Arrival Price AI

CQG AI 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: PayupAI

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CQG Symbol

Exchange Symbol

Date - Time	CQG Symbol	Exchange Symbol	Buy / Sell	Quantity	Slippage	Slippage Sweep	Arrival Price	Destination Price	Average Total	Sweep to Fill
2025-06-13 02:45:24	EP	SIM:ESM5	Buy	50	0.3900	-0.1600	5,974.8750	5,974.6250	5,975.2650	5,975.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.875 avg_total: 5975.265 curr_cost_per_share: 0.56 curr_half_min_move: 0.77770457153847 curr_liq_cost: 28 curr_opt_t_minutes: 0.2962625120308 daily_vol_normal: 73.975146188433 destination_price: 5974.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.55 init_drift: 0 init_half_min_move: 0.65756881248391 init_liq_cost: 27.5 init_min_duration: 0 init_opt_t_minutes: 0.69958898810215 init_vol_normal: 62.547850189724 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 22 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 30.735 slip_toler: 0 slippage: 0.39000000000033 slippage_sweep: -0.15999999999985 sweep_residual: 0 sweep_to_fill: 5975.425 total_dollar: 298763.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 74.688071472609 worst_opt_t_minutes: 0.29063363507258
2025-06-12 22:44:11	EP	SIM:ESM5	Sell	50	-0.0750	-0.7417	5,951.6250	5,952.1250	5,951.7000	5,950.9583	Diagnostics Diagnostics algo_status: 4 arrival_price: 5951.625 avg_total: 5951.7 curr_cost_per_share: 0.64166666666667 curr_half_min_move: 0.99964010724972 curr_liq_cost: 19.25 curr_opt_t_minutes: 0.11148607945299 daily_vol_normal: 95.085622196271 destination_price: 5952.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66666666666667 init_drift: 0 init_half_min_move: 0.99962283197445 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 0.44477989468135 init_vol_normal: 95.08397897459 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 16 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.634 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.74166666666679 sweep_residual: 14 sweep_to_fill: 5950.9583333333 total_dollar: 297585 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 54.49884753667 worst_opt_t_minutes: 0.33937176839453
2025-06-12 22:43:52	EP	SIM:ESM5	Buy	50	0.2400	-0.4550	5,951.8750	5,951.6250	5,952.1150	5,952.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5951.875 avg_total: 5952.115 curr_cost_per_share: 0.7445652173913 curr_half_min_move: 0.99966482146606 curr_liq_cost: 34.25 curr_opt_t_minutes: 0.37412075174411 daily_vol_normal: 95.087973008949 destination_price: 5951.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.99959917664458 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 0.48341244833448 init_vol_normal: 95.081728883039 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 26 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.58 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 5952.57 total_dollar: 297605.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 54.501136779 worst_opt_t_minutes: 1.138811530983
2025-06-12 22:42:56	EP	SIM:ESM5	Sell	50	1.2200	0.5645	5,953.6250	5,951.6250	5,952.4050	5,952.9695	Diagnostics Diagnostics algo_status: 4 arrival_price: 5953.625 avg_total: 5952.405 curr_cost_per_share: 0.675 curr_half_min_move: 0.99968048086463 curr_liq_cost: 20.25 curr_opt_t_minutes: 0.54176370450038 daily_vol_normal: 95.089462528673 destination_price: 5951.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65548780487805 init_drift: 0 init_half_min_move: 0.99933396436274 init_liq_cost: 26.875 init_min_duration: 0 init_opt_t_minutes: 0.43023717807531 init_vol_normal: 95.056501929208 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 26 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 33.669 slip_toler: 0 slippage: 1.2200000000003 slippage_sweep: 0.56451219512201 sweep_residual: 9 sweep_to_fill: 5952.9695121951 total_dollar: 297620.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 54.517161475313 worst_opt_t_minutes: 1.6481935884676
2025-06-12 22:42:19	EP	SIM:ESM5	Buy	50	-0.1650	-0.8203	5,954.3750	5,953.8750	5,954.2100	5,955.0303	Diagnostics Diagnostics algo_status: 4 arrival_price: 5954.375 avg_total: 5954.21 curr_cost_per_share: 0.63109756097561 curr_half_min_move: 0.99945985413129 curr_liq_cost: 25.875 curr_opt_t_minutes: 0.10318454060244 daily_vol_normal: 95.068476545757 destination_price: 5953.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65530303030303 init_drift: 0 init_half_min_move: 0.99942529621556 init_liq_cost: 21.625 init_min_duration: 0 init_opt_t_minutes: 0.42991606831268 init_vol_normal: 95.065189401819 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.82 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.82030303030297 sweep_residual: 17 sweep_to_fill: 5955.0303030303 total_dollar: 297710.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 54.524029202304 worst_opt_t_minutes: 0.31369805100541
