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
50
Slippage
0.1250
Slippage Sweep
-0.1500
Arrival Price
6,047.3750
Average Total
6,047.2500
Destination Price
6,047.6250
Sweep to Fill
6,047.1000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T12:44:43.883 | SIM:ESM5 | Sell | 10 | 6047.25 | Passive |
| 2025-06-12T12:44:43.018 | SIM:ESM5 | Sell | 3 | 6047.25 | Aggressive |
| 2025-06-12T12:44:41.944 | SIM:ESM5 | Sell | 11 | 6047.25 | Aggressive |
| 2025-06-12T12:44:41.944 | SIM:ESM5 | Sell | 4 | 6047.25 | Aggressive |
| 2025-06-12T12:44:37.902 | SIM:ESM5 | Sell | 2 | 6047.25 | Aggressive |
| 2025-06-12T12:44:43.883 | SIM:ESM5 | Sell | 13 | 6047.25 | Aggressive |
| 2025-06-12T12:44:39.903 | SIM:ESM5 | Sell | 3 | 6047.25 | Aggressive |
| 2025-06-12T12:44:38.966 | SIM:ESM5 | Sell | 3 | 6047.25 | Aggressive |
| 2025-06-12T12:44:36.844 | SIM:ESM5 | Sell | 1 | 6047.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.2900
Arrival Price
6,047.6250
Average Total
6,047.4900
Destination Price
6,047.1250
Sweep to Fill
6,047.7800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T12:44:32.212 | SIM:ESM5 | Buy | 9 | 6047.75 | Aggressive |
| 2025-06-12T12:44:35.204 | SIM:ESM5 | Buy | 20 | 6047.25 | Aggressive |
| 2025-06-12T12:44:35.204 | SIM:ESM5 | Buy | 1 | 6047.25 | Aggressive |
| 2025-06-12T12:44:30.236 | SIM:ESM5 | Buy | 7 | 6047.75 | Aggressive |
| 2025-06-12T12:44:36.439 | SIM:ESM5 | Buy | 5 | 6047.25 | Aggressive |
| 2025-06-12T12:44:31.244 | SIM:ESM5 | Buy | 7 | 6047.75 | Aggressive |
| 2025-06-12T12:44:29.186 | SIM:ESM5 | Buy | 1 | 6047.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1450
Slippage Sweep
-0.6850
Arrival Price
5,996.8750
Average Total
5,997.0200
Destination Price
5,997.3750
Sweep to Fill
5,996.3350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T05:29:46.361 | SIM:ESM5 | Sell | 2 | 5997.25 | Aggressive |
| 2025-06-12T05:29:46.361 | SIM:ESM5 | Sell | 6 | 5997.25 | Aggressive |
| 2025-06-12T05:29:45.061 | SIM:ESM5 | Sell | 4 | 5997 | Aggressive |
| 2025-06-12T05:29:41.828 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:36.359 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:36.359 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:34.816 | SIM:ESM5 | Sell | 2 | 5997 | Aggressive |
| 2025-06-12T05:29:33.545 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:32.673 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:03.209 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:00.096 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:28:58.953 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:45.727 | SIM:ESM5 | Sell | 1 | 5997.25 | Passive |
| 2025-06-12T05:29:43.56 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:38.226 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:38.226 | SIM:ESM5 | Sell | 4 | 5997 | Aggressive |
