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
-0.0500
Slippage Sweep
-0.3500
Arrival Price
5,953.3750
Average Total
5,953.3250
Destination Price
5,953.1250
Sweep to Fill
5,953.6750
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:24:16.46 SIM:ESM5 Buy 7 5953.25 Aggressive
2025-06-02T15:24:15.92 SIM:ESM5 Buy 7 5953.5 Aggressive
2025-06-02T15:24:15.92 SIM:ESM5 Buy 28 5953.25 Aggressive
2025-06-02T15:24:14.92 SIM:ESM5 Buy 1 5953.5 Aggressive
2025-06-02T15:24:13.443 SIM:ESM5 Buy 2 5953.5 Aggressive
2025-06-02T15:24:12.426 SIM:ESM5 Buy 2 5953.5 Aggressive
2025-06-02T15:24:11.725 SIM:ESM5 Buy 2 5953.5 Aggressive
2025-06-02T15:24:10.983 SIM:ESM5 Buy 1 5953.5 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1900
Arrival Price
5,953.6250
Average Total
5,953.5000
Destination Price
5,953.6250
Sweep to Fill
5,953.3100
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:23:35.523 SIM:ESM5 Sell 5 5953.5 Aggressive
2025-06-02T15:23:38.07 SIM:ESM5 Sell 3 5953.5 Aggressive
2025-06-02T15:23:32.613 SIM:ESM5 Sell 2 5953.5 Aggressive
2025-06-02T15:23:29.516 SIM:ESM5 Sell 4 5953.5 Aggressive
2025-06-02T15:23:29.193 SIM:ESM5 Sell 4 5953.5 Aggressive
2025-06-02T15:23:39.725 SIM:ESM5 Sell 1 5953.5 Aggressive
2025-06-02T15:23:36.634 SIM:ESM5 Sell 3 5953.5 Aggressive
2025-06-02T15:23:34.811 SIM:ESM5 Sell 3 5953.5 Aggressive
2025-06-02T15:23:34.81 SIM:ESM5 Sell 4 5953.5 Aggressive
2025-06-02T15:23:28.038 SIM:ESM5 Sell 7 5953.5 Aggressive
2025-06-02T15:23:26.866 SIM:ESM5 Sell 5 5953.5 Aggressive
2025-06-02T15:23:25.412 SIM:ESM5 Sell 4 5953.5 Aggressive
2025-06-02T15:23:24.417 SIM:ESM5 Sell 4 5953.5 Aggressive
2025-06-02T15:23:23.568 SIM:ESM5 Sell 1 5953.5 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0800
Arrival Price
5,953.6250
Average Total
5,953.7500
Destination Price
5,953.6250
Sweep to Fill
5,953.8300
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:23:21.721 SIM:ESM5 Buy 4 5953.75 Aggressive
2025-06-02T15:23:21.72 SIM:ESM5 Buy 4 5953.75 Aggressive
2025-06-02T15:23:13.249 SIM:ESM5 Buy 6 5953.75 Aggressive
2025-06-02T15:23:20.773 SIM:ESM5 Buy 14 5953.75 Aggressive
2025-06-02T15:23:11.797 SIM:ESM5 Buy 3 5953.75 Aggressive
2025-06-02T15:23:22.975 SIM:ESM5 Buy 10 5953.75 Aggressive
2025-06-02T15:23:10.668 SIM:ESM5 Buy 4 5953.75 Aggressive
2025-06-02T15:23:10.668 SIM:ESM5 Buy 4 5953.75 Aggressive
2025-06-02T15:23:09.04 SIM:ESM5 Buy 1 5953.75 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0250
Arrival Price
5,953.3750
Average Total
5,953.2500
Destination Price
5,953.3750
Sweep to Fill
5,953.2250
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:22:38.13 SIM:ESM5 Sell 3 5953.25 Aggressive
2025-06-02T15:22:34.477 SIM:ESM5 Sell 5 5953.25 Aggressive
2025-06-02T15:22:34.477 SIM:ESM5 Sell 13 5953.25 Aggressive
2025-06-02T15:22:34.338 SIM:ESM5 Sell 1 5953.25 Aggressive
