Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
15355.6250
AggressivePct
66.6667
Algo Diagnostics
{ "customState": { "total_dollar": { "asDouble": 107435.5 }, "avg_total": { "asDouble": 15347.92857142857 }, "aggressive_pct": { "asDouble": 66.66666666666667 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 7 }, "n_kids": { "asInt32": 79 }, "total_filled": { "asInt32": 7 }, "slippage": { "asDouble": 7.696428571427532 }, "arrival_price": { "asDouble": 15355.624999999998 } } }
Fills Array
[{"Timestamp":"2023-07-03T13:42:04.009","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15351.25,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T13:42:04.009","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15348.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T13:42:04.009","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15347.5,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T13:42:04.009","Security":"SIM:NQU3","Side":"Sell","LastShares":2.0,"LastPrice":15346.0,"Aggressor":"Aggressive"},{"Timestamp":"2023-07-03T13:42:04.009","Security":"SIM:NQU3","Side":"Sell","LastShares":1.0,"LastPrice":15345.5,"Aggressor":"Aggressive"}]
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15355.625<br />avg_total: 15347.928571429<br />curr_cost_per_share: <br />curr_half_min_move: <br />curr_liq_cost: <br />curr_opt_t_minutes: <br />daily_vol_normal: <br />destination_price: <br />drift: <br />economic_model: <br />has_mbo: <br />impact_model: <br />init_cost_per_share: <br />init_drift: <br />init_half_min_move: <br />init_liq_cost: <br />init_min_duration: <br />init_opt_t_minutes: <br />init_vol_normal: <br />last_aggressive_qty: <br />last_tactical_qty: <br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: <br />n_kids: 79<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 7.6964285714275<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 107435.5<br />total_drift: <br />total_filled: 7<br />total_sent: 7<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 66.666666666667<br />algo_status: 4<br />arrival_price: 15355.625<br />avg_total: 15347.928571429<br />destination_price: <br />market_vwap: <br />n_kids: 79<br />slippage: 7.6964285714275<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 107435.5<br />total_filled: 7<br />total_sent: 7
Computed Fills Array AP
<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15351.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15348</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15346</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15345.5</td>
<td>Aggressive</td>
</tr></tbody></table>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15351.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15348</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15346</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15345.5</td>
<td>Aggressive</td>
</tr></tbody></table>
Computed Fills Array VWAP
<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15351.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15348</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15346</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15345.5</td>
<td>Aggressive</td>
</tr></tbody></table>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15351.25</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15348</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15347.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>2</td>
<td>15346</td>
<td>Aggressive</td>
</tr><tr>
<td>2023-07-03T13:42:04.009</td>
<td>SIM:NQU3</td>
<td>Sell</td>
<td>1</td>
<td>15345.5</td>
<td>Aggressive</td>
</tr></tbody></table>
Computed Average Total
15347.93
Computed VWAP Slippage
0.00
Computed Total Filled
7.00
Algo Model