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
-0.3400
Slippage Sweep
-0.7900
Arrival Price
5,346.3750
Average Total
5,346.7150
Destination Price
5,345.8750
Sweep to Fill
5,345.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:55:28.713 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T11:55:29.547 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T11:55:30.567 | SIM:ESM5 | Sell | 14 | 5346.75 | Aggressive |
| 2025-04-17T11:55:30.567 | SIM:ESM5 | Sell | 5 | 5346.5 | Aggressive |
| 2025-04-17T11:55:31.643 | SIM:ESM5 | Sell | 16 | 5346.75 | Aggressive |
| 2025-04-17T11:55:31.913 | SIM:ESM5 | Sell | 7 | 5346.75 | Aggressive |
| 2025-04-17T11:55:32.639 | SIM:ESM5 | Sell | 5 | 5347 | Aggressive |
| 2025-04-17T11:55:35.257 | SIM:ESM5 | Sell | 1 | 5346 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2250
Slippage Sweep
-0.3950
Arrival Price
5,345.1250
Average Total
5,344.9000
Destination Price
5,345.6250
Sweep to Fill
5,344.5050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:54:32.792 | SIM:ESM5 | Sell | 1 | 5345 | Aggressive |
| 2025-04-17T11:54:33.812 | SIM:ESM5 | Sell | 2 | 5344.75 | Aggressive |
| 2025-04-17T11:54:33.812 | SIM:ESM5 | Sell | 2 | 5344.75 | Aggressive |
| 2025-04-17T11:54:34.868 | SIM:ESM5 | Sell | 5 | 5344.5 | Aggressive |
| 2025-04-17T11:54:35.82 | SIM:ESM5 | Sell | 4 | 5344.5 | Aggressive |
| 2025-04-17T11:54:35.82 | SIM:ESM5 | Sell | 9 | 5344.25 | Aggressive |
| 2025-04-17T11:54:39.916 | SIM:ESM5 | Sell | 11 | 5345.25 | Aggressive |
| 2025-04-17T11:54:39.916 | SIM:ESM5 | Sell | 2 | 5345.25 | Aggressive |
| 2025-04-17T11:54:41.917 | SIM:ESM5 | Sell | 5 | 5345.25 | Aggressive |
| 2025-04-17T11:54:41.917 | SIM:ESM5 | Sell | 4 | 5345.25 | Aggressive |
| 2025-04-17T11:54:42.872 | SIM:ESM5 | Sell | 2 | 5345.5 | Aggressive |
| 2025-04-17T11:54:42.872 | SIM:ESM5 | Sell | 3 | 5345.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5250
Slippage Sweep
0.0550
Arrival Price
5,344.8750
Average Total
5,345.4000
Destination Price
5,345.3750
Sweep to Fill
5,345.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:54:11.029 | SIM:ESM5 | Buy | 1 | 5345 | Aggressive |
| 2025-04-17T11:54:12.212 | SIM:ESM5 | Buy | 2 | 5345 | Aggressive |
| 2025-04-17T11:54:13.025 | SIM:ESM5 | Buy | 4 | 5345.25 | Aggressive |
| 2025-04-17T11:54:16.065 | SIM:ESM5 | Buy | 13 | 5345.25 | Aggressive |
| 2025-04-17T11:54:16.217 | SIM:ESM5 | Buy | 1 | 5345 | Passive |
| 2025-04-17T11:54:20.107 | SIM:ESM5 | Buy | 3 | 5345.25 | Aggressive |
| 2025-04-17T11:54:21.116 | SIM:ESM5 | Buy | 6 | 5345.5 | Aggressive |
| 2025-04-17T11:54:21.116 | SIM:ESM5 | Buy | 11 | 5345.75 | Aggressive |
| 2025-04-17T11:54:22.317 | SIM:ESM5 | Buy | 3 | 5345.25 | Aggressive |
