Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
15372.2500
Market VWAP
15372.6707
Destination Price
15371.7500
Slippage
0.2623
SlippagePct
0.0017
AggressivePct
36.0656
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": 0.6830000000027212 }, "destination_price": { "asDouble": 15371.749999999998 }, "total_dollar": { "asDouble": 7686466.5 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 36.0655737704918 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.0017060393919943176 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 15372.249999999998 }, "avg_total": { "asDouble": 15372.933 }, "slippage_vwap": { "asDouble": 0.2622682926848938 }, "n_kids": { "asInt32": 61 }, "market_vwap": { "asDouble": 15372.670731707316 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15372.25<br />avg_total: 15372.933<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: 15371.75<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: 61<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.68300000000272<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7686466.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 36.065573770492<br />algo_status: 4<br />arrival_price: 15372.25<br />avg_total: 15372.933<br />destination_price: 15371.75<br />market_vwap: 15372.670731707<br />n_kids: 61<br />slippage: 0.68300000000272<br />slippage_vwap: 0.26226829268489<br />slippage_vwap_pct: 0.0017060393919943<br />total_dollar: 7686466.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15372.9330
Computed VWAP Slippage
0.26
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static