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
-2.2750
Slippage Sweep
-2.8950
Arrival Price
5,328.3750
Average Total
5,330.6500
Destination Price
5,332.0000
Sweep to Fill
5,327.7550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:16:00.996 | SIM:ESM5 | Sell | 1 | 5328.25 | Aggressive |
| 2025-04-17T11:16:02.021 | SIM:ESM5 | Sell | 4 | 5329.25 | Aggressive |
| 2025-04-17T11:16:02.021 | SIM:ESM5 | Sell | 8 | 5329 | Aggressive |
| 2025-04-17T11:16:03.009 | SIM:ESM5 | Sell | 5 | 5330.25 | Aggressive |
| 2025-04-17T11:16:03.009 | SIM:ESM5 | Sell | 4 | 5330 | Aggressive |
| 2025-04-17T11:16:04.02 | SIM:ESM5 | Sell | 6 | 5331.25 | Aggressive |
| 2025-04-17T11:16:04.02 | SIM:ESM5 | Sell | 4 | 5331 | Aggressive |
| 2025-04-17T11:16:05.035 | SIM:ESM5 | Sell | 6 | 5331.75 | Aggressive |
| 2025-04-17T11:16:05.035 | SIM:ESM5 | Sell | 2 | 5331.75 | Aggressive |
| 2025-04-17T11:16:06.049 | SIM:ESM5 | Sell | 3 | 5332 | Aggressive |
| 2025-04-17T11:16:06.049 | SIM:ESM5 | Sell | 6 | 5331.75 | Aggressive |
| 2025-04-17T11:16:06.05 | SIM:ESM5 | Sell | 1 | 5332 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
4.2300
Slippage Sweep
3.5200
Arrival Price
5,321.1250
Average Total
5,325.3550
Destination Price
5,325.6250
Sweep to Fill
5,321.8350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:15:38.201 | SIM:ESM5 | Buy | 2 | 5321.75 | Aggressive |
| 2025-04-17T11:15:39.183 | SIM:ESM5 | Buy | 4 | 5324.25 | Aggressive |
| 2025-04-17T11:15:39.183 | SIM:ESM5 | Buy | 2 | 5324.5 | Aggressive |
| 2025-04-17T11:15:39.225 | SIM:ESM5 | Buy | 1 | 5324 | Passive |
| 2025-04-17T11:15:40.201 | SIM:ESM5 | Buy | 3 | 5326.25 | Aggressive |
| 2025-04-17T11:15:41.217 | SIM:ESM5 | Buy | 2 | 5325.75 | Aggressive |
| 2025-04-17T11:15:41.217 | SIM:ESM5 | Buy | 2 | 5325.75 | Passive |
| 2025-04-17T11:15:41.217 | SIM:ESM5 | Buy | 2 | 5325.75 | Passive |
| 2025-04-17T11:15:41.217 | SIM:ESM5 | Buy | 2 | 5325.75 | Passive |
| 2025-04-17T11:15:41.217 | SIM:ESM5 | Buy | 2 | 5325.75 | Passive |
| 2025-04-17T11:15:42.223 | SIM:ESM5 | Buy | 3 | 5325.5 | Aggressive |
| 2025-04-17T11:15:42.223 | SIM:ESM5 | Buy | 1 | 5325.75 | Aggressive |
| 2025-04-17T11:15:43.213 | SIM:ESM5 | Buy | 3 | 5325.25 | Aggressive |
| 2025-04-17T11:15:43.213 | SIM:ESM5 | Buy | 1 | 5325.5 | Aggressive |
| 2025-04-17T11:15:44.255 | SIM:ESM5 | Buy | 3 | 5325.25 | Aggressive |
| 2025-04-17T11:15:44.255 | SIM:ESM5 | Buy | 2 | 5325.5 | Aggressive |
| 2025-04-17T11:15:45.255 | SIM:ESM5 | Buy | 8 | 5326.25 | Aggressive |