2025-06-12 22:41:33	EP	SIM:ESM5	Sell	50	0.9550	0.3376	5,956.6250	5,955.3750	5,955.6700	5,956.0076	Diagnostics Diagnostics algo_status: 4 arrival_price: 5956.625 avg_total: 5955.67 curr_cost_per_share: 0.58088235294118 curr_half_min_move: 0.99960501524156 curr_liq_cost: 19.75 curr_opt_t_minutes: 0.41177678096258 daily_vol_normal: 95.082284249538 destination_price: 5955.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61742424242424 init_drift: 0 init_half_min_move: 0.99956181620049 init_liq_cost: 20.375 init_min_duration: 0 init_opt_t_minutes: 0.38154699730017 init_vol_normal: 95.078175163009 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 24 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.656 slip_toler: 0 slippage: 0.95499999999993 slippage_sweep: 0.33757575757591 sweep_residual: 17 sweep_to_fill: 5956.0075757576 total_dollar: 297783.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 54.544632383276 worst_opt_t_minutes: 1.2512872788755
2025-06-12 22:40:41	EP	SIM:ESM5	Buy	50	0.0150	-0.6800	5,955.8750	5,956.6250	5,955.8900	5,956.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5955.875 avg_total: 5955.89 curr_cost_per_share: 0.355 curr_half_min_move: 0.9994359611463 curr_liq_cost: 17.75 curr_opt_t_minutes: 0.17200745549125 daily_vol_normal: 95.066203848485 destination_price: 5956.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.99940312805805 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 0.48360212479253 init_vol_normal: 95.063080769887 last_aggressive_qty: 6 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 20.657 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.67999999999938 sweep_residual: 0 sweep_to_fill: 5956.57 total_dollar: 297794.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 54.537764656285 worst_opt_t_minutes: 0.52264272394317
2025-06-12 22:39:50	EP	SIM:ESM5	Sell	50	0.3050	-0.3075	5,955.3750	5,955.3750	5,955.0700	5,954.7625	Diagnostics Diagnostics algo_status: 4 arrival_price: 5955.375 avg_total: 5955.07 curr_cost_per_share: 0.5125 curr_half_min_move: 0.99923887187226 curr_liq_cost: 20.5 curr_opt_t_minutes: 0.26305653706625 daily_vol_normal: 95.047456745288 destination_price: 5955.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6125 init_drift: 0 init_half_min_move: 0.99909885977977 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37583330181193 init_vol_normal: 95.034138815333 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 19 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 30.627 slip_toler: 0 slippage: 0.30500000000029 slippage_sweep: -0.30749999999989 sweep_residual: 30 sweep_to_fill: 5954.7625 total_dollar: 297753.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 54.533186171625 worst_opt_t_minutes: 0.79911329216168
2025-06-12 22:39:19	EP	SIM:ESM5	Buy	50	0.0950	-0.6285	5,955.6250	5,955.3750	5,955.7200	5,956.3485	Diagnostics Diagnostics algo_status: 4 arrival_price: 5955.625 avg_total: 5955.72 curr_cost_per_share: 0.73790322580645 curr_half_min_move: 0.99914080083553 curr_liq_cost: 22.875 curr_opt_t_minutes: 0.36628748230805 daily_vol_normal: 95.038128242481 destination_price: 5955.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.72348484848485 init_drift: 0 init_half_min_move: 0.9990949957152 init_liq_cost: 23.875 init_min_duration: 0 init_opt_t_minutes: 0.52437902703624 init_vol_normal: 95.03377126607 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 20 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.918 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.62848484848473 sweep_residual: 17 sweep_to_fill: 5956.3484848485 total_dollar: 297786 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 54.535475413955 worst_opt_t_minutes: 1.1123965133432
2025-06-12 22:38:26	EP	SIM:ESM5	Sell	50	-0.1000	-0.8759	5,954.0000	5,954.3750	5,954.1000	5,953.2241	Diagnostics Diagnostics algo_status: 4 arrival_price: 5954 avg_total: 5954.1 curr_cost_per_share: 0.61538461538462 curr_half_min_move: 0.99874288605593 curr_liq_cost: 16 curr_opt_t_minutes: 0.16060072003336 daily_vol_normal: 95.000278646287 destination_price: 5954.375 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.77586206896552 init_drift: 0 init_half_min_move: 0.99868842382578 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 0.60354409994674 init_vol_normal: 94.995098206844 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 17 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.688 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.87586206896594 sweep_residual: 21 sweep_to_fill: 5953.224137931 total_dollar: 297705 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 54.520595338808 worst_opt_t_minutes: 0.48761388894874
