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
-0.5400
Slippage Sweep
-1.1450
Arrival Price
5,342.0000
Average Total
5,341.4600
Destination Price
5,341.1250
Sweep to Fill
5,342.6050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:06:04.712 | SIM:ESM5 | Buy | 1 | 5342.25 | Aggressive |
| 2025-04-17T12:06:06.804 | SIM:ESM5 | Buy | 3 | 5342.25 | Aggressive |
| 2025-04-17T12:06:07.784 | SIM:ESM5 | Buy | 2 | 5342 | Aggressive |
| 2025-04-17T12:06:08.772 | SIM:ESM5 | Buy | 14 | 5341.5 | Aggressive |
| 2025-04-17T12:06:08.772 | SIM:ESM5 | Buy | 1 | 5341.5 | Passive |
| 2025-04-17T12:06:09.772 | SIM:ESM5 | Buy | 7 | 5341 | Aggressive |
| 2025-04-17T12:06:09.772 | SIM:ESM5 | Buy | 3 | 5341.25 | Aggressive |
| 2025-04-17T12:06:10.781 | SIM:ESM5 | Buy | 10 | 5341.5 | Aggressive |
| 2025-04-17T12:06:10.781 | SIM:ESM5 | Buy | 1 | 5341.75 | Aggressive |
| 2025-04-17T12:06:11.904 | SIM:ESM5 | Buy | 7 | 5341.25 | Aggressive |
| 2025-04-17T12:06:11.904 | SIM:ESM5 | Buy | 1 | 5341.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6850
Slippage Sweep
0.0950
Arrival Price
5,344.6250
Average Total
5,343.9400
Destination Price
5,345.0000
Sweep to Fill
5,344.0350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:05:03.712 | SIM:ESM5 | Sell | 1 | 5344.25 | Aggressive |
| 2025-04-17T12:05:04.678 | SIM:ESM5 | Sell | 10 | 5343.75 | Aggressive |
| 2025-04-17T12:05:04.678 | SIM:ESM5 | Sell | 3 | 5343.5 | Aggressive |
| 2025-04-17T12:05:05.212 | SIM:ESM5 | Sell | 3 | 5344 | Aggressive |
| 2025-04-17T12:05:10.757 | SIM:ESM5 | Sell | 1 | 5344.5 | Passive |
| 2025-04-17T12:05:10.757 | SIM:ESM5 | Sell | 1 | 5344.5 | Aggressive |
| 2025-04-17T12:05:11.76 | SIM:ESM5 | Sell | 10 | 5344 | Aggressive |
| 2025-04-17T12:05:11.761 | SIM:ESM5 | Sell | 4 | 5344 | Passive |
| 2025-04-17T12:05:12.82 | SIM:ESM5 | Sell | 6 | 5343.25 | Aggressive |
| 2025-04-17T12:05:12.82 | SIM:ESM5 | Sell | 1 | 5343 | Aggressive |
| 2025-04-17T12:05:12.82 | SIM:ESM5 | Sell | 1 | 5343.25 | Passive |
| 2025-04-17T12:05:13.818 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:05:17.838 | SIM:ESM5 | Sell | 7 | 5344.75 | Aggressive |
| 2025-04-17T12:05:17.838 | SIM:ESM5 | Sell | 1 | 5344.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.3750
Slippage Sweep
0.7300
Arrival Price
5,342.5000
Average Total
5,343.8750
Destination Price
5,343.6250
Sweep to Fill
5,343.1450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:04:53.015 | SIM:ESM5 | Buy | 1 | 5342.75 | Passive |
| 2025-04-17T12:04:53.62 | SIM:ESM5 | Buy | 11 | 5343.25 | Aggressive |
| 2025-04-17T12:04:53.662 | SIM:ESM5 | Buy | 3 | 5343.25 | Aggressive |
| 2025-04-17T12:04:54.844 | SIM:ESM5 | Buy | 1 | 5343.5 | Passive |
| 2025-04-17T12:04:54.845 | SIM:ESM5 | Buy | 1 | 5343.5 | Passive |
| 2025-04-17T12:04:54.845 | SIM:ESM5 | Buy | 1 | 5343.5 | Passive |
| 2025-04-17T12:04:55.635 | SIM:ESM5 | Buy | 6 | 5344.25 | Aggressive |
| 2025-04-17T12:04:55.635 | SIM:ESM5 | Buy | 6 | 5344.5 | Aggressive |
| 2025-04-17T12:04:55.635 | SIM:ESM5 | Buy | 5 | 5344.25 | Passive |
| 2025-04-17T12:04:56.678 | SIM:ESM5 | Buy | 5 | 5344 | Aggressive |
| 2025-04-17T12:04:56.678 | SIM:ESM5 | Buy | 5 | 5344.25 | Aggressive |
