Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
15345.7500
Market VWAP
15342.8382
Destination Price
15342.7500
Slippage
0.3743
SlippagePct
0.0024
AggressivePct
35.0000
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": -2.537499999998545 }, "destination_price": { "asDouble": 15342.749999999998 }, "total_dollar": { "asDouble": 7671606.25 }, "aggressive_pct": { "asDouble": 35 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.002439551401356984 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 15345.749999999998 }, "avg_total": { "asDouble": 15343.2125 }, "slippage_vwap": { "asDouble": 0.3743055555569299 }, "n_kids": { "asInt32": 60 }, "market_vwap": { "asDouble": 15342.838194444443 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15345.75<br />avg_total: 15343.2125<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: 15342.75<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: 60<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -2.5374999999985<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7671606.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 35<br />algo_status: 4<br />arrival_price: 15345.75<br />avg_total: 15343.2125<br />destination_price: 15342.75<br />market_vwap: 15342.838194444<br />n_kids: 60<br />slippage: -2.5374999999985<br />slippage_vwap: 0.37430555555693<br />slippage_vwap_pct: 0.002439551401357<br />total_dollar: 7671606.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15343.2125
Computed VWAP Slippage
0.37
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static