Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
15342.5000
Market VWAP
15341.6454
Destination Price
15341.0000
Slippage
0.4134
SlippagePct
0.0027
AggressivePct
38.0952
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 15342.499999999998 }, "avg_total": { "asDouble": 15341.232 }, "slippage_vwap": { "asDouble": 0.41340816326192 }, "n_kids": { "asInt32": 63 }, "market_vwap": { "asDouble": 15341.645408163262 }, "slippage": { "asDouble": 1.2679999999982101 }, "destination_price": { "asDouble": 15340.999999999998 }, "total_dollar": { "asDouble": 7670616 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 38.095238095238095 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.002694752046393145 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15342.5<br />avg_total: 15341.232<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: 15341<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: 63<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 1.2679999999982<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7670616<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 38.095238095238<br />algo_status: 4<br />arrival_price: 15342.5<br />avg_total: 15341.232<br />destination_price: 15341<br />market_vwap: 15341.645408163<br />n_kids: 63<br />slippage: 1.2679999999982<br />slippage_vwap: 0.41340816326192<br />slippage_vwap_pct: 0.0026947520463931<br />total_dollar: 7670616<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15341.2320
Computed VWAP Slippage
0.41
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static