| 2025-04-17T12:04:58.826 | SIM:ESM5 | Buy | 5 | 5344 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-1.1050
Slippage Sweep
-1.2500
Arrival Price
5,340.1250
Average Total
5,341.2300
Destination Price
5,341.3750
Sweep to Fill
5,339.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:04:05.044 | SIM:ESM5 | Sell | 1 | 5340.25 | Passive |
| 2025-04-17T12:04:05.044 | SIM:ESM5 | Sell | 1 | 5340.25 | Passive |
| 2025-04-17T12:04:05.98 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T12:04:05.98 | SIM:ESM5 | Sell | 6 | 5341 | Aggressive |
| 2025-04-17T12:04:06.987 | SIM:ESM5 | Sell | 9 | 5341.25 | Aggressive |
| 2025-04-17T12:04:06.987 | SIM:ESM5 | Sell | 3 | 5341 | Aggressive |
| 2025-04-17T12:04:06.987 | SIM:ESM5 | Sell | 2 | 5341.25 | Passive |
| 2025-04-17T12:04:08.003 | SIM:ESM5 | Sell | 8 | 5342 | Aggressive |
| 2025-04-17T12:04:08.003 | SIM:ESM5 | Sell | 2 | 5341.75 | Aggressive |
| 2025-04-17T12:04:09.093 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T12:04:09.093 | SIM:ESM5 | Sell | 9 | 5341 | Aggressive |
| 2025-04-17T12:04:09.093 | SIM:ESM5 | Sell | 3 | 5340.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3500
Slippage Sweep
-1.0000
Arrival Price
5,347.1250
Average Total
5,346.7750
Destination Price
5,345.8750
Sweep to Fill
5,347.7750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:03:06.263 | SIM:ESM5 | Buy | 1 | 5346.75 | Aggressive |
| 2025-04-17T12:03:07.5 | SIM:ESM5 | Buy | 2 | 5347 | Aggressive |
| 2025-04-17T12:03:08.487 | SIM:ESM5 | Buy | 2 | 5347.5 | Aggressive |
| 2025-04-17T12:03:09.344 | SIM:ESM5 | Buy | 11 | 5347.75 | Aggressive |
| 2025-04-17T12:03:09.355 | SIM:ESM5 | Buy | 2 | 5347.75 | Aggressive |
| 2025-04-17T12:03:12.345 | SIM:ESM5 | Buy | 4 | 5347 | Aggressive |
| 2025-04-17T12:03:12.346 | SIM:ESM5 | Buy | 1 | 5346.75 | Passive |
| 2025-04-17T12:03:12.346 | SIM:ESM5 | Buy | 1 | 5346.75 | Aggressive |
| 2025-04-17T12:03:12.346 | SIM:ESM5 | Buy | 3 | 5347 | Aggressive |
| 2025-04-17T12:03:13.339 | SIM:ESM5 | Buy | 6 | 5346 | Aggressive |
| 2025-04-17T12:03:13.339 | SIM:ESM5 | Buy | 7 | 5346.25 | Aggressive |
| 2025-04-17T12:03:14.346 | SIM:ESM5 | Buy | 4 | 5346 | Aggressive |
| 2025-04-17T12:03:14.346 | SIM:ESM5 | Buy | 6 | 5346 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2150
Slippage Sweep
-0.3400
Arrival Price
5,349.3750
Average Total
5,349.1600
Destination Price
5,348.8750
Sweep to Fill
5,348.8200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:02:20.057 | SIM:ESM5 | Sell | 2 | 5349 | Aggressive |
| 2025-04-17T12:02:22.121 | SIM:ESM5 | Sell | 1 | 5349.25 | Aggressive |
| 2025-04-17T12:02:23.125 | SIM:ESM5 | Sell | 9 | 5349 | Aggressive |
| 2025-04-17T12:02:23.125 | SIM:ESM5 | Sell | 3 | 5349 | Aggressive |
| 2025-04-17T12:02:23.125 | SIM:ESM5 | Sell | 1 | 5349 | Passive |
| 2025-04-17T12:02:26.154 | SIM:ESM5 | Sell | 8 | 5349.75 | Aggressive |
| 2025-04-17T12:02:26.154 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T12:02:27.218 | SIM:ESM5 | Sell | 2 | 5349.5 | Aggressive |
| 2025-04-17T12:02:27.218 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T12:02:29.178 | SIM:ESM5 | Sell | 2 | 5349 | Aggressive |
