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
-0.0550
Slippage Sweep
-0.2500
Arrival Price
5,954.8750
Average Total
5,954.8200
Destination Price
5,954.3750
Sweep to Fill
5,955.0700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:17:05.062 | SIM:ESM5 | Buy | 5 | 5955 | Aggressive |
| 2025-06-02T15:17:05.062 | SIM:ESM5 | Buy | 1 | 5955 | Aggressive |
| 2025-06-02T15:17:07.012 | SIM:ESM5 | Buy | 3 | 5954.5 | Aggressive |
| 2025-06-02T15:17:05.958 | SIM:ESM5 | Buy | 10 | 5955 | Aggressive |
| 2025-06-02T15:17:05.958 | SIM:ESM5 | Buy | 30 | 5954.75 | Aggressive |
| 2025-06-02T15:17:03.95 | SIM:ESM5 | Buy | 1 | 5955 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0900
Slippage Sweep
-0.2450
Arrival Price
5,954.6250
Average Total
5,954.7150
Destination Price
5,954.8750
Sweep to Fill
5,954.4700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:16:32.612 | SIM:ESM5 | Sell | 29 | 5954.75 | Aggressive |
| 2025-06-02T15:16:31.702 | SIM:ESM5 | Sell | 7 | 5954.5 | Aggressive |
| 2025-06-02T15:16:33.514 | SIM:ESM5 | Sell | 6 | 5954.75 | Aggressive |
| 2025-06-02T15:16:31.389 | SIM:ESM5 | Sell | 4 | 5954.75 | Aggressive |
| 2025-06-02T15:16:31.388 | SIM:ESM5 | Sell | 3 | 5954.75 | Passive |
| 2025-06-02T15:16:31.388 | SIM:ESM5 | Sell | 1 | 5954.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1550
Slippage Sweep
-0.1600
Arrival Price
5,954.6250
Average Total
5,954.7800
Destination Price
5,954.6250
Sweep to Fill
5,954.9400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:16:29.158 | SIM:ESM5 | Buy | 14 | 5954.75 | Aggressive |
| 2025-06-02T15:16:29.158 | SIM:ESM5 | Buy | 14 | 5954.75 | Aggressive |
| 2025-06-02T15:16:28.081 | SIM:ESM5 | Buy | 5 | 5954.75 | Aggressive |
| 2025-06-02T15:16:26.128 | SIM:ESM5 | Buy | 2 | 5954.75 | Aggressive |
| 2025-06-02T15:16:22.493 | SIM:ESM5 | Buy | 3 | 5955 | Aggressive |
| 2025-06-02T15:16:22.493 | SIM:ESM5 | Buy | 3 | 5955 | Aggressive |
| 2025-06-02T15:16:27.071 | SIM:ESM5 | Buy | 7 | 5954.75 | Aggressive |
| 2025-06-02T15:16:23.029 | SIM:ESM5 | Buy | 1 | 5954.75 | Aggressive |
| 2025-06-02T15:16:20.017 | SIM:ESM5 | Buy | 1 | 5954.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0200
Slippage Sweep
-0.1550
Arrival Price
5,952.6250
Average Total
5,952.6450
Destination Price
5,952.8750
Sweep to Fill
5,952.4900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:15:47.322 | SIM:ESM5 | Sell | 10 | 5952.5 | Aggressive |
| 2025-06-02T15:15:46.312 | SIM:ESM5 | Sell | 6 | 5952.5 | Aggressive |
| 2025-06-02T15:15:49.227 | SIM:ESM5 | Sell | 9 | 5952.75 | Aggressive |
| 2025-06-02T15:15:49.005 | SIM:ESM5 | Sell | 20 | 5952.75 | Aggressive |
| 2025-06-02T15:15:46.312 | SIM:ESM5 | Sell | 4 | 5952.5 | Aggressive |
| 2025-06-02T15:15:45.175 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1900
Slippage Sweep
-0.0850
Arrival Price
5,952.3750
Average Total
5,952.5650
Destination Price
5,952.6250
Sweep to Fill
