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
-0.3900
Slippage Sweep
-0.9950
Arrival Price
5,338.6250
Average Total
5,339.0150
Destination Price
5,340.5000
Sweep to Fill
5,338.0200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:25:41.178 | SIM:ESM5 | Sell | 1 | 5338.5 | Aggressive |
| 2025-04-17T11:25:42.179 | SIM:ESM5 | Sell | 8 | 5339 | Aggressive |
| 2025-04-17T11:25:42.179 | SIM:ESM5 | Sell | 3 | 5339 | Passive |
| 2025-04-17T11:25:43.293 | SIM:ESM5 | Sell | 1 | 5338.75 | Aggressive |
| 2025-04-17T11:25:44.205 | SIM:ESM5 | Sell | 2 | 5338.5 | Aggressive |
| 2025-04-17T11:25:45.217 | SIM:ESM5 | Sell | 1 | 5338.25 | Aggressive |
| 2025-04-17T11:25:45.422 | SIM:ESM5 | Sell | 1 | 5338.5 | Passive |
| 2025-04-17T11:25:45.422 | SIM:ESM5 | Sell | 1 | 5338.5 | Aggressive |
| 2025-04-17T11:25:48.464 | SIM:ESM5 | Sell | 2 | 5338.75 | Aggressive |
| 2025-04-17T11:25:49.254 | SIM:ESM5 | Sell | 12 | 5338.75 | Aggressive |
| 2025-04-17T11:25:49.254 | SIM:ESM5 | Sell | 1 | 5338.75 | Aggressive |
| 2025-04-17T11:25:49.254 | SIM:ESM5 | Sell | 2 | 5338.75 | Aggressive |
| 2025-04-17T11:25:50.288 | SIM:ESM5 | Sell | 8 | 5339.25 | Aggressive |
| 2025-04-17T11:25:50.288 | SIM:ESM5 | Sell | 1 | 5339 | Aggressive |
| 2025-04-17T11:25:50.288 | SIM:ESM5 | Sell | 1 | 5339.25 | Passive |
| 2025-04-17T11:25:51.258 | SIM:ESM5 | Sell | 5 | 5340.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.8850
Slippage Sweep
-1.3850
Arrival Price
5,339.8750
Average Total
5,338.9900
Destination Price
5,337.3750
Sweep to Fill
5,340.3750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:25:27.981 | SIM:ESM5 | Buy | 1 | 5340 | Aggressive |
| 2025-04-17T11:25:28.995 | SIM:ESM5 | Buy | 2 | 5340 | Aggressive |
| 2025-04-17T11:25:30.041 | SIM:ESM5 | Buy | 2 | 5340 | Aggressive |
| 2025-04-17T11:25:31.003 | SIM:ESM5 | Buy | 4 | 5339.5 | Aggressive |
| 2025-04-17T11:25:31.003 | SIM:ESM5 | Buy | 5 | 5339.75 | Aggressive |
| 2025-04-17T11:25:32.021 | SIM:ESM5 | Buy | 6 | 5339.25 | Aggressive |
| 2025-04-17T11:25:32.021 | SIM:ESM5 | Buy | 3 | 5339.5 | Aggressive |
| 2025-04-17T11:25:33.026 | SIM:ESM5 | Buy | 12 | 5339 | Aggressive |
| 2025-04-17T11:25:33.067 | SIM:ESM5 | Buy | 1 | 5338.75 | Passive |
| 2025-04-17T11:25:33.067 | SIM:ESM5 | Buy | 1 | 5338.75 | Passive |
| 2025-04-17T11:25:33.067 | SIM:ESM5 | Buy | 1 | 5338.75 | Passive |
| 2025-04-17T11:25:34.057 | SIM:ESM5 | Buy | 3 | 5338.25 | Aggressive |
| 2025-04-17T11:25:34.093 | SIM:ESM5 | Buy | 3 | 5338.25 | Aggressive |
| 2025-04-17T11:25:35.039 | SIM:ESM5 | Buy | 6 | 5337.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.7300
Slippage Sweep
-1.2950
Arrival Price
5,337.0000
Average Total
5,337.7300
Destination Price
5,337.6250
Sweep to Fill
5,336.4350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:24:42.953 | SIM:ESM5 | Sell | 1 | 5337 | Aggressive |
