Arrival Price AI Analytics
CQG AI Algos
The Arrival Price Algorithm is driven by short-term realized volatility and drift signals as well as market-implied cost of liquidity to execute within a risk-optimized time horizon using trader-defined slippage expectations. Arrival Price is benchmarked against mid-market and sweep to fill (market order) metrics.
"Liquidity Cost, Volatility, and Drift" are the quantities used by the algorithm to compute a theoretically optimal Equilibrium Trading Horizon (White Paper). "Seconds spent" reflects the practical application of this horizon over simulated dynamic market conditions. A "fill stream" is also included to demonstrate the effects of the Market By Order Impact Model, which helps size order slices in a manner consistent with price-level population.
The graphs below illuminate the effects of these indicators on optimal execution horizon and therefore, performance results of hypothetical Arrival Price orders.
Impact Model: MBO
Payup Model: PayupAI
- Liquidity Cost:
- Implicit cost of liquidity per lot
- Volatility:
- Normal volatility in dollar terms
- Drift:
- Short-term directional drift
- Seconds Spent:
- Seconds spent in simulated execution
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
29
Slippage
0.1250
Slippage Sweep
-0.2300
Arrival Price
5,986.1250
Average Total
5,986.0000
Destination Price
5,990.8750
Sweep to Fill
5,985.7700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:30:00.023 | SIM:ESM5 | Sell | 3 | 5986 | Aggressive |
| 2025-05-19T18:29:54.371 | SIM:ESM5 | Sell | 1 | 5986 | Aggressive |
| 2025-05-19T18:29:54.371 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:56.634 | SIM:ESM5 | Sell | 3 | 5986 | Aggressive |
| 2025-05-19T18:29:56.634 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:52.982 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:59.16 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:58.208 | SIM:ESM5 | Sell | 3 | 5986 | Aggressive |
| 2025-05-19T18:29:57.162 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:52.982 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:52.445 | SIM:ESM5 | Sell | 3 | 5986 | Aggressive |
| 2025-05-19T18:29:51.561 | SIM:ESM5 | Sell | 2 | 5986 | Aggressive |
| 2025-05-19T18:29:51.561 | SIM:ESM5 | Sell | 1 | 5986 | Aggressive |
| 2025-05-19T18:29:51.561 | SIM:ESM5 | Sell | 1 | 5986 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8300
Slippage Sweep
0.4900
Arrival Price
5,985.6250
Average Total
5,986.4550
Destination Price
5,986.1250
Sweep to Fill
5,985.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:29:33.632 | SIM:ESM5 | Buy | 6 | 5986.5 | Aggressive |
| 2025-05-19T18:29:33.632 | SIM:ESM5 | Buy | 5 | 5986.5 | Aggressive |
| 2025-05-19T18:29:32.683 | SIM:ESM5 | Buy | 4 | 5986.75 | Aggressive |
| 2025-05-19T18:29:32.683 | SIM:ESM5 | Buy | 4 | 5986.75 | Aggressive |
| 2025-05-19T18:29:32.683 | SIM:ESM5 | Buy | 2 | 5986.75 | Aggressive |
| 2025-05-19T18:29:32.683 | SIM:ESM5 | Buy | 3 | 5986.5 | Aggressive |
| 2025-05-19T18:29:47.329 | SIM:ESM5 | Buy | 1 | 5986.25 | Aggressive |
| 2025-05-19T18:29:45.643 | SIM:ESM5 | Buy | 2 | 5986.25 | Aggressive |
| 2025-05-19T18:29:35.772 | SIM:ESM5 | Buy | 2 | 5986.25 | Aggressive |
| 2025-05-19T18:29:35.772 | SIM:ESM5 | Buy | 1 | 5986.5 | Aggressive |
| 2025-05-19T18:29:35.772 | SIM:ESM5 | Buy | 1 | 5986.25 | Aggressive |
| 2025-05-19T18:29:27.599 | SIM:ESM5 | Buy | 3 | 5986.5 | Aggressive |
| 2025-05-19T18:29:27.599 | SIM:ESM5 | Buy | 1 | 5986.5 | Aggressive |
| 2025-05-19T18:29:24.941 | SIM:ESM5 | Buy | 2 | 5986.5 | Aggressive |
| 2025-05-19T18:29:16.464 | SIM:ESM5 | Buy | 4 | 5986 | Aggressive |
| 2025-05-19T18:29:49.587 | SIM:ESM5 | Buy | 1 | 5986.25 | Aggressive |
| 2025-05-19T18:29:49.088 | SIM:ESM5 | Buy | 1 | 5986.25 | Aggressive |
| 2025-05-19T18:29:36.502 | SIM:ESM5 | Buy | 3 | 5986.5 | Aggressive |
| 2025-05-19T18:29:25.869 | SIM:ESM5 | Buy | 3 | 5986.5 | Aggressive |
| 2025-05-19T18:29:12.363 | SIM:ESM5 | Buy | 1 | 5985.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2800
Slippage Sweep
-0.1900
Arrival Price
5,985.6250
Average Total
5,985.3450
Destination Price
5,985.3750
Sweep to Fill