| 2025-06-12T05:29:38.226 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:30.964 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:29:24.4 | SIM:ESM5 | Sell | 2 | 5997 | Aggressive |
| 2025-06-12T05:29:24.4 | SIM:ESM5 | Sell | 7 | 5997 | Aggressive |
| 2025-06-12T05:28:58.241 | SIM:ESM5 | Sell | 1 | 5996.75 | Aggressive |
| 2025-06-12T05:29:29.199 | SIM:ESM5 | Sell | 2 | 5997 | Aggressive |
| 2025-06-12T05:29:26.304 | SIM:ESM5 | Sell | 1 | 5997.25 | Passive |
| 2025-06-12T05:29:19.18 | SIM:ESM5 | Sell | 1 | 5996.75 | Aggressive |
| 2025-06-12T05:29:14.342 | SIM:ESM5 | Sell | 2 | 5996.75 | Aggressive |
| 2025-06-12T05:29:12.123 | SIM:ESM5 | Sell | 1 | 5996.75 | Aggressive |
| 2025-06-12T05:29:01.969 | SIM:ESM5 | Sell | 1 | 5997 | Aggressive |
| 2025-06-12T05:28:56.06 | SIM:ESM5 | Sell | 1 | 5996.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4300
Slippage Sweep
-0.9100
Arrival Price
5,997.6250
Average Total
5,997.1950
Destination Price
5,996.8750
Sweep to Fill
5,998.1050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T05:28:52.068 | SIM:ESM5 | Buy | 1 | 5997 | Aggressive |
| 2025-06-12T05:28:52.068 | SIM:ESM5 | Buy | 4 | 5997 | Aggressive |
| 2025-06-12T05:28:50.897 | SIM:ESM5 | Buy | 4 | 5997.25 | Aggressive |
| 2025-06-12T05:28:50.897 | SIM:ESM5 | Buy | 2 | 5997 | Aggressive |
| 2025-06-12T05:28:49.198 | SIM:ESM5 | Buy | 4 | 5997.25 | Aggressive |
| 2025-06-12T05:28:51.049 | SIM:ESM5 | Buy | 1 | 5997.25 | Aggressive |
| 2025-06-12T05:28:51.049 | SIM:ESM5 | Buy | 1 | 5997 | Aggressive |
| 2025-06-12T05:28:51.049 | SIM:ESM5 | Buy | 1 | 5997 | Passive |
| 2025-06-12T05:28:51.049 | SIM:ESM5 | Buy | 1 | 5997 | Passive |
| 2025-06-12T05:28:51.049 | SIM:ESM5 | Buy | 1 | 5997 | Passive |
| 2025-06-12T05:28:51.013 | SIM:ESM5 | Buy | 14 | 5997.25 | Aggressive |
| 2025-06-12T05:28:48.012 | SIM:ESM5 | Buy | 2 | 5997.25 | Aggressive |
| 2025-06-12T05:28:50.02 | SIM:ESM5 | Buy | 13 | 5997.25 | Aggressive |
| 2025-06-12T05:28:47.515 | SIM:ESM5 | Buy | 1 | 5997.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2250
Slippage Sweep
-0.5950
Arrival Price
6,004.6250
Average Total
6,004.4000
Destination Price
6,004.1250
Sweep to Fill
6,004.9950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T03:59:49.418 | SIM:ESM5 | Buy | 1 | 6004.25 | Aggressive |
| 2025-06-12T03:59:46.258 | SIM:ESM5 | Buy | 5 | 6004.25 | Aggressive |
| 2025-06-12T03:59:42.219 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:59:50.283 | SIM:ESM5 | Buy | 6 | 6004.25 | Aggressive |
| 2025-06-12T03:59:47.411 | SIM:ESM5 | Buy | 5 | 6004.5 | Aggressive |
| 2025-06-12T03:59:47.411 | SIM:ESM5 | Buy | 8 | 6004.25 | Aggressive |
| 2025-06-12T03:59:45.19 | SIM:ESM5 | Buy | 7 | 6004.5 | Aggressive |
