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
Buy
Quantity
50
Total Filled
50
Slippage
0.3900
Slippage Sweep
-0.1600
Arrival Price
5,974.8750
Average Total
5,975.2650
Destination Price
5,974.6250
Sweep to Fill
5,975.4250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-13T02:45:20.573 | SIM:ESM5 | Buy | 1 | 5975.5 | Aggressive |
| 2025-06-13T02:45:19.585 | SIM:ESM5 | Buy | 1 | 5975.75 | Aggressive |
| 2025-06-13T02:45:19.58 | SIM:ESM5 | Buy | 2 | 5975.75 | Aggressive |
| 2025-06-13T02:45:10.613 | SIM:ESM5 | Buy | 1 | 5975.25 | Aggressive |
| 2025-06-13T02:45:19.58 | SIM:ESM5 | Buy | 7 | 5975.75 | Aggressive |
| 2025-06-13T02:45:17.571 | SIM:ESM5 | Buy | 1 | 5975.5 | Aggressive |
| 2025-06-13T02:45:04.539 | SIM:ESM5 | Buy | 3 | 5975.25 | Aggressive |
| 2025-06-13T02:45:04.539 | SIM:ESM5 | Buy | 1 | 5975.25 | Aggressive |
| 2025-06-13T02:44:58.504 | SIM:ESM5 | Buy | 4 | 5975 | Aggressive |
| 2025-06-13T02:44:57.376 | SIM:ESM5 | Buy | 2 | 5975 | Aggressive |
| 2025-06-13T02:44:56.433 | SIM:ESM5 | Buy | 1 | 5975 | Aggressive |
| 2025-06-13T02:44:56.433 | SIM:ESM5 | Buy | 1 | 5975 | Aggressive |
| 2025-06-13T02:44:55.499 | SIM:ESM5 | Buy | 2 | 5975 | Aggressive |
| 2025-06-13T02:45:24.628 | SIM:ESM5 | Buy | 3 | 5974.75 | Aggressive |
| 2025-06-13T02:45:24.628 | SIM:ESM5 | Buy | 1 | 5974.75 | Aggressive |
| 2025-06-13T02:45:15.869 | SIM:ESM5 | Buy | 4 | 5975.25 | Aggressive |
| 2025-06-13T02:45:15.869 | SIM:ESM5 | Buy | 2 | 5975.25 | Aggressive |
| 2025-06-13T02:45:12.847 | SIM:ESM5 | Buy | 1 | 5975.25 | Passive |
| 2025-06-13T02:45:12.503 | SIM:ESM5 | Buy | 2 | 5975.5 | Aggressive |
| 2025-06-13T02:45:09.543 | SIM:ESM5 | Buy | 6 | 5975.25 | Aggressive |
| 2025-06-13T02:45:03.425 | SIM:ESM5 | Buy | 1 | 5975.25 | Aggressive |
| 2025-06-13T02:44:59.375 | SIM:ESM5 | Buy | 2 | 5975 | Aggressive |
| 2025-06-13T02:44:54.512 | SIM:ESM5 | Buy | 1 | 5975 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.7417
Arrival Price
5,951.6250
Average Total
5,951.7000
Destination Price
5,952.1250
Sweep to Fill
5,950.9583
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:43:59.006 | SIM:ESM5 | Sell | 2 | 5951.5 | Aggressive |
| 2025-06-12T22:44:11.157 | SIM:ESM5 | Sell | 2 | 5952 | Aggressive |
| 2025-06-12T22:44:08.089 | SIM:ESM5 | Sell | 4 | 5951.75 | Aggressive |
| 2025-06-12T22:44:07.005 | SIM:ESM5 | Sell | 3 | 5951.5 | Aggressive |
| 2025-06-12T22:44:07.005 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-12T22:44:06.054 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-12T22:44:02.004 | SIM:ESM5 | Sell | 3 | 5951.5 | Aggressive |
| 2025-06-12T22:44:02.004 | SIM:ESM5 | Sell | 3 | 5951.75 | Aggressive |
| 2025-06-12T22:43:58 | SIM:ESM5 | Sell | 2 | 5951.5 | Aggressive |
| 2025-06-12T22:43:57.077 | SIM:ESM5 | Sell | 2 | 5951.5 | Aggressive |
| 2025-06-12T22:44:10.221 | SIM:ESM5 | Sell | 1 | 5951.75 | Aggressive |
| 2025-06-12T22:44:10.221 | SIM:ESM5 | Sell | 4 | 5952 | Aggressive |
| 2025-06-12T22:44:09.089 | SIM:ESM5 | Sell | 3 | 5951.75 | Aggressive |
| 2025-06-12T22:44:09.089 | SIM:ESM5 | Sell | 3 | 5952 | Aggressive |
| 2025-06-12T22:44:01.101 | SIM:ESM5 | Sell | 3 | 5951.5 | Aggressive |
| 2025-06-12T22:44:01.101 | SIM:ESM5 | Sell | 3 | 5951.75 | Aggressive |
