Algo Type
VWAP
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
500
Arrival Price
444.3750
Market VWAP
445.5400
Destination Price
445.6250
Slippage
0.1750
SlippagePct
0.0393
AggressivePct
35.0000
Algo Diagnostics
{ "customState": { "n_kids": { "asInt32": 58 }, "market_vwap": { "asDouble": 445.5399779432037 }, "slippage": { "asDouble": -0.9900000000000091 }, "destination_price": { "asDouble": 445.625 }, "total_dollar": { "asDouble": 222682.5 }, "algo_status": { "asInt32": 4 }, "aggressive_pct": { "asDouble": 35 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.039288660582604024 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 444.375 }, "avg_total": { "asDouble": 445.365 }, "slippage_vwap": { "asDouble": 0.1749779432037144 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 444.375<br />avg_total: 445.365<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: 445.625<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: 58<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.99000000000001<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 222682.5<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 35<br />algo_status: 4<br />arrival_price: 444.375<br />avg_total: 445.365<br />destination_price: 445.625<br />market_vwap: 445.5399779432<br />n_kids: 58<br />slippage: -0.99000000000001<br />slippage_vwap: 0.17497794320371<br />slippage_vwap_pct: 0.039288660582604<br />total_dollar: 222682.5<br />total_filled: 500<br />total_sent: 500
Computed Average Total
445.3650
Computed VWAP Slippage
0.18
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static