Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
15363.0000
Market VWAP
15359.1613
Destination Price
15360.8750
Slippage
0.7143
SlippagePct
0.0047
AggressivePct
11.3636
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 44 }, "market_vwap": { "asDouble": 15359.161328588372 }, "slippage": { "asDouble": 4.552999999998065 }, "destination_price": { "asDouble": 15360.874999999998 }, "total_dollar": { "asDouble": 7679223.5 }, "aggressive_pct": { "asDouble": 11.363636363636363 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.004651046999557667 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 15362.999999999998 }, "avg_total": { "asDouble": 15358.447 }, "slippage_vwap": { "asDouble": 0.7143285883721546 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15363<br />avg_total: 15358.447<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: 15360.875<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: 44<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 4.5529999999981<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7679223.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 11.363636363636<br />algo_status: 4<br />arrival_price: 15363<br />avg_total: 15358.447<br />destination_price: 15360.875<br />market_vwap: 15359.161328588<br />n_kids: 44<br />slippage: 4.5529999999981<br />slippage_vwap: 0.71432858837215<br />slippage_vwap_pct: 0.0046510469995577<br />total_dollar: 7679223.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15358.4470
Computed VWAP Slippage
0.71
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static