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
0.1450
Slippage Sweep
0.0200
Arrival Price
5,951.1250
Average Total
5,950.9800
Destination Price
5,951.1250
Sweep to Fill
5,951.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:11:05.662 | SIM:ESM5 | Sell | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:11:05.662 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
| 2025-06-02T15:11:04.512 | SIM:ESM5 | Sell | 8 | 5951 | Aggressive |
| 2025-06-02T15:11:04.476 | SIM:ESM5 | Sell | 8 | 5951 | Aggressive |
| 2025-06-02T15:11:04.476 | SIM:ESM5 | Sell | 18 | 5951 | Aggressive |
| 2025-06-02T15:11:02.065 | SIM:ESM5 | Sell | 10 | 5951 | Aggressive |
| 2025-06-02T15:10:59.412 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2550
Slippage Sweep
0.1150
Arrival Price
5,950.3750
Average Total
5,950.6300
Destination Price
5,950.6250
Sweep to Fill
5,950.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:10:45.521 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:10:44.512 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:10:43.536 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:10:42.522 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:10:59.22 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:10:58.614 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:10:58.614 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:10:36.548 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:10:36.548 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:10:35.668 | SIM:ESM5 | Buy | 10 | 5950.5 | Aggressive |
| 2025-06-02T15:10:34.379 | SIM:ESM5 | Buy | 10 | 5950.5 | Aggressive |
| 2025-06-02T15:10:33.403 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0450
Slippage Sweep
-0.1600
Arrival Price
5,950.8750
Average Total
5,950.8300
Destination Price
5,951.1250
Sweep to Fill
5,950.6700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:10:02.584 | SIM:ESM5 | Sell | 18 | 5951 | Aggressive |
| 2025-06-02T15:10:02.343 | SIM:ESM5 | Sell | 6 | 5950.75 | Aggressive |
| 2025-06-02T15:09:59.703 | SIM:ESM5 | Sell | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:09:58.629 | SIM:ESM5 | Sell | 6 | 5950.75 | Aggressive |
| 2025-06-02T15:09:56.519 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:09:56.519 | SIM:ESM5 | Sell | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:09:56.519 | SIM:ESM5 | Sell | 2 | 5950.75 | Passive |
| 2025-06-02T15:09:56.518 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:09:56.518 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:09:58.629 | SIM:ESM5 | Sell | 5 | 5950.75 | Aggressive |
| 2025-06-02T15:09:57.565 | SIM:ESM5 | Sell | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:09:55.475 | SIM:ESM5 | Sell | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:09:55.012 | SIM:ESM5 | Sell | 1 | 5950.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0600
Slippage Sweep
-0.1200
Arrival Price
5,950.8750
Average Total
5,950.9350
Destination Price
5,950.8750
Sweep to Fill
5,951.0550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:09:54.039 | SIM:ESM5 | Buy | 18 | 5951 | Aggressive |
| 2025-06-02T15:09:53.018 | SIM:ESM5 | Buy | 9 | 5950.75 | Aggressive |
| 2025-06-02T15:09:52.048 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:09:49.46 | SIM:ESM5 | Buy | 5 | 5951 | Aggressive |
| 2025-06-02T15:09:50.259 | SIM:ESM5 | Buy | 13 | 5951 | Aggressive |
| 2025-06-02T15:09:47.968 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3650
Slippage Sweep
-0.4900
Arrival Price
5,951.1250
Average Total
5,951.4900
Destination Price
5,951.6250
Sweep to Fill