| 2025-06-12T22:44:00.306 | SIM:ESM5 | Sell | 2 | 5951.5 | Aggressive |
| 2025-06-12T22:43:56.282 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-12T22:43:56.282 | SIM:ESM5 | Sell | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:56.282 | SIM:ESM5 | Sell | 2 | 5952 | Aggressive |
| 2025-06-12T22:43:53.879 | SIM:ESM5 | Sell | 2 | 5951.5 | Aggressive |
| 2025-06-12T22:43:53.057 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2400
Slippage Sweep
-0.4550
Arrival Price
5,951.8750
Average Total
5,952.1150
Destination Price
5,951.6250
Sweep to Fill
5,952.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:43:52.367 | SIM:ESM5 | Buy | 2 | 5951.75 | Aggressive |
| 2025-06-12T22:43:52.254 | SIM:ESM5 | Buy | 2 | 5952 | Aggressive |
| 2025-06-12T22:43:52.254 | SIM:ESM5 | Buy | 3 | 5951.75 | Aggressive |
| 2025-06-12T22:43:48.435 | SIM:ESM5 | Buy | 2 | 5952 | Aggressive |
| 2025-06-12T22:43:39.216 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:39.216 | SIM:ESM5 | Buy | 2 | 5952.25 | Aggressive |
| 2025-06-12T22:43:39.216 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:38.864 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:50.365 | SIM:ESM5 | Buy | 4 | 5952 | Aggressive |
| 2025-06-12T22:43:50.365 | SIM:ESM5 | Buy | 1 | 5951.75 | Aggressive |
| 2025-06-12T22:43:49.487 | SIM:ESM5 | Buy | 3 | 5952 | Aggressive |
| 2025-06-12T22:43:49.487 | SIM:ESM5 | Buy | 1 | 5951.75 | Aggressive |
| 2025-06-12T22:43:47.718 | SIM:ESM5 | Buy | 2 | 5952 | Aggressive |
| 2025-06-12T22:43:44.841 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:42.256 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:41.503 | SIM:ESM5 | Buy | 1 | 5952 | Passive |
| 2025-06-12T22:43:37.276 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:37.276 | SIM:ESM5 | Buy | 2 | 5952.25 | Aggressive |
| 2025-06-12T22:43:35.361 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:33.16 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:33.16 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:30.452 | SIM:ESM5 | Buy | 3 | 5952.5 | Aggressive |
| 2025-06-12T22:43:30.452 | SIM:ESM5 | Buy | 3 | 5952.5 | Aggressive |
| 2025-06-12T22:43:30.141 | SIM:ESM5 | Buy | 3 | 5952.5 | Aggressive |
| 2025-06-12T22:43:46.775 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:43.366 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:43.366 | SIM:ESM5 | Buy | 1 | 5952 | Aggressive |
| 2025-06-12T22:43:36.243 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:34.213 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:34.213 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:43:27.779 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2200
Slippage Sweep
0.5645
Arrival Price
5,953.6250
Average Total
5,952.4050
Destination Price
5,951.6250
Sweep to Fill
5,952.9695
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:42:56.715 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-12T22:42:53.545 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-12T22:42:44.409 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-12T22:42:43.659 | SIM:ESM5 | Sell | 2 | 5952.75 | Aggressive |
| 2025-06-12T22:42:41.434 | SIM:ESM5 | Sell | 1 | 5952.75 | Aggressive |
