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
2025-05-19 18:35:50	EP	SIM:ESM5	Sell	50	0.1250	-0.2300	5,986.1250	5,990.8750	5,986.0000	5,985.7700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.125 avg_total: 5986 curr_cost_per_share: 0.49 curr_half_min_move: 0.11780333776947 curr_liq_cost: 24.5 curr_opt_t_minutes: 0 daily_vol_normal: 11.20543642394 destination_price: 5990.875 drift: -4.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.10009072561277 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 12.579663691571 init_vol_normal: 9.5206153213987 last_aggressive_qty: 10 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 419 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 299.887 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.22999999999956 sweep_residual: 0 sweep_to_fill: 5985.77 total_dollar: 173594 total_drift: -4.75 total_filled: 29 total_sent: 29 total_vol: 61.021653484354 worst_opt_t_minutes: 0
2025-05-19 18:29:49	EP	SIM:ESM5	Buy	50	0.8300	0.4900	5,985.6250	5,986.1250	5,986.4550	5,985.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.625 avg_total: 5986.455 curr_cost_per_share: 0.445 curr_half_min_move: 0.10008236538594 curr_liq_cost: 22.25 curr_opt_t_minutes: 5 daily_vol_normal: 9.5198200978341 destination_price: 5986.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.099441989040174 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 11.690100077363 init_vol_normal: 9.4589075925878 last_aggressive_qty: 5 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: 37.596 slip_toler: 0 slippage: 0.82999999999993 slippage_sweep: 0.48999999999978 sweep_residual: 0 sweep_to_fill: 5985.965 total_dollar: 299322.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 61.016556559926 worst_opt_t_minutes: 0.61986705734138
2025-05-19 18:28:41	EP	SIM:ESM5	Sell	50	0.2800	-0.1900	5,985.6250	5,985.3750	5,985.3450	5,985.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.625 avg_total: 5985.345 curr_cost_per_share: 0.43 curr_half_min_move: 0.099302955462753 curr_liq_cost: 21.5 curr_opt_t_minutes: 5 daily_vol_normal: 9.4456827388435 destination_price: 5985.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.099163738589847 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 22.46414699258 init_vol_normal: 9.4324404500594 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 26 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 42.865 slip_toler: 0 slippage: 0.27999999999975 slippage_sweep: -0.19000000000051 sweep_residual: 0 sweep_to_fill: 5985.155 total_dollar: 299267.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 61.016556559926 worst_opt_t_minutes: 0.58341303034177
2025-05-19 18:27:58	EP	SIM:ESM5	Buy	50	-0.0200	-0.2700	5,985.8750	5,985.6250	5,985.8550	5,986.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.875 avg_total: 5985.855 curr_cost_per_share: 0.36 curr_half_min_move: 0.09916788033522 curr_liq_cost: 18 curr_opt_t_minutes: 4.5683581684766 daily_vol_normal: 9.4328344122793 destination_price: 5985.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.09916788033522 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 6.3553278072905 init_vol_normal: 9.4328344122793 last_aggressive_qty: 6 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.239 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.27000000000044 sweep_residual: 0 sweep_to_fill: 5986.125 total_dollar: 299292.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 61.01910502214 worst_opt_t_minutes: 0.10917241077713
2025-05-19 18:27:19	EP	SIM:ESM5	Sell	50	0.1850	-0.2800	5,985.3750	5,985.3750	5,985.1900	5,984.9100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.375 avg_total: 5985.19 curr_cost_per_share: 0.53 curr_half_min_move: 0.09900273403129 curr_liq_cost: 26.5 curr_opt_t_minutes: 5 daily_vol_normal: 9.4171257197721 destination_price: 5985.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.098784444289984 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 22.157909468711 init_vol_normal: 9.3963620312 last_aggressive_qty: 10 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 25 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 41.858 slip_toler: 0 slippage: 0.1850000000004 slippage_sweep: -0.27999999999975 sweep_residual: 0 sweep_to_fill: 5984.91 total_dollar: 299259.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 61.014008097712 worst_opt_t_minutes: 0.68270799525131