5,985.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:28:28.793 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:28:28.793 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:28.793 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:25.72 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:25.169 | SIM:ESM5 | Sell | 6 | 5985.25 | Aggressive |
| 2025-05-19T18:28:07.59 | SIM:ESM5 | Sell | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:28:24.34 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:24.34 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:28:24.339 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:24.339 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:18.146 | SIM:ESM5 | Sell | 3 | 5985.25 | Aggressive |
| 2025-05-19T18:28:00.827 | SIM:ESM5 | Sell | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:28:41.894 | SIM:ESM5 | Sell | 6 | 5985.25 | Aggressive |
| 2025-05-19T18:28:34.844 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:34.844 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:19.864 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:19.864 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:15.027 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:08.688 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:28:06.657 | SIM:ESM5 | Sell | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:28:06.472 | SIM:ESM5 | Sell | 4 | 5985.5 | Aggressive |
| 2025-05-19T18:28:04.541 | SIM:ESM5 | Sell | 3 | 5985.5 | Aggressive |
| 2025-05-19T18:28:03.997 | SIM:ESM5 | Sell | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:28:03.458 | SIM:ESM5 | Sell | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:28:03.457 | SIM:ESM5 | Sell | 1 | 5985.5 | Aggressive |
| 2025-05-19T18:27:59.639 | SIM:ESM5 | Sell | 1 | 5985.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0200
Slippage Sweep
-0.2700
Arrival Price
5,985.8750
Average Total
5,985.8550
Destination Price
5,985.6250
Sweep to Fill
5,986.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:27:58.919 | SIM:ESM5 | Buy | 5 | 5985.75 | Aggressive |
| 2025-05-19T18:27:58.919 | SIM:ESM5 | Buy | 6 | 5985.75 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 5 | 5986 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 5 | 5986 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 2 | 5986 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 3 | 5985.75 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 1 | 5985.75 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 4 | 5985.75 | Passive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 5 | 5986 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 4 | 5986 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 1 | 5985.75 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 2 | 5985.75 | Aggressive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 2 | 5985.75 | Passive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 1 | 5985.75 | Passive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 2 | 5985.75 | Passive |
| 2025-05-19T18:27:58.467 | SIM:ESM5 | Buy | 1 | 5985.75 | Passive |
| 2025-05-19T18:27:58.466 | SIM:ESM5 | Buy | 1 | 5985.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1850
Slippage Sweep
-0.2800
Arrival Price
5,985.3750
Average Total
5,985.1900
Destination Price
5,985.3750
Sweep to Fill
5,984.9100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:27:18.536 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:27:18.536 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:27:18.536 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:27:15.854 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:27:15.854 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:55.61 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:26:55.61 | SIM:ESM5 | Sell | 2 | 5985 | Aggressive |
| 2025-05-19T18:26:55.61 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:26:55.61 | SIM:ESM5 | Sell | 2 | 5985 | Aggressive |
| 2025-05-19T18:26:55.61 | SIM:ESM5 | Sell | 2 | 5985 | Aggressive |
| 2025-05-19T18:26:55.61 | SIM:ESM5 | Sell | 4 | 5985 | Aggressive |
| 2025-05-19T18:26:47.734 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:47.734 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:27:19.549 | SIM:ESM5 | Sell | 3 | 5985.25 | Aggressive |