| 2025-06-12T22:42:39.55 | SIM:ESM5 | Sell | 4 | 5952.5 | Aggressive |
| 2025-06-12T22:42:36.369 | SIM:ESM5 | Sell | 1 | 5952.5 | Passive |
| 2025-06-12T22:42:36.369 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-12T22:42:34.435 | SIM:ESM5 | Sell | 1 | 5952.75 | Aggressive |
| 2025-06-12T22:42:34.435 | SIM:ESM5 | Sell | 4 | 5952.75 | Aggressive |
| 2025-06-12T22:42:33.348 | SIM:ESM5 | Sell | 1 | 5953 | Aggressive |
| 2025-06-12T22:42:30.407 | SIM:ESM5 | Sell | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:42:29.375 | SIM:ESM5 | Sell | 4 | 5952.5 | Aggressive |
| 2025-06-12T22:42:25.259 | SIM:ESM5 | Sell | 1 | 5952 | Aggressive |
| 2025-06-12T22:42:53.545 | SIM:ESM5 | Sell | 4 | 5951.5 | Aggressive |
| 2025-06-12T22:42:21.215 | SIM:ESM5 | Sell | 1 | 5953.5 | Aggressive |
| 2025-06-12T22:42:21.215 | SIM:ESM5 | Sell | 1 | 5953.5 | Aggressive |
| 2025-06-12T22:42:51.542 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-12T22:42:50.501 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-12T22:42:43.659 | SIM:ESM5 | Sell | 1 | 5952.75 | Aggressive |
| 2025-06-12T22:42:42.55 | SIM:ESM5 | Sell | 2 | 5952.75 | Aggressive |
| 2025-06-12T22:42:41.434 | SIM:ESM5 | Sell | 3 | 5952.75 | Aggressive |
| 2025-06-12T22:42:30.407 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-12T22:42:26.353 | SIM:ESM5 | Sell | 4 | 5952.25 | Aggressive |
| 2025-06-12T22:42:25.259 | SIM:ESM5 | Sell | 1 | 5952.25 | Aggressive |
| 2025-06-12T22:42:24.253 | SIM:ESM5 | Sell | 1 | 5952 | Aggressive |
| 2025-06-12T22:42:23.257 | SIM:ESM5 | Sell | 2 | 5952 | Aggressive |
| 2025-06-12T22:42:20.809 | SIM:ESM5 | Sell | 1 | 5953.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.8203
Arrival Price
5,954.3750
Average Total
5,954.2100
Destination Price
5,953.8750
Sweep to Fill
5,955.0303
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:42:16.753 | SIM:ESM5 | Buy | 7 | 5954 | Aggressive |
| 2025-06-12T22:42:11.867 | SIM:ESM5 | Buy | 3 | 5954.25 | Aggressive |
| 2025-06-12T22:42:10.782 | SIM:ESM5 | Buy | 2 | 5954.25 | Aggressive |
| 2025-06-12T22:42:09.705 | SIM:ESM5 | Buy | 1 | 5954.5 | Aggressive |
| 2025-06-12T22:42:08.64 | SIM:ESM5 | Buy | 3 | 5954.5 | Aggressive |
| 2025-06-12T22:42:07.632 | SIM:ESM5 | Buy | 3 | 5954.5 | Aggressive |
| 2025-06-12T22:42:19.734 | SIM:ESM5 | Buy | 1 | 5953.75 | Aggressive |
| 2025-06-12T22:42:16.163 | SIM:ESM5 | Buy | 2 | 5954.25 | Aggressive |
| 2025-06-12T22:42:15.005 | SIM:ESM5 | Buy | 4 | 5954.25 | Aggressive |
| 2025-06-12T22:42:06.717 | SIM:ESM5 | Buy | 4 | 5954.5 | Aggressive |
| 2025-06-12T22:42:19.08 | SIM:ESM5 | Buy | 3 | 5954 | Aggressive |
| 2025-06-12T22:42:18.846 | SIM:ESM5 | Buy | 7 | 5954 | Aggressive |
| 2025-06-12T22:42:16.753 | SIM:ESM5 | Buy | 3 | 5954 | Passive |
| 2025-06-12T22:42:12.692 | SIM:ESM5 | Buy | 1 | 5954.25 | Aggressive |
| 2025-06-12T22:42:11.868 | SIM:ESM5 | Buy | 1 | 5954 | Passive |
| 2025-06-12T22:42:11.867 | SIM:ESM5 | Buy | 3 | 5954.25 | Aggressive |
| 2025-06-12T22:42:05.775 | SIM:ESM5 | Buy | 1 | 5954.75 | Aggressive |
| 2025-06-12T22:42:04.701 | SIM:ESM5 | Buy | 1 | 5954.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9550
Slippage Sweep
0.3376
