Algo Type
ArrivalPrice
Algo Symbol
SIM:ZCN5
Algo CQG Symbol
ZCE
Date - Time
Buy / Sell
Sell
Quantity
50
Arrival Price
492.8750
Average Total
492.7350
Destination Price
492.6250
Slippage
0.1400
Slippage Sweep
-0.1250
Sweep to Fill
492.6100
Algo Diagnostics
{ "customState": { "avg_total": { "asDouble": 492.735 }, "drift": { "asDouble": 0.125 }, "init_half_min_move": { "asDouble": 0.03350460780655048 }, "init_min_duration": { "asDouble": 0 }, "curr_half_min_move": { "asDouble": 0.03391455175330017 }, "total_vol": { "asDouble": 5.159651316933032 }, "sweep_residual": { "asDouble": 0 }, "order_time_minutes": { "asDouble": 10 }, "n_kids": { "asInt32": 50 }, "slippage_sweep": { "asDouble": -0.12499999999994316 }, "worst_opt_t_minutes": { "asDouble": 10 }, "economic_model": { "asInt32": 0 }, "curr_opt_t_minutes": { "asDouble": 10 }, "init_cost_per_share": { "asDouble": 0.265 }, "market_vwap": { "asDouble": 397.1312949640287 }, "impact_model": { "asInt32": 2 }, "init_liq_cost": { "asDouble": 13.25 }, "slippage_vwap_pct": { "asDouble": -19.40266168142537 }, "last_tactical_qty": { "asInt32": 1 }, "ready": { "asBool": true }, "total_drift": { "asDouble": 0.125 }, "algo_status": { "asInt32": 4 }, "init_drift": { "asDouble": 0 }, "daily_vol_normal": { "asDouble": 3.2259472499982333 }, "destination_price": { "asDouble": 492.62500000000006 }, "slippage_vwap": { "asDouble": -95.6037050359713 }, "arrival_price": { "asDouble": 492.87500000000006 }, "slippage": { "asDouble": 0.1400000000000432 }, "model_size": { "asDouble": 0 }, "curr_cost_per_share": { "asDouble": 0.125 }, "total_sent": { "asInt32": 50 }, "sweep_to_fill": { "asDouble": 492.61000000000007 }, "total_dollar": { "asDouble": 24636.75 }, "curr_liq_cost": { "asDouble": 6.25 }, "total_filled": { "asInt32": 50 }, "seconds_spent": { "asDouble": 586.3 }, "init_vol_normal": { "asDouble": 3.186953441166839 }, "init_opt_t_minutes": { "asDouble": 62.557973342966754 }, "slip_toler": { "asDouble": 0 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 492.875<br />avg_total: 492.735<br />curr_cost_per_share: 0.125<br />curr_half_min_move: 0.0339145517533<br />curr_liq_cost: 6.25<br />curr_opt_t_minutes: 10<br />daily_vol_normal: 3.2259472499982<br />destination_price: 492.625<br />drift: 0.125<br />economic_model: 0<br />has_mbo: <br />impact_model: 2<br />init_cost_per_share: 0.265<br />init_drift: 0<br />init_half_min_move: 0.03350460780655<br />init_liq_cost: 13.25<br />init_min_duration: 0<br />init_opt_t_minutes: 62.557973342967<br />init_vol_normal: 3.1869534411668<br />last_aggressive_qty: <br />last_tactical_qty: 1<br />level_tactical_limit: <br />mbo_max: <br />mbo_min: <br />model_size: 0<br />n_kids: 50<br />order_time_minutes: 10<br />pov_agg_limit: <br />ready: 1<br />seconds_spent: 586.3<br />slip_toler: 0<br />slippage: 0.14000000000004<br />slippage_sweep: -0.12499999999994<br />sweep_residual: 0<br />sweep_to_fill: 492.61<br />total_dollar: 24636.75<br />total_drift: 0.125<br />total_filled: 50<br />total_sent: 50<br />total_vol: 5.159651316933<br />worst_opt_t_minutes: 10
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 492.875<br />avg_total: 492.735<br />destination_price: 492.625<br />market_vwap: 397.13129496403<br />n_kids: 50<br />slippage: 0.14000000000004<br />slippage_vwap: -95.603705035971<br />slippage_vwap_pct: -19.402661681425<br />total_dollar: 24636.75<br />total_filled: 50<br />total_sent: 50
Computed Average Total
492.7350
Computed VWAP Slippage
-95.60
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
50.00
Algo Model
Optimistic