| 2025-04-17T11:24:44.241 | SIM:ESM5 | Sell | 1 | 5337 | Aggressive |
| 2025-04-17T11:24:44.986 | SIM:ESM5 | Sell | 2 | 5337 | Aggressive |
| 2025-04-17T11:24:46.004 | SIM:ESM5 | Sell | 3 | 5337 | Aggressive |
| 2025-04-17T11:24:47.007 | SIM:ESM5 | Sell | 10 | 5338 | Aggressive |
| 2025-04-17T11:24:47.007 | SIM:ESM5 | Sell | 10 | 5337.75 | Aggressive |
| 2025-04-17T11:24:48.048 | SIM:ESM5 | Sell | 12 | 5338 | Aggressive |
| 2025-04-17T11:24:48.638 | SIM:ESM5 | Sell | 2 | 5338 | Aggressive |
| 2025-04-17T11:24:49.086 | SIM:ESM5 | Sell | 3 | 5338 | Aggressive |
| 2025-04-17T11:24:50.03 | SIM:ESM5 | Sell | 2 | 5337.5 | Aggressive |
| 2025-04-17T11:24:50.03 | SIM:ESM5 | Sell | 4 | 5337.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.6950
Slippage Sweep
-1.2850
Arrival Price
5,337.3750
Average Total
5,336.6800
Destination Price
5,336.7500
Sweep to Fill
5,337.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:24:13.46 | SIM:ESM5 | Buy | 3 | 5336.75 | Aggressive |
| 2025-04-17T11:24:13.482 | SIM:ESM5 | Buy | 1 | 5336.5 | Aggressive |
| 2025-04-17T11:24:14.487 | SIM:ESM5 | Buy | 10 | 5336.5 | Aggressive |
| 2025-04-17T11:24:14.487 | SIM:ESM5 | Buy | 2 | 5336.5 | Aggressive |
| 2025-04-17T11:24:15.512 | SIM:ESM5 | Buy | 7 | 5336.5 | Aggressive |
| 2025-04-17T11:24:15.513 | SIM:ESM5 | Buy | 1 | 5336.5 | Aggressive |
| 2025-04-17T11:24:16.478 | SIM:ESM5 | Buy | 3 | 5336.5 | Aggressive |
| 2025-04-17T11:24:16.478 | SIM:ESM5 | Buy | 5 | 5336.75 | Aggressive |
| 2025-04-17T11:24:17.498 | SIM:ESM5 | Buy | 8 | 5336.75 | Aggressive |
| 2025-04-17T11:24:17.498 | SIM:ESM5 | Buy | 4 | 5337 | Aggressive |
| 2025-04-17T11:24:18.51 | SIM:ESM5 | Buy | 6 | 5337 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.5100
Slippage Sweep
0.8600
Arrival Price
5,338.0000
Average Total
5,336.4900
Destination Price
5,336.7500
Sweep to Fill
5,337.3500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:23:21.046 | SIM:ESM5 | Sell | 1 | 5338.25 | Aggressive |
| 2025-04-17T11:23:22.145 | SIM:ESM5 | Sell | 1 | 5338 | Passive |
| 2025-04-17T11:23:23.068 | SIM:ESM5 | Sell | 1 | 5337.75 | Aggressive |
| 2025-04-17T11:23:24.059 | SIM:ESM5 | Sell | 2 | 5336.75 | Aggressive |
| 2025-04-17T11:23:24.059 | SIM:ESM5 | Sell | 10 | 5336.5 | Aggressive |
| 2025-04-17T11:23:26.08 | SIM:ESM5 | Sell | 8 | 5336 | Aggressive |
| 2025-04-17T11:23:26.3 | SIM:ESM5 | Sell | 3 | 5336.25 | Aggressive |
| 2025-04-17T11:23:26.3 | SIM:ESM5 | Sell | 1 | 5336 | Aggressive |
| 2025-04-17T11:23:27.085 | SIM:ESM5 | Sell | 12 | 5336.5 | Aggressive |
| 2025-04-17T11:23:27.085 | SIM:ESM5 | Sell | 1 | 5336.25 | Aggressive |
| 2025-04-17T11:23:27.085 | SIM:ESM5 | Sell | 1 | 5336.5 | Aggressive |
| 2025-04-17T11:23:27.085 | SIM:ESM5 | Sell | 3 | 5336.5 | Passive |
| 2025-04-17T11:23:28.1 | SIM:ESM5 | Sell | 4 | 5336.5 | Aggressive |
| 2025-04-17T11:23:28.1 | SIM:ESM5 | Sell | 2 | 5336.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.6650
