Arrival Price

CQG Algos

The Arrival Price algorithm uses short-term volatility and drift signals to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution.

Here we publish unbiased, simulated results of a hypothetical 10-Minute Arrival Price order on several markets with default parameters. Click the Diagnostics button for details about the execution of each order.

Read CQG's Arrival Price Whitepaper

Metrics

Arrival Price: Mid-market at order-inception; our primary benchmark.
Destination Price: Mid-market at order-end. Destination price is a gauge on how far the market moved for or against the order during its execution.
Sweep to Fill: An approximation of average fill price of a Market order at order inception; our secondary benchmark.
Slippage: The difference between average fill price and Arrival Price. Green (negative) values indicate excellent overall execution and superior performance to mid-market.
Slippage Sweep: The difference between average fill and Sweep to Fill. Green (negative) values indicate good overall execution and superior performance to a Market order.

Impact Model: MBO

Payup Model: Theo Queue

Date - Time	CQG Symbol	Exchange Symbol	Buy / Sell	Quantity	Slippage	Slippage Sweep	Arrival Price	Destination Price	Average Total	Sweep to Fill
2024-05-27 13:08:35	ENQ	SIM:NQM4	Sell	25	0.0300	0.0200	18,946.5000	18,946.5000	18,946.4700	18,946.4900	Diagnostics Diagnostics algo_status: 4 arrival_price: 18946.5 avg_total: 18946.47 curr_cost_per_share: 0.01 curr_half_min_move: 0.79194062954652 curr_liq_cost: 0.25 curr_opt_t_minutes: 0.0001594464120765 daily_vol_normal: 75.32927796396 destination_price: 18946.5 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.01 init_drift: 0 init_half_min_move: 2.0851695651752 init_liq_cost: 0.25 init_min_duration: 0 init_opt_t_minutes: 2.299943912251E-5 init_vol_normal: 198.34102698711 last_aggressive_qty: 12 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 2 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 1 slip_toler: 0 slippage: 0.029999999998836 slippage_sweep: 0.020000000000437 sweep_residual: 0 sweep_to_fill: 18946.49 total_dollar: 473661.75 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 12.964457090171 worst_opt_t_minutes: 0.0053831154140971
2024-05-27 12:57:41	EP	SIM:ESM4	Sell	50	0.0000	-0.4850	5,333.5000	5,333.5000	5,333.5000	5,333.0150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5333.5 avg_total: 5333.5 curr_cost_per_share: 0.505 curr_half_min_move: 0.25352969202112 curr_liq_cost: 25.25 curr_opt_t_minutes: 3.9675745746677 daily_vol_normal: 24.115707579383 destination_price: 5333.5 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.58698186345035 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 0.68270661660185 init_vol_normal: 55.833629822698 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 50 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 239 slip_toler: 0 slippage: 0 slippage_sweep: -0.48499999999967 sweep_residual: 0 sweep_to_fill: 5333.015 total_dollar: 266675 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4027439952744 worst_opt_t_minutes: 10
2024-05-27 12:49:27	EP	SIM:ESM4	Sell	50	-0.0200	-0.4450	5,333.5000	5,333.7500	5,333.5200	5,333.0750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5333.5 avg_total: 5333.52 curr_cost_per_share: 0.54545454545455 curr_half_min_move: 0.25352969202112 curr_liq_cost: 24 curr_opt_t_minutes: 2.5940276454051 daily_vol_normal: 24.115707579383 destination_price: 5333.75 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.58698186345035 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 0.52423799606211 init_vol_normal: 55.833629822698 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 47 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 157 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.44500000000062 sweep_residual: 0 sweep_to_fill: 5333.075 total_dollar: 266676 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4027439952744 worst_opt_t_minutes: 10
2024-05-27 12:46:10	CLE	SIM:CLN4	Sell	50	0.0070	-0.0203	78.6750	78.6650	78.6680	78.6477	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.675 avg_total: 78.668 curr_cost_per_share: 0.020199999999996 curr_half_min_move: 0.012209278264627 curr_liq_cost: 1.0099999999998 curr_opt_t_minutes: 4.1528898829407 daily_vol_normal: 1.1613447799263 destination_price: 78.665 drift: 0.010000000000005 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.027291666666668 init_drift: 0 init_half_min_move: 0.0086586290628961 init_liq_cost: 1.3100000000001 init_min_duration: 0 init_opt_t_minutes: 9.9348621839858 init_vol_normal: 0.8236075421957 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 44 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 274 slip_toler: 0 slippage: 0.0069999999999482 slippage_sweep: -0.020291666666722 sweep_residual: 2 sweep_to_fill: 78.647708333333 total_dollar: 3933.4 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.8236075421957 worst_opt_t_minutes: 5.4425755873379