| 2025-04-17T11:15:46.258 | SIM:ESM5 | Buy | 4 | 5325.25 | Aggressive |
| 2025-04-17T11:15:46.258 | SIM:ESM5 | Buy | 1 | 5325.25 | Aggressive |
| 2025-04-17T11:15:47.272 | SIM:ESM5 | Buy | 2 | 5325.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8200
Slippage Sweep
0.0533
Arrival Price
5,325.5000
Average Total
5,324.6800
Destination Price
5,326.5000
Sweep to Fill
5,324.7333
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:14:51.558 | SIM:ESM5 | Sell | 1 | 5324.75 | Aggressive |
| 2025-04-17T11:14:53.57 | SIM:ESM5 | Sell | 6 | 5324.25 | Aggressive |
| 2025-04-17T11:14:53.589 | SIM:ESM5 | Sell | 3 | 5324.25 | Aggressive |
| 2025-04-17T11:14:53.805 | SIM:ESM5 | Sell | 1 | 5324.75 | Passive |
| 2025-04-17T11:14:53.805 | SIM:ESM5 | Sell | 1 | 5324.75 | Passive |
| 2025-04-17T11:14:53.805 | SIM:ESM5 | Sell | 1 | 5324.75 | Passive |
| 2025-04-17T11:14:54.58 | SIM:ESM5 | Sell | 5 | 5324.75 | Aggressive |
| 2025-04-17T11:14:54.58 | SIM:ESM5 | Sell | 2 | 5324.75 | Aggressive |
| 2025-04-17T11:14:54.58 | SIM:ESM5 | Sell | 1 | 5324.75 | Passive |
| 2025-04-17T11:14:55.612 | SIM:ESM5 | Sell | 3 | 5324.75 | Aggressive |
| 2025-04-17T11:14:55.612 | SIM:ESM5 | Sell | 2 | 5324.5 | Aggressive |
| 2025-04-17T11:14:55.612 | SIM:ESM5 | Sell | 1 | 5324.75 | Passive |
| 2025-04-17T11:14:55.612 | SIM:ESM5 | Sell | 1 | 5324.75 | Passive |
| 2025-04-17T11:14:56.605 | SIM:ESM5 | Sell | 5 | 5324 | Aggressive |
| 2025-04-17T11:14:56.605 | SIM:ESM5 | Sell | 2 | 5323.75 | Aggressive |
| 2025-04-17T11:14:56.605 | SIM:ESM5 | Sell | 3 | 5324 | Passive |
| 2025-04-17T11:14:57.632 | SIM:ESM5 | Sell | 3 | 5325.25 | Aggressive |
| 2025-04-17T11:14:57.632 | SIM:ESM5 | Sell | 2 | 5325 | Aggressive |
| 2025-04-17T11:14:57.632 | SIM:ESM5 | Sell | 1 | 5325.25 | Passive |
| 2025-04-17T11:14:58.645 | SIM:ESM5 | Sell | 4 | 5325.75 | Aggressive |
| 2025-04-17T11:14:59.662 | SIM:ESM5 | Sell | 2 | 5326.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
2.1050
Slippage Sweep
1.3550
Arrival Price
5,322.2500
Average Total
5,324.3550
Destination Price
5,325.5000
Sweep to Fill
5,323.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:14:28.179 | SIM:ESM5 | Buy | 1 | 5321.75 | Aggressive |
| 2025-04-17T11:14:30.218 | SIM:ESM5 | Buy | 1 | 5323.5 | Aggressive |
| 2025-04-17T11:14:30.218 | SIM:ESM5 | Buy | 4 | 5323.75 | Aggressive |
| 2025-04-17T11:14:32.233 | SIM:ESM5 | Buy | 10 | 5322.75 | Aggressive |
| 2025-04-17T11:14:32.233 | SIM:ESM5 | Buy | 3 | 5322.75 | Passive |