Slippage Sweep
1.2000
Arrival Price
5,336.6250
Average Total
5,338.2900
Destination Price
5,339.2500
Sweep to Fill
5,337.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:22:58.355 | SIM:ESM5 | Buy | 1 | 5336.5 | Aggressive |
| 2025-04-17T11:22:59.385 | SIM:ESM5 | Buy | 2 | 5336.5 | Aggressive |
| 2025-04-17T11:23:00.385 | SIM:ESM5 | Buy | 10 | 5336.5 | Aggressive |
| 2025-04-17T11:23:04.425 | SIM:ESM5 | Buy | 5 | 5338.5 | Aggressive |
| 2025-04-17T11:23:04.425 | SIM:ESM5 | Buy | 5 | 5338.75 | Aggressive |
| 2025-04-17T11:23:04.425 | SIM:ESM5 | Buy | 4 | 5338.5 | Passive |
| 2025-04-17T11:23:05.43 | SIM:ESM5 | Buy | 3 | 5338.75 | Aggressive |
| 2025-04-17T11:23:05.43 | SIM:ESM5 | Buy | 6 | 5339 | Aggressive |
| 2025-04-17T11:23:06.425 | SIM:ESM5 | Buy | 11 | 5339.25 | Aggressive |
| 2025-04-17T11:23:07.452 | SIM:ESM5 | Buy | 3 | 5339.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.7650
Slippage Sweep
-1.3300
Arrival Price
5,342.2500
Average Total
5,341.4850
Destination Price
5,340.2500
Sweep to Fill
5,342.8150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:22:03.112 | SIM:ESM5 | Buy | 5 | 5341.5 | Aggressive |
| 2025-04-17T11:22:03.112 | SIM:ESM5 | Buy | 7 | 5341.75 | Aggressive |
| 2025-04-17T11:22:04.214 | SIM:ESM5 | Buy | 11 | 5341.5 | Aggressive |
| 2025-04-17T11:22:04.214 | SIM:ESM5 | Buy | 1 | 5341.5 | Passive |
| 2025-04-17T11:22:05.149 | SIM:ESM5 | Buy | 7 | 5341.5 | Aggressive |
| 2025-04-17T11:22:05.149 | SIM:ESM5 | Buy | 2 | 5341.75 | Aggressive |
| 2025-04-17T11:22:06.135 | SIM:ESM5 | Buy | 11 | 5341.5 | Aggressive |
| 2025-04-17T11:22:06.428 | SIM:ESM5 | Buy | 2 | 5341.5 | Aggressive |
| 2025-04-17T11:22:07.251 | SIM:ESM5 | Buy | 2 | 5341 | Aggressive |
| 2025-04-17T11:22:08.166 | SIM:ESM5 | Buy | 2 | 5340.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.9950
Slippage Sweep
1.3350
Arrival Price
5,335.5000
Average Total
5,337.4950
Destination Price
5,338.6250
Sweep to Fill
5,336.1600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:21:08.024 | SIM:ESM5 | Buy | 1 | 5336.25 | Aggressive |
| 2025-04-17T11:21:09.011 | SIM:ESM5 | Buy | 7 | 5336.75 | Aggressive |
| 2025-04-17T11:21:09.011 | SIM:ESM5 | Buy | 2 | 5337 | Aggressive |
| 2025-04-17T11:21:10.024 | SIM:ESM5 | Buy | 14 | 5337 | Aggressive |
| 2025-04-17T11:21:10.024 | SIM:ESM5 | Buy | 2 | 5337.25 | Aggressive |
| 2025-04-17T11:21:10.024 | SIM:ESM5 | Buy | 5 | 5337 | Aggressive |
| 2025-04-17T11:21:11.045 | SIM:ESM5 | Buy | 4 | 5338 | Aggressive |
| 2025-04-17T11:21:11.045 | SIM:ESM5 | Buy | 4 | 5338.25 | Aggressive |
| 2025-04-17T11:21:11.045 | SIM:ESM5 | Buy | 4 | 5338 | Aggressive |
| 2025-04-17T11:21:12.039 | SIM:ESM5 | Buy | 1 | 5338.75 | Aggressive |
| 2025-04-17T11:21:12.039 | SIM:ESM5 | Buy | 6 | 5339 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0950
Slippage Sweep
-0.7850
Arrival Price
5,337.6250