| 2025-04-17T12:02:29.178 | SIM:ESM5 | Sell | 5 | 5349 | Aggressive |
| 2025-04-17T12:02:30.315 | SIM:ESM5 | Sell | 7 | 5349 | Aggressive |
| 2025-04-17T12:02:30.315 | SIM:ESM5 | Sell | 6 | 5349 | Aggressive |
| 2025-04-17T12:02:31.224 | SIM:ESM5 | Sell | 2 | 5348.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8550
Slippage Sweep
0.2550
Arrival Price
5,347.8750
Average Total
5,347.0200
Destination Price
5,347.0000
Sweep to Fill
5,347.2750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:01:23.07 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T12:01:24.076 | SIM:ESM5 | Sell | 3 | 5347.25 | Aggressive |
| 2025-04-17T12:01:24.076 | SIM:ESM5 | Sell | 8 | 5347 | Aggressive |
| 2025-04-17T12:01:25.084 | SIM:ESM5 | Sell | 4 | 5347.25 | Aggressive |
| 2025-04-17T12:01:27.078 | SIM:ESM5 | Sell | 12 | 5347 | Aggressive |
| 2025-04-17T12:01:27.078 | SIM:ESM5 | Sell | 1 | 5347 | Aggressive |
| 2025-04-17T12:01:28.089 | SIM:ESM5 | Sell | 6 | 5347 | Aggressive |
| 2025-04-17T12:01:28.089 | SIM:ESM5 | Sell | 4 | 5346.75 | Aggressive |
| 2025-04-17T12:01:28.09 | SIM:ESM5 | Sell | 4 | 5347 | Passive |
| 2025-04-17T12:01:29.107 | SIM:ESM5 | Sell | 6 | 5347 | Aggressive |
| 2025-04-17T12:01:30.115 | SIM:ESM5 | Sell | 1 | 5346.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1150
Slippage Sweep
-0.5250
Arrival Price
5,349.8750
Average Total
5,349.9900
Destination Price
5,348.8750
Sweep to Fill
5,350.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:01:00.288 | SIM:ESM5 | Buy | 1 | 5349.75 | Passive |
| 2025-04-17T12:01:00.727 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T12:01:01.741 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T12:01:02.744 | SIM:ESM5 | Buy | 7 | 5349.25 | Aggressive |
| 2025-04-17T12:01:02.771 | SIM:ESM5 | Buy | 1 | 5349.25 | Aggressive |
| 2025-04-17T12:01:05.762 | SIM:ESM5 | Buy | 5 | 5350.25 | Aggressive |
| 2025-04-17T12:01:05.762 | SIM:ESM5 | Buy | 15 | 5350.5 | Aggressive |
| 2025-04-17T12:01:05.762 | SIM:ESM5 | Buy | 4 | 5350.25 | Aggressive |
| 2025-04-17T12:01:05.762 | SIM:ESM5 | Buy | 3 | 5350.5 | Aggressive |
| 2025-04-17T12:01:10.879 | SIM:ESM5 | Buy | 2 | 5349.75 | Aggressive |
| 2025-04-17T12:01:10.88 | SIM:ESM5 | Buy | 4 | 5349.75 | Aggressive |
| 2025-04-17T12:01:11.839 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T12:01:11.839 | SIM:ESM5 | Buy | 3 | 5349.5 | Aggressive |
| 2025-04-17T12:01:12.877 | SIM:ESM5 | Buy | 2 | 5349 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0600
Slippage Sweep
0.5900
Arrival Price
5,349.1250
Average Total
5,348.0650
Destination Price
5,347.1250
Sweep to Fill
5,348.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:00:15.38 | SIM:ESM5 | Sell | 5 | 5348.5 | Aggressive |
| 2025-04-17T12:00:15.38 | SIM:ESM5 | Sell | 7 | 5348.25 | Aggressive |
| 2025-04-17T12:00:15.38 | SIM:ESM5 | Sell | 5 | 5348.5 | Aggressive |
| 2025-04-17T12:00:16.447 | SIM:ESM5 | Sell | 7 | 5348.25 | Aggressive |
| 2025-04-17T12:00:16.447 | SIM:ESM5 | Sell | 4 | 5348 | Aggressive |
| 2025-04-17T12:00:17.418 | SIM:ESM5 | Sell | 3 | 5348.5 | Aggressive |
| 2025-04-17T12:00:18.421 | SIM:ESM5 | Sell | 6 | 5348 | Aggressive |