| 2025-04-17T11:14:33.249 | SIM:ESM5 | Buy | 5 | 5325.25 | Aggressive |
| 2025-04-17T11:14:33.249 | SIM:ESM5 | Buy | 1 | 5325.5 | Aggressive |
| 2025-04-17T11:14:33.249 | SIM:ESM5 | Buy | 3 | 5325.25 | Passive |
| 2025-04-17T11:14:34.259 | SIM:ESM5 | Buy | 3 | 5326 | Aggressive |
| 2025-04-17T11:14:34.259 | SIM:ESM5 | Buy | 1 | 5326.25 | Aggressive |
| 2025-04-17T11:14:35.289 | SIM:ESM5 | Buy | 4 | 5325.25 | Aggressive |
| 2025-04-17T11:14:35.289 | SIM:ESM5 | Buy | 6 | 5325.5 | Aggressive |
| 2025-04-17T11:14:36.276 | SIM:ESM5 | Buy | 5 | 5324.25 | Aggressive |
| 2025-04-17T11:14:36.276 | SIM:ESM5 | Buy | 2 | 5324.5 | Aggressive |
| 2025-04-17T11:14:37.298 | SIM:ESM5 | Buy | 1 | 5325.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1300
Slippage Sweep
-0.5550
Arrival Price
5,311.6250
Average Total
5,311.4950
Destination Price
5,312.5000
Sweep to Fill
5,310.9400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:13:30.466 | SIM:ESM5 | Sell | 1 | 5311.25 | Aggressive |
| 2025-04-17T11:13:31.511 | SIM:ESM5 | Sell | 5 | 5311 | Aggressive |
| 2025-04-17T11:13:32.515 | SIM:ESM5 | Sell | 10 | 5311 | Aggressive |
| 2025-04-17T11:13:32.515 | SIM:ESM5 | Sell | 3 | 5310.75 | Aggressive |
| 2025-04-17T11:13:32.515 | SIM:ESM5 | Sell | 3 | 5311 | Passive |
| 2025-04-17T11:13:33.521 | SIM:ESM5 | Sell | 8 | 5311 | Aggressive |
| 2025-04-17T11:13:33.522 | SIM:ESM5 | Sell | 2 | 5311 | Aggressive |
| 2025-04-17T11:13:36.548 | SIM:ESM5 | Sell | 7 | 5312.5 | Aggressive |
| 2025-04-17T11:13:36.548 | SIM:ESM5 | Sell | 3 | 5312.5 | Aggressive |
| 2025-04-17T11:13:37.564 | SIM:ESM5 | Sell | 1 | 5312.5 | Aggressive |
| 2025-04-17T11:13:37.564 | SIM:ESM5 | Sell | 5 | 5312.25 | Aggressive |
| 2025-04-17T11:13:37.564 | SIM:ESM5 | Sell | 2 | 5312.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5650
Slippage Sweep
-1.3098
Arrival Price
5,313.5000
Average Total
5,312.9350
Destination Price
5,312.1250
Sweep to Fill
5,314.2448
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:13:20.219 | SIM:ESM5 | Buy | 1 | 5312.5 | Aggressive |
| 2025-04-17T11:13:20.219 | SIM:ESM5 | Buy | 6 | 5312.75 | Aggressive |
| 2025-04-17T11:13:20.219 | SIM:ESM5 | Buy | 10 | 5313 | Aggressive |
| 2025-04-17T11:13:20.219 | SIM:ESM5 | Buy | 10 | 5313.25 | Aggressive |
| 2025-04-17T11:13:20.22 | SIM:ESM5 | Buy | 5 | 5312.75 | Aggressive |
| 2025-04-17T11:13:20.22 | SIM:ESM5 | Buy | 10 | 5313 | Aggressive |
| 2025-04-17T11:13:20.22 | SIM:ESM5 | Buy | 3 | 5313 | Passive |
