Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15378.5000
Average Total
15376.6600
Destination Price
15377.3750
Slippage
1.8400
Slippage Sweep
-0.7400
Sweep to Fill
15375.9200
Algo Diagnostics
{ "customState": { "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 17.5 }, "arrival_price": { "asDouble": 15378.499999999998 }, "avg_total": { "asDouble": 15376.66 }, "daily_vol_normal": { "asDouble": 60.82008047344915 }, "total_drift": { "asDouble": -6.016235248092847 }, "last_aggressive_qty": { "asInt32": 1 }, "slippage_sweep": { "asDouble": -0.7400000000016007 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 25 }, "mbo_min": { "asInt32": 1 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 15375.919999999998 }, "init_half_min_move": { "asDouble": 1.6924909697330504 }, "init_vol_normal": { "asDouble": 160.98949587107202 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.2539717674486553 }, "init_liq_cost": { "asDouble": 14.5 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.6394046793101785 }, "curr_cost_per_share": { "asDouble": 0.875 }, "init_cost_per_share": { "asDouble": 0.8529411764705882 }, "drift": { "asDouble": -0.024245018427488732 }, "slippage": { "asDouble": 1.8399999999983265 }, "pov_agg_limit": { "asInt32": 1 }, "curr_opt_t_minutes": { "asDouble": 1.8209251128367248 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 15377.374999999998 }, "sweep_residual": { "asDouble": 8 }, "total_dollar": { "asDouble": 384416.5 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 160.98949587107202 }, "seconds_spent": { "asDouble": 288 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15378.5<br />avg_total: 15376.66<br />curr_cost_per_share: 0.875<br />curr_half_min_move: 0.63940467931018<br />curr_liq_cost: 17.5<br />curr_opt_t_minutes: 1.8209251128367<br />daily_vol_normal: 60.820080473449<br />destination_price: 15377.375<br />drift: -0.024245018427489<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.85294117647059<br />init_drift: 0<br />init_half_min_move: 1.6924909697331<br />init_liq_cost: 14.5<br />init_min_duration: 0<br />init_opt_t_minutes: 0.25397176744866<br />init_vol_normal: 160.98949587107<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: 1<br />n_kids: 25<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 288<br />slip_toler: 0<br />slippage: 1.8399999999983<br />slippage_sweep: -0.7400000000016<br />sweep_residual: 8<br />sweep_to_fill: 15375.92<br />total_dollar: 384416.5<br />total_drift: -6.0162352480928<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.98949587107<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15378.5<br />avg_total: 15376.66<br />destination_price: 15377.375<br />market_vwap: <br />n_kids: 25<br />slippage: 1.8399999999983<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 384416.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15376.6600
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model