| 2025-04-17T12:00:18.421 | SIM:ESM5 | Sell | 2 | 5347.75 | Aggressive |
| 2025-04-17T12:00:19.475 | SIM:ESM5 | Sell | 8 | 5347.5 | Aggressive |
| 2025-04-17T12:00:20.463 | SIM:ESM5 | Sell | 3 | 5347.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0000
Slippage Sweep
-0.4050
Arrival Price
5,348.3750
Average Total
5,348.3750
Destination Price
5,346.8750
Sweep to Fill
5,347.9700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:59:17.677 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T11:59:18.64 | SIM:ESM5 | Sell | 2 | 5348.25 | Aggressive |
| 2025-04-17T11:59:19.685 | SIM:ESM5 | Sell | 3 | 5348.5 | Aggressive |
| 2025-04-17T11:59:19.685 | SIM:ESM5 | Sell | 1 | 5348.5 | Aggressive |
| 2025-04-17T11:59:20.647 | SIM:ESM5 | Sell | 6 | 5349 | Aggressive |
| 2025-04-17T11:59:20.647 | SIM:ESM5 | Sell | 6 | 5348.75 | Aggressive |
| 2025-04-17T11:59:24.657 | SIM:ESM5 | Sell | 4 | 5348.5 | Aggressive |
| 2025-04-17T11:59:26.019 | SIM:ESM5 | Sell | 1 | 5348.75 | Passive |
| 2025-04-17T11:59:26.019 | SIM:ESM5 | Sell | 1 | 5348.75 | Aggressive |
| 2025-04-17T11:59:26.813 | SIM:ESM5 | Sell | 2 | 5348.5 | Aggressive |
| 2025-04-17T11:59:27.702 | SIM:ESM5 | Sell | 5 | 5348.5 | Aggressive |
| 2025-04-17T11:59:30.724 | SIM:ESM5 | Sell | 8 | 5348.5 | Aggressive |
| 2025-04-17T11:59:30.724 | SIM:ESM5 | Sell | 2 | 5348.5 | Aggressive |
| 2025-04-17T11:59:30.724 | SIM:ESM5 | Sell | 2 | 5348.5 | Aggressive |
| 2025-04-17T11:59:32.77 | SIM:ESM5 | Sell | 1 | 5346.75 | Aggressive |
| 2025-04-17T11:59:32.77 | SIM:ESM5 | Sell | 5 | 5346.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3550
Slippage Sweep
-0.8550
Arrival Price
5,349.8750
Average Total
5,349.5200
Destination Price
5,349.2500
Sweep to Fill
5,350.3750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:59:03.912 | SIM:ESM5 | Buy | 1 | 5350 | Passive |
| 2025-04-17T11:59:04.883 | SIM:ESM5 | Buy | 1 | 5350.25 | Aggressive |
| 2025-04-17T11:59:05.952 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T11:59:06.935 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T11:59:07.903 | SIM:ESM5 | Buy | 2 | 5349.75 | Aggressive |
| 2025-04-17T11:59:07.915 | SIM:ESM5 | Buy | 3 | 5349.75 | Aggressive |
| 2025-04-17T11:59:08.943 | SIM:ESM5 | Buy | 8 | 5349.25 | Aggressive |
| 2025-04-17T11:59:08.943 | SIM:ESM5 | Buy | 4 | 5349.25 | Passive |
| 2025-04-17T11:59:09.932 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T11:59:09.932 | SIM:ESM5 | Buy | 15 | 5349.5 | Aggressive |
| 2025-04-17T11:59:10.946 | SIM:ESM5 | Buy | 3 | 5349.5 | Aggressive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
| 2025-04-17T11:59:11.366 | SIM:ESM5 | Buy | 1 | 5349.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2100
Slippage Sweep
-0.5750
Arrival Price
5,347.6250
Average Total
5,347.4150
Destination Price
5,346.8750
Sweep to Fill
5,347.9900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:58:01.944 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T11:58:03.05 | SIM:ESM5 | Buy | 3 | 5347.75 | Aggressive |
| 2025-04-17T11:58:04.089 | SIM:ESM5 | Buy | 5 | 5348 | Aggressive |
| 2025-04-17T11:58:05.977 | SIM:ESM5 | Buy | 8 | 5347.5 | Aggressive |
