Algo Type
ArrivalPrice
Algo Symbol
SIM:NQM5
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
25
Arrival Price
18282.7500
Average Total
18283.3900
Destination Price
18284.2500
Slippage
0.6400
Slippage Sweep
-0.6279
Sweep to Fill
18284.0179
Algo Diagnostics
{ "customState": { "ready": { "asBool": true }, "last_tactical_qty": { "asInt32": 2 }, "model_size": { "asDouble": 2 }, "destination_price": { "asDouble": 18284.25 }, "slippage_vwap": { "asDouble": -454262.5536619718 }, "slippage": { "asDouble": 0.6399999999994179 }, "init_cost_per_share": { "asDouble": 1.2678571428571428 }, "impact_model": { "asInt32": 2 }, "avg_total": { "asDouble": 18283.39 }, "arrival_price": { "asDouble": 18282.75 }, "sweep_to_fill": { "asDouble": 18284.01785714286 }, "total_vol": { "asDouble": 191.3925744147246 }, "curr_cost_per_share": { "asDouble": 1.4722222222222223 }, "curr_liq_cost": { "asDouble": 13.25 }, "curr_opt_t_minutes": { "asDouble": 0 }, "sweep_residual": { "asDouble": 11 }, "daily_vol_normal": { "asDouble": 155.2306536386965 }, "total_drift": { "asDouble": 1.5 }, "slippage_vwap_pct": { "asDouble": -2484.564151735383 }, "init_opt_t_minutes": { "asDouble": 0.6038529010670644 }, "total_filled": { "asInt32": 25 }, "curr_half_min_move": { "asDouble": 1.6319479608760095 }, "market_vwap": { "asDouble": 472545.94366197183 }, "algo_status": { "asInt32": 4 }, "slippage_sweep": { "asDouble": -0.6278571428592841 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "slip_toler": { "asDouble": 0 }, "init_half_min_move": { "asDouble": 1.631566363018345 }, "init_min_duration": { "asDouble": 0 }, "last_aggressive_qty": { "asInt32": 4 }, "drift": { "asDouble": 1.5 }, "n_kids": { "asInt32": 12 }, "total_dollar": { "asDouble": 457084.75 }, "total_sent": { "asInt32": 25 }, "seconds_spent": { "asDouble": 14.861 }, "init_vol_normal": { "asDouble": 155.19435610575275 }, "init_liq_cost": { "asDouble": 17.75 }, "init_drift": { "asDouble": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 18282.75<br />avg_total: 18283.39<br />curr_cost_per_share: 1.4722222222222<br />curr_half_min_move: 1.631947960876<br />curr_liq_cost: 13.25<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 155.2306536387<br />destination_price: 18284.25<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.2678571428571<br />init_drift: 0<br />init_half_min_move: 1.6315663630183<br />init_liq_cost: 17.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.60385290106706<br />init_vol_normal: 155.19435610575<br />last_aggressive_qty: 4<br />last_tactical_qty: 2<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 12<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 14.861<br />slip_toler: 0<br />slippage: 0.63999999999942<br />slippage_sweep: -0.62785714285928<br />sweep_residual: 11<br />sweep_to_fill: 18284.017857143<br />total_dollar: 457084.75<br />total_drift: 1.5<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.39257441472<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 18282.75<br />avg_total: 18283.39<br />destination_price: 18284.25<br />market_vwap: 472545.94366197<br />n_kids: 12<br />slippage: 0.63999999999942<br />slippage_vwap: -454262.55366197<br />slippage_vwap_pct: -2484.5641517354<br />total_dollar: 457084.75<br />total_filled: 25<br />total_sent: 25
Computed Average Total
18283.3900
Computed VWAP Slippage
-454262.55
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model