Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
446.1250
Average Total
446.1200
Destination Price
446.1250
Slippage
-0.0050
Slippage Sweep
-0.2200
Sweep to Fill
446.3400
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 446.34 }, "init_half_min_move": { "asDouble": 0.04909858138779186 }, "init_vol_normal": { "asDouble": 4.670249949311182 }, "last_tactical_qty": { "asInt32": 37 }, "init_opt_t_minutes": { "asDouble": 19.17516154712619 }, "init_liq_cost": { "asDouble": 10.75 }, "worst_opt_t_minutes": { "asDouble": 5.5303474843503375 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.053964986468305456 }, "curr_cost_per_share": { "asDouble": 0.125 }, "init_cost_per_share": { "asDouble": 0.215 }, "curr_opt_t_minutes": { "asDouble": 4.393804940275995 }, "slippage": { "asDouble": -0.0049999999999954525 }, "drift": { "asDouble": 0.02301853130682248 }, "mbo_max": { "asInt32": 42 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.125 }, "total_dollar": { "asDouble": 22306 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 2 }, "seconds_spent": { "asDouble": 52 }, "total_vol": { "asDouble": 11.000301564041228 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 6.25 }, "arrival_price": { "asDouble": 446.125 }, "avg_total": { "asDouble": 446.12 }, "daily_vol_normal": { "asDouble": 5.133141695634577 }, "slippage_sweep": { "asDouble": -0.21999999999997044 }, "total_drift": { "asDouble": -0.3736390284757119 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 2 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 10 } } }
Fills Array
[{"Timestamp":"2024-01-31T07:35:12.909","Security":"SIM:ZCH4","Side":"Buy","LastShares":24.0,"LastPrice":446.25,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:37:53.921","Security":"SIM:ZCH4","Side":"Buy","LastShares":18.0,"LastPrice":446.0,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:37:53.922","Security":"SIM:ZCH4","Side":"Buy","LastShares":8.0,"LastPrice":446.0,"Aggressor":"Passive"}]
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 446.125<br />avg_total: 446.12<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.053964986468305<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 4.393804940276<br />daily_vol_normal: 5.1331416956346<br />destination_price: 446.125<br />drift: 0.023018531306822<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.215<br />init_drift: 0<br />init_half_min_move: 0.049098581387792<br />init_liq_cost: 10.75<br />init_min_duration: 0<br />init_opt_t_minutes: 19.175161547126<br />init_vol_normal: 4.6702499493112<br />last_aggressive_qty: <br />last_tactical_qty: 37<br />level_tactical_limit: 2<br />mbo_max: 42<br />mbo_min: 10<br />model_size: 0<br />n_kids: 2<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 52<br />slip_toler: 0<br />slippage: -0.0049999999999955<br />slippage_sweep: -0.21999999999997<br />sweep_residual: 0<br />sweep_to_fill: 446.34<br />total_dollar: 22306<br />total_drift: -0.37363902847571<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.000301564041<br />worst_opt_t_minutes: 5.5303474843503
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 446.125<br />avg_total: 446.12<br />destination_price: 446.125<br />market_vwap: <br />n_kids: 2<br />slippage: -0.0049999999999955<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22306<br />total_filled: 50<br />total_sent: 50
Computed Fills Array AP
<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2024-01-31T07:35:12.909</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>24</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:37:53.921</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>18</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:37:53.922</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>8</td>
<td>446</td>
<td>Passive</td>
</tr></tbody></table>
Computed Fills Array VWAP
<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2024-01-31T07:35:12.909</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>24</td>
<td>446.25</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:37:53.921</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>18</td>
<td>446</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:37:53.922</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>8</td>
<td>446</td>
<td>Passive</td>
</tr></tbody></table>
Computed Average Total
446.12
Computed VWAP Slippage
0.00
Computed Total Filled
50.00
Algo Model
Optimistic
Computed Liquidity Cost
0.22
Computed Drift
0.02
Computed Seconds Spent
52.00
Computed Volatility
5.13