| 2025-04-17T11:58:07.001 | SIM:ESM5 | Buy | 3 | 5347.5 | Aggressive |
| 2025-04-17T11:58:08.068 | SIM:ESM5 | Buy | 4 | 5347.75 | Aggressive |
| 2025-04-17T11:58:10.012 | SIM:ESM5 | Buy | 5 | 5347 | Aggressive |
| 2025-04-17T11:58:10.012 | SIM:ESM5 | Buy | 8 | 5347.25 | Aggressive |
| 2025-04-17T11:58:11.088 | SIM:ESM5 | Buy | 9 | 5347.25 | Aggressive |
| 2025-04-17T11:58:12.074 | SIM:ESM5 | Buy | 4 | 5347 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2500
Slippage Sweep
-0.8300
Arrival Price
5,349.1250
Average Total
5,348.8750
Destination Price
5,348.3750
Sweep to Fill
5,349.7050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:57:10.22 | SIM:ESM5 | Buy | 1 | 5349 | Aggressive |
| 2025-04-17T11:57:11.259 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T11:57:11.259 | SIM:ESM5 | Buy | 4 | 5349.5 | Aggressive |
| 2025-04-17T11:57:13.263 | SIM:ESM5 | Buy | 3 | 5349 | Aggressive |
| 2025-04-17T11:57:14.278 | SIM:ESM5 | Buy | 5 | 5348.75 | Aggressive |
| 2025-04-17T11:57:14.278 | SIM:ESM5 | Buy | 9 | 5349 | Aggressive |
| 2025-04-17T11:57:16.346 | SIM:ESM5 | Buy | 7 | 5348.75 | Aggressive |
| 2025-04-17T11:57:16.347 | SIM:ESM5 | Buy | 8 | 5349 | Aggressive |
| 2025-04-17T11:57:17.312 | SIM:ESM5 | Buy | 11 | 5348.5 | Aggressive |
| 2025-04-17T11:57:17.312 | SIM:ESM5 | Buy | 1 | 5348.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5850
Slippage Sweep
0.0650
Arrival Price
5,350.6250
Average Total
5,350.0400
Destination Price
5,350.1250
Sweep to Fill
5,350.1050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:56:28.825 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T11:56:29.866 | SIM:ESM5 | Sell | 3 | 5350.5 | Aggressive |
| 2025-04-17T11:56:30.866 | SIM:ESM5 | Sell | 10 | 5350.25 | Aggressive |
| 2025-04-17T11:56:30.867 | SIM:ESM5 | Sell | 3 | 5350.25 | Passive |
| 2025-04-17T11:56:31.862 | SIM:ESM5 | Sell | 13 | 5349.75 | Aggressive |
| 2025-04-17T11:56:31.926 | SIM:ESM5 | Sell | 5 | 5349.75 | Aggressive |
| 2025-04-17T11:56:32.862 | SIM:ESM5 | Sell | 5 | 5350.25 | Aggressive |
| 2025-04-17T11:56:32.862 | SIM:ESM5 | Sell | 10 | 5350 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5600
Slippage Sweep
0.0900
Arrival Price
5,350.3750
Average Total
5,350.9350
Destination Price
5,351.1250
Sweep to Fill
5,350.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:56:12.534 | SIM:ESM5 | Buy | 1 | 5350.5 | Passive |
| 2025-04-17T11:56:13.525 | SIM:ESM5 | Buy | 5 | 5350.75 | Aggressive |
| 2025-04-17T11:56:14.546 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
| 2025-04-17T11:56:15.558 | SIM:ESM5 | Buy | 4 | 5350.75 | Aggressive |
| 2025-04-17T11:56:15.558 | SIM:ESM5 | Buy | 4 | 5350.75 | Aggressive |
| 2025-04-17T11:56:17.587 | SIM:ESM5 | Buy | 10 | 5351 | Aggressive |
| 2025-04-17T11:56:17.587 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T11:56:17.612 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T11:56:18.638 | SIM:ESM5 | Buy | 10 | 5351 | Aggressive |
| 2025-04-17T11:56:18.638 | SIM:ESM5 | Buy | 5 | 5351 | Aggressive |
| 2025-04-17T11:56:19.617 | SIM:ESM5 | Buy | 4 | 5351 | Aggressive |
| 2025-04-17T11:56:22.643 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |