Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
15355.6250
Market VWAP
15347.6727
Destination Price
15339.5000
Slippage
0.5258
SlippagePct
0.0034
AggressivePct
23.5294
Algo Diagnostics
{ "customState": { "aggressive_pct": { "asDouble": 23.529411764705884 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.0034256315311185907 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 15355.624999999998 }, "avg_total": { "asDouble": 15348.1985 }, "slippage_vwap": { "asDouble": 0.5257727272746706 }, "n_kids": { "asInt32": 51 }, "market_vwap": { "asDouble": 15347.672727272726 }, "slippage": { "asDouble": -7.426499999997759 }, "destination_price": { "asDouble": 15339.499999999998 }, "total_dollar": { "asDouble": 7674099.25 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15355.625<br />avg_total: 15348.1985<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: 15339.5<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: 51<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -7.4264999999978<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7674099.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 23.529411764706<br />algo_status: 4<br />arrival_price: 15355.625<br />avg_total: 15348.1985<br />destination_price: 15339.5<br />market_vwap: 15347.672727273<br />n_kids: 51<br />slippage: -7.4264999999978<br />slippage_vwap: 0.52577272727467<br />slippage_vwap_pct: 0.0034256315311186<br />total_dollar: 7674099.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15348.1985
Computed VWAP Slippage
0.53
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static