Algo Type
ArrivalPrice
Algo Symbol
SIM:ZNM5
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Sell
Quantity
200
Arrival Price
111.0703
Average Total
111.0780
Destination Price
111.0703
Slippage
-0.0077
Slippage Sweep
-0.0219
Sweep to Fill
111.0562
Algo Diagnostics
{ "customState": { "curr_cost_per_share": { "asDouble": 0.0078125 }, "sweep_to_fill": { "asDouble": 111.056171875 }, "init_min_duration": { "asDouble": 0 }, "impact_model": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 2.828125 }, "slip_toler": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 1.5625 }, "economic_model": { "asInt32": 0 }, "init_cost_per_share": { "asDouble": 0.014140625 }, "market_vwap": { "asDouble": 21.809753139269407 }, "algo_status": { "asInt32": 4 }, "seconds_spent": { "asDouble": 28.667 }, "init_opt_t_minutes": { "asDouble": 35.73199347752221 }, "ready": { "asBool": true }, "slippage_sweep": { "asDouble": -0.021874999999994316 }, "arrival_price": { "asDouble": 111.0703125 }, "destination_price": { "asDouble": 111.0703125 }, "init_vol_normal": { "asDouble": 0.22501484058382595 }, "total_drift": { "asDouble": -0 }, "sweep_residual": { "asDouble": 0 }, "slippage_vwap": { "asDouble": -89.2682937357306 }, "model_size": { "asDouble": 9 }, "slippage": { "asDouble": -0.007734374999998295 }, "total_dollar": { "asDouble": 22215.609375 }, "drift": { "asDouble": -0 }, "total_vol": { "asDouble": 1.1627371730414169 }, "total_filled": { "asInt32": 200 }, "slippage_vwap_pct": { "asDouble": -80.36537934105675 }, "last_tactical_qty": { "asInt32": 9 }, "init_half_min_move": { "asDouble": 0.002365592759225971 }, "worst_opt_t_minutes": { "asDouble": 0.4084691924352354 }, "curr_opt_t_minutes": { "asDouble": 10 }, "init_drift": { "asDouble": -0 }, "total_sent": { "asInt32": 200 }, "n_kids": { "asInt32": 21 }, "order_time_minutes": { "asDouble": 10 }, "curr_half_min_move": { "asDouble": 0.002365592759225971 }, "avg_total": { "asDouble": 111.078046875 }, "daily_vol_normal": { "asDouble": 0.22501484058382595 } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 111.0703125<br />avg_total: 111.078046875<br />curr_cost_per_share: 0.0078125<br />curr_half_min_move: 0.002365592759226<br />curr_liq_cost: 1.5625<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 0.22501484058383<br />destination_price: 111.0703125<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.014140625<br />init_drift: 0<br />init_half_min_move: 0.002365592759226<br />init_liq_cost: 2.828125<br />init_min_duration: 0<br />init_opt_t_minutes: 35.731993477522<br />init_vol_normal: 0.22501484058383<br />last_aggressive_qty: <br />last_tactical_qty: 9<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 9<br />n_kids: 21<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 28.667<br />slip_toler: 0<br />slippage: -0.0077343749999983<br />slippage_sweep: -0.021874999999994<br />sweep_residual: 0<br />sweep_to_fill: 111.056171875<br />total_dollar: 22215.609375<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1627371730414<br />worst_opt_t_minutes: 0.40846919243524
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0703125<br />avg_total: 111.078046875<br />destination_price: 111.0703125<br />market_vwap: 21.809753139269<br />n_kids: 21<br />slippage: -0.0077343749999983<br />slippage_vwap: -89.268293735731<br />slippage_vwap_pct: -80.365379341057<br />total_dollar: 22215.609375<br />total_filled: 200<br />total_sent: 200
Computed Average Total
111.0780
Computed VWAP Slippage
-89.27
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
200.00
Algo Model
Aggressive