Arrival Price
5,956.6250
Average Total
5,955.6700
Destination Price
5,955.3750
Sweep to Fill
5,956.0076
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:41:05.135 | SIM:ESM5 | Sell | 2 | 5955.25 | Aggressive |
| 2025-06-12T22:41:05.135 | SIM:ESM5 | Sell | 4 | 5955.25 | Aggressive |
| 2025-06-12T22:41:01.483 | SIM:ESM5 | Sell | 1 | 5955.25 | Aggressive |
| 2025-06-12T22:41:01.082 | SIM:ESM5 | Sell | 1 | 5955.25 | Aggressive |
| 2025-06-12T22:41:01.082 | SIM:ESM5 | Sell | 5 | 5955.25 | Aggressive |
| 2025-06-12T22:41:00.087 | SIM:ESM5 | Sell | 2 | 5955.25 | Aggressive |
| 2025-06-12T22:41:00.085 | SIM:ESM5 | Sell | 5 | 5955.25 | Aggressive |
| 2025-06-12T22:40:58.548 | SIM:ESM5 | Sell | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:40:52.23 | SIM:ESM5 | Sell | 3 | 5956 | Aggressive |
| 2025-06-12T22:41:33.85 | SIM:ESM5 | Sell | 1 | 5954.75 | Aggressive |
| 2025-06-12T22:41:08.58 | SIM:ESM5 | Sell | 1 | 5955.25 | Passive |
| 2025-06-12T22:41:08.58 | SIM:ESM5 | Sell | 1 | 5955.25 | Aggressive |
| 2025-06-12T22:40:53.939 | SIM:ESM5 | Sell | 3 | 5955.75 | Aggressive |
| 2025-06-12T22:40:53.939 | SIM:ESM5 | Sell | 1 | 5955.75 | Aggressive |
| 2025-06-12T22:40:50.143 | SIM:ESM5 | Sell | 1 | 5956.25 | Aggressive |
| 2025-06-12T22:40:48.039 | SIM:ESM5 | Sell | 3 | 5956.25 | Aggressive |
| 2025-06-12T22:40:48.039 | SIM:ESM5 | Sell | 4 | 5956.25 | Aggressive |
| 2025-06-12T22:40:44.355 | SIM:ESM5 | Sell | 2 | 5956.25 | Aggressive |
| 2025-06-12T22:40:57.12 | SIM:ESM5 | Sell | 1 | 5955.5 | Aggressive |
| 2025-06-12T22:40:56.621 | SIM:ESM5 | Sell | 1 | 5955.5 | Aggressive |
| 2025-06-12T22:40:48.938 | SIM:ESM5 | Sell | 1 | 5956.25 | Aggressive |
| 2025-06-12T22:40:48.419 | SIM:ESM5 | Sell | 1 | 5956.25 | Passive |
| 2025-06-12T22:40:48.419 | SIM:ESM5 | Sell | 1 | 5956.25 | Aggressive |
| 2025-06-12T22:40:44.355 | SIM:ESM5 | Sell | 2 | 5956.25 | Aggressive |
| 2025-06-12T22:40:42.41 | SIM:ESM5 | Sell | 1 | 5956.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.6800
Arrival Price
5,955.8750
Average Total
5,955.8900
Destination Price
5,956.6250
Sweep to Fill
5,956.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:40:40.368 | SIM:ESM5 | Buy | 3 | 5956.5 | Aggressive |
| 2025-06-12T22:40:41.354 | SIM:ESM5 | Buy | 3 | 5956.75 | Aggressive |
| 2025-06-12T22:40:40.345 | SIM:ESM5 | Buy | 6 | 5956.5 | Aggressive |
| 2025-06-12T22:40:22.386 | SIM:ESM5 | Buy | 2 | 5956 | Aggressive |
| 2025-06-12T22:40:27.242 | SIM:ESM5 | Buy | 5 | 5955.5 | Passive |
| 2025-06-12T22:40:27.242 | SIM:ESM5 | Buy | 10 | 5955.5 | Aggressive |
| 2025-06-12T22:40:26.236 | SIM:ESM5 | Buy | 8 | 5955.75 | Aggressive |
| 2025-06-12T22:40:26.236 | SIM:ESM5 | Buy | 7 | 5955.75 | Aggressive |
| 2025-06-12T22:40:25.253 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:40:24.278 | SIM:ESM5 | Buy | 2 | 5955.75 | Aggressive |
| 2025-06-12T22:40:23.731 | SIM:ESM5 | Buy | 2 | 5955.75 | Aggressive |
| 2025-06-12T22:40:21.177 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3050
Slippage Sweep
-0.3075
Arrival Price
5,955.3750
Average Total
5,955.0700
Destination Price
5,955.3750
Sweep to Fill
5,954.7625
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:39:35.413 | SIM:ESM5 | Sell | 1 | 5954.5 | Aggressive |