| 2025-05-19T18:26:45.494 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:45.493 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:44.217 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:42.758 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:42.758 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:40.691 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:27:04.815 | SIM:ESM5 | Sell | 1 | 5985.25 | Passive |
| 2025-05-19T18:27:04.814 | SIM:ESM5 | Sell | 10 | 5985.25 | Aggressive |
| 2025-05-19T18:26:49.373 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:40.124 | SIM:ESM5 | Sell | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:40.124 | SIM:ESM5 | Sell | 1 | 5985.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2000
Slippage Sweep
-0.4650
Arrival Price
5,985.1250
Average Total
5,985.3250
Destination Price
5,985.3750
Sweep to Fill
5,985.7900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:26:29.178 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:24.039 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:24.039 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:16.278 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:16.278 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:16.278 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:16.278 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:16.278 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:11.866 | SIM:ESM5 | Buy | 4 | 5985.25 | Aggressive |
| 2025-05-19T18:26:09.714 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:07.357 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:37.61 | SIM:ESM5 | Buy | 1 | 5985.5 | Aggressive |
| 2025-05-19T18:26:36.957 | SIM:ESM5 | Buy | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:26:33.936 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:32.457 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:28.108 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:18.862 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:18.861 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:10.475 | SIM:ESM5 | Buy | 3 | 5985.25 | Aggressive |
| 2025-05-19T18:26:00.172 | SIM:ESM5 | Buy | 1 | 5985.5 | Aggressive |
| 2025-05-19T18:25:59.337 | SIM:ESM5 | Buy | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:25:57.283 | SIM:ESM5 | Buy | 1 | 5985.5 | Aggressive |
| 2025-05-19T18:26:36.957 | SIM:ESM5 | Buy | 5 | 5985.5 | Aggressive |
| 2025-05-19T18:26:35.446 | SIM:ESM5 | Buy | 1 | 5985.5 | Aggressive |
| 2025-05-19T18:26:20.554 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:20.554 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:06.457 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:26:06.187 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:26:02.357 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:25:58.911 | SIM:ESM5 | Buy | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:25:56.59 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1050
Slippage Sweep
-0.1950
Arrival Price
5,984.8750
Average Total
5,984.7700
Destination Price
5,985.1250
Sweep to Fill
5,984.5750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:25:20.887 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:25:16.746 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:25:15.721 | SIM:ESM5 | Sell | 4 | 5984.75 | Aggressive |
| 2025-05-19T18:25:14.687 | SIM:ESM5 | Sell | 5 | 5984.75 | Aggressive |
| 2025-05-19T18:25:14.687 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:25:13.738 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:25:13.257 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:25:13.257 | SIM:ESM5 | Sell | 4 | 5984.75 | Aggressive |
| 2025-05-19T18:25:10.838 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:25:10.561 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:25:25.074 | SIM:ESM5 | Sell | 4 | 5985 | Aggressive |
| 2025-05-19T18:25:19.743 | SIM:ESM5 | Sell | 6 | 5984.75 | Aggressive |
| 2025-05-19T18:25:19.743 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:25:10.057 | SIM:ESM5 | Sell | 4 | 5984.75 | Aggressive |
| 2025-05-19T18:25:08.903 | SIM:ESM5 | Sell | 4 | 5984.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1200
Slippage Sweep
-0.3950
Arrival Price
5,985.1250
Average Total
5,985.2450
Destination Price
5,984.8750
Sweep to Fill
5,985.6400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:25:07.346 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:25:05.587 | SIM:ESM5 | Buy | 9 | 5985.25 | Aggressive |
