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
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |
Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
---|---|---|---|---|---|
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 |