5,951.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:09:17.594 | SIM:ESM5 | Sell | 19 | 5951.5 | Aggressive |
| 2025-06-02T15:09:17.594 | SIM:ESM5 | Sell | 30 | 5951.5 | Aggressive |
| 2025-06-02T15:09:16.577 | 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
-0.1600
Arrival Price
5,951.1250
Average Total
5,951.2500
Destination Price
5,951.1250
Sweep to Fill
5,951.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:09:13.459 | SIM:ESM5 | Buy | 4 | 5951.25 | Aggressive |
| 2025-06-02T15:09:12.32 | SIM:ESM5 | Buy | 4 | 5951.25 | Aggressive |
| 2025-06-02T15:09:11.296 | SIM:ESM5 | Buy | 2 | 5951.25 | Aggressive |
| 2025-06-02T15:09:16.412 | SIM:ESM5 | Buy | 1 | 5951.25 | Aggressive |
| 2025-06-02T15:09:15.303 | SIM:ESM5 | Buy | 25 | 5951.25 | Aggressive |
| 2025-06-02T15:09:15.303 | SIM:ESM5 | Buy | 13 | 5951.25 | Aggressive |
| 2025-06-02T15:09:10.402 | SIM:ESM5 | Buy | 1 | 5951.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.1550
Arrival Price
5,950.6250
Average Total
5,950.6550
Destination Price
5,950.8750
Sweep to Fill
5,950.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:08:39.553 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:08:39.553 | SIM:ESM5 | Sell | 31 | 5950.75 | Aggressive |
| 2025-06-02T15:08:37.225 | SIM:ESM5 | Sell | 7 | 5950.5 | Aggressive |
| 2025-06-02T15:08:38.177 | SIM:ESM5 | Sell | 6 | 5950.5 | Aggressive |
| 2025-06-02T15:08:36.079 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:08:35.273 | 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
0.0400
Slippage Sweep
-0.1950
Arrival Price
5,950.8750
Average Total
5,950.9150
Destination Price
5,950.8750
Sweep to Fill
5,951.1100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:08:34.823 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:08:34.823 | SIM:ESM5 | Buy | 5 | 5950.75 | Passive |
| 2025-06-02T15:08:34.823 | SIM:ESM5 | Buy | 1 | 5950.75 | Passive |
| 2025-06-02T15:08:34.823 | SIM:ESM5 | Buy | 1 | 5950.75 | Passive |
| 2025-06-02T15:08:31.17 | SIM:ESM5 | Buy | 18 | 5951 | Aggressive |
| 2025-06-02T15:08:31.17 | SIM:ESM5 | Buy | 3 | 5951 | Aggressive |
| 2025-06-02T15:08:33.256 | SIM:ESM5 | Buy | 10 | 5951 | Aggressive |
| 2025-06-02T15:08:30.127 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
| 2025-06-02T15:08:26.225 | SIM:ESM5 | Buy | 9 | 5950.75 | Aggressive |
| 2025-06-02T15:08:25.741 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0750
Slippage Sweep
-0.1650
Arrival Price
5,950.6250
Average Total
5,950.5500
Destination Price
5,950.8750
Sweep to Fill
5,950.3850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:07:54.715 | SIM:ESM5 | Sell | 9 | 5950.75 | Aggressive |
| 2025-06-02T15:07:50.612 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:07:54.374 | SIM:ESM5 | Sell | 15 | 5950.5 | Aggressive |
| 2025-06-02T15:07:54.374 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:07:54.374 | SIM:ESM5 | Sell | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:07:54.374 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:07:54.374 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:07:54.374 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:07:51.712 | SIM:ESM5 | Sell | 17 | 5950.5 | Aggressive |
| 2025-06-02T15:07:49.712 | SIM:ESM5 | Sell | 1 | 5950.5 | Passive |
| 2025-06-02T15:07:49.58 | SIM:ESM5 | Sell | 1 | 5950.25 | 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
5,950.6250
Average Total
5,950.7500
Destination Price
5,950.6250
Sweep to Fill