| 2025-04-17T11:54:25.157 | SIM:ESM5 | Buy | 6 | 5345.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4550
Slippage Sweep
-0.1300
Arrival Price
5,344.3750
Average Total
5,343.9200
Destination Price
5,345.8750
Sweep to Fill
5,343.7900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:53:11.522 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T11:53:12.518 | SIM:ESM5 | Sell | 2 | 5344 | Aggressive |
| 2025-04-17T11:53:13.548 | SIM:ESM5 | Sell | 3 | 5344 | Aggressive |
| 2025-04-17T11:53:14.527 | SIM:ESM5 | Sell | 2 | 5344 | Aggressive |
| 2025-04-17T11:53:14.527 | SIM:ESM5 | Sell | 3 | 5344 | Aggressive |
| 2025-04-17T11:53:19.593 | SIM:ESM5 | Sell | 5 | 5343.75 | Aggressive |
| 2025-04-17T11:53:19.593 | SIM:ESM5 | Sell | 5 | 5343.5 | Aggressive |
| 2025-04-17T11:53:20.582 | SIM:ESM5 | Sell | 9 | 5343.75 | Aggressive |
| 2025-04-17T11:53:20.582 | SIM:ESM5 | Sell | 2 | 5343.5 | Aggressive |
| 2025-04-17T11:53:20.582 | SIM:ESM5 | Sell | 2 | 5343.75 | Aggressive |
| 2025-04-17T11:53:22.719 | SIM:ESM5 | Sell | 7 | 5344 | Aggressive |
| 2025-04-17T11:53:22.719 | SIM:ESM5 | Sell | 2 | 5344 | Aggressive |
| 2025-04-17T11:53:22.719 | SIM:ESM5 | Sell | 2 | 5344 | Passive |
| 2025-04-17T11:53:23.623 | SIM:ESM5 | Sell | 3 | 5344 | Aggressive |
| 2025-04-17T11:53:28.689 | SIM:ESM5 | Sell | 2 | 5345.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4350
Slippage Sweep
-0.8550
Arrival Price
5,344.8750
Average Total
5,344.4400
Destination Price
5,344.1250
Sweep to Fill
5,345.2950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:53:02.873 | SIM:ESM5 | Buy | 1 | 5344.5 | Aggressive |
| 2025-04-17T11:53:03.909 | SIM:ESM5 | Buy | 9 | 5344.25 | Aggressive |
| 2025-04-17T11:53:05.581 | SIM:ESM5 | Buy | 7 | 5344.25 | Aggressive |
| 2025-04-17T11:53:05.581 | SIM:ESM5 | Buy | 6 | 5344.25 | Passive |
| 2025-04-17T11:53:05.913 | SIM:ESM5 | Buy | 2 | 5344.5 | Aggressive |
| 2025-04-17T11:53:05.913 | SIM:ESM5 | Buy | 10 | 5344.75 | Aggressive |
| 2025-04-17T11:53:05.913 | SIM:ESM5 | Buy | 2 | 5344.5 | Passive |
| 2025-04-17T11:53:06.964 | SIM:ESM5 | Buy | 8 | 5344.5 | Aggressive |
| 2025-04-17T11:53:08.041 | SIM:ESM5 | Buy | 5 | 5344.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5750
Slippage Sweep
-1.1300
Arrival Price
5,337.1250
Average Total
5,337.7000
Destination Price
5,339.8750
Sweep to Fill
5,336.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:52:06.222 | SIM:ESM5 | Sell | 1 | 5336.75 | Aggressive |
| 2025-04-17T11:52:07.249 | SIM:ESM5 | Sell | 1 | 5337.5 | Aggressive |
| 2025-04-17T11:52:07.249 | SIM:ESM5 | Sell | 1 | 5337.25 | Aggressive |
| 2025-04-17T11:52:09.256 | SIM:ESM5 | Sell | 1 | 5337 | Aggressive |
| 2025-04-17T11:52:10.312 | SIM:ESM5 | Sell | 1 | 5337 | Aggressive |
