Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
445.6250
Average Total
445.5150
Destination Price
445.3750
Slippage
-0.1100
Slippage Sweep
-0.2350
Sweep to Fill
445.7500
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 18 }, "sweep_to_fill": { "asDouble": 445.75 }, "init_half_min_move": { "asDouble": 0.04904355355771308 }, "init_vol_normal": { "asDouble": 4.66501571008528 }, "last_tactical_qty": { "asInt32": 19 }, "init_liq_cost": { "asDouble": 6.25 }, "init_opt_t_minutes": { "asDouble": 6.496151805979137 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.07073313819065409 }, "curr_cost_per_share": { "asDouble": -0.125 }, "init_cost_per_share": { "asDouble": 0.125 }, "drift": { "asDouble": 0.12343534773558738 }, "slippage": { "asDouble": -0.11000000000001364 }, "pov_agg_limit": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 0 }, "mbo_max": { "asInt32": 20 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 445.375 }, "total_dollar": { "asDouble": 22275.75 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 3 }, "seconds_spent": { "asDouble": 11 }, "total_vol": { "asDouble": 10.987972842759032 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": -6.25 }, "arrival_price": { "asDouble": 445.625 }, "avg_total": { "asDouble": 445.515 }, "daily_vol_normal": { "asDouble": 6.728125858472581 }, "slippage_sweep": { "asDouble": -0.23500000000001364 }, "total_drift": { "asDouble": -0.37322026800670016 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 4 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 5 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 445.625<br />avg_total: 445.515<br />curr_cost_per_share: -0.125<br />curr_half_min_move: 0.070733138190654<br />curr_liq_cost: -6.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 6.7281258584726<br />destination_price: 445.375<br />drift: 0.12343534773559<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.125<br />init_drift: 0<br />init_half_min_move: 0.049043553557713<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4961518059791<br />init_vol_normal: 4.6650157100853<br />last_aggressive_qty: <br />last_tactical_qty: 19<br />level_tactical_limit: 3<br />mbo_max: 20<br />mbo_min: 5<br />model_size: 18<br />n_kids: 4<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 11<br />slip_toler: 0<br />slippage: -0.11000000000001<br />slippage_sweep: -0.23500000000001<br />sweep_residual: 0<br />sweep_to_fill: 445.75<br />total_dollar: 22275.75<br />total_drift: -0.3732202680067<br />total_filled: 50<br />total_sent: 50<br />total_vol: 10.987972842759<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 445.625<br />avg_total: 445.515<br />destination_price: 445.375<br />market_vwap: <br />n_kids: 4<br />slippage: -0.11000000000001<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22275.75<br />total_filled: 50<br />total_sent: 50
Computed Average Total
445.5150
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model