Algo Type
VWAP
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
15354.3750
Market VWAP
15338.5075
Destination Price
15322.5000
Slippage
-2.0900
SlippagePct
-0.0136
AggressivePct
2.5000
Algo Diagnostics
{ "customState": { "aggressive_pct": { "asDouble": 2.5 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": -0.013624251927126522 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 15354.374999999998 }, "avg_total": { "asDouble": 15340.5975 }, "slippage_vwap": { "asDouble": -2.090041650526473 }, "n_kids": { "asInt32": 40 }, "market_vwap": { "asDouble": 15338.507458349473 }, "slippage": { "asDouble": 13.777499999998327 }, "destination_price": { "asDouble": 15322.499999999998 }, "total_dollar": { "asDouble": 7670298.75 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15354.375<br />avg_total: 15340.5975<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: 15322.5<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: 40<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 13.777499999998<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 7670298.75<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 2.5<br />algo_status: 4<br />arrival_price: 15354.375<br />avg_total: 15340.5975<br />destination_price: 15322.5<br />market_vwap: 15338.507458349<br />n_kids: 40<br />slippage: 13.777499999998<br />slippage_vwap: -2.0900416505265<br />slippage_vwap_pct: -0.013624251927127<br />total_dollar: 7670298.75<br />total_filled: 500<br />total_sent: 500
Computed Average Total
15340.5975
Computed VWAP Slippage
-2.09
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static