| 2025-04-17T11:52:11.314 | SIM:ESM5 | Sell | 3 | 5337.25 | Aggressive |
| 2025-04-17T11:52:11.314 | SIM:ESM5 | Sell | 1 | 5337.25 | Aggressive |
| 2025-04-17T11:52:13.314 | SIM:ESM5 | Sell | 2 | 5337 | Aggressive |
| 2025-04-17T11:52:13.314 | SIM:ESM5 | Sell | 1 | 5337 | Aggressive |
| 2025-04-17T11:52:15.312 | SIM:ESM5 | Sell | 2 | 5337.25 | Passive |
| 2025-04-17T11:52:16.356 | SIM:ESM5 | Sell | 7 | 5337.5 | Aggressive |
| 2025-04-17T11:52:18.366 | SIM:ESM5 | Sell | 4 | 5337.25 | Aggressive |
| 2025-04-17T11:52:18.367 | SIM:ESM5 | Sell | 1 | 5337.25 | Aggressive |
| 2025-04-17T11:52:21.409 | SIM:ESM5 | Sell | 7 | 5336.75 | Aggressive |
| 2025-04-17T11:52:21.409 | SIM:ESM5 | Sell | 2 | 5336.5 | Aggressive |
| 2025-04-17T11:52:24.461 | SIM:ESM5 | Sell | 7 | 5338.75 | Aggressive |
| 2025-04-17T11:52:24.461 | SIM:ESM5 | Sell | 1 | 5338.5 | Aggressive |
| 2025-04-17T11:52:24.61 | SIM:ESM5 | Sell | 2 | 5338.75 | Aggressive |
| 2025-04-17T11:52:25.456 | SIM:ESM5 | Sell | 5 | 5339.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5450
Slippage Sweep
0.0800
Arrival Price
5,337.8750
Average Total
5,338.4200
Destination Price
5,337.3750
Sweep to Fill
5,338.3400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:51:44.072 | SIM:ESM5 | Buy | 13 | 5338.75 | Aggressive |
| 2025-04-17T11:51:44.072 | SIM:ESM5 | Buy | 2 | 5338.75 | Aggressive |
| 2025-04-17T11:51:44.072 | SIM:ESM5 | Buy | 1 | 5338.5 | Aggressive |
| 2025-04-17T11:51:44.072 | SIM:ESM5 | Buy | 2 | 5338.75 | Passive |
| 2025-04-17T11:51:45.13 | SIM:ESM5 | Buy | 6 | 5338.75 | Aggressive |
| 2025-04-17T11:51:45.13 | SIM:ESM5 | Buy | 4 | 5339 | Aggressive |
| 2025-04-17T11:51:47.142 | SIM:ESM5 | Buy | 7 | 5338.75 | Aggressive |
| 2025-04-17T11:51:54.298 | SIM:ESM5 | Buy | 7 | 5337.5 | Aggressive |
| 2025-04-17T11:51:54.298 | SIM:ESM5 | Buy | 1 | 5337.75 | Aggressive |
| 2025-04-17T11:51:56.179 | SIM:ESM5 | Buy | 2 | 5337.5 | Aggressive |
| 2025-04-17T11:51:56.179 | SIM:ESM5 | Buy | 5 | 5337.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.0450
Slippage Sweep
0.4450
Arrival Price
5,339.2500
Average Total
5,340.2950
Destination Price
5,340.1250
Sweep to Fill
5,339.8500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:50:53.812 | SIM:ESM5 | Buy | 2 | 5339.75 | Aggressive |
| 2025-04-17T11:50:54.784 | SIM:ESM5 | Buy | 12 | 5340.25 | Aggressive |
| 2025-04-17T11:50:54.861 | SIM:ESM5 | Buy | 3 | 5340.25 | Aggressive |
| 2025-04-17T11:50:55.812 | SIM:ESM5 | Buy | 9 | 5340.5 | Aggressive |
| 2025-04-17T11:50:55.813 | SIM:ESM5 | Buy | 4 | 5340.5 | Aggressive |
| 2025-04-17T11:50:56.831 | SIM:ESM5 | Buy | 10 | 5340.25 | Aggressive |
| 2025-04-17T11:50:57.188 | SIM:ESM5 | Buy | 3 | 5340.25 | Aggressive |