2025-06-02T15:22:34.613 SIM:ESM5 Sell 7 5953.25 Aggressive
2025-06-02T15:22:34.613 SIM:ESM5 Sell 7 5953.25 Aggressive
2025-06-02T15:22:34.613 SIM:ESM5 Sell 6 5953.25 Aggressive
2025-06-02T15:22:34.613 SIM:ESM5 Sell 1 5953.25 Aggressive
2025-06-02T15:22:29.911 SIM:ESM5 Sell 7 5953.25 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1100
Slippage Sweep
-0.0900
Arrival Price
5,953.6250
Average Total
5,953.7350
Destination Price
5,953.3750
Sweep to Fill
5,953.8250
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:22:26.455 SIM:ESM5 Buy 1 5953.5 Aggressive
2025-06-02T15:22:25.874 SIM:ESM5 Buy 5 5953.75 Aggressive
2025-06-02T15:22:25.874 SIM:ESM5 Buy 11 5953.75 Aggressive
2025-06-02T15:22:25.874 SIM:ESM5 Buy 11 5953.75 Aggressive
2025-06-02T15:22:25.874 SIM:ESM5 Buy 11 5953.75 Aggressive
2025-06-02T15:22:25.873 SIM:ESM5 Buy 2 5953.75 Aggressive
2025-06-02T15:22:25.873 SIM:ESM5 Buy 1 5953.5 Aggressive
2025-06-02T15:22:25.873 SIM:ESM5 Buy 1 5953.5 Passive
2025-06-02T15:22:20.412 SIM:ESM5 Buy 2 5953.75 Aggressive
2025-06-02T15:22:19.517 SIM:ESM5 Buy 2 5953.75 Aggressive
2025-06-02T15:22:18.673 SIM:ESM5 Buy 2 5953.75 Aggressive
2025-06-02T15:22:17.459 SIM:ESM5 Buy 1 5953.75 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0050
Slippage Sweep
-0.1300
Arrival Price
5,953.8750
Average Total
5,953.8800
Destination Price
5,954.1250
Sweep to Fill
5,953.7500
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:21:46.921 SIM:ESM5 Sell 23 5953.75 Aggressive
2025-06-02T15:21:46.921 SIM:ESM5 Sell 26 5954 Aggressive
2025-06-02T15:21:46.267 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
0.4300
Slippage Sweep
0.0750
Arrival Price
5,953.3750
Average Total
5,953.8050
Destination Price
5,954.1250
Sweep to Fill
5,953.7300
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:21:32.171 SIM:ESM5 Buy 8 5953.75 Aggressive
2025-06-02T15:21:45.648 SIM:ESM5 Buy 1 5954 Aggressive
2025-06-02T15:21:45.648 SIM:ESM5 Buy 2 5954 Passive
2025-06-02T15:21:39.479 SIM:ESM5 Buy 4 5953.75 Aggressive
2025-06-02T15:21:31.252 SIM:ESM5 Buy 1 5953.75 Aggressive
2025-06-02T15:21:30.748 SIM:ESM5 Buy 1 5953.75 Aggressive
2025-06-02T15:21:43.715 SIM:ESM5 Buy 10 5954 Aggressive
2025-06-02T15:21:38.584 SIM:ESM5 Buy 8 5953.75 Aggressive
2025-06-02T15:21:38.584 SIM:ESM5 Buy 1 5953.5 Aggressive
2025-06-02T15:21:38.584 SIM:ESM5 Buy 1 5953.5 Passive
2025-06-02T15:21:36.257 SIM:ESM5 Buy 10 5953.75 Aggressive
2025-06-02T15:21:30.098 SIM:ESM5 Buy 3 5953.75 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4450
Slippage Sweep
0.1850
Arrival Price
5,954.1250
Average Total
5,953.6800
Destination Price
5,953.6250
Sweep to Fill
5,953.8650
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:20:49.614 SIM:ESM5 Sell 3 5953.75 Aggressive
2025-06-02T15:20:54.612 SIM:ESM5 Sell 1 5953.75 Aggressive
2025-06-02T15:20:48.013 SIM:ESM5 Sell 4 5953.75 Aggressive