| 2025-06-12T03:59:45.19 | SIM:ESM5 | Buy | 6 | 6004.25 | Aggressive |
| 2025-06-12T03:59:43.225 | SIM:ESM5 | Buy | 5 | 6004.5 | Aggressive |
| 2025-06-12T03:59:43.225 | SIM:ESM5 | Buy | 1 | 6004.5 | Aggressive |
| 2025-06-12T03:59:41.725 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:59:40.225 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:59:39.479 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:59:38.153 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:59:35.227 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4800
Slippage Sweep
-0.8400
Arrival Price
6,003.6250
Average Total
6,004.1050
Destination Price
6,004.3750
Sweep to Fill
6,003.2650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T03:59:01.245 | SIM:ESM5 | Sell | 6 | 6004 | Aggressive |
| 2025-06-12T03:59:01.245 | SIM:ESM5 | Sell | 9 | 6004.25 | Aggressive |
| 2025-06-12T03:59:00.225 | SIM:ESM5 | Sell | 6 | 6004 | Aggressive |
| 2025-06-12T03:59:03.392 | SIM:ESM5 | Sell | 9 | 6004 | Aggressive |
| 2025-06-12T03:59:03.392 | SIM:ESM5 | Sell | 3 | 6004.25 | Aggressive |
| 2025-06-12T03:59:02.468 | SIM:ESM5 | Sell | 5 | 6004 | Aggressive |
| 2025-06-12T03:59:02.468 | SIM:ESM5 | Sell | 11 | 6004.25 | Aggressive |
| 2025-06-12T03:58:58.254 | SIM:ESM5 | Sell | 1 | 6003.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1700
Slippage Sweep
-0.5150
Arrival Price
6,003.8750
Average Total
6,003.7050
Destination Price
6,003.6250
Sweep to Fill
6,004.2200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T03:58:10.126 | SIM:ESM5 | Buy | 10 | 6003.75 | Aggressive |
| 2025-06-12T03:58:10.126 | SIM:ESM5 | Buy | 9 | 6003.5 | Aggressive |
| 2025-06-12T03:58:56.725 | SIM:ESM5 | Buy | 3 | 6003.75 | Aggressive |
| 2025-06-12T03:58:05.225 | SIM:ESM5 | Buy | 1 | 6003.75 | Aggressive |
| 2025-06-12T03:57:59.6 | SIM:ESM5 | Buy | 5 | 6003.75 | Aggressive |
| 2025-06-12T03:57:57.108 | SIM:ESM5 | Buy | 1 | 6003.75 | Aggressive |
| 2025-06-12T03:57:56.128 | SIM:ESM5 | Buy | 3 | 6003.75 | Aggressive |
| 2025-06-12T03:58:09.644 | SIM:ESM5 | Buy | 1 | 6003.75 | Aggressive |
| 2025-06-12T03:58:08.267 | SIM:ESM5 | Buy | 4 | 6003.75 | Aggressive |
| 2025-06-12T03:58:07.115 | SIM:ESM5 | Buy | 5 | 6003.75 | Aggressive |
| 2025-06-12T03:58:07.115 | SIM:ESM5 | Buy | 3 | 6003.75 | Aggressive |
| 2025-06-12T03:58:06.227 | SIM:ESM5 | Buy | 2 | 6003.75 | Aggressive |
| 2025-06-12T03:57:58.544 | SIM:ESM5 | Buy | 2 | 6003.75 | Aggressive |
| 2025-06-12T03:57:52.974 | SIM:ESM5 | Buy | 1 | 6003.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0050
Slippage Sweep
-0.4550
Arrival Price
6,003.8750
Average Total
6,003.8800
Destination Price
6,004.1250
Sweep to Fill
6,003.4250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T03:57:09.439 | SIM:ESM5 | Sell | 2 | 6003.75 | Passive |