| 2025-04-17T11:13:21.211 | SIM:ESM5 | Buy | 5 | 5312.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2050
Slippage Sweep
0.5100
Arrival Price
5,315.1250
Average Total
5,313.9200
Destination Price
5,313.8750
Sweep to Fill
5,314.4300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:12:34.836 | SIM:ESM5 | Sell | 1 | 5315.5 | Aggressive |
| 2025-04-17T11:12:35.869 | SIM:ESM5 | Sell | 8 | 5315.75 | Aggressive |
| 2025-04-17T11:12:35.869 | SIM:ESM5 | Sell | 1 | 5315.5 | Aggressive |
| 2025-04-17T11:12:36.856 | SIM:ESM5 | Sell | 2 | 5313.75 | Aggressive |
| 2025-04-17T11:12:36.856 | SIM:ESM5 | Sell | 6 | 5313.5 | Aggressive |
| 2025-04-17T11:12:36.857 | SIM:ESM5 | Sell | 2 | 5313.75 | Aggressive |
| 2025-04-17T11:12:37.109 | SIM:ESM5 | Sell | 1 | 5313.75 | Passive |
| 2025-04-17T11:12:37.88 | SIM:ESM5 | Sell | 7 | 5313.75 | Aggressive |
| 2025-04-17T11:12:38.905 | SIM:ESM5 | Sell | 7 | 5313.25 | Aggressive |
| 2025-04-17T11:12:38.906 | SIM:ESM5 | Sell | 2 | 5313 | Aggressive |
| 2025-04-17T11:12:39.899 | SIM:ESM5 | Sell | 3 | 5313 | Aggressive |
| 2025-04-17T11:12:39.899 | SIM:ESM5 | Sell | 3 | 5313 | Passive |
| 2025-04-17T11:12:40.935 | SIM:ESM5 | Sell | 4 | 5313.75 | Aggressive |
| 2025-04-17T11:12:40.935 | SIM:ESM5 | Sell | 3 | 5313.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9100
Slippage Sweep
0.4750
Arrival Price
5,315.8750
Average Total
5,316.7850
Destination Price
5,316.8750
Sweep to Fill
5,316.3100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:12:23.841 | SIM:ESM5 | Buy | 1 | 5317 | Passive |
| 2025-04-17T11:12:23.841 | SIM:ESM5 | Buy | 1 | 5317 | Passive |
| 2025-04-17T11:12:23.842 | SIM:ESM5 | Buy | 2 | 5317 | Passive |
| 2025-04-17T11:12:23.842 | SIM:ESM5 | Buy | 2 | 5317 | Passive |
| 2025-04-17T11:12:23.842 | SIM:ESM5 | Buy | 2 | 5317 | Passive |
| 2025-04-17T11:12:24.712 | SIM:ESM5 | Buy | 8 | 5316.75 | Aggressive |
| 2025-04-17T11:12:24.713 | SIM:ESM5 | Buy | 1 | 5316.5 | Passive |
| 2025-04-17T11:12:24.713 | SIM:ESM5 | Buy | 1 | 5316.5 | Aggressive |
| 2025-04-17T11:12:24.713 | SIM:ESM5 | Buy | 1 | 5316.75 | Aggressive |
| 2025-04-17T11:12:25.693 | SIM:ESM5 | Buy | 4 | 5316.5 | Aggressive |
| 2025-04-17T11:12:25.693 | SIM:ESM5 | Buy | 4 | 5316.75 | Aggressive |
| 2025-04-17T11:12:25.693 | SIM:ESM5 | Buy | 2 | 5316.5 | Aggressive |
| 2025-04-17T11:12:26.74 | SIM:ESM5 | Buy | 5 | 5316.5 | Aggressive |
| 2025-04-17T11:12:26.741 | SIM:ESM5 | Buy | 2 | 5316.5 | Aggressive |
| 2025-04-17T11:12:27.744 | SIM:ESM5 | Buy | 10 | 5317 | Aggressive |