2025-05-19 18:26:37	EP	SIM:ESM5	Buy	50	0.2000	-0.4650	5,985.1250	5,985.3750	5,985.3250	5,985.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.125 avg_total: 5985.325 curr_cost_per_share: 0.45 curr_half_min_move: 0.098780318214162 curr_liq_cost: 22.5 curr_opt_t_minutes: 5 daily_vol_normal: 9.3959695594655 destination_price: 5985.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.665 init_drift: 0 init_half_min_move: 0.098482676071594 init_liq_cost: 33.25 init_min_duration: 0 init_opt_t_minutes: 45.595670679937 init_vol_normal: 9.3676578819801 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 31 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 42.307 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.46500000000015 sweep_residual: 0 sweep_to_fill: 5985.79 total_dollar: 299266.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 61.011459635498 worst_opt_t_minutes: 0.63236705370827
2025-05-19 18:25:25	EP	SIM:ESM5	Sell	50	0.1050	-0.1950	5,984.8750	5,985.1250	5,984.7700	5,984.5750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.875 avg_total: 5984.77 curr_cost_per_share: 0.47 curr_half_min_move: 0.098285495638739 curr_liq_cost: 23.5 curr_opt_t_minutes: 5 daily_vol_normal: 9.34890210777 destination_price: 5985.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.098092038557602 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 9.3535180592008 init_vol_normal: 9.3305004982359 last_aggressive_qty: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.389 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.19500000000062 sweep_residual: 0 sweep_to_fill: 5984.575 total_dollar: 299238.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 61.008911173284 worst_opt_t_minutes: 0.26478899156388
2025-05-19 18:25:07	EP	SIM:ESM5	Buy	50	0.1200	-0.3950	5,985.1250	5,984.8750	5,985.2450	5,985.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.125 avg_total: 5985.245 curr_cost_per_share: 0.55 curr_half_min_move: 0.098096136054983 curr_liq_cost: 27.5 curr_opt_t_minutes: 5 daily_vol_normal: 9.3308902515933 destination_price: 5984.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.515 init_drift: 0 init_half_min_move: 0.098025690954549 init_liq_cost: 25.75 init_min_duration: 0 init_opt_t_minutes: 27.601623887709 init_vol_normal: 9.3241895238445 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 19 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 27.872 slip_toler: 0 slippage: 0.11999999999989 slippage_sweep: -0.39500000000044 sweep_residual: 0 sweep_to_fill: 5985.64 total_dollar: 299262.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 61.011459635498 worst_opt_t_minutes: 0.4146229999292
2025-05-19 18:24:08	EP	SIM:ESM5	Sell	50	-0.2100	-0.7450	5,984.7500	5,985.1250	5,984.9600	5,984.2150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.75 avg_total: 5984.96 curr_cost_per_share: 0.465 curr_half_min_move: 0.097834398252137 curr_liq_cost: 23.25 curr_opt_t_minutes: 5 daily_vol_normal: 9.3059937897013 destination_price: 5985.125 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.535 init_drift: 0 init_half_min_move: 0.09779026056628 init_liq_cost: 26.75 init_min_duration: 0 init_opt_t_minutes: 29.930664399127 init_vol_normal: 9.3017954194162 last_aggressive_qty: 12 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.735 slip_toler: 0 slippage: -0.21000000000004 slippage_sweep: -0.74499999999989 sweep_residual: 0 sweep_to_fill: 5984.215 total_dollar: 299248 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 61.007636942177 worst_opt_t_minutes: 0.12927527053827
2025-05-19 18:23:57	EP	SIM:ESM5	Buy	50	0.3050	-0.0500	5,984.6250	5,984.8750	5,984.9300	5,984.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5984.93 curr_cost_per_share: 0.375 curr_half_min_move: 0.097487554371852 curr_liq_cost: 18.75 curr_opt_t_minutes: 5 daily_vol_normal: 9.2730020500515 destination_price: 5984.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.097452122666124 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 13.270097069931 init_vol_normal: 9.2696317913352 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 22 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 32.576 slip_toler: 0 slippage: 0.30500000000029 slippage_sweep: -0.049999999999272 sweep_residual: 0 sweep_to_fill: 5984.98 total_dollar: 299246.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 61.00636271107 worst_opt_t_minutes: 0.45925751108818
