Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCK5
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Buy
Quantity
50
Arrival Price
483.2500
Average Total
483.9500
Destination Price
483.2500
Slippage
0.7000
Slippage Sweep
0.7000
Sweep to Fill
483.2500
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 483.95 }, "init_half_min_move": { "asDouble": 0.05318439777114132 }, "impact_model": { "asInt32": 2 }, "daily_vol_normal": { "asDouble": 5.058892211834416 }, "init_drift": { "asDouble": 0 }, "slippage_sweep": { "asDouble": 0.6999999999999318 }, "destination_price": { "asDouble": 483.25000000000006 }, "model_size": { "asDouble": 50 }, "total_drift": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.05318439777114132 }, "total_vol": { "asDouble": 5.058892211834416 }, "sweep_residual": { "asDouble": 0 }, "n_kids": { "asInt32": 1 }, "slippage_vwap": { "asDouble": 466.5663069544364 }, "drift": { "asDouble": 0 }, "algo_status": { "asInt32": 4 }, "init_cost_per_share": { "asDouble": 0 }, "total_sent": { "asInt32": 50 }, "slippage": { "asDouble": 0.6999999999999318 }, "ready": { "asBool": true }, "economic_model": { "asInt32": 0 }, "sweep_to_fill": { "asDouble": 483.25000000000006 }, "arrival_price": { "asDouble": 483.25000000000006 }, "curr_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "seconds_spent": { "asDouble": 0.023 }, "slippage_vwap_pct": { "asDouble": 96.4079568043055 }, "init_vol_normal": { "asDouble": 5.058892211834416 }, "order_time_minutes": { "asDouble": 10 }, "curr_liq_cost": { "asDouble": 0 }, "market_vwap": { "asDouble": 17.38369304556355 }, "init_opt_t_minutes": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0 }, "worst_opt_t_minutes": { "asDouble": 0 }, "last_tactical_qty": { "asInt32": 50 }, "total_filled": { "asInt32": 50 }, "init_liq_cost": { "asDouble": 0 }, "init_min_duration": { "asDouble": 0 }, "total_dollar": { "asDouble": 24197.5 } } }
Fills Array
[{"Timestamp":"2025-04-20T19:00:00.214","Security":"SIM:ZCK5","Side":"Buy","LastShares":2.0,"LastPrice":483.5,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:00.214","Security":"SIM:ZCK5","Side":"Buy","LastShares":6.0,"LastPrice":483.75,"Aggressor":"Aggressive"},{"Timestamp":"2025-04-20T19:00:00.214","Security":"SIM:ZCK5","Side":"Buy","LastShares":42.0,"LastPrice":484.0,"Aggressor":"Aggressive"}]
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 483.25<br />avg_total: 483.95<br />curr_cost_per_share: 0<br />curr_half_min_move: 0.053184397771141<br />curr_liq_cost: 0<br />curr_opt_t_minutes: 0<br />daily_vol_normal: 5.0588922118344<br />destination_price: 483.25<br />drift: 0<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0<br />init_drift: 0<br />init_half_min_move: 0.053184397771141<br />init_liq_cost: 0<br />init_min_duration: 0<br />init_opt_t_minutes: 0<br />init_vol_normal: 5.0588922118344<br />last_aggressive_qty: <br />last_tactical_qty: 50<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 50<br />n_kids: 1<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 0.023<br />slip_toler: 0<br />slippage: 0.69999999999993<br />slippage_sweep: 0.69999999999993<br />sweep_residual: 0<br />sweep_to_fill: 483.25<br />total_dollar: 24197.5<br />total_drift: 0<br />total_filled: 50<br />total_sent: 50<br />total_vol: 5.0588922118344<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 483.25<br />avg_total: 483.95<br />destination_price: 483.25<br />market_vwap: 17.383693045564<br />n_kids: 1<br />slippage: 0.69999999999993<br />slippage_vwap: 466.56630695444<br />slippage_vwap_pct: 96.407956804305<br />total_dollar: 24197.5<br />total_filled: 50<br />total_sent: 50
Computed Fills Array AP
<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2025-04-20T19:00:00.214</td>
<td>SIM:ZCK5</td>
<td>Buy</td>
<td>2</td>
<td>483.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:00.214</td>
<td>SIM:ZCK5</td>
<td>Buy</td>
<td>6</td>
<td>483.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:00.214</td>
<td>SIM:ZCK5</td>
<td>Buy</td>
<td>42</td>
<td>484</td>
<td>Aggressive</td>
</tr></tbody></table>
Computed Fills Array VWAP
<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2025-04-20T19:00:00.214</td>
<td>SIM:ZCK5</td>
<td>Buy</td>
<td>2</td>
<td>483.5</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:00.214</td>
<td>SIM:ZCK5</td>
<td>Buy</td>
<td>6</td>
<td>483.75</td>
<td>Aggressive</td>
</tr><tr>
<td>2025-04-20T19:00:00.214</td>
<td>SIM:ZCK5</td>
<td>Buy</td>
<td>42</td>
<td>484</td>
<td>Aggressive</td>
</tr></tbody></table>
Computed Average Total
483.95
Computed VWAP Slippage
466.57
Computed Total Filled
50.00
Algo Model
Optimistic
Computed Liquidity Cost
0.00
Computed Drift
0.00
Computed Seconds Spent
0.02
Computed Volatility
5.06