| 2025-06-12T22:39:35.413 | SIM:ESM5 | Sell | 10 | 5954.75 | Aggressive |
| 2025-06-12T22:39:31.378 | SIM:ESM5 | Sell | 1 | 5955 | Aggressive |
| 2025-06-12T22:39:26.638 | SIM:ESM5 | Sell | 1 | 5955 | Passive |
| 2025-06-12T22:39:24.38 | SIM:ESM5 | Sell | 1 | 5955.5 | Aggressive |
| 2025-06-12T22:39:24.38 | SIM:ESM5 | Sell | 1 | 5955.5 | Aggressive |
| 2025-06-12T22:39:24.38 | SIM:ESM5 | Sell | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:39:22.972 | SIM:ESM5 | Sell | 2 | 5955.5 | Passive |
| 2025-06-12T22:39:50.621 | SIM:ESM5 | Sell | 3 | 5955.25 | Aggressive |
| 2025-06-12T22:39:49.565 | SIM:ESM5 | Sell | 3 | 5955 | Aggressive |
| 2025-06-12T22:39:46.54 | SIM:ESM5 | Sell | 1 | 5955 | Aggressive |
| 2025-06-12T22:39:36.437 | SIM:ESM5 | Sell | 3 | 5954.75 | Aggressive |
| 2025-06-12T22:39:31.378 | SIM:ESM5 | Sell | 1 | 5955 | Aggressive |
| 2025-06-12T22:39:31.378 | SIM:ESM5 | Sell | 5 | 5955 | Aggressive |
| 2025-06-12T22:39:24.38 | SIM:ESM5 | Sell | 1 | 5955.5 | Passive |
| 2025-06-12T22:39:24.38 | SIM:ESM5 | Sell | 2 | 5955.5 | Passive |
| 2025-06-12T22:39:22.972 | SIM:ESM5 | Sell | 4 | 5955.5 | Aggressive |
| 2025-06-12T22:39:21.433 | SIM:ESM5 | Sell | 2 | 5955.25 | Aggressive |
| 2025-06-12T22:39:48.599 | SIM:ESM5 | Sell | 1 | 5955 | Passive |
| 2025-06-12T22:39:48.599 | SIM:ESM5 | Sell | 1 | 5954.75 | Aggressive |
| 2025-06-12T22:39:48.599 | SIM:ESM5 | Sell | 1 | 5955 | Aggressive |
| 2025-06-12T22:39:37.435 | SIM:ESM5 | Sell | 2 | 5954.75 | Aggressive |
| 2025-06-12T22:39:20.635 | SIM:ESM5 | Sell | 1 | 5955.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0950
Slippage Sweep
-0.6285
Arrival Price
5,955.6250
Average Total
5,955.7200
Destination Price
5,955.3750
Sweep to Fill
5,956.3485
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:39:15.286 | SIM:ESM5 | Buy | 3 | 5955.75 | Aggressive |
| 2025-06-12T22:39:15.286 | SIM:ESM5 | Buy | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:39:10.109 | SIM:ESM5 | Buy | 2 | 5955.25 | Aggressive |
| 2025-06-12T22:39:06.69 | SIM:ESM5 | Buy | 2 | 5955.75 | Aggressive |
| 2025-06-12T22:39:06.69 | SIM:ESM5 | Buy | 1 | 5955.75 | Aggressive |
| 2025-06-12T22:39:05.694 | SIM:ESM5 | Buy | 4 | 5956 | Aggressive |
| 2025-06-12T22:39:01.781 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:39:17.916 | SIM:ESM5 | Buy | 2 | 5955.75 | Aggressive |
| 2025-06-12T22:39:17.915 | SIM:ESM5 | Buy | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:39:15.924 | SIM:ESM5 | Buy | 5 | 5955.75 | Aggressive |
| 2025-06-12T22:39:15.924 | SIM:ESM5 | Buy | 1 | 5955.5 | Aggressive |
| 2025-06-12T22:38:58.707 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:39:19.852 | SIM:ESM5 | Buy | 1 | 5955.5 | Aggressive |
| 2025-06-12T22:39:17.129 | SIM:ESM5 | Buy | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:39:10.923 | SIM:ESM5 | Buy | 1 | 5955.75 | Aggressive |
| 2025-06-12T22:39:10.923 | SIM:ESM5 | Buy | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:39:09.079 | SIM:ESM5 | Buy | 2 | 5955.25 | Aggressive |
| 2025-06-12T22:39:07.833 | SIM:ESM5 | Buy | 4 | 5955.75 | Aggressive |
| 2025-06-12T22:39:07.833 | SIM:ESM5 | Buy | 2 | 5955.5 | Aggressive |