| 2025-04-17T11:50:57.823 | SIM:ESM5 | Buy | 1 | 5340.25 | Aggressive |
| 2025-04-17T11:50:58.143 | SIM:ESM5 | Buy | 1 | 5340.25 | Passive |
| 2025-04-17T11:50:58.143 | SIM:ESM5 | Buy | 2 | 5340.25 | Passive |
| 2025-04-17T11:50:58.83 | SIM:ESM5 | Buy | 3 | 5340.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.9350
Slippage Sweep
-1.4450
Arrival Price
5,338.5000
Average Total
5,339.4350
Destination Price
5,340.0000
Sweep to Fill
5,337.9900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:50:13.619 | SIM:ESM5 | Sell | 1 | 5338.5 | Aggressive |
| 2025-04-17T11:50:14.602 | SIM:ESM5 | Sell | 4 | 5338 | Aggressive |
| 2025-04-17T11:50:16.652 | SIM:ESM5 | Sell | 5 | 5339.25 | Aggressive |
| 2025-04-17T11:50:16.652 | SIM:ESM5 | Sell | 4 | 5339 | Aggressive |
| 2025-04-17T11:50:16.652 | SIM:ESM5 | Sell | 2 | 5339.25 | Passive |
| 2025-04-17T11:50:17.742 | SIM:ESM5 | Sell | 5 | 5340.25 | Aggressive |
| 2025-04-17T11:50:17.742 | SIM:ESM5 | Sell | 5 | 5340 | Aggressive |
| 2025-04-17T11:50:18.655 | SIM:ESM5 | Sell | 19 | 5339.5 | Aggressive |
| 2025-04-17T11:50:19.679 | SIM:ESM5 | Sell | 4 | 5339.75 | Aggressive |
| 2025-04-17T11:50:19.679 | SIM:ESM5 | Sell | 1 | 5339.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7750
Slippage Sweep
0.3400
Arrival Price
5,335.6250
Average Total
5,336.4000
Destination Price
5,336.5000
Sweep to Fill
5,336.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:49:57.312 | SIM:ESM5 | Buy | 1 | 5335.75 | Aggressive |
| 2025-04-17T11:49:58.312 | SIM:ESM5 | Buy | 2 | 5335.75 | Aggressive |
| 2025-04-17T11:49:59.328 | SIM:ESM5 | Buy | 2 | 5335.75 | Aggressive |
| 2025-04-17T11:50:01.324 | SIM:ESM5 | Buy | 7 | 5336 | Aggressive |
| 2025-04-17T11:50:03.432 | SIM:ESM5 | Buy | 1 | 5336.25 | Aggressive |
| 2025-04-17T11:50:03.432 | SIM:ESM5 | Buy | 9 | 5336.5 | Aggressive |
| 2025-04-17T11:50:04.412 | SIM:ESM5 | Buy | 16 | 5336.5 | Aggressive |
| 2025-04-17T11:50:04.412 | SIM:ESM5 | Buy | 2 | 5336.5 | Aggressive |
| 2025-04-17T11:50:05.378 | SIM:ESM5 | Buy | 10 | 5336.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.9450
Slippage Sweep
-1.5150
Arrival Price
5,328.6250
Average Total
5,329.5700
Destination Price
5,331.3750
Sweep to Fill
5,328.0550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:49:03.031 | SIM:ESM5 | Sell | 4 | 5329 | Aggressive |
| 2025-04-17T11:49:04.045 | SIM:ESM5 | Sell | 5 | 5329.5 | Aggressive |
| 2025-04-17T11:49:04.045 | SIM:ESM5 | Sell | 14 | 5329.25 | Aggressive |
| 2025-04-17T11:49:07.112 | SIM:ESM5 | Sell | 8 | 5329 | Aggressive |
| 2025-04-17T11:49:07.112 | SIM:ESM5 | Sell | 3 | 5329 | Aggressive |
| 2025-04-17T11:49:09.129 | SIM:ESM5 | Sell | 6 | 5330 | Aggressive |