2024-05-27 12:35:20	ENQ	SIM:NQM4	Sell	25	0.0000	-0.6731	18,950.7500	18,950.7500	18,950.7500	18,950.0769	Diagnostics Diagnostics algo_status: 4 arrival_price: 18950.75 avg_total: 18950.75 curr_cost_per_share: 0.67307692307692 curr_half_min_move: 0.79211827437145 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.72202018009878 daily_vol_normal: 75.346175513974 destination_price: 18950.75 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.67307692307692 init_drift: 0 init_half_min_move: 2.0856373017309 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.10414821482115 init_vol_normal: 198.38551802053 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 44 slip_toler: 0 slippage: 0 slippage_sweep: -0.67307692307804 sweep_residual: 12 sweep_to_fill: 18950.076923077 total_dollar: 473768.75 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 12.967365223211 worst_opt_t_minutes: 10
2024-05-27 12:30:00	EP	SIM:ESM4	Sell	50	0.3100	-0.3339	5,334.0000	5,333.5000	5,333.6900	5,333.3561	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334 avg_total: 5333.69 curr_cost_per_share: 0.44 curr_half_min_move: 0.25355345968701 curr_liq_cost: 22 curr_opt_t_minutes: 6.7774297287787 daily_vol_normal: 24.11796835632 destination_price: 5333.5 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64393939393939 init_drift: 0 init_half_min_move: 0.58703689128043 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 1.2032592248153 init_vol_normal: 55.838864061924 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 47 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 407 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: -0.33393939393864 sweep_residual: 17 sweep_to_fill: 5333.3560606061 total_dollar: 266684.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4029692454849 worst_opt_t_minutes: 10
2024-05-27 12:19:40	EP	SIM:ESM4	Buy	50	-0.0100	-0.4950	5,334.0000	5,334.0000	5,333.9900	5,334.4850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334 avg_total: 5333.99 curr_cost_per_share: 0.455 curr_half_min_move: 0.25355345968701 curr_liq_cost: 22.75 curr_opt_t_minutes: 3.220206421726 daily_vol_normal: 24.11796835632 destination_price: 5334 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.58703689128043 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 0.68257863110903 init_vol_normal: 55.838864061924 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 48 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 204 slip_toler: 0 slippage: -0.010000000000218 slippage_sweep: -0.49499999999989 sweep_residual: 0 sweep_to_fill: 5334.485 total_dollar: 266699.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4029692454849 worst_opt_t_minutes: 10
2024-05-27 12:07:05	CLE	SIM:CLN4	Sell	50	-0.0002	-0.0220	78.7050	78.7100	78.7052	78.6832	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.705 avg_total: 78.7052 curr_cost_per_share: 0.018199999999999 curr_half_min_move: 0.012159227689248 curr_liq_cost: 0.90999999999997 curr_opt_t_minutes: 1.6402130571422 daily_vol_normal: 1.1565839764464 destination_price: 78.71 drift: -0.0050000000000097 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.021799999999988 init_drift: 0 init_half_min_move: 0.0086619307327008 init_liq_cost: 1.0899999999994 init_min_duration: 0 init_opt_t_minutes: 6.3340804380341 init_vol_normal: 0.82392159654926 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 35 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 103 slip_toler: 0 slippage: -0.00020000000003506 slippage_sweep: -0.02200000000002 sweep_residual: 0 sweep_to_fill: 78.6832 total_dollar: 3935.26 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.82392159654926 worst_opt_t_minutes: 4.4148236770824
2024-05-27 11:25:15	EP	SIM:ESM4	Sell	50	0.1150	-0.0100	5,331.6250	5,331.6250	5,331.5100	5,331.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.625 avg_total: 5331.51 curr_cost_per_share: 0.125 curr_half_min_move: 0.24786971701904 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.25431564860389 daily_vol_normal: 23.577331577075 destination_price: 5331.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.58677550908756 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.045381209675174 init_vol_normal: 55.814001425601 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16 slip_toler: 0 slippage: 0.11499999999978 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5331.5 total_dollar: 266575.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4018993069851 worst_opt_t_minutes: 10
