Algo Type
VWAP
Algo Symbol
SIM:ZCH4
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
500
Arrival Price
448.6250
Market VWAP
448.2235
Destination Price
448.1250
Slippage
0.2465
SlippagePct
0.0550
AggressivePct
53.0120
Algo Diagnostics
{ "customState": { "arrival_price": { "asDouble": 448.625 }, "avg_total": { "asDouble": 448.47 }, "slippage_vwap": { "asDouble": 0.24647058823529733 }, "n_kids": { "asInt32": 77 }, "market_vwap": { "asDouble": 448.22352941176473 }, "slippage": { "asDouble": -0.15499999999997272 }, "destination_price": { "asDouble": 448.125 }, "total_dollar": { "asDouble": 224235 }, "aggressive_pct": { "asDouble": 53.01204819277108 }, "algo_status": { "asInt32": 4 }, "total_sent": { "asInt32": 500 }, "slippage_vwap_pct": { "asDouble": 0.054958099367916985 }, "total_filled": { "asInt32": 500 } } }
Source URL
Static
Computed diagnostics AP
algo_status: 4<br />arrival_price: 448.625<br />avg_total: 448.47<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: 448.125<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: 77<br />order_time_minutes: <br />pov_agg_limit: <br />ready: <br />seconds_spent: <br />slip_toler: <br />slippage: -0.15499999999997<br />slippage_sweep: <br />sweep_residual: <br />sweep_to_fill: <br />total_dollar: 224235<br />total_drift: <br />total_filled: 500<br />total_sent: 500<br />total_vol: <br />worst_opt_t_minutes:
Computed diagnostics VWAP
aggressive_pct: 53.012048192771<br />algo_status: 4<br />arrival_price: 448.625<br />avg_total: 448.47<br />destination_price: 448.125<br />market_vwap: 448.22352941176<br />n_kids: 77<br />slippage: -0.15499999999997<br />slippage_vwap: 0.2464705882353<br />slippage_vwap_pct: 0.054958099367917<br />total_dollar: 224235<br />total_filled: 500<br />total_sent: 500
Computed Average Total
448.4700
Computed VWAP Slippage
0.25
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
500.00
Algo Model
Static