| 2025-04-17T11:49:09.129 | SIM:ESM5 | Sell | 1 | 5329.75 | Aggressive |
| 2025-04-17T11:49:10.28 | SIM:ESM5 | Sell | 6 | 5330.75 | Aggressive |
| 2025-04-17T11:49:10.28 | SIM:ESM5 | Sell | 3 | 5330.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6050
Slippage Sweep
0.0600
Arrival Price
5,341.3750
Average Total
5,340.7700
Destination Price
5,340.6250
Sweep to Fill
5,340.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:28:10.052 | SIM:ESM5 | Sell | 1 | 5341.5 | Aggressive |
| 2025-04-17T11:28:11.064 | SIM:ESM5 | Sell | 1 | 5341.25 | Aggressive |
| 2025-04-17T11:28:12.087 | SIM:ESM5 | Sell | 3 | 5341 | Aggressive |
| 2025-04-17T11:28:12.087 | SIM:ESM5 | Sell | 1 | 5341 | Aggressive |
| 2025-04-17T11:28:13.104 | SIM:ESM5 | Sell | 1 | 5341 | Aggressive |
| 2025-04-17T11:28:13.104 | SIM:ESM5 | Sell | 1 | 5341 | Aggressive |
| 2025-04-17T11:28:14.183 | SIM:ESM5 | Sell | 3 | 5341 | Aggressive |
| 2025-04-17T11:28:14.183 | SIM:ESM5 | Sell | 1 | 5340.75 | Aggressive |
| 2025-04-17T11:28:15.14 | SIM:ESM5 | Sell | 5 | 5341 | Aggressive |
| 2025-04-17T11:28:16.13 | SIM:ESM5 | Sell | 2 | 5340.75 | Aggressive |
| 2025-04-17T11:28:16.13 | SIM:ESM5 | Sell | 6 | 5340.5 | Aggressive |
| 2025-04-17T11:28:17.241 | SIM:ESM5 | Sell | 2 | 5340.75 | Aggressive |
| 2025-04-17T11:28:17.241 | SIM:ESM5 | Sell | 7 | 5340.5 | Aggressive |
| 2025-04-17T11:28:18.17 | SIM:ESM5 | Sell | 9 | 5340.75 | Aggressive |
| 2025-04-17T11:28:18.178 | SIM:ESM5 | Sell | 1 | 5341 | Passive |
| 2025-04-17T11:28:18.178 | SIM:ESM5 | Sell | 1 | 5341 | Aggressive |
| 2025-04-17T11:28:18.178 | SIM:ESM5 | Sell | 1 | 5340.75 | Aggressive |
| 2025-04-17T11:28:19.218 | SIM:ESM5 | Sell | 4 | 5340.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.6800
Slippage Sweep
-1.2800
Arrival Price
5,342.2500
Average Total
5,341.5700
Destination Price
5,341.0000
Sweep to Fill
5,342.8500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:27:48.584 | SIM:ESM5 | Buy | 1 | 5342 | Aggressive |
| 2025-04-17T11:27:49.612 | SIM:ESM5 | Buy | 6 | 5341.5 | Aggressive |
| 2025-04-17T11:27:50.593 | SIM:ESM5 | Buy | 5 | 5341.75 | Aggressive |
| 2025-04-17T11:27:50.593 | SIM:ESM5 | Buy | 3 | 5342 | Aggressive |
| 2025-04-17T11:27:51.6 | SIM:ESM5 | Buy | 2 | 5341.5 | Aggressive |
| 2025-04-17T11:27:51.6 | SIM:ESM5 | Buy | 7 | 5341.75 | Aggressive |
| 2025-04-17T11:27:51.6 | SIM:ESM5 | Buy | 4 | 5341.75 | Aggressive |
| 2025-04-17T11:27:52.62 | SIM:ESM5 | Buy | 4 | 5341.5 | Aggressive |
| 2025-04-17T11:27:52.62 | SIM:ESM5 | Buy | 5 | 5341.75 | Aggressive |
| 2025-04-17T11:27:52.621 | SIM:ESM5 | Buy | 3 | 5341.5 | Passive |
| 2025-04-17T11:27:53.637 | SIM:ESM5 | Buy | 3 | 5341.25 | Aggressive |
| 2025-04-17T11:27:53.73 | SIM:ESM5 | Buy | 1 | 5341 | Passive |