2024-05-27 11:24:38	EP	SIM:ESM4	Buy	50	-0.1000	-0.3500	5,331.8750	5,331.6250	5,331.7750	5,332.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.875 avg_total: 5331.775 curr_cost_per_share: 0.255 curr_half_min_move: 0.2478813396349 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.072717504203045 daily_vol_normal: 23.578437118611 destination_price: 5331.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.5868030230026 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.18150781649152 init_vol_normal: 55.816618545214 last_aggressive_qty: last_tactical_qty: 28 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.35000000000036 sweep_residual: 0 sweep_to_fill: 5332.125 total_dollar: 266588.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4020119320903 worst_opt_t_minutes: 10
2024-05-27 10:48:20	TYA	SIM:ZNM4	Sell	200	0.0184	0.0106	108.7891	108.7891	108.7706	108.7813	Diagnostics Diagnostics algo_status: 4 arrival_price: 108.7890625 avg_total: 108.770625 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0051368871998478 curr_liq_cost: 1.5625 curr_opt_t_minutes: 2.3130232715104 daily_vol_normal: 0.48861996633311 destination_price: 108.7890625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.01197285209136 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.42577957672113 init_vol_normal: 1.1388559565732 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 199 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 139 slip_toler: 0 slippage: 0.018437500000005 slippage_sweep: 0.010625000000005 sweep_residual: 0 sweep_to_fill: 108.78125 total_dollar: 21754.125 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.049411654697203 worst_opt_t_minutes: 10
2024-05-27 10:15:59	EP	SIM:ESM4	Sell	50	0.0950	-0.1250	5,327.8750	5,327.8750	5,327.7800	5,327.6550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5327.875 avg_total: 5327.78 curr_cost_per_share: 0.195 curr_half_min_move: 0.23815376169178 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.67043137662916 daily_vol_normal: 22.653151313774 destination_price: 5327.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.58636280036196 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.14077078779966 init_vol_normal: 55.774744631407 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 46 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.125 sweep_residual: 0 sweep_to_fill: 5327.655 total_dollar: 266389 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4002099304064 worst_opt_t_minutes: 10
2024-05-27 10:14:38	EP	SIM:ESM4	Buy	50	0.0500	-0.2800	5,328.1250	5,328.1250	5,328.1750	5,328.4550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.125 avg_total: 5328.175 curr_cost_per_share: 0.145 curr_half_min_move: 0.23812867338951 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.3707768576082 daily_vol_normal: 22.650764918096 destination_price: 5328.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.586390314277 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.31670455038225 init_vol_normal: 55.77736175102 last_aggressive_qty: 1 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 31 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 40 slip_toler: 0 slippage: 0.050000000000182 slippage_sweep: -0.27999999999975 sweep_residual: 0 sweep_to_fill: 5328.455 total_dollar: 266408.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.4003225555117 worst_opt_t_minutes: 10
2024-05-27 10:11:00	CLE	SIM:CLN4	Sell	50	-0.0118	-0.0290	78.4400	78.4650	78.4518	78.4228	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.44 avg_total: 78.4518 curr_cost_per_share: 0.011800000000013 curr_half_min_move: 0.011424008165048 curr_liq_cost: 0.59000000000066 curr_opt_t_minutes: 0 daily_vol_normal: 1.0866500018066 destination_price: 78.465 drift: -0.025000000000006 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.017199999999999 init_drift: 0 init_half_min_move: 0.0086327659827591 init_liq_cost: 0.85999999999993 init_min_duration: 0 init_opt_t_minutes: 3.9696933283494 init_vol_normal: 0.82114744975953 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 30 slip_toler: 0 slippage: -0.011800000000008 slippage_sweep: -0.029000000000011 sweep_residual: 0 sweep_to_fill: 78.4228 total_dollar: 3922.59 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.82114744975953 worst_opt_t_minutes: 1.8683751319656
2024-05-27 10:10:25	CLE	SIM:CLN4	Buy	50	-0.0160	-0.0280	78.4650	78.4400	78.4490	78.4770	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.465 avg_total: 78.449 curr_cost_per_share: 0.015799999999994 curr_half_min_move: 0.011423294366734 curr_liq_cost: 0.78999999999969 curr_opt_t_minutes: 0 daily_vol_normal: 1.0865821054144 destination_price: 78.44 drift: 0.025000000000006 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.011999999999989 init_drift: 0 init_half_min_move: 0.008635517374263 init_liq_cost: 0.59999999999945 init_min_duration: 0 init_opt_t_minutes: 1.9310155342089 init_vol_normal: 0.82140916172082 last_aggressive_qty: 11 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6 slip_toler: 0 slippage: -0.015999999999991 slippage_sweep: -0.027999999999977 sweep_residual: 0 sweep_to_fill: 78.477 total_dollar: 3922.45 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.82140916172082 worst_opt_t_minutes: 3.3476299858361