2025-06-12 22:38:13	EP	SIM:ESM5	Buy	50	0.9450	0.3072	5,952.8750	5,954.1250	5,953.8200	5,953.5128	Diagnostics Diagnostics algo_status: 4 arrival_price: 5952.875 avg_total: 5953.82 curr_cost_per_share: 0.66666666666667 curr_half_min_move: 0.99849972304029 curr_liq_cost: 32 curr_opt_t_minutes: 0.53078674549968 daily_vol_normal: 94.977149015463 destination_price: 5954.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63782051282051 init_drift: 0 init_half_min_move: 0.65514758796044 init_liq_cost: 24.875 init_min_duration: 0 init_opt_t_minutes: 0.94780429399432 init_vol_normal: 62.317543663784 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 22 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 32.453 slip_toler: 0 slippage: 0.94499999999971 slippage_sweep: 0.30717948717938 sweep_residual: 11 sweep_to_fill: 5953.5128205128 total_dollar: 297691 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 54.510293748322 worst_opt_t_minutes: 1.6113922944299
2025-06-12 21:29:23	EP	SIM:ESM5	Sell	50	1.0250	0.2553	5,948.5000	5,946.6250	5,947.4750	5,947.7303	Diagnostics Diagnostics algo_status: 4 arrival_price: 5948.5 avg_total: 5947.475 curr_cost_per_share: 0.61858974358974 curr_half_min_move: 1.063763291343 curr_liq_cost: 24.125 curr_opt_t_minutes: 0.40773889594787 daily_vol_normal: 101.18501017851 destination_price: 5946.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76973684210526 init_drift: 0 init_half_min_move: 1.0636812923089 init_liq_cost: 29.25 init_min_duration: 0 init_opt_t_minutes: 0.52367459493869 init_vol_normal: 101.17721044226 last_aggressive_qty: 6 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 24 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.655 slip_toler: 0 slippage: 1.0249999999996 slippage_sweep: 0.25526315789466 sweep_residual: 12 sweep_to_fill: 5947.7302631579 total_dollar: 297373.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 31.187990928799 worst_opt_t_minutes: 4.2918022546416
2025-06-12 21:28:58	EP	SIM:ESM5	Buy	50	0.4250	-0.2606	5,947.3750	5,948.5000	5,947.8000	5,948.0606	Diagnostics Diagnostics algo_status: 4 arrival_price: 5947.375 avg_total: 5947.8 curr_cost_per_share: 0.58 curr_half_min_move: 1.0634801253839 curr_liq_cost: 29 curr_opt_t_minutes: 0.3627945016552 daily_vol_normal: 101.15807547349 destination_price: 5948.5 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.68560606060606 init_drift: 0 init_half_min_move: 0.65454228182957 init_liq_cost: 22.625 init_min_duration: 0 init_opt_t_minutes: 1.0971698977913 init_vol_normal: 62.259967032299 last_aggressive_qty: 4 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 21 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 29.099 slip_toler: 0 slippage: 0.42500000000018 slippage_sweep: -0.26060606060582 sweep_residual: 17 sweep_to_fill: 5948.0606060606 total_dollar: 297390 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 31.182092552773 worst_opt_t_minutes: 3.8181351818212
2025-06-12 14:29:40	EP	SIM:ESM5	Sell	50	-0.0050	-0.2600	6,046.6250	6,046.8750	6,046.6300	6,046.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 6046.625 avg_total: 6046.63 curr_cost_per_share: 0.235 curr_half_min_move: 0.48526634681671 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 46.158464614757 destination_price: 6046.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.48736680600173 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.27375903906501 init_vol_normal: 46.358259988169 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.34 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 6046.37 total_dollar: 302331.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 46.358259988169 worst_opt_t_minutes: 0
2025-06-12 14:29:35	EP	SIM:ESM5	Buy	50	0.1250	-0.0250	6,046.6250	6,046.6250	6,046.7500	6,046.7750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6046.625 avg_total: 6046.75 curr_cost_per_share: 0.125 curr_half_min_move: 0.48736680600173 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.06578216048275 daily_vol_normal: 46.358259988169 destination_price: 6046.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.66546530610021 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.050807951015177 init_vol_normal: 63.298963518641 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.126 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.024999999999636 sweep_residual: 0 sweep_to_fill: 6046.775 total_dollar: 302337.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 46.358259988169 worst_opt_t_minutes: 0.06578216048275

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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