2025-06-02T15:20:46.577 SIM:ESM5 Sell 4 5953.75 Aggressive
2025-06-02T15:20:57.633 SIM:ESM5 Sell 15 5953.5 Aggressive
2025-06-02T15:20:56.227 SIM:ESM5 Sell 4 5953.75 Aggressive
2025-06-02T15:20:56.226 SIM:ESM5 Sell 6 5953.75 Aggressive
2025-06-02T15:20:56.226 SIM:ESM5 Sell 6 5953.75 Aggressive
2025-06-02T15:20:48.546 SIM:ESM5 Sell 3 5953.75 Aggressive
2025-06-02T15:20:45.725 SIM:ESM5 Sell 3 5953.75 Aggressive
2025-06-02T15:20:44.631 SIM:ESM5 Sell 1 5954 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0900
Arrival Price
5,954.1250
Average Total
5,954.2500
Destination Price
5,954.1250
Sweep to Fill
5,954.3400
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:20:40.139 SIM:ESM5 Buy 2 5954.25 Aggressive
2025-06-02T15:20:39.139 SIM:ESM5 Buy 1 5954.25 Aggressive
2025-06-02T15:20:37.975 SIM:ESM5 Buy 2 5954.25 Aggressive
2025-06-02T15:20:37.975 SIM:ESM5 Buy 3 5954.25 Aggressive
2025-06-02T15:20:42.012 SIM:ESM5 Buy 3 5954.25 Aggressive
2025-06-02T15:20:41.618 SIM:ESM5 Buy 3 5954.25 Aggressive
2025-06-02T15:20:36.946 SIM:ESM5 Buy 4 5954.25 Aggressive
2025-06-02T15:20:35.042 SIM:ESM5 Buy 5 5954.25 Aggressive
2025-06-02T15:20:43.03 SIM:ESM5 Buy 21 5954.25 Aggressive
2025-06-02T15:20:35.924 SIM:ESM5 Buy 3 5954.25 Aggressive
2025-06-02T15:20:34.201 SIM:ESM5 Buy 2 5954.25 Aggressive
2025-06-02T15:20:32.953 SIM:ESM5 Buy 1 5954.25 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5400
Slippage Sweep
0.2500
Arrival Price
5,954.3750
Average Total
5,953.8350
Destination Price
5,953.8750
Sweep to Fill
5,954.0850
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:19:57.786 SIM:ESM5 Sell 3 5953.75 Aggressive
2025-06-02T15:19:50.67 SIM:ESM5 Sell 22 5953.75 Aggressive
2025-06-02T15:20:00.693 SIM:ESM5 Sell 6 5953.75 Aggressive
2025-06-02T15:19:58.183 SIM:ESM5 Sell 2 5953.75 Aggressive
2025-06-02T15:19:56.725 SIM:ESM5 Sell 2 5953.75 Aggressive
2025-06-02T15:19:45.805 SIM:ESM5 Sell 5 5954 Aggressive
2025-06-02T15:19:44.672 SIM:ESM5 Sell 8 5954 Aggressive
2025-06-02T15:19:43.781 SIM:ESM5 Sell 1 5954.25 Aggressive
2025-06-02T15:19:42.757 SIM:ESM5 Sell 1 5954.25 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3250
Slippage Sweep
0.0400
Arrival Price
5,954.1250
Average Total
5,954.4500
Destination Price
5,954.3750
Sweep to Fill
5,954.4100
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:19:35.587 SIM:ESM5 Buy 4 5954.5 Aggressive
2025-06-02T15:19:34.26 SIM:ESM5 Buy 9 5954.5 Aggressive
2025-06-02T15:19:41.848 SIM:ESM5 Buy 2 5954.25 Aggressive
2025-06-02T15:19:41.848 SIM:ESM5 Buy 2 5954.25 Passive
2025-06-02T15:19:31.061 SIM:ESM5 Buy 9 5954.5 Aggressive
2025-06-02T15:19:29.982 SIM:ESM5 Buy 14 5954.5 Aggressive
2025-06-02T15:19:27.929 SIM:ESM5 Buy 1 5954.25 Aggressive
2025-06-02T15:19:26.944 SIM:ESM5 Buy 3 5954.25 Aggressive
2025-06-02T15:19:25.923 SIM:ESM5 Buy 1 5954.5 Aggressive