| 2025-05-19T18:25:05.587 | SIM:ESM5 | Buy | 6 | 5985 | Aggressive |
| 2025-05-19T18:25:05.497 | SIM:ESM5 | Buy | 4 | 5985.25 | Aggressive |
| 2025-05-19T18:24:58.946 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:24:55.391 | SIM:ESM5 | Buy | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:24:55.391 | SIM:ESM5 | Buy | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:24:55.391 | SIM:ESM5 | Buy | 2 | 5985.5 | Aggressive |
| 2025-05-19T18:24:43.687 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:24:42.419 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:24:41.687 | SIM:ESM5 | Buy | 3 | 5985.25 | Aggressive |
| 2025-05-19T18:24:48.772 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:24:48.388 | SIM:ESM5 | Buy | 4 | 5985.25 | Aggressive |
| 2025-05-19T18:24:46.709 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:24:46.709 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:24:44.433 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:24:40.633 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:25:04.755 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:24:55.383 | SIM:ESM5 | Buy | 3 | 5985.25 | Aggressive |
| 2025-05-19T18:24:39.625 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2100
Slippage Sweep
-0.7450
Arrival Price
5,984.7500
Average Total
5,984.9600
Destination Price
5,985.1250
Sweep to Fill
5,984.2150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:24:08.579 | SIM:ESM5 | Sell | 3 | 5985 | Passive |
| 2025-05-19T18:24:06.842 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:24:06.842 | SIM:ESM5 | Sell | 3 | 5985 | Aggressive |
| 2025-05-19T18:24:06.62 | SIM:ESM5 | Sell | 3 | 5985 | Aggressive |
| 2025-05-19T18:24:08.579 | SIM:ESM5 | Sell | 12 | 5985 | Aggressive |
| 2025-05-19T18:24:04.726 | SIM:ESM5 | Sell | 4 | 5985 | Aggressive |
| 2025-05-19T18:24:03.956 | SIM:ESM5 | Sell | 4 | 5985 | Aggressive |
| 2025-05-19T18:24:01.659 | SIM:ESM5 | Sell | 1 | 5985 | Passive |
| 2025-05-19T18:24:01.659 | SIM:ESM5 | Sell | 9 | 5985 | Aggressive |
| 2025-05-19T18:24:00.184 | SIM:ESM5 | Sell | 1 | 5984.5 | Aggressive |
| 2025-05-19T18:24:03.157 | SIM:ESM5 | Sell | 6 | 5985 | Aggressive |
| 2025-05-19T18:24:00.93 | SIM:ESM5 | Sell | 2 | 5984.5 | Aggressive |
| 2025-05-19T18:23:59.319 | SIM:ESM5 | Sell | 1 | 5984.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3050
Slippage Sweep
-0.0500
Arrival Price
5,984.6250
Average Total
5,984.9300
Destination Price
5,984.8750
Sweep to Fill
5,984.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:23:57.848 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:23:57.848 | SIM:ESM5 | Buy | 4 | 5985 | Aggressive |
| 2025-05-19T18:23:57.848 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:23:57.848 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:23:57.848 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:23:57.848 | SIM:ESM5 | Buy | 4 | 5985 | Aggressive |
| 2025-05-19T18:23:44.125 | SIM:ESM5 | Buy | 6 | 5985 | Aggressive |
| 2025-05-19T18:23:42.503 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:23:41.835 | SIM:ESM5 | Buy | 1 | 5984.75 | Passive |
| 2025-05-19T18:23:41.835 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:23:41.835 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:23:41.835 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:23:41.835 | SIM:ESM5 | Buy | 4 | 5984.75 | Aggressive |
| 2025-05-19T18:23:36.119 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:23:33.846 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:23:33.845 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:23:24.84 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:23:24.838 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:23:24.838 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:23:24.838 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:23:24.838 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:23:24.838 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2550
Slippage Sweep
-0.2350
Arrival Price
5,985.1250
Average Total
5,984.8700
Destination Price
5,985.1250
Sweep to Fill
