Algo Type
VWAP
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
446.8750
Market VWAP
447.0433
Destination Price
447.3750
Slippage
0.1392
SlippagePct
0.0311
AggressivePct
58.9474
Algo Diagnostics
{ "customState": { "destination_price": { "asDouble": 447.375 }, "total_dollar": { "asDouble": 223591.25 }, "aggressive_pct": { "asDouble": 58.94736842105263 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.031138363320290845 }, "total_filled": { "asInt32": 500 }, "arrival_price": { "asDouble": 446.875 }, "avg_total": { "asDouble": 447.1825 }, "slippage_vwap": { "asDouble": 0.1392453115547596 }, "n_kids": { "asInt32": 76 }, "market_vwap": { "asDouble": 447.04325468844524 }, "slippage": { "asDouble": 0.30750000000000455 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 446.875<br />avg_total: 447.1825<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: 447.375<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: 76<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: 0.3075<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 223591.25<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 58.947368421053<br />algo_status: 4<br />arrival_price: 446.875<br />avg_total: 447.1825<br />destination_price: 447.375<br />market_vwap: 447.04325468845<br />n_kids: 76<br />slippage: 0.3075<br />slippage_vwap: 0.13924531155476<br />slippage_vwap_pct: 0.031138363320291<br />total_dollar: 223591.25<br />total_filled: 500<br />total_sent: 500
Computed Average Total
447.1825
Computed VWAP Slippage
0.14
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static