2025-06-02T15:19:25.923 SIM:ESM5 Buy 1 5954.5 Aggressive
2025-06-02T15:19:25.876 SIM:ESM5 Buy 2 5954.5 Aggressive
2025-06-02T15:19:24.012 SIM:ESM5 Buy 1 5954.25 Aggressive
2025-06-02T15:19:22.932 SIM:ESM5 Buy 1 5954.25 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0750
Arrival Price
5,955.1250
Average Total
5,955.0000
Destination Price
5,955.1250
Sweep to Fill
5,954.9250
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:18:44.263 SIM:ESM5 Sell 8 5955 Aggressive
2025-06-02T15:18:51.978 SIM:ESM5 Sell 15 5955 Aggressive
2025-06-02T15:18:48.705 SIM:ESM5 Sell 5 5955 Aggressive
2025-06-02T15:18:48.204 SIM:ESM5 Sell 5 5955 Aggressive
2025-06-02T15:18:48.204 SIM:ESM5 Sell 11 5955 Aggressive
2025-06-02T15:18:47.75 SIM:ESM5 Sell 5 5955 Aggressive
2025-06-02T15:18:43.412 SIM:ESM5 Sell 1 5955 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1850
Slippage Sweep
-0.1250
Arrival Price
5,955.1250
Average Total
5,955.3100
Destination Price
5,955.1250
Sweep to Fill
5,955.4350
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:18:41.813 SIM:ESM5 Buy 19 5955.25 Aggressive
2025-06-02T15:18:41.813 SIM:ESM5 Buy 16 5955.25 Aggressive
2025-06-02T15:18:40.719 SIM:ESM5 Buy 6 5955.5 Aggressive
2025-06-02T15:18:39.731 SIM:ESM5 Buy 1 5955.5 Aggressive
2025-06-02T15:18:36.023 SIM:ESM5 Buy 3 5955.5 Aggressive
2025-06-02T15:18:34.725 SIM:ESM5 Buy 2 5955.25 Aggressive
2025-06-02T15:18:37.86 SIM:ESM5 Buy 2 5955.5 Aggressive
2025-06-02T15:18:33.795 SIM:ESM5 Buy 1 5955.25 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1450
Slippage Sweep
-0.2700
Arrival Price
5,954.6250
Average Total
5,954.7700
Destination Price
5,955.1250
Sweep to Fill
5,954.5000
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:17:59.536 SIM:ESM5 Sell 3 5954.75 Passive
2025-06-02T15:17:59.536 SIM:ESM5 Sell 41 5954.75 Aggressive
2025-06-02T15:18:00.538 SIM:ESM5 Sell 5 5955 Aggressive
2025-06-02T15:17:58.512 SIM:ESM5 Sell 1 5954.5 Aggressive

Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3400
Slippage Sweep
0.0450
Arrival Price
5,954.3750
Average Total
5,954.7150
Destination Price
5,954.6250
Sweep to Fill
5,954.6700
Diagnostics
TimestampSecuritySideLastSharesLastPriceAggressor
2025-06-02T15:17:58.114 SIM:ESM5 Buy 3 5954.75 Aggressive
2025-06-02T15:17:52.435 SIM:ESM5 Buy 10 5954.75 Aggressive
2025-06-02T15:17:57.056 SIM:ESM5 Buy 3 5954.75 Aggressive
2025-06-02T15:17:55.693 SIM:ESM5 Buy 5 5954.75 Aggressive
2025-06-02T15:17:53.137 SIM:ESM5 Buy 1 5954.75 Aggressive
2025-06-02T15:17:51.071 SIM:ESM5 Buy 1 5954.75 Aggressive
2025-06-02T15:17:48.981 SIM:ESM5 Buy 13 5954.75 Aggressive
2025-06-02T15:17:43.247 SIM:ESM5 Buy 7 5954.75 Aggressive
2025-06-02T15:17:42.435 SIM:ESM5 Buy 4 5954.5 Aggressive
2025-06-02T15:17:41.1 SIM:ESM5 Buy 2 5954.5 Aggressive
2025-06-02T15:17:39.912 SIM:ESM5 Buy 1 5954.5 Aggressive