| 2025-06-12T03:57:09.439 | SIM:ESM5 | Sell | 18 | 6003.75 | Passive |
| 2025-06-12T03:57:09.439 | SIM:ESM5 | Sell | 1 | 6003.75 | Aggressive |
| 2025-06-12T03:57:02.687 | SIM:ESM5 | Sell | 11 | 6004 | Passive |
| 2025-06-12T03:57:02.687 | SIM:ESM5 | Sell | 2 | 6004 | Aggressive |
| 2025-06-12T03:57:00.713 | SIM:ESM5 | Sell | 1 | 6003.75 | Aggressive |
| 2025-06-12T03:56:59.329 | SIM:ESM5 | Sell | 1 | 6003.75 | Aggressive |
| 2025-06-12T03:57:22.518 | SIM:ESM5 | Sell | 2 | 6004 | Aggressive |
| 2025-06-12T03:56:57.683 | SIM:ESM5 | Sell | 1 | 6004 | Aggressive |
| 2025-06-12T03:57:05.416 | SIM:ESM5 | Sell | 8 | 6004 | Passive |
| 2025-06-12T03:57:03.476 | SIM:ESM5 | Sell | 2 | 6004 | Aggressive |
| 2025-06-12T03:56:55.226 | SIM:ESM5 | Sell | 1 | 6003.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2750
Slippage Sweep
-0.7800
Arrival Price
6,004.8750
Average Total
6,004.6000
Destination Price
6,003.6250
Sweep to Fill
6,005.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-12T03:56:44.513 | SIM:ESM5 | Buy | 3 | 6004.75 | Aggressive |
| 2025-06-12T03:56:53.379 | SIM:ESM5 | Buy | 3 | 6003.75 | Aggressive |
| 2025-06-12T03:56:52.168 | SIM:ESM5 | Buy | 6 | 6004.5 | Aggressive |
| 2025-06-12T03:56:52.168 | SIM:ESM5 | Buy | 13 | 6004.5 | Aggressive |
| 2025-06-12T03:56:42.145 | SIM:ESM5 | Buy | 5 | 6004.75 | Aggressive |
| 2025-06-12T03:56:40.546 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:56:38.296 | SIM:ESM5 | Buy | 3 | 6004.75 | Aggressive |
| 2025-06-12T03:56:36.242 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:56:35.013 | SIM:ESM5 | Buy | 4 | 6004.75 | Aggressive |
| 2025-06-12T03:56:30.217 | SIM:ESM5 | Buy | 3 | 6004.75 | Aggressive |
| 2025-06-12T03:56:51.225 | SIM:ESM5 | Buy | 1 | 6004.75 | Aggressive |
| 2025-06-12T03:56:43.226 | SIM:ESM5 | Buy | 2 | 6004.75 | Aggressive |
| 2025-06-12T03:56:43.226 | SIM:ESM5 | Buy | 4 | 6004.75 | Aggressive |
| 2025-06-12T03:56:25.991 | SIM:ESM5 | Buy | 1 | 6005 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5350
Slippage Sweep
-1.0650
Arrival Price
6,009.6250
Average Total
6,010.1600
Destination Price
6,010.3750
Sweep to Fill
6,009.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T23:27:29.852 | SIM:ESM5 | Sell | 4 | 6010 | Aggressive |
| 2025-06-11T23:27:29.852 | SIM:ESM5 | Sell | 6 | 6010.25 | Aggressive |
| 2025-06-11T23:27:27.139 | SIM:ESM5 | Sell | 6 | 6010.25 | Aggressive |
| 2025-06-11T23:27:25.944 | SIM:ESM5 | Sell | 1 | 6010 | Aggressive |
| 2025-06-11T23:27:24.86 | SIM:ESM5 | Sell | 8 | 6010.25 | Aggressive |
| 2025-06-11T23:27:27.139 | SIM:ESM5 | Sell | 5 | 6010 | Aggressive |
| 2025-06-11T23:27:25.944 | SIM:ESM5 | Sell | 7 | 6010.25 | Aggressive |
| 2025-06-11T23:27:24.86 | SIM:ESM5 | Sell | 1 | 6010 | Aggressive |
| 2025-06-11T23:27:24.315 | SIM:ESM5 | Sell | 1 | 6010 | Aggressive |