Average Total
5,337.5300
Destination Price
5,337.3750
Sweep to Fill
5,338.3150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:20:07.908 | SIM:ESM5 | Buy | 1 | 5338 | Aggressive |
| 2025-04-17T11:20:09.062 | SIM:ESM5 | Buy | 1 | 5337.75 | Aggressive |
| 2025-04-17T11:20:10.927 | SIM:ESM5 | Buy | 7 | 5336.75 | Aggressive |
| 2025-04-17T11:20:10.927 | SIM:ESM5 | Buy | 2 | 5336.75 | Aggressive |
| 2025-04-17T11:20:12.949 | SIM:ESM5 | Buy | 10 | 5337.25 | Aggressive |
| 2025-04-17T11:20:12.949 | SIM:ESM5 | Buy | 1 | 5337.5 | Aggressive |
| 2025-04-17T11:20:15.999 | SIM:ESM5 | Buy | 4 | 5338.25 | Aggressive |
| 2025-04-17T11:20:15.999 | SIM:ESM5 | Buy | 5 | 5338.5 | Aggressive |
| 2025-04-17T11:20:15.999 | SIM:ESM5 | Buy | 2 | 5338.25 | Aggressive |
| 2025-04-17T11:20:21.037 | SIM:ESM5 | Buy | 3 | 5338 | Aggressive |
| 2025-04-17T11:20:21.089 | SIM:ESM5 | Buy | 4 | 5338 | Aggressive |
| 2025-04-17T11:20:26.112 | SIM:ESM5 | Buy | 4 | 5337 | Aggressive |
| 2025-04-17T11:20:26.112 | SIM:ESM5 | Buy | 4 | 5337.25 | Aggressive |
| 2025-04-17T11:20:27.118 | SIM:ESM5 | Buy | 2 | 5337.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.6700
Slippage Sweep
-1.3600
Arrival Price
5,337.6250
Average Total
5,338.2950
Destination Price
5,340.5000
Sweep to Fill
5,336.9350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:19:23.221 | SIM:ESM5 | Sell | 2 | 5337.25 | Aggressive |
| 2025-04-17T11:19:24.243 | SIM:ESM5 | Sell | 4 | 5337 | Aggressive |
| 2025-04-17T11:19:26.267 | SIM:ESM5 | Sell | 12 | 5337 | Aggressive |
| 2025-04-17T11:19:26.267 | SIM:ESM5 | Sell | 3 | 5336.75 | Aggressive |
| 2025-04-17T11:19:26.267 | SIM:ESM5 | Sell | 3 | 5337 | Passive |
| 2025-04-17T11:19:29.28 | SIM:ESM5 | Sell | 11 | 5339.25 | Aggressive |
| 2025-04-17T11:19:29.28 | SIM:ESM5 | Sell | 1 | 5339 | Aggressive |
| 2025-04-17T11:19:29.28 | SIM:ESM5 | Sell | 1 | 5339.25 | Aggressive |
| 2025-04-17T11:19:30.293 | SIM:ESM5 | Sell | 8 | 5339.75 | Aggressive |
| 2025-04-17T11:19:30.293 | SIM:ESM5 | Sell | 3 | 5339.5 | Aggressive |
| 2025-04-17T11:19:31.314 | SIM:ESM5 | Sell | 2 | 5340.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.9650
Slippage Sweep
-1.7900
Arrival Price
5,340.1250
Average Total
5,339.1600
Destination Price
5,338.6250
Sweep to Fill
5,340.9500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:19:09.212 | SIM:ESM5 | Buy | 2 | 5340.75 | Aggressive |
| 2025-04-17T11:19:09.213 | SIM:ESM5 | Buy | 5 | 5341 | Aggressive |
| 2025-04-17T11:19:09.213 | SIM:ESM5 | Buy | 5 | 5341.25 | Aggressive |
| 2025-04-17T11:19:09.213 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T11:19:10.221 | SIM:ESM5 | Buy | 10 | 5339.5 | Aggressive |
| 2025-04-17T11:19:10.221 | SIM:ESM5 | Buy | 4 | 5339.75 | Aggressive |
| 2025-04-17T11:19:11.223 | SIM:ESM5 | Buy | 5 | 5337.75 | Aggressive |
| 2025-04-17T11:19:11.223 | SIM:ESM5 | Buy | 6 | 5338 | Aggressive |