| 2025-04-17T11:12:27.744 | SIM:ESM5 | Buy | 2 | 5317 | Aggressive |
| 2025-04-17T11:12:27.744 | SIM:ESM5 | Buy | 2 | 5317 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4850
Slippage Sweep
-1.1500
Arrival Price
5,325.1250
Average Total
5,325.6100
Destination Price
5,325.7500
Sweep to Fill
5,324.4600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:11:37.66 | SIM:ESM5 | Sell | 1 | 5325.25 | Aggressive |
| 2025-04-17T11:11:38.681 | SIM:ESM5 | Sell | 1 | 5325.5 | Aggressive |
| 2025-04-17T11:11:39.682 | SIM:ESM5 | Sell | 8 | 5325.5 | Aggressive |
| 2025-04-17T11:11:39.682 | SIM:ESM5 | Sell | 4 | 5325.25 | Aggressive |
| 2025-04-17T11:11:40.687 | SIM:ESM5 | Sell | 4 | 5324.25 | Aggressive |
| 2025-04-17T11:11:40.687 | SIM:ESM5 | Sell | 1 | 5324 | Aggressive |
| 2025-04-17T11:11:42.718 | SIM:ESM5 | Sell | 8 | 5326 | Aggressive |
| 2025-04-17T11:11:42.718 | SIM:ESM5 | Sell | 2 | 5325.75 | Aggressive |
| 2025-04-17T11:11:43.712 | SIM:ESM5 | Sell | 8 | 5326.25 | Aggressive |
| 2025-04-17T11:11:43.712 | SIM:ESM5 | Sell | 2 | 5326 | Aggressive |
| 2025-04-17T11:11:44.724 | SIM:ESM5 | Sell | 5 | 5325.75 | Aggressive |
| 2025-04-17T11:11:44.779 | SIM:ESM5 | Sell | 1 | 5326 | Passive |
| 2025-04-17T11:11:47.761 | SIM:ESM5 | Sell | 5 | 5325.5 | 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
5,322.0000
Average Total
5,322.5250
Destination Price
5,323.8750
Sweep to Fill
5,322.5800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:11:20.508 | SIM:ESM5 | Buy | 1 | 5322 | Aggressive |
| 2025-04-17T11:11:21.506 | SIM:ESM5 | Buy | 2 | 5321.25 | Aggressive |
| 2025-04-17T11:11:21.507 | SIM:ESM5 | Buy | 12 | 5321.5 | Aggressive |
| 2025-04-17T11:11:21.507 | SIM:ESM5 | Buy | 2 | 5321.25 | Passive |
| 2025-04-17T11:11:22.52 | SIM:ESM5 | Buy | 4 | 5320.5 | Aggressive |
| 2025-04-17T11:11:22.52 | SIM:ESM5 | Buy | 4 | 5320.75 | Aggressive |
| 2025-04-17T11:11:23.667 | SIM:ESM5 | Buy | 5 | 5321.5 | Aggressive |
| 2025-04-17T11:11:23.667 | SIM:ESM5 | Buy | 4 | 5321.5 | Passive |
| 2025-04-17T11:11:23.668 | SIM:ESM5 | Buy | 1 | 5321.5 | Passive |
| 2025-04-17T11:11:27.583 | SIM:ESM5 | Buy | 1 | 5329.25 | Aggressive |
| 2025-04-17T11:11:27.583 | SIM:ESM5 | Buy | 1 | 5329.25 | Passive |
| 2025-04-17T11:11:27.583 | SIM:ESM5 | Buy | 1 | 5329.25 | Passive |
| 2025-04-17T11:11:27.583 | SIM:ESM5 | Buy | 1 | 5329.25 | Passive |
| 2025-04-17T11:11:28.57 | SIM:ESM5 | Buy | 7 | 5324 | Aggressive |
| 2025-04-17T11:11:28.57 | SIM:ESM5 | Buy | 1 | 5324.25 | Aggressive |
| 2025-04-17T11:11:29.6 | