Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
446.1250
Average Total
445.9600
Destination Price
446.1250
Slippage
0.1650
Slippage Sweep
0.0400
Sweep to Fill
446.0000
Algo Diagnostics
{ "customState": { "model_size": { "asDouble": 0 }, "sweep_to_fill": { "asDouble": 446 }, "init_half_min_move": { "asDouble": 0.04909858138779186 }, "init_vol_normal": { "asDouble": 4.670249949311182 }, "last_tactical_qty": { "asInt32": 15 }, "init_liq_cost": { "asDouble": 6.25 }, "init_opt_t_minutes": { "asDouble": 6.481598684128647 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.07528869785096817 }, "curr_cost_per_share": { "asDouble": 0.125 }, "init_cost_per_share": { "asDouble": 0.125 }, "curr_opt_t_minutes": { "asDouble": 3.4799401374974073 }, "drift": { "asDouble": 0.032060016979755246 }, "slippage": { "asDouble": 0.16500000000002046 }, "pov_agg_limit": { "asInt32": 2 }, "mbo_max": { "asInt32": 21 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 446.125 }, "total_dollar": { "asDouble": 22298 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 3 }, "seconds_spent": { "asDouble": 135 }, "total_vol": { "asDouble": 11.000301564041228 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 6.25 }, "arrival_price": { "asDouble": 446.125 }, "avg_total": { "asDouble": 445.96 }, "daily_vol_normal": { "asDouble": 7.1614500334548765 }, "last_aggressive_qty": { "asInt32": 2 }, "slippage_sweep": { "asDouble": 0.040000000000020464 }, "total_drift": { "asDouble": -0.3736390284757119 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 7 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 5 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 446.125<br />avg_total: 445.96<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.075288697850968<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 3.4799401374974<br />daily_vol_normal: 7.1614500334549<br />destination_price: 446.125<br />drift: 0.032060016979755<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: 0.049098581387792<br />init_liq_cost: 6.25<br />init_min_duration: 0<br />init_opt_t_minutes: 6.4815986841286<br />init_vol_normal: 4.6702499493112<br />last_aggressive_qty: 2<br />last_tactical_qty: 15<br />level_tactical_limit: 3<br />mbo_max: 21<br />mbo_min: 5<br />model_size: 0<br />n_kids: 7<br />order_time_minutes: 10<br />pov_agg_limit: 2<br />ready: 1<br />seconds_spent: 135<br />slip_toler: 0<br />slippage: 0.16500000000002<br />slippage_sweep: 0.04000000000002<br />sweep_residual: 0<br />sweep_to_fill: 446<br />total_dollar: 22298<br />total_drift: -0.37363902847571<br />total_filled: 50<br />total_sent: 50<br />total_vol: 11.000301564041<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 446.125<br />avg_total: 445.96<br />destination_price: 446.125<br />market_vwap: <br />n_kids: 7<br />slippage: 0.16500000000002<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 22298<br />total_filled: 50<br />total_sent: 50
Computed Average Total
445.9600
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model