5,952.6500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:15:44.975 | SIM:ESM5 | Buy | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:15:41.756 | SIM:ESM5 | Buy | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:15:41.756 | SIM:ESM5 | Buy | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:15:41.756 | SIM:ESM5 | Buy | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:15:41.756 | SIM:ESM5 | Buy | 2 | 5952.5 | Passive |
| 2025-06-02T15:15:41.756 | SIM:ESM5 | Buy | 2 | 5952.5 | Passive |
| 2025-06-02T15:15:41.756 | SIM:ESM5 | Buy | 2 | 5952.5 | Passive |
| 2025-06-02T15:15:33.812 | SIM:ESM5 | Buy | 5 | 5952.5 | Aggressive |
| 2025-06-02T15:15:31.766 | SIM:ESM5 | Buy | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:15:43.862 | SIM:ESM5 | Buy | 2 | 5952.75 | Aggressive |
| 2025-06-02T15:15:36.87 | SIM:ESM5 | Buy | 15 | 5952.5 | Aggressive |
| 2025-06-02T15:15:35.748 | SIM:ESM5 | Buy | 5 | 5952.5 | Aggressive |
| 2025-06-02T15:15:34.847 | SIM:ESM5 | Buy | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:15:32.777 | SIM:ESM5 | Buy | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:15:30.75 | SIM:ESM5 | Buy | 1 | 5952.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1150
Slippage Sweep
-0.2400
Arrival Price
5,951.3750
Average Total
5,951.2600
Destination Price
5,951.6250
Sweep to Fill
5,951.0200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:14:57.967 | SIM:ESM5 | Sell | 8 | 5951.25 | Aggressive |
| 2025-06-02T15:14:56.999 | SIM:ESM5 | Sell | 9 | 5951.25 | Aggressive |
| 2025-06-02T15:15:00.012 | SIM:ESM5 | Sell | 2 | 5951.5 | Aggressive |
| 2025-06-02T15:14:59.012 | SIM:ESM5 | Sell | 7 | 5951.25 | Aggressive |
| 2025-06-02T15:14:55.974 | SIM:ESM5 | Sell | 20 | 5951.25 | Aggressive |
| 2025-06-02T15:14:55.012 | SIM:ESM5 | Sell | 3 | 5951.25 | Aggressive |
| 2025-06-02T15:14:53.933 | SIM:ESM5 | Sell | 1 | 5951.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0200
Slippage Sweep
-0.1050
Arrival Price
5,951.3750
Average Total
5,951.3950
Destination Price
5,951.3750
Sweep to Fill
5,951.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:14:46.922 | SIM:ESM5 | Buy | 6 | 5951.75 | Aggressive |
| 2025-06-02T15:14:49.948 | SIM:ESM5 | Buy | 6 | 5951.25 | Aggressive |
| 2025-06-02T15:14:48.972 | SIM:ESM5 | Buy | 1 | 5951.25 | Passive |
| 2025-06-02T15:14:48.972 | SIM:ESM5 | Buy | 8 | 5951.25 | Passive |
| 2025-06-02T15:14:48.972 | SIM:ESM5 | Buy | 5 | 5951.25 | Passive |
| 2025-06-02T15:14:48.971 | SIM:ESM5 | Buy | 5 | 5951.25 | Passive |
| 2025-06-02T15:14:46.012 | SIM:ESM5 | Buy | 4 | 5951.75 | Aggressive |
| 2025-06-02T15:14:45.013 | SIM:ESM5 | Buy | 4 | 5951.75 | Aggressive |
| 2025-06-02T15:14:52.498 | SIM:ESM5 | Buy | 2 | 5951.25 | Passive |
| 2025-06-02T15:14:52.498 | SIM:ESM5 | Buy | 2 | 5951.25 | Passive |
| 2025-06-02T15:14:52.498 | SIM:ESM5 | Buy | 2 | 5951.25 | Passive |
| 2025-06-02T15:14:52.498 | SIM:ESM5 | Buy | 2 | 5951.25 | Passive |