5,984.6350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:22:46.556 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:22:32.08 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:22:31.055 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:22:05.782 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:22:05.046 | SIM:ESM5 | Sell | 3 | 5985 | Aggressive |
| 2025-05-19T18:22:03.061 | SIM:ESM5 | Sell | 5 | 5985 | Aggressive |
| 2025-05-19T18:21:59.923 | SIM:ESM5 | Sell | 2 | 5985 | Aggressive |
| 2025-05-19T18:21:59 | SIM:ESM5 | Sell | 2 | 5985 | Aggressive |
| 2025-05-19T18:22:44.338 | SIM:ESM5 | Sell | 3 | 5985 | Aggressive |
| 2025-05-19T18:22:36.601 | SIM:ESM5 | Sell | 4 | 5984.75 | Aggressive |
| 2025-05-19T18:22:35.556 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:22:31.055 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:22:15.372 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:22:14.765 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:22:14.765 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:22:05.776 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:21:57.756 | SIM:ESM5 | Sell | 2 | 5985 | Aggressive |
| 2025-05-19T18:22:48.54 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:22:47.189 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:22:34.218 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:22:16.647 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:22:16.647 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:22:16.647 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:22:00.86 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:21:57.462 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
| 2025-05-19T18:21:55.786 | SIM:ESM5 | Sell | 1 | 5985 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5400
Slippage Sweep
-0.0150
Arrival Price
5,984.6250
Average Total
5,985.1650
Destination Price
5,985.1250
Sweep to Fill
5,985.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:21:55.086 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:21:39.125 | SIM:ESM5 | Buy | 3 | 5985.75 | Aggressive |
| 2025-05-19T18:21:30.856 | SIM:ESM5 | Buy | 1 | 5985.5 | Aggressive |
| 2025-05-19T18:21:44.195 | SIM:ESM5 | Buy | 3 | 5985.5 | Passive |
| 2025-05-19T18:21:44.195 | SIM:ESM5 | Buy | 7 | 5985.5 | Aggressive |
| 2025-05-19T18:21:39.787 | SIM:ESM5 | Buy | 1 | 5985.5 | Passive |
| 2025-05-19T18:21:38.633 | SIM:ESM5 | Buy | 3 | 5985.75 | Aggressive |
| 2025-05-19T18:21:12.456 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:21:12.456 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:21:12.456 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:21:12.456 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:21:07.859 | SIM:ESM5 | Buy | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:21:06.812 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:21:27.911 | SIM:ESM5 | Buy | 3 | 5985.5 | Aggressive |
| 2025-05-19T18:21:24.86 | SIM:ESM5 | Buy | 4 | 5985 | Aggressive |
| 2025-05-19T18:21:24.86 | SIM:ESM5 | Buy | 2 | 5985 | Aggressive |
| 2025-05-19T18:21:21.317 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:21:21.317 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:21:21.317 | SIM:ESM5 | Buy | 2 | 5985 | Aggressive |
| 2025-05-19T18:21:17.933 | SIM:ESM5 | Buy | 2 | 5985 | Aggressive |
| 2025-05-19T18:21:05.662 | SIM:ESM5 | Buy | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:21:04.655 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:21:03.785 | SIM:ESM5 | Buy | 1 | 5984.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1750
Slippage Sweep
-0.3200
Arrival Price
5,984.8750
Average Total
5,984.7000
Destination Price
5,984.3750
Sweep to Fill
5,984.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:20:32.836 | SIM:ESM5 | Sell | 4 | 5984.25 | Aggressive |
| 2025-05-19T18:20:32.836 | SIM:ESM5 | Sell | 1 | 5984.25 | Aggressive |