5,950.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:07:45.447 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:07:44.481 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:07:39.581 | SIM:ESM5 | Buy | 6 | 5950.75 | Aggressive |
| 2025-06-02T15:07:39.581 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:07:38.449 | SIM:ESM5 | Buy | 10 | 5950.75 | Aggressive |
| 2025-06-02T15:07:47.627 | SIM:ESM5 | Buy | 8 | 5950.75 | Aggressive |
| 2025-06-02T15:07:46.739 | SIM:ESM5 | Buy | 10 | 5950.75 | Aggressive |
| 2025-06-02T15:07:46.739 | SIM:ESM5 | Buy | 5 | 5950.75 | Aggressive |
| 2025-06-02T15:07:38.06 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.1950
Arrival Price
5,950.1250
Average Total
5,950.1950
Destination Price
5,950.3750
Sweep to Fill
5,950.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:07:07.122 | SIM:ESM5 | Sell | 15 | 5950.25 | Aggressive |
| 2025-06-02T15:07:06.096 | SIM:ESM5 | Sell | 10 | 5950 | Aggressive |
| 2025-06-02T15:07:06.096 | SIM:ESM5 | Sell | 24 | 5950.25 | Aggressive |
| 2025-06-02T15:07:05.581 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.4150
Arrival Price
5,950.6250
Average Total
5,950.5250
Destination Price
5,950.1250
Sweep to Fill
5,950.9400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:07:04.825 | SIM:ESM5 | Buy | 14 | 5950.5 | Aggressive |
| 2025-06-02T15:07:04.825 | SIM:ESM5 | Buy | 8 | 5950.25 | Aggressive |
| 2025-06-02T15:07:01.743 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
| 2025-06-02T15:07:03.735 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:07:03.735 | SIM:ESM5 | Buy | 16 | 5950.5 | Aggressive |
| 2025-06-02T15:07:02.695 | SIM:ESM5 | Buy | 7 | 5950.75 | Aggressive |
| 2025-06-02T15:07:00.674 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0100
Slippage Sweep
-0.2200
Arrival Price
5,949.6250
Average Total
5,949.6150
Destination Price
5,949.8750
Sweep to Fill
5,949.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:06:30.202 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:06:29.228 | SIM:ESM5 | Sell | 15 | 5949.5 | Aggressive |
| 2025-06-02T15:06:29.228 | SIM:ESM5 | Sell | 22 | 5949.75 | Aggressive |
| 2025-06-02T15:06:27.032 | SIM:ESM5 | Sell | 9 | 5949.5 | Aggressive |
| 2025-06-02T15:06:25.22 | SIM:ESM5 | Sell | 3 | 5949.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1300
Slippage Sweep
-0.2700
Arrival Price
5,950.1250
Average Total
5,949.9950
Destination Price
5,949.6250
Sweep to Fill
5,950.2650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:06:23.686 | SIM:ESM5 | Buy | 22 | 5949.75 | Aggressive |
| 2025-06-02T15:06:19.635 | SIM:ESM5 | Buy | 7 | 5950 | Aggressive |
| 2025-06-02T15:06:18.712 | SIM:ESM5 | Buy | 11 | 5950.25 | Aggressive |
| 2025-06-02T15:06:17.718 | SIM:ESM5 | Buy | 9 | 5950.25 | Aggressive |
| 2025-06-02T15:06:16.719 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1000
Slippage Sweep
-0.0800
Arrival Price
5,949.3750
Average Total
5,949.2750
Destination Price
5,949.6250
Sweep to Fill
5,949.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:05:46.364 | SIM:ESM5 | Sell | 19 | 5949.5 | Aggressive |
| 2025-06-02T15:05:46.364 | SIM:ESM5 | Sell | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:05:45.339 | SIM:ESM5 | Sell | 7 | 5949.25 | Aggressive |
| 2025-06-02T15:05:45.339 | SIM:ESM5 | Sell | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:05:45.339 | SIM:ESM5 | Sell | 1 | 5949.5 | Passive |
| 2025-06-02T15:05:44.183 | SIM:ESM5 | Sell | 10 | 5949 | Aggressive |
| 2025-06-02T15:05:44.183 | SIM:ESM5 | Sell | 5 | 5949 | Aggressive |
| 2025-06-02T15:05:42.199 | SIM:ESM5 | Sell | 2 | 5949 | Aggressive |
| 2025-06-02T15:05:40.517 | SIM:ESM5 | Sell | 2 | 5949 | Aggressive |