| 2025-06-11T23:27:24.315 | SIM:ESM5 | Sell | 8 | 6010.25 | Aggressive |
| 2025-06-11T23:27:22.822 | SIM:ESM5 | Sell | 2 | 6009.75 | Aggressive |
| 2025-06-11T23:27:22.249 | SIM:ESM5 | Sell | 1 | 6009.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2000
Slippage Sweep
-0.9200
Arrival Price
6,010.1250
Average Total
6,009.9250
Destination Price
6,009.6250
Sweep to Fill
6,010.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T23:27:13.571 | SIM:ESM5 | Buy | 8 | 6010 | Aggressive |
| 2025-06-11T23:26:40.615 | SIM:ESM5 | Buy | 1 | 6010.25 | Aggressive |
| 2025-06-11T23:27:15.215 | SIM:ESM5 | Buy | 1 | 6009.75 | Passive |
| 2025-06-11T23:27:15.215 | SIM:ESM5 | Buy | 8 | 6009.75 | Aggressive |
| 2025-06-11T23:27:14.264 | SIM:ESM5 | Buy | 7 | 6009.75 | Aggressive |
| 2025-06-11T23:27:13.24 | SIM:ESM5 | Buy | 1 | 6010 | Passive |
| 2025-06-11T23:27:13.24 | SIM:ESM5 | Buy | 7 | 6010 | Aggressive |
| 2025-06-11T23:27:13.24 | SIM:ESM5 | Buy | 1 | 6010 | Aggressive |
| 2025-06-11T23:27:13.24 | SIM:ESM5 | Buy | 7 | 6009.75 | Aggressive |
| 2025-06-11T23:27:06.854 | SIM:ESM5 | Buy | 1 | 6010.25 | Passive |
| 2025-06-11T23:27:00.253 | SIM:ESM5 | Buy | 1 | 6010.25 | Aggressive |
| 2025-06-11T23:26:55.464 | SIM:ESM5 | Buy | 1 | 6010.25 | Aggressive |
| 2025-06-11T23:26:36.222 | SIM:ESM5 | Buy | 1 | 6010.25 | Passive |
| 2025-06-11T23:27:10.151 | SIM:ESM5 | Buy | 1 | 6010 | Aggressive |
| 2025-06-11T23:26:50.67 | SIM:ESM5 | Buy | 1 | 6010.25 | Aggressive |
| 2025-06-11T23:26:45.755 | SIM:ESM5 | Buy | 1 | 6010 | Aggressive |
| 2025-06-11T23:26:30.713 | SIM:ESM5 | Buy | 1 | 6010.25 | Aggressive |
| 2025-06-11T23:26:25.728 | SIM:ESM5 | Buy | 1 | 6010.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1150
Slippage Sweep
-0.5000
Arrival Price
6,003.1250
Average Total
6,003.2400
Destination Price
6,003.6250
Sweep to Fill
6,002.7400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T20:59:04.05 | SIM:ESM5 | Sell | 2 | 6003.25 | Aggressive |
| 2025-06-11T20:58:12.574 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:59:08.222 | SIM:ESM5 | Sell | 1 | 6003.5 | Aggressive |
| 2025-06-11T20:59:07.162 | SIM:ESM5 | Sell | 1 | 6003.25 | Aggressive |
| 2025-06-11T20:59:07.162 | SIM:ESM5 | Sell | 8 | 6003.5 | Aggressive |
| 2025-06-11T20:59:05.473 | SIM:ESM5 | Sell | 2 | 6003.25 | Aggressive |
| 2025-06-11T20:58:58.7 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:31.869 | SIM:ESM5 | Sell | 3 | 6003.25 | Aggressive |
| 2025-06-11T20:58:18.948 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:16.96 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:15.792 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:11.603 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:07.664 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:59:05.1 | SIM:ESM5 | Sell | 2 | 6003.25 | Aggressive |