| 2025-06-12T22:39:05.694 | SIM:ESM5 | Buy | 2 | 5955.75 | Aggressive |
| 2025-06-12T22:39:04.698 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:39:03.741 | SIM:ESM5 | Buy | 1 | 5956 | Passive |
| 2025-06-12T22:39:03.741 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:39:03.741 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:39:01.151 | SIM:ESM5 | Buy | 2 | 5956 | Aggressive |
| 2025-06-12T22:38:59.639 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
| 2025-06-12T22:38:57.711 | SIM:ESM5 | Buy | 1 | 5956 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.8759
Arrival Price
5,954.0000
Average Total
5,954.1000
Destination Price
5,954.3750
Sweep to Fill
5,953.2241
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:38:24.525 | SIM:ESM5 | Sell | 2 | 5954.25 | Passive |
| 2025-06-12T22:38:24.525 | SIM:ESM5 | Sell | 5 | 5954.25 | Passive |
| 2025-06-12T22:38:23.403 | SIM:ESM5 | Sell | 2 | 5954.25 | Passive |
| 2025-06-12T22:38:23.403 | SIM:ESM5 | Sell | 5 | 5954.25 | Passive |
| 2025-06-12T22:38:23.294 | SIM:ESM5 | Sell | 1 | 5954 | Passive |
| 2025-06-12T22:38:23.294 | SIM:ESM5 | Sell | 4 | 5954 | Aggressive |
| 2025-06-12T22:38:21.87 | SIM:ESM5 | Sell | 7 | 5954.25 | Aggressive |
| 2025-06-12T22:38:25.58 | SIM:ESM5 | Sell | 1 | 5954.5 | Aggressive |
| 2025-06-12T22:38:21.955 | SIM:ESM5 | Sell | 3 | 5954.25 | Aggressive |
| 2025-06-12T22:38:20.376 | SIM:ESM5 | Sell | 5 | 5954 | Aggressive |
| 2025-06-12T22:38:18.448 | SIM:ESM5 | Sell | 1 | 5954 | Aggressive |
| 2025-06-12T22:38:18.448 | SIM:ESM5 | Sell | 1 | 5954 | Aggressive |
| 2025-06-12T22:38:18.274 | SIM:ESM5 | Sell | 1 | 5953.75 | Aggressive |
| 2025-06-12T22:38:26.828 | SIM:ESM5 | Sell | 1 | 5954.25 | Aggressive |
| 2025-06-12T22:38:19.376 | SIM:ESM5 | Sell | 1 | 5954.25 | Aggressive |
| 2025-06-12T22:38:19.376 | SIM:ESM5 | Sell | 1 | 5954 | Aggressive |
| 2025-06-12T22:38:19.376 | SIM:ESM5 | Sell | 1 | 5954.25 | Aggressive |
| 2025-06-12T22:38:18.274 | SIM:ESM5 | Sell | 1 | 5953.75 | Passive |
| 2025-06-12T22:38:18.274 | SIM:ESM5 | Sell | 3 | 5953.75 | Passive |
| 2025-06-12T22:38:16.352 | SIM:ESM5 | Sell | 2 | 5953.75 | Aggressive |
| 2025-06-12T22:38:16.104 | SIM:ESM5 | Sell | 1 | 5953.75 | Aggressive |
| 2025-06-12T22:38:14.386 | SIM:ESM5 | Sell | 1 | 5953.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9450
Slippage Sweep
0.3072
Arrival Price
5,952.8750
Average Total
5,953.8200
Destination Price
5,954.1250
Sweep to Fill
5,953.5128
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T22:38:12.787 | SIM:ESM5 | Buy | 3 | 5954.25 | Aggressive |
| 2025-06-12T22:38:09.855 | SIM:ESM5 | Buy | 1 | 5954.5 | Aggressive |
| 2025-06-12T22:38:08.526 | SIM:ESM5 | Buy | 3 | 5954.5 | Aggressive |
| 2025-06-12T22:38:07.487 | SIM:ESM5 | Buy | 3 | 5954.75 | Aggressive |
| 2025-06-12T22:38:06.613 | SIM:ESM5 | Buy | 4 | 5954.5 | Aggressive |
| 2025-06-12T22:38:02.514 | SIM:ESM5 | Buy | 3 | 5954.25 | Passive |
| 2025-06-12T22:38:02.514 | SIM:ESM5 | Buy | 2 | 5954.25 | Passive |
| 2025-06-12T22:38:02.514 | SIM:ESM5 | Buy | 2 | 5954.25 | Aggressive |
| 2025-06-12T22:38:00.427 | SIM:ESM5 | Buy | 3 | 5954 | Passive |
| 2025-06-12T22:37:58.438 | SIM:ESM5 | Buy | 1 | 5954 | Aggressive |