| 2025-06-02T15:14:52.498 | SIM:ESM5 | Buy | 2 | 5951.25 | Passive |
| 2025-06-02T15:14:44.021 | SIM:ESM5 | Buy | 1 | 5951.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2650
Slippage Sweep
0.1400
Arrival Price
5,951.1250
Average Total
5,950.8600
Destination Price
5,951.1250
Sweep to Fill
5,951.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:14:11.811 | SIM:ESM5 | Sell | 2 | 5951 | Aggressive |
| 2025-06-02T15:14:12.658 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
| 2025-06-02T15:14:12.658 | SIM:ESM5 | Sell | 11 | 5951 | Aggressive |
| 2025-06-02T15:14:09.635 | SIM:ESM5 | Sell | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:14:08.861 | SIM:ESM5 | Sell | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:14:08.266 | SIM:ESM5 | Sell | 5 | 5950.75 | Aggressive |
| 2025-06-02T15:14:08.266 | SIM:ESM5 | Sell | 5 | 5950.75 | Aggressive |
| 2025-06-02T15:14:03.547 | SIM:ESM5 | Sell | 3 | 5951 | Aggressive |
| 2025-06-02T15:14:11.376 | SIM:ESM5 | Sell | 4 | 5951 | Passive |
| 2025-06-02T15:14:05.555 | SIM:ESM5 | Sell | 10 | 5950.75 | Aggressive |
| 2025-06-02T15:14:02.829 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5650
Slippage Sweep
0.4400
Arrival Price
5,950.8750
Average Total
5,951.4400
Destination Price
5,951.3750
Sweep to Fill
5,951.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:13:53.34 | SIM:ESM5 | Buy | 4 | 5951.5 | Aggressive |
| 2025-06-02T15:13:49.27 | SIM:ESM5 | Buy | 4 | 5951.5 | Aggressive |
| 2025-06-02T15:13:55.335 | SIM:ESM5 | Buy | 4 | 5951.5 | Aggressive |
| 2025-06-02T15:13:54.35 | SIM:ESM5 | Buy | 3 | 5951.5 | Aggressive |
| 2025-06-02T15:13:52.634 | SIM:ESM5 | Buy | 4 | 5951.5 | Aggressive |
| 2025-06-02T15:13:50.477 | SIM:ESM5 | Buy | 4 | 5951.5 | Aggressive |
| 2025-06-02T15:13:48.312 | SIM:ESM5 | Buy | 14 | 5951.5 | Aggressive |
| 2025-06-02T15:13:45.226 | SIM:ESM5 | Buy | 5 | 5951 | Aggressive |
| 2025-06-02T15:14:02.215 | SIM:ESM5 | Buy | 3 | 5951.5 | Aggressive |
| 2025-06-02T15:13:51.425 | SIM:ESM5 | Buy | 4 | 5951.5 | Aggressive |
| 2025-06-02T15:13:45.007 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2550
Slippage Sweep
0.1300
Arrival Price
5,951.3750
Average Total
5,951.1200
Destination Price
5,951.1250
Sweep to Fill
5,951.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:13:09.856 | SIM:ESM5 | Sell | 22 | 5951.25 | Aggressive |
| 2025-06-02T15:13:08.313 | SIM:ESM5 | Sell | 1 | 5951.25 | Passive |
| 2025-06-02T15:13:04.76 | SIM:ESM5 | Sell | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:13:13.975 | SIM:ESM5 | Sell | 3 | 5951 | Aggressive |
| 2025-06-02T15:13:07.292 | SIM:ESM5 | Sell | 11 | 5951 | Aggressive |
| 2025-06-02T15:13:05.777 | SIM:ESM5 | Sell | 10 | 5951 | Aggressive |
| 2025-06-02T15:13:02.773 | SIM:ESM5 | Sell | 1 | 5951.25 | Aggressive |
| 2025-06-02T15:13:02.311 | SIM:ESM5 | Sell | 1 | 5951.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.1000