| 2025-04-17T11:19:12.227 | SIM:ESM5 | Buy | 4 | 5337.5 | Aggressive |
| 2025-04-17T11:19:12.227 | SIM:ESM5 | Buy | 2 | 5337.75 | Aggressive |
| 2025-04-17T11:19:13.248 | SIM:ESM5 | Buy | 2 | 5337.75 | Aggressive |
| 2025-04-17T11:19:13.248 | SIM:ESM5 | Buy | 3 | 5338 | Aggressive |
| 2025-04-17T11:19:14.242 | SIM:ESM5 | Buy | 1 | 5338.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6800
Slippage Sweep
-0.0400
Arrival Price
5,330.5000
Average Total
5,329.8200
Destination Price
5,329.6250
Sweep to Fill
5,329.7800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:18:13.922 | SIM:ESM5 | Sell | 1 | 5330 | Aggressive |
| 2025-04-17T11:18:15.953 | SIM:ESM5 | Sell | 1 | 5330.5 | Aggressive |
| 2025-04-17T11:18:16.959 | SIM:ESM5 | Sell | 3 | 5330.75 | Aggressive |
| 2025-04-17T11:18:17.002 | SIM:ESM5 | Sell | 3 | 5330.75 | Aggressive |
| 2025-04-17T11:18:17.995 | SIM:ESM5 | Sell | 7 | 5330.75 | Aggressive |
| 2025-04-17T11:18:21.073 | SIM:ESM5 | Sell | 1 | 5330 | Aggressive |
| 2025-04-17T11:18:22.048 | SIM:ESM5 | Sell | 9 | 5329.75 | Aggressive |
| 2025-04-17T11:18:22.048 | SIM:ESM5 | Sell | 1 | 5329.5 | Aggressive |
| 2025-04-17T11:18:23.005 | SIM:ESM5 | Sell | 4 | 5329.25 | Aggressive |
| 2025-04-17T11:18:23.005 | SIM:ESM5 | Sell | 1 | 5329.25 | Passive |
| 2025-04-17T11:18:24.026 | SIM:ESM5 | Sell | 12 | 5329.25 | Aggressive |
| 2025-04-17T11:18:24.027 | SIM:ESM5 | Sell | 3 | 5329.25 | Passive |
| 2025-04-17T11:18:26.073 | SIM:ESM5 | Sell | 1 | 5329.75 | Aggressive |
| 2025-04-17T11:18:27.111 | SIM:ESM5 | Sell | 1 | 5330 | Passive |
| 2025-04-17T11:18:28.124 | SIM:ESM5 | Sell | 1 | 5329.5 | Aggressive |
| 2025-04-17T11:18:28.124 | SIM:ESM5 | Sell | 1 | 5329.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3550
Slippage Sweep
-0.2850
Arrival Price
5,330.5000
Average Total
5,330.8550
Destination Price
5,330.8750
Sweep to Fill
5,331.1400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:17:46.628 | SIM:ESM5 | Buy | 1 | 5330.25 | Aggressive |
| 2025-04-17T11:17:47.647 | SIM:ESM5 | Buy | 2 | 5330.5 | Aggressive |
| 2025-04-17T11:17:48.645 | SIM:ESM5 | Buy | 1 | 5330.25 | Aggressive |
| 2025-04-17T11:17:50.656 | SIM:ESM5 | Buy | 2 | 5330.75 | Aggressive |
| 2025-04-17T11:17:50.656 | SIM:ESM5 | Buy | 1 | 5330.75 | Aggressive |
| 2025-04-17T11:17:52.766 | SIM:ESM5 | Buy | 3 | 5330.5 | Aggressive |
| 2025-04-17T11:17:54.747 | SIM:ESM5 | Buy | 3 | 5330.5 | Aggressive |
| 2025-04-17T11:17:55.722 | SIM:ESM5 | Buy | 1 | 5330.75 | Aggressive |
| 2025-04-17T11:17:56.8 | SIM:ESM5 | Buy | 1 | 5330.5 | Aggressive |
| 2025-04-17T11:17:57.735 | SIM:ESM5 | Buy | 2 | 5330.25 | Aggressive |
| 2025-04-17T11:17:57.735 | SIM:ESM5 | Buy | 1 | 5330.5 | Aggressive |
| 2025-04-17T11:17:58.747 | SIM:ESM5 | Buy | 1 | 5330.5 | Aggressive |
| 2025-04-17T11:17:59.792 | SIM:ESM5 | Buy | 3 | 5330.5 | Aggressive |