| 2025-05-19T18:20:30.911 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:29.983 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:29.983 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:28.548 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:28.548 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:25.899 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:25.899 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:25.898 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:22.809 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:14.157 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:09.16 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:05.737 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:20:04.621 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:22.519 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:22.519 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:16.159 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:15.371 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:04.241 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:01.783 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:01.783 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:01.783 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:28.958 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
| 2025-05-19T18:20:12.123 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:09.803 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:20:07.658 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:20:07.657 | SIM:ESM5 | Sell | 3 | 5984.75 | Aggressive |
| 2025-05-19T18:20:06.679 | SIM:ESM5 | Sell | 2 | 5984.75 | Aggressive |
| 2025-05-19T18:19:59.191 | SIM:ESM5 | Sell | 1 | 5984.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.5750
Arrival Price
5,985.1250
Average Total
5,985.0650
Destination Price
5,984.8750
Sweep to Fill
5,985.6400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:19:56.516 | SIM:ESM5 | Buy | 4 | 5985.25 | Aggressive |
| 2025-05-19T18:19:42.107 | SIM:ESM5 | Buy | 4 | 5985 | Aggressive |
| 2025-05-19T18:19:36.788 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:19:31.719 | SIM:ESM5 | Buy | 5 | 5985 | Aggressive |
| 2025-05-19T18:19:31.483 | SIM:ESM5 | Buy | 2 | 5985 | Aggressive |
| 2025-05-19T18:19:57.875 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:19:57.875 | SIM:ESM5 | Buy | 1 | 5985 | Aggressive |
| 2025-05-19T18:19:56.516 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:19:36.788 | SIM:ESM5 | Buy | 4 | 5985 | Aggressive |
| 2025-05-19T18:19:34.919 | SIM:ESM5 | Buy | 2 | 5985 | Aggressive |
| 2025-05-19T18:19:33.739 | SIM:ESM5 | Buy | 3 | 5985 | Aggressive |
| 2025-05-19T18:19:28.707 | SIM:ESM5 | Buy | 2 | 5985 | Aggressive |
| 2025-05-19T18:19:26.633 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:19:26.633 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:19:29.655 | SIM:ESM5 | Buy | 6 | 5985 | Aggressive |
| 2025-05-19T18:19:28.707 | SIM:ESM5 | Buy | 4 | 5985 | Aggressive |
| 2025-05-19T18:19:27.678 | SIM:ESM5 | Buy | 2 | 5985.25 | Aggressive |
| 2025-05-19T18:19:25.444 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
| 2025-05-19T18:19:23.646 | SIM:ESM5 | Buy | 1 | 5985.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.6350
Arrival Price
5,983.8750
Average Total
5,983.8600
Destination Price
5,984.1250
Sweep to Fill
5,983.2250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-05-19T18:18:44.348 | SIM:ESM5 | Sell | 1 | 5983.75 | Aggressive |
| 2025-05-19T18:18:44.348 | SIM:ESM5 | Sell | 7 | 5984 | Aggressive |
| 2025-05-19T18:18:43.155 | SIM:ESM5 | Sell | 4 | 5984 | Aggressive |
| 2025-05-19T18:18:38.146 | SIM:ESM5 | Sell | 2 | 5983.75 | Aggressive |
| 2025-05-19T18:18:36.12 | SIM:ESM5 | Sell | 2 | 5983.75 | Aggressive |
| 2025-05-19T18:18:35.574 | SIM:ESM5 | Sell | 2 | 5983.75 | Aggressive |
| 2025-05-19T18:18:32.075 | SIM:ESM5 | Sell | 3 | 5983.75 | Aggressive |
| 2025-05-19T18:18:52.717 | SIM:ESM5 | Sell | 2 | 5984 | Aggressive |
| 2025-05-19T18:18:50.412 | SIM:ESM5 | Sell | 2 | 5984 | Aggressive |
| 2025-05-19T18:18:47.528 | SIM:ESM5 | Sell | 3 | 5984 | Aggressive |
| 2025-05-19T18:18:45.146 | SIM:ESM5 | Sell | 2 | 5984 | Aggressive |
| 2025-05-19T18:18:42.374 | SIM:ESM5 | Sell | 2 | 5984 | Aggressive |
| 2025-05-19T18:18:40.488 | SIM:ESM5 | Sell | 3 | 5983.75 | Aggressive |
| 2025-05-19T18:18:39.139 | SIM:ESM5 | Sell | 3 | 5983.75 | Aggressive |
| 2025-05-19T18:18:37.278 | SIM:ESM5 | Sell | 1 | 5983.75 | Aggressive |
| 2025-05-19T18:18:36.303 | SIM:ESM5 | Sell | 4 | 5983.75 | Aggressive |
| 2025-05-19T18:18:34.222 | SIM:ESM5 | Sell | 3 | 5983.75 | Aggressive |
| 2025-05-19T18:18:33.16 | SIM:ESM5 | Sell | 3 | 5983.75 | Aggressive |
| 2025-05-19T18:18:31.613 | SIM:ESM5 | Sell | 1 | 5983.75 | Aggressive |