2025-05-19 18:22:48	EP	SIM:ESM5	Sell	50	0.2550	-0.2350	5,985.1250	5,985.1250	5,984.8700	5,984.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.125 avg_total: 5984.87 curr_cost_per_share: 0.585 curr_half_min_move: 0.097424818466783 curr_liq_cost: 29.25 curr_opt_t_minutes: 5 daily_vol_normal: 9.2670346198491 destination_price: 5985.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.09738049143487 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 25.319098378758 init_vol_normal: 9.2628182389946 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 53.016 slip_toler: 0 slippage: 0.25500000000011 slippage_sweep: -0.23499999999967 sweep_residual: 0 sweep_to_fill: 5984.635 total_dollar: 299243.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 61.011459635498 worst_opt_t_minutes: 0.83182364702901
2025-05-19 18:21:55	EP	SIM:ESM5	Buy	50	0.5400	-0.0150	5,984.6250	5,985.1250	5,985.1650	5,985.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5985.165 curr_cost_per_share: 0.535 curr_half_min_move: 0.097372356225376 curr_liq_cost: 26.75 curr_opt_t_minutes: 5 daily_vol_normal: 9.262044419046 destination_price: 5985.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.096158948385657 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 33.31244857524 init_vol_normal: 9.1466252411031 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 23 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 52.066 slip_toler: 0 slippage: 0.53999999999996 slippage_sweep: -0.015000000000327 sweep_residual: 0 sweep_to_fill: 5985.18 total_dollar: 299258.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 61.00636271107 worst_opt_t_minutes: 0.86184389722894
2025-05-19 18:20:32	EP	SIM:ESM5	Sell	50	0.1750	-0.3200	5,984.8750	5,984.3750	5,984.7000	5,984.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.875 avg_total: 5984.7 curr_cost_per_share: 0.415 curr_half_min_move: 0.095378523836085 curr_liq_cost: 20.75 curr_opt_t_minutes: 5 daily_vol_normal: 9.0723913709981 destination_price: 5984.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.09518822580944 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 27.042319120426 init_vol_normal: 9.0542902502697 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 30 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 34.887 slip_toler: 0 slippage: 0.17500000000018 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5984.38 total_dollar: 299235 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 61.008911173284 worst_opt_t_minutes: 0.54818991464527
2025-05-19 18:19:57	EP	SIM:ESM5	Buy	50	-0.0600	-0.5750	5,985.1250	5,984.8750	5,985.0650	5,985.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.125 avg_total: 5985.065 curr_cost_per_share: 0.595 curr_half_min_move: 0.095192202008851 curr_liq_cost: 29.75 curr_opt_t_minutes: 5 daily_vol_normal: 9.0546684657817 destination_price: 5984.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.515 init_drift: 0 init_half_min_move: 0.09440885433159 init_liq_cost: 25.75 init_min_duration: 0 init_opt_t_minutes: 29.756990287876 init_vol_normal: 8.9801565481944 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 19 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 35.063 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.57500000000073 sweep_residual: 0 sweep_to_fill: 5985.64 total_dollar: 299253.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 61.011459635498 worst_opt_t_minutes: 0.51256073920735
2025-05-19 18:18:52	EP	SIM:ESM5	Sell	50	0.0150	-0.6350	5,983.8750	5,984.1250	5,983.8600	5,983.2250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5983.875 avg_total: 5983.86 curr_cost_per_share: 0.525 curr_half_min_move: 0.093737547251825 curr_liq_cost: 26.25 curr_opt_t_minutes: 5 daily_vol_normal: 8.916301916011 destination_price: 5984.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65 init_drift: 0 init_half_min_move: 0.09352543517324 init_liq_cost: 32.5 init_min_duration: 0 init_opt_t_minutes: 48.302236276267 init_vol_normal: 8.896125845822 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.037 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.63499999999931 sweep_residual: 0 sweep_to_fill: 5983.225 total_dollar: 299193 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 60.998717324428 worst_opt_t_minutes: 0.36461191378919

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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