Algo Type
VWAP
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
445.0000
Market VWAP
444.6526
Destination Price
444.3750
Slippage
0.1434
SlippagePct
0.0322
AggressivePct
23.5294
Algo Diagnostics
{ "customState": { "slippage": { "asDouble": -0.20400000000000773 }, "destination_price": { "asDouble": 444.375 }, "total_dollar": { "asDouble": 222398 }, "aggressive_pct": { "asDouble": 23.529411764705884 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.03224066529841785 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 445 }, "avg_total": { "asDouble": 444.796 }, "slippage_vwap": { "asDouble": 0.14340518962075066 }, "n_kids": { "asInt32": 46 }, "market_vwap": { "asDouble": 444.65259481037924 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 445<br />avg_total: 444.796<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: 444.375<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: 46<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.20400000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 222398<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 23.529411764706<br />algo_status: 4<br />arrival_price: 445<br />avg_total: 444.796<br />destination_price: 444.375<br />market_vwap: 444.65259481038<br />n_kids: 46<br />slippage: -0.20400000000001<br />slippage_vwap: 0.14340518962075<br />slippage_vwap_pct: 0.032240665298418<br />total_dollar: 222398<br />total_filled: 500<br />total_sent: 500
Computed Average Total
444.7960
Computed VWAP Slippage
0.14
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static