| 2025-06-12T22:37:54.383 | SIM:ESM5 | Buy | 2 | 5953.75 | Aggressive |
| 2025-06-12T22:37:54.383 | SIM:ESM5 | Buy | 1 | 5953.75 | Aggressive |
| 2025-06-12T22:37:52.352 | SIM:ESM5 | Buy | 3 | 5953.75 | Aggressive |
| 2025-06-12T22:37:52.352 | SIM:ESM5 | Buy | 1 | 5953.75 | Aggressive |
| 2025-06-12T22:37:48.355 | SIM:ESM5 | Buy | 2 | 5953 | Passive |
| 2025-06-12T22:37:48.355 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
| 2025-06-12T22:37:47.549 | SIM:ESM5 | Buy | 7 | 5953 | Aggressive |
| 2025-06-12T22:37:47.621 | SIM:ESM5 | Buy | 2 | 5953 | Aggressive |
| 2025-06-12T22:37:46.916 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
| 2025-06-12T22:37:46.916 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
| 2025-06-12T22:38:13.531 | SIM:ESM5 | Buy | 1 | 5954.25 | Aggressive |
| 2025-06-12T22:38:13.531 | SIM:ESM5 | Buy | 1 | 5954 | Aggressive |
| 2025-06-12T22:37:44.621 | SIM:ESM5 | Buy | 1 | 5952.75 | Aggressive |
| 2025-06-12T22:37:44.618 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0250
Slippage Sweep
0.2553
Arrival Price
5,948.5000
Average Total
5,947.4750
Destination Price
5,946.6250
Sweep to Fill
5,947.7303
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T21:29:23.512 | SIM:ESM5 | Sell | 2 | 5946.5 | Passive |
| 2025-06-12T21:29:23.512 | SIM:ESM5 | Sell | 1 | 5946.5 | Aggressive |
| 2025-06-12T21:29:20.861 | SIM:ESM5 | Sell | 2 | 5947.25 | Aggressive |
| 2025-06-12T21:29:18.288 | SIM:ESM5 | Sell | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:29:18.288 | SIM:ESM5 | Sell | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:29:18.276 | SIM:ESM5 | Sell | 4 | 5947.5 | Aggressive |
| 2025-06-12T21:29:15.258 | SIM:ESM5 | Sell | 3 | 5947.75 | Aggressive |
| 2025-06-12T21:29:15.257 | SIM:ESM5 | Sell | 1 | 5947.75 | Aggressive |
| 2025-06-12T21:29:14.243 | SIM:ESM5 | Sell | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:29:11.761 | SIM:ESM5 | Sell | 1 | 5948 | Passive |
| 2025-06-12T21:29:11.476 | SIM:ESM5 | Sell | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:29:11.476 | SIM:ESM5 | Sell | 1 | 5947.75 | Aggressive |
| 2025-06-12T21:29:07.458 | SIM:ESM5 | Sell | 3 | 5947.5 | Aggressive |
| 2025-06-12T21:29:23.512 | SIM:ESM5 | Sell | 6 | 5946.5 | Aggressive |
| 2025-06-12T21:29:18.276 | SIM:ESM5 | Sell | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:29:14.378 | SIM:ESM5 | Sell | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:29:05.168 | SIM:ESM5 | Sell | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:29:01.195 | SIM:ESM5 | Sell | 3 | 5947.75 | Aggressive |
| 2025-06-12T21:29:09.737 | SIM:ESM5 | Sell | 1 | 5947.75 | Aggressive |
| 2025-06-12T21:29:08.188 | SIM:ESM5 | Sell | 3 | 5947.75 | Aggressive |
| 2025-06-12T21:29:07.255 | SIM:ESM5 | Sell | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:29:06.176 | SIM:ESM5 | Sell | 1 | 5947.75 | Aggressive |
| 2025-06-12T21:29:03.431 | SIM:ESM5 | Sell | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:29:02.148 | SIM:ESM5 | Sell | 2 | 5948 | Aggressive |
| 2025-06-12T21:29:00.163 | SIM:ESM5 | Sell | 1 | 5948 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4250
Slippage Sweep
-0.2606
Arrival Price
5,947.3750
Average Total
