cost: 13.625<br />curr_opt_t_minutes: 2.6346516489384<br />daily_vol_normal: 53.456730710177<br />destination_price: 15356.125<br />drift: 0.0077553682414639<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.775<br />init_drift: 0<br />init_half_min_move: 1.6899321756344<br />init_liq_cost: 15.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.21031238835516<br />init_vol_normal: 160.74610374707<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: 20<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 6<br />slip_toler: 0<br />slippage: -0.41000000000167<br />slippage_sweep: -2.2800000000025<br />sweep_residual: 5<br />sweep_to_fill: 15353.38<br />total_dollar: 383891.5<br />total_drift: -6.0071395970529<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.74610374707<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15355.25<br />avg_total: 15355.66<br />destination_price: 15356.125<br />market_vwap: <br />n_kids: 20<br />slippage: -0.41000000000167<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383891.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15355.6600
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model