Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
445.5000
Average Total
445.4400
Destination Price
445.5000
Slippage
0.0600
Slippage Sweep
-0.2150
Sweep to Fill
445.2250
Algo Diagnostics
{ "customState": { "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.055076404148003695 }, "curr_cost_per_share": { "asDouble": 0.22 }, "init_cost_per_share": { "asDouble": 0.275 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.060000000000002274 }, "drift": { "asDouble": 0.010240821268655248 }, "curr_opt_t_minutes": { "asDouble": 10 }, "mbo_max": { "asInt32": 5 }, "destination_price": { "asDouble": 445.5 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 22272 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "total_vol": { "asDouble": 10.984890662438481 }, "seconds_spent": { "asDouble": 585 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 11 }, "arrival_price": { "asDouble": 445.5 }, "avg_total": { "asDouble": 445.44 }, "daily_vol_normal": { "asDouble": 5.238859584330335 }, "last_aggressive_qty": { "asInt32": 1 }, "total_drift": { "asDouble": -0.3731155778894472 }, "slippage_sweep": { "asDouble": -0.214999999999975 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 26 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 3 }, "model_size": { "asDouble": 16 }, "sweep_to_fill": { "asDouble": 445.225 }, "init_half_min_move": { "asDouble": 0.04902979660019339 }, "init_vol_normal": { "asDouble": 4.663707150278804 }, "last_tactical_qty": { "asInt32": 8 }, "init_opt_t_minutes": { "asDouble": 31.459021085331965 }, "init_liq_cost": { "asDouble": 13.75 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 445.5<br />avg_total: 445.44<br />curr_cost_per_share: 0.22<br />curr_half_min_move: 0.055076404148004<br />curr_liq_cost: 11<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 5.2388595843303<br />destination_price: 445.5<br />drift: 0.010240821268655<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.275<br />init_drift: 0<br />init_half_min_move: 0.049029796600193<br />init_liq_cost: 13.75<br />init_min_duration: 0<br />init_opt_t_minutes: 31.459021085332<br />init_vol_normal: 4.6637071502788<br />last_aggressive_qty: 1<br />last_tactical_qty: 8<br />level_tactical_limit: 0<br />mbo_max: 5<br />mbo_min: 3<br />model_size: 16<br />n_kids: 26<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 585<br />slip_toler: 0<br />slippage: 0.060000000000002<br />slippage_sweep: -0.21499999999997<br />sweep_residual: 0<br />sweep_to_fill: 445.225<br />total_dollar: 22272<br />total_drift: -0.37311557788945<br />total_filled: 50<br />total_sent: 50<br />total_vol: 10.984890662438<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 445.5<br />avg_total: 445.44<br />destination_price: 445.5<br />market_vwap: <br />n_kids: 26<br />slippage: 0.060000000000002<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22272<br />total_filled: 50<br />total_sent: 50
Computed Average Total
445.4400
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic