Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
445.5000
Average Total
445.7750
Destination Price
445.5000
Slippage
0.2750
Slippage Sweep
-0.1000
Sweep to Fill
445.8750
Algo Diagnostics
{ "customState": { "init_half_min_move": { "asDouble": 0.04902979660019339 }, "init_vol_normal": { "asDouble": 4.663707150278804 }, "last_tactical_qty": { "asInt32": 20 }, "init_liq_cost": { "asDouble": 18.75 }, "init_opt_t_minutes": { "asDouble": 58.49817970412968 }, "worst_opt_t_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.055076404148003695 }, "curr_cost_per_share": { "asDouble": 0.375 }, "init_cost_per_share": { "asDouble": 0.375 }, "curr_opt_t_minutes": { "asDouble": 10 }, "pov_agg_limit": { "asInt32": 0 }, "slippage": { "asDouble": 0.27499999999997726 }, "drift": { "asDouble": 0.010240821268655248 }, "mbo_max": { "asInt32": 26 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 445.5 }, "total_dollar": { "asDouble": 22288.75 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 50 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 1 }, "seconds_spent": { "asDouble": 585 }, "total_vol": { "asDouble": 10.984890662438481 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 18.75 }, "arrival_price": { "asDouble": 445.5 }, "avg_total": { "asDouble": 445.775 }, "daily_vol_normal": { "asDouble": 5.238859584330335 }, "total_drift": { "asDouble": -0.3731155778894472 }, "slippage_sweep": { "asDouble": -0.10000000000002274 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 2 }, "init_min_duration": { "asDouble": 0 }, "mbo_min": { "asInt32": 6 }, "has_mbo": { "asBool": true }, "model_size": { "asDouble": 28 }, "sweep_to_fill": { "asDouble": 445.875 } } }
Fills Array
[{"Timestamp":"2024-01-31T07:45:15.92","Security":"SIM:ZCH4","Side":"Buy","LastShares":20.0,"LastPrice":445.75,"Aggressor":"Passive"},{"Timestamp":"2024-01-31T07:55:15.92","Security":"SIM:ZCH4","Side":"Buy","LastShares":25.0,"LastPrice":445.75,"Aggressor":"Aggressive"},{"Timestamp":"2024-01-31T07:55:15.921","Security":"SIM:ZCH4","Side":"Buy","LastShares":5.0,"LastPrice":446.0,"Aggressor":"Passive"}]
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 445.5<br />avg_total: 445.775<br />curr_cost_per_share: 0.375<br />curr_half_min_move: 0.055076404148004<br />curr_liq_cost: 18.75<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: 0.375<br />init_drift: 0<br />init_half_min_move: 0.049029796600193<br />init_liq_cost: 18.75<br />init_min_duration: 0<br />init_opt_t_minutes: 58.49817970413<br />init_vol_normal: 4.6637071502788<br />last_aggressive_qty: <br />last_tactical_qty: 20<br />level_tactical_limit: 1<br />mbo_max: 26<br />mbo_min: 6<br />model_size: 28<br />n_kids: 2<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 585<br />slip_toler: 0<br />slippage: 0.27499999999998<br />slippage_sweep: -0.10000000000002<br />sweep_residual: 0<br />sweep_to_fill: 445.875<br />total_dollar: 22288.75<br />total_drift: -0.37311557788945<br />total_filled: 50<br />total_sent: 50<br />total_vol: 10.984890662438<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 445.5<br />avg_total: 445.775<br />destination_price: 445.5<br />market_vwap: <br />n_kids: 2<br />slippage: 0.27499999999998<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22288.75<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>2024-01-31T07:45:15.92</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>20</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:55:15.92</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>25</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:55:15.921</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>5</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>2024-01-31T07:45:15.92</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>20</td>
<td>445.75</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T07:55:15.92</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>25</td>
<td>445.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T07:55:15.921</td>
<td>SIM:ZCH4</td>
<td>Buy</td>
<td>5</td>
<td>446</td>
<td>Passive</td>
</tr></tbody></table>
Computed Average Total
445.78
Computed VWAP Slippage
0.00
Computed Total Filled
50.00
Algo Model
Optimistic
Computed Liquidity Cost
0.38
Computed Drift
0.01
Computed Seconds Spent
585.00
Computed Volatility
5.24