Algo Type
ArrivalPrice
Algo Symbol
SIM:NQM5
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Buy
Quantity
25
Arrival Price
18311.8750
Average Total
18314.1000
Destination Price
18313.3750
Slippage
2.2250
Slippage Sweep
0.8031
Sweep to Fill
18313.2969
Algo Diagnostics
{ "customState": { "curr_liq_cost": { "asDouble": 15.5 }, "slippage_vwap": { "asDouble": -929576.1575757576 }, "market_vwap": { "asDouble": 947890.2575757576 }, "total_vol": { "asDouble": 191.6974688496334 }, "model_size": { "asDouble": 2 }, "avg_total": { "asDouble": 18314.1 }, "impact_model": { "asInt32": 2 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": 0 }, "slippage_vwap_pct": { "asDouble": -5075.740317983181 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 16 }, "curr_cost_per_share": { "asDouble": 1.1071428571428572 }, "init_vol_normal": { "asDouble": 156.93427937923926 }, "drift": { "asDouble": 1.5 }, "slippage_sweep": { "asDouble": 0.8031249999985448 }, "curr_opt_t_minutes": { "asDouble": 0 }, "init_opt_t_minutes": { "asDouble": 0.7427275989040373 }, "slippage": { "asDouble": 2.224999999998545 }, "init_half_min_move": { "asDouble": 1.6498582671731514 }, "total_dollar": { "asDouble": 457852.5 }, "order_time_minutes": { "asDouble": 10 }, "destination_price": { "asDouble": 18313.375 }, "last_aggressive_qty": { "asInt32": 1 }, "init_cost_per_share": { "asDouble": 1.421875 }, "arrival_price": { "asDouble": 18311.875 }, "curr_half_min_move": { "asDouble": 1.6498928074616883 }, "economic_model": { "asInt32": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "seconds_spent": { "asDouble": 10.901 }, "slip_toler": { "asDouble": 0 }, "ready": { "asBool": true }, "sweep_residual": { "asDouble": 9 }, "init_liq_cost": { "asDouble": 22.75 }, "last_tactical_qty": { "asInt32": 1 }, "total_sent": { "asInt32": 25 }, "total_drift": { "asDouble": 1.5 }, "sweep_to_fill": { "asDouble": 18313.296875 }, "total_filled": { "asInt32": 25 }, "daily_vol_normal": { "asDouble": 156.93756484648145 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 18311.875<br />avg_total: 18314.1<br />curr_cost_per_share: 1.1071428571429<br />curr_half_min_move: 1.6498928074617<br />curr_liq_cost: 15.5<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 156.93756484648<br />destination_price: 18313.375<br />drift: 1.5<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 1.421875<br />init_drift: 0<br />init_half_min_move: 1.6498582671732<br />init_liq_cost: 22.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.74272759890404<br />init_vol_normal: 156.93427937924<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 2<br />n_kids: 16<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 10.901<br />slip_toler: 0<br />slippage: 2.2249999999985<br />slippage_sweep: 0.80312499999854<br />sweep_residual: 9<br />sweep_to_fill: 18313.296875<br />total_dollar: 457852.5<br />total_drift: 1.5<br />total_filled: 25<br />total_sent: 25<br />total_vol: 191.69746884963<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 18311.875<br />avg_total: 18314.1<br />destination_price: 18313.375<br />market_vwap: 947890.25757576<br />n_kids: 16<br />slippage: 2.2249999999985<br />slippage_vwap: -929576.15757576<br />slippage_vwap_pct: -5075.7403179832<br />total_dollar: 457852.5<br />total_filled: 25<br />total_sent: 25
Computed Average Total
18314.1000
Computed VWAP Slippage
-929576.16
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model