| 2025-06-11T20:59:05.1 | SIM:ESM5 | Sell | 12 | 6003.25 | Aggressive |
| 2025-06-11T20:58:45.751 | SIM:ESM5 | Sell | 1 | 6003.25 | Aggressive |
| 2025-06-11T20:58:42.955 | SIM:ESM5 | Sell | 7 | 6003.25 | Aggressive |
| 2025-06-11T20:58:40.948 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:10.237 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:06.754 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
| 2025-06-11T20:58:03.744 | SIM:ESM5 | Sell | 1 | 6003 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2750
Slippage Sweep
-0.1200
Arrival Price
6,002.8750
Average Total
6,003.1500
Destination Price
6,003.1250
Sweep to Fill
6,003.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T20:58:01.488 | SIM:ESM5 | Buy | 1 | 6003.25 | Aggressive |
| 2025-06-11T20:56:10.568 | SIM:ESM5 | Buy | 2 | 6003.5 | Aggressive |
| 2025-06-11T20:54:37.836 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:32.989 | SIM:ESM5 | Buy | 2 | 6003 | Aggressive |
| 2025-06-11T20:54:20.021 | SIM:ESM5 | Buy | 2 | 6002.75 | Aggressive |
| 2025-06-11T20:57:35.53 | SIM:ESM5 | Buy | 3 | 6003.75 | Aggressive |
| 2025-06-11T20:56:49.868 | SIM:ESM5 | Buy | 3 | 6003.75 | Aggressive |
| 2025-06-11T20:56:49.847 | SIM:ESM5 | Buy | 2 | 6003.75 | Aggressive |
| 2025-06-11T20:56:48.962 | SIM:ESM5 | Buy | 1 | 6003.5 | Aggressive |
| 2025-06-11T20:56:46.828 | SIM:ESM5 | Buy | 2 | 6003.5 | Aggressive |
| 2025-06-11T20:54:35.85 | SIM:ESM5 | Buy | 2 | 6002.75 | Aggressive |
| 2025-06-11T20:54:25.383 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:25.383 | SIM:ESM5 | Buy | 1 | 6002.5 | Aggressive |
| 2025-06-11T20:54:22.647 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:18.065 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:16.587 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:57:57.692 | SIM:ESM5 | Buy | 1 | 6003.25 | Passive |
| 2025-06-11T20:57:54.388 | SIM:ESM5 | Buy | 4 | 6003.5 | Aggressive |
| 2025-06-11T20:56:47.518 | SIM:ESM5 | Buy | 2 | 6003.5 | Aggressive |
| 2025-06-11T20:56:45.898 | SIM:ESM5 | Buy | 1 | 6003.5 | Aggressive |
| 2025-06-11T20:56:29.715 | SIM:ESM5 | Buy | 1 | 6003.5 | Aggressive |
| 2025-06-11T20:56:27.775 | SIM:ESM5 | Buy | 1 | 6003.5 | Aggressive |
| 2025-06-11T20:54:49.06 | SIM:ESM5 | Buy | 2 | 6002.75 | Aggressive |
| 2025-06-11T20:54:36.756 | SIM:ESM5 | Buy | 2 | 6002.75 | Aggressive |
| 2025-06-11T20:54:33.901 | SIM:ESM5 | Buy | 4 | 6002.75 | Aggressive |
| 2025-06-11T20:54:31.641 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:31.641 | SIM:ESM5 | Buy | 2 | 6002.75 | Aggressive |
| 2025-06-11T20:54:31.641 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:15.61 | SIM:ESM5 | Buy | 1 | 6002.75 | Aggressive |