| 2025-04-17T11:27:53.73 | SIM:ESM5 | Buy | 1 | 5341 | Passive |
| 2025-04-17T11:27:53.73 | SIM:ESM5 | Buy | 2 | 5341 | Passive |
| 2025-04-17T11:27:54.654 | SIM:ESM5 | Buy | 2 | 5341.25 | Aggressive |
| 2025-04-17T11:27:54.74 | SIM:ESM5 | Buy | 1 | 5341 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3100
Slippage Sweep
-0.8550
Arrival Price
5,341.3750
Average Total
5,341.6850
Destination Price
5,342.1250
Sweep to Fill
5,340.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:26:59.212 | SIM:ESM5 | Sell | 1 | 5341.5 | Passive |
| 2025-04-17T11:26:59.977 | SIM:ESM5 | Sell | 1 | 5341.5 | Aggressive |
| 2025-04-17T11:27:00.983 | SIM:ESM5 | Sell | 5 | 5340.75 | Aggressive |
| 2025-04-17T11:27:02.007 | SIM:ESM5 | Sell | 10 | 5341.75 | Aggressive |
| 2025-04-17T11:27:02.007 | SIM:ESM5 | Sell | 1 | 5341.5 | Aggressive |
| 2025-04-17T11:27:02.034 | SIM:ESM5 | Sell | 1 | 5341.75 | Aggressive |
| 2025-04-17T11:27:04.007 | SIM:ESM5 | Sell | 8 | 5341.75 | Aggressive |
| 2025-04-17T11:27:04.658 | SIM:ESM5 | Sell | 1 | 5342.25 | Passive |
| 2025-04-17T11:27:04.658 | SIM:ESM5 | Sell | 1 | 5342.25 | Passive |
| 2025-04-17T11:27:05.077 | SIM:ESM5 | Sell | 3 | 5342 | Aggressive |
| 2025-04-17T11:27:05.077 | SIM:ESM5 | Sell | 6 | 5341.75 | Aggressive |
| 2025-04-17T11:27:06.035 | SIM:ESM5 | Sell | 9 | 5341.75 | Aggressive |
| 2025-04-17T11:27:07.053 | SIM:ESM5 | Sell | 1 | 5342 | Aggressive |
| 2025-04-17T11:27:07.053 | SIM:ESM5 | Sell | 2 | 5342 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5550
Slippage Sweep
-0.0950
Arrival Price
5,338.0000
Average Total
5,338.5550
Destination Price
5,340.1250
Sweep to Fill
5,338.6500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:26:36.1 | SIM:ESM5 | Buy | 1 | 5338 | Aggressive |
| 2025-04-17T11:26:37.173 | SIM:ESM5 | Buy | 6 | 5337.75 | Aggressive |
| 2025-04-17T11:26:38.126 | SIM:ESM5 | Buy | 6 | 5337.5 | Aggressive |
| 2025-04-17T11:26:38.126 | SIM:ESM5 | Buy | 3 | 5337.75 | Aggressive |
| 2025-04-17T11:26:40.163 | SIM:ESM5 | Buy | 5 | 5338.5 | Aggressive |
| 2025-04-17T11:26:40.163 | SIM:ESM5 | Buy | 1 | 5338.5 | Aggressive |
| 2025-04-17T11:26:40.163 | SIM:ESM5 | Buy | 2 | 5338.5 | Aggressive |
| 2025-04-17T11:26:42.188 | SIM:ESM5 | Buy | 3 | 5338.5 | Aggressive |
| 2025-04-17T11:26:42.188 | SIM:ESM5 | Buy | 2 | 5338.75 | Aggressive |
| 2025-04-17T11:26:43.18 | SIM:ESM5 | Buy | 8 | 5338.75 | Aggressive |
| 2025-04-17T11:26:43.18 | SIM:ESM5 | Buy | 5 | 5339 | Aggressive |
| 2025-04-17T11:26:46.461 | SIM:ESM5 | Buy | 3 | 5339.25 | Aggressive |
| 2025-04-17T11:26:47.223 | SIM:ESM5 | Buy | 4 | 5340.25 | Aggressive |
| 2025-04-17T11:26:47.71 | SIM:ESM5 | Buy | 1 | 5340.25 | Aggressive |