Algo Type
ArrivalPrice
Algo Symbol
SIM:ZNM5
Algo CQG Symbol
TYA
Date - Time
Buy / Sell
Buy
Quantity
200
Arrival Price
111.0859
Average Total
111.0938
Destination Price
111.0859
Slippage
0.0078
Slippage Sweep
-0.0005
Sweep to Fill
111.0943
Algo Diagnostics
{ "customState": { "last_tactical_qty": { "asInt32": 4 }, "total_dollar": { "asDouble": 22218.75 }, "curr_opt_t_minutes": { "asDouble": 6.759017265721426 }, "sweep_to_fill": { "asDouble": 111.094296875 }, "slip_toler": { "asDouble": 0 }, "market_vwap": { "asDouble": 15.553125 }, "init_vol_normal": { "asDouble": 0.30012953248699314 }, "order_time_minutes": { "asDouble": 10 }, "slippage_vwap": { "asDouble": 95.540625 }, "curr_cost_per_share": { "asDouble": 0.008203125 }, "init_opt_t_minutes": { "asDouble": 7.0189558889110755 }, "daily_vol_normal": { "asDouble": 0.30012953248699314 }, "model_size": { "asDouble": 4 }, "worst_opt_t_minutes": { "asDouble": 0.4502106075058575 }, "avg_total": { "asDouble": 111.09375 }, "init_liq_cost": { "asDouble": 1.671875 }, "drift": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "arrival_price": { "asDouble": 111.0859375 }, "slippage_vwap_pct": { "asDouble": 86 }, "total_drift": { "asDouble": 0 }, "total_sent": { "asInt32": 200 }, "economic_model": { "asInt32": 0 }, "total_filled": { "asInt32": 200 }, "curr_half_min_move": { "asDouble": 0.003155277434319327 }, "n_kids": { "asInt32": 28 }, "impact_model": { "asInt32": 2 }, "init_cost_per_share": { "asDouble": 0.008359375 }, "curr_liq_cost": { "asDouble": 1.640625 }, "init_drift": { "asDouble": 0 }, "total_vol": { "asDouble": 1.1629007430172265 }, "seconds_spent": { "asDouble": 27.389 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 111.0859375 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -0.0005468749999977263 }, "slippage": { "asDouble": 0.0078125 }, "init_half_min_move": { "asDouble": 0.003155277434319327 }, "ready": { "asBool": true } } }
Source URL
Aggressive
Computed diagnostics AP
algo_status: 4<br />arrival_price: 111.0859375<br />avg_total: 111.09375<br />curr_cost_per_share: 0.008203125<br />curr_half_min_move: 0.0031552774343193<br />curr_liq_cost: 1.640625<br />curr_opt_t_minutes: 6.7590172657214<br />daily_vol_normal: 0.30012953248699<br />destination_price: 111.0859375<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.008359375<br />init_drift: 0<br />init_half_min_move: 0.0031552774343193<br />init_liq_cost: 1.671875<br />init_min_duration: 0<br />init_opt_t_minutes: 7.0189558889111<br />init_vol_normal: 0.30012953248699<br />last_aggressive_qty: <br />last_tactical_qty: 4<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 4<br />n_kids: 28<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 27.389<br />slip_toler: 0<br />slippage: 0.0078125<br />slippage_sweep: -0.00054687499999773<br />sweep_residual: 0<br />sweep_to_fill: 111.094296875<br />total_dollar: 22218.75<br />total_drift: 0<br />total_filled: 200<br />total_sent: 200<br />total_vol: 1.1629007430172<br />worst_opt_t_minutes: 0.45021060750586
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 111.0859375<br />avg_total: 111.09375<br />destination_price: 111.0859375<br />market_vwap: 15.553125<br />n_kids: 28<br />slippage: 0.0078125<br />slippage_vwap: 95.540625<br />slippage_vwap_pct: 86<br />total_dollar: 22218.75<br />total_filled: 200<br />total_sent: 200
Computed Average Total
111.0938
Computed VWAP Slippage
95.54
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
200.00
Algo Model
Aggressive