| 2025-06-11T20:54:10.901 | SIM:ESM5 | Buy | 1 | 6003 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9100
Slippage Sweep
0.5500
Arrival Price
6,029.8750
Average Total
6,028.9650
Destination Price
6,029.3750
Sweep to Fill
6,029.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T15:14:51.23 | SIM:ESM5 | Sell | 7 | 6029.25 | Aggressive |
| 2025-06-11T15:14:26.011 | SIM:ESM5 | Sell | 3 | 6028.75 | Aggressive |
| 2025-06-11T15:14:23.032 | SIM:ESM5 | Sell | 5 | 6028.75 | Aggressive |
| 2025-06-11T15:14:14.408 | SIM:ESM5 | Sell | 1 | 6029.5 | Aggressive |
| 2025-06-11T15:14:11.908 | SIM:ESM5 | Sell | 1 | 6029.5 | Aggressive |
| 2025-06-11T15:14:36.743 | SIM:ESM5 | Sell | 2 | 6028.75 | Aggressive |
| 2025-06-11T15:14:26.011 | SIM:ESM5 | Sell | 13 | 6028.75 | Aggressive |
| 2025-06-11T15:14:20.962 | SIM:ESM5 | Sell | 2 | 6029 | Aggressive |
| 2025-06-11T15:14:19.185 | SIM:ESM5 | Sell | 1 | 6029 | Aggressive |
| 2025-06-11T15:14:19.185 | SIM:ESM5 | Sell | 1 | 6029 | Aggressive |
| 2025-06-11T15:14:15.069 | SIM:ESM5 | Sell | 1 | 6029.25 | Aggressive |
| 2025-06-11T15:14:10.459 | SIM:ESM5 | Sell | 1 | 6029.75 | Aggressive |
| 2025-06-11T15:14:35.094 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
| 2025-06-11T15:14:30.049 | SIM:ESM5 | Sell | 7 | 6028.75 | Aggressive |
| 2025-06-11T15:14:13.02 | SIM:ESM5 | Sell | 3 | 6029.5 | Aggressive |
| 2025-06-11T15:14:08.974 | SIM:ESM5 | Sell | 1 | 6029.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3300
Slippage Sweep
0.0050
Arrival Price
6,029.3750
Average Total
6,029.7050
Destination Price
6,029.8750
Sweep to Fill
6,029.7000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T15:14:02.062 | SIM:ESM5 | Buy | 1 | 6030 | Aggressive |
| 2025-06-11T15:14:08.089 | SIM:ESM5 | Buy | 13 | 6030 | Aggressive |
| 2025-06-11T15:14:04.12 | SIM:ESM5 | Buy | 3 | 6030 | Aggressive |
| 2025-06-11T15:14:03.05 | SIM:ESM5 | Buy | 1 | 6030 | Aggressive |
| 2025-06-11T15:14:01.06 | SIM:ESM5 | Buy | 2 | 6030 | Aggressive |
| 2025-06-11T15:13:40.134 | SIM:ESM5 | Buy | 3 | 6029.25 | Aggressive |
| 2025-06-11T15:13:37.833 | SIM:ESM5 | Buy | 2 | 6029.5 | Aggressive |
| 2025-06-11T15:13:36.014 | SIM:ESM5 | Buy | 2 | 6029.5 | Aggressive |
| 2025-06-11T15:13:36.014 | SIM:ESM5 | Buy | 5 | 6029.5 | Aggressive |
| 2025-06-11T15:14:07.169 | SIM:ESM5 | Buy | 2 | 6029.75 | Aggressive |
| 2025-06-11T15:14:06.103 | SIM:ESM5 | Buy | 2 | 6029.75 | Aggressive |
| 2025-06-11T15:13:42.419 | SIM:ESM5 | Buy | 2 | 6029.75 | Aggressive |
| 2025-06-11T15:13:37.058 | SIM:ESM5 | Buy | 4 | 6029.5 | Aggressive |
| 2025-06-11T15:13:32.807 | SIM:ESM5 | Buy | 4 | 6029.5 | Aggressive |
| 2025-06-11T15:13:38.88 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-11T15:13:31.921 | SIM:ESM5 | Buy | 1 | 6029.5 | Aggressive |
| 2025-06-11T15:13:30.834 | SIM:ESM5 | Buy | 1 | 6029.5 | Aggressive |