| 2025-04-17T11:18:00.773 | SIM:ESM5 | Buy | 2 | 5330.75 | Aggressive |
| 2025-04-17T11:18:00.773 | SIM:ESM5 | Buy | 2 | 5331 | Aggressive |
| 2025-04-17T11:18:01.941 | SIM:ESM5 | Buy | 3 | 5331 | Aggressive |
| 2025-04-17T11:18:01.941 | SIM:ESM5 | Buy | 9 | 5331.25 | Aggressive |
| 2025-04-17T11:18:03.134 | SIM:ESM5 | Buy | 2 | 5331.25 | Aggressive |
| 2025-04-17T11:18:03.805 | SIM:ESM5 | Buy | 4 | 5331.25 | Aggressive |
| 2025-04-17T11:18:03.806 | SIM:ESM5 | Buy | 1 | 5331.5 | Aggressive |
| 2025-04-17T11:18:04.872 | SIM:ESM5 | Buy | 5 | 5331 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.7800
Slippage Sweep
1.1115
Arrival Price
5,334.6250
Average Total
5,332.8450
Destination Price
5,332.7500
Sweep to Fill
5,333.9565
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:17:02.713 | SIM:ESM5 | Sell | 1 | 5334 | Aggressive |
| 2025-04-17T11:17:03.741 | SIM:ESM5 | Sell | 1 | 5334 | Aggressive |
| 2025-04-17T11:17:03.741 | SIM:ESM5 | Sell | 3 | 5334 | Aggressive |
| 2025-04-17T11:17:04.748 | SIM:ESM5 | Sell | 1 | 5333.75 | Aggressive |
| 2025-04-17T11:17:05.754 | SIM:ESM5 | Sell | 5 | 5333.25 | Aggressive |
| 2025-04-17T11:17:05.754 | SIM:ESM5 | Sell | 5 | 5333 | Aggressive |
| 2025-04-17T11:17:05.754 | SIM:ESM5 | Sell | 2 | 5333.25 | Aggressive |
| 2025-04-17T11:17:06.752 | SIM:ESM5 | Sell | 9 | 5333 | Aggressive |
| 2025-04-17T11:17:07.766 | SIM:ESM5 | Sell | 4 | 5332.5 | Aggressive |
| 2025-04-17T11:17:07.766 | SIM:ESM5 | Sell | 1 | 5332.25 | Aggressive |
| 2025-04-17T11:17:07.766 | SIM:ESM5 | Sell | 1 | 5332.5 | Passive |
| 2025-04-17T11:17:08.795 | SIM:ESM5 | Sell | 8 | 5332.25 | Aggressive |
| 2025-04-17T11:17:08.795 | SIM:ESM5 | Sell | 3 | 5332 | Aggressive |
| 2025-04-17T11:17:09.812 | SIM:ESM5 | Sell | 6 | 5332.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.4900
Slippage Sweep
0.8350
Arrival Price
5,331.1250
Average Total
5,332.6150
Destination Price
5,333.5000
Sweep to Fill
5,331.7800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:16:43.968 | SIM:ESM5 | Buy | 1 | 5331 | Aggressive |
| 2025-04-17T11:16:44.963 | SIM:ESM5 | Buy | 8 | 5330.25 | Aggressive |
| 2025-04-17T11:16:46.99 | SIM:ESM5 | Buy | 4 | 5332.75 | Aggressive |
| 2025-04-17T11:16:48.006 | SIM:ESM5 | Buy | 6 | 5332.75 | Aggressive |
| 2025-04-17T11:16:48.026 | SIM:ESM5 | Buy | 1 | 5332.75 | Aggressive |
| 2025-04-17T11:16:49.032 | SIM:ESM5 | Buy | 4 | 5332.75 | Aggressive |
| 2025-04-17T11:16:49.032 | SIM:ESM5 | Buy | 1 | 5332.75 | Aggressive |
| 2025-04-17T11:16:50.033 | SIM:ESM5 | Buy | 5 | 5333 | Aggressive |
| 2025-04-17T11:16:50.033 | SIM:ESM5 | Buy | 11 | 5333.25 | Aggressive |
| 2025-04-17T11:16:51.046 | SIM:ESM5 | Buy | 3 | 5333.5 | Aggressive |
| 2025-04-17T11:16:51.046 | SIM:ESM5 | Buy | 2 | 5333.75 | Aggressive |
| 2025-04-17T11:16:52.064 | SIM:ESM5 | Buy | 1 | 5333.75 | Aggressive |
| 2025-04-17T11:16:52.064 | SIM:ESM5 | Buy | 3 | 5333.75 | Aggressive |