Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
15372.5000
Market VWAP
15360.9853
Destination Price
15355.1250
Slippage
-9.9322
SlippagePct
-0.0646
AggressivePct
30.3571
Algo Diagnostics
{ "customState": { "slippage_vwap_pct": { "asDouble": -0.06461706855058684 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 15372.499999999998 }, "avg_total": { "asDouble": 15370.9175 }, "slippage_vwap": { "asDouble": -9.93223629782915 }, "n_kids": { "asInt32": 56 }, "market_vwap": { "asDouble": 15360.98526370217 }, "slippage": { "asDouble": 1.5824999999986176 }, "destination_price": { "asDouble": 15355.124999999998 }, "total_dollar": { "asDouble": 7685458.75 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 30.357142857142858 }, "total_sent": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15372.5<br />avg_total: 15370.9175<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: 15355.125<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: 56<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 1.5824999999986<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7685458.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 30.357142857143<br />algo_status: 4<br />arrival_price: 15372.5<br />avg_total: 15370.9175<br />destination_price: 15355.125<br />market_vwap: 15360.985263702<br />n_kids: 56<br />slippage: 1.5824999999986<br />slippage_vwap: -9.9322362978291<br />slippage_vwap_pct: -0.064617068550587<br />total_dollar: 7685458.75<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15370.9175
Computed VWAP Slippage
-9.93
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static