5,947.8000
Destination Price
5,948.5000
Sweep to Fill
5,948.0606
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T21:28:56.262 | SIM:ESM5 | Buy | 1 | 5948.5 | Aggressive |
| 2025-06-12T21:28:56.262 | SIM:ESM5 | Buy | 1 | 5948.25 | Aggressive |
| 2025-06-12T21:28:48.389 | SIM:ESM5 | Buy | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:28:44.148 | SIM:ESM5 | Buy | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:28:44.128 | SIM:ESM5 | Buy | 1 | 5947.5 | Passive |
| 2025-06-12T21:28:44.128 | SIM:ESM5 | Buy | 2 | 5947.5 | Aggressive |
| 2025-06-12T21:28:43.135 | SIM:ESM5 | Buy | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:28:43.135 | SIM:ESM5 | Buy | 2 | 5947.5 | Aggressive |
| 2025-06-12T21:28:42.134 | SIM:ESM5 | Buy | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:28:42.134 | SIM:ESM5 | Buy | 1 | 5947.75 | Aggressive |
| 2025-06-12T21:28:56.262 | SIM:ESM5 | Buy | 2 | 5948.5 | Aggressive |
| 2025-06-12T21:28:55.361 | SIM:ESM5 | Buy | 1 | 5948.25 | Aggressive |
| 2025-06-12T21:28:39.293 | SIM:ESM5 | Buy | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:28:38.155 | SIM:ESM5 | Buy | 2 | 5947.75 | Aggressive |
| 2025-06-12T21:28:37.151 | SIM:ESM5 | Buy | 2 | 5947.5 | Aggressive |
| 2025-06-12T21:28:37.151 | SIM:ESM5 | Buy | 5 | 5947.5 | Aggressive |
| 2025-06-12T21:28:37.151 | SIM:ESM5 | Buy | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:28:36.271 | SIM:ESM5 | Buy | 1 | 5947 | Aggressive |
| 2025-06-12T21:28:58.542 | SIM:ESM5 | Buy | 5 | 5948.75 | Aggressive |
| 2025-06-12T21:28:58.542 | SIM:ESM5 | Buy | 4 | 5948.75 | Aggressive |
| 2025-06-12T21:28:39.121 | SIM:ESM5 | Buy | 2 | 5947.5 | Aggressive |
| 2025-06-12T21:28:38.155 | SIM:ESM5 | Buy | 3 | 5947.75 | Aggressive |
| 2025-06-12T21:28:38.155 | SIM:ESM5 | Buy | 1 | 5947.5 | Aggressive |
| 2025-06-12T21:28:38.154 | SIM:ESM5 | Buy | 1 | 5947.5 | Passive |
| 2025-06-12T21:28:35.482 | SIM:ESM5 | Buy | 1 | 5947 | Aggressive |
| 2025-06-12T21:28:30.062 | SIM:ESM5 | Buy | 3 | 5947 | Aggressive |
| 2025-06-12T21:28:30.062 | SIM:ESM5 | Buy | 1 | 5946.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0050
Slippage Sweep
-0.2600
Arrival Price
6,046.6250
Average Total
6,046.6300
Destination Price
6,046.8750
Sweep to Fill
6,046.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T14:29:39.278 | SIM:ESM5 | Sell | 19 | 6046.75 | Aggressive |
| 2025-06-12T14:29:40.423 | SIM:ESM5 | Sell | 7 | 6046.75 | Aggressive |
| 2025-06-12T14:29:39.271 | SIM:ESM5 | Sell | 17 | 6046.5 | Aggressive |
| 2025-06-12T14:29:37.291 | SIM:ESM5 | Sell | 6 | 6046.5 | Aggressive |
| 2025-06-12T14:29:36.259 | SIM:ESM5 | Sell | 1 | 6046.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0250
Arrival Price
6,046.6250
Average Total
6,046.7500
Destination Price
6,046.6250
Sweep to Fill
6,046.7750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T14:29:35.701 | SIM:ESM5 | Buy | 9 | 6046.75 | Aggressive |
| 2025-06-12T14:29:33.76 | SIM:ESM5 | Buy | 11 | 6046.75 | Aggressive |
| 2025-06-12T14:29:34.808 | SIM:ESM5 | Buy | 17 | 6046.75 | Aggressive |
| 2025-06-12T14:29:32.675 | SIM:ESM5 | Buy | 12 | 6046.75 | Aggressive |
| 2025-06-12T14:29:31.62 | SIM:ESM5 | Buy | 1 | 6046.75 | Passive |