Arrival Price
5,951.6250
Average Total
5,951.6500
Destination Price
5,951.3750
Sweep to Fill
5,951.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:13:00.53 | SIM:ESM5 | Buy | 9 | 5951.75 | Aggressive |
| 2025-06-02T15:12:59.487 | SIM:ESM5 | Buy | 16 | 5951.75 | Aggressive |
| 2025-06-02T15:13:01.522 | SIM:ESM5 | Buy | 20 | 5951.5 | Aggressive |
| 2025-06-02T15:12:58.479 | SIM:ESM5 | Buy | 4 | 5951.75 | Aggressive |
| 2025-06-02T15:12:57.485 | SIM:ESM5 | Buy | 1 | 5951.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.1450
Arrival Price
5,950.6250
Average Total
5,950.5600
Destination Price
5,950.8750
Sweep to Fill
5,950.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:12:27.112 | SIM:ESM5 | Sell | 12 | 5950.75 | Aggressive |
| 2025-06-02T15:12:25.998 | SIM:ESM5 | Sell | 15 | 5950.5 | Aggressive |
| 2025-06-02T15:12:25.111 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:12:24.369 | SIM:ESM5 | Sell | 9 | 5950.5 | Aggressive |
| 2025-06-02T15:12:24.368 | SIM:ESM5 | Sell | 11 | 5950.5 | Aggressive |
| 2025-06-02T15:12:22.012 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0450
Slippage Sweep
-0.1800
Arrival Price
5,950.8750
Average Total
5,950.9200
Destination Price
5,950.6250
Sweep to Fill
5,951.1000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:12:20.633 | SIM:ESM5 | Buy | 22 | 5951 | Aggressive |
| 2025-06-02T15:12:21.712 | SIM:ESM5 | Buy | 16 | 5950.75 | Aggressive |
| 2025-06-02T15:12:19.593 | SIM:ESM5 | Buy | 3 | 5951 | Aggressive |
| 2025-06-02T15:12:17.603 | SIM:ESM5 | Buy | 8 | 5951 | Aggressive |
| 2025-06-02T15:12:16.713 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0350
Slippage Sweep
-0.1850
Arrival Price
5,951.1250
Average Total
5,951.1600
Destination Price
5,951.3750
Sweep to Fill
5,950.9750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:11:45.553 | SIM:ESM5 | Sell | 7 | 5951 | Aggressive |
| 2025-06-02T15:11:45.553 | SIM:ESM5 | Sell | 32 | 5951.25 | Aggressive |
| 2025-06-02T15:11:44.342 | SIM:ESM5 | Sell | 5 | 5951 | Aggressive |
| 2025-06-02T15:11:44.341 | SIM:ESM5 | Sell | 5 | 5951 | Aggressive |
| 2025-06-02T15:11:43.42 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
0.0000
Arrival Price
5,951.1250
Average Total
5,951.2500
Destination Price
5,951.1250
Sweep to Fill
5,951.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:11:43.012 | SIM:ESM5 | Buy | 1 | 5951.25 | Aggressive |
| 2025-06-02T15:11:42.062 | SIM:ESM5 | Buy | 4 | 5951.25 | Aggressive |
| 2025-06-02T15:11:41.423 | SIM:ESM5 | Buy | 8 | 5951.25 | Aggressive |
| 2025-06-02T15:11:41.342 | SIM:ESM5 | Buy | 8 | 5951.25 | Aggressive |
| 2025-06-02T15:11:41.342 | SIM:ESM5 | Buy | 8 | 5951.25 | Aggressive |
| 2025-06-02T15:11:37.96 | SIM:ESM5 | Buy | 10 | 5951.25 | Aggressive |
| 2025-06-02T15:11:36.912 | SIM:ESM5 | Buy | 10 | 5951.25 | Aggressive |
| 2025-06-02T15:11:35.896 | SIM:ESM5 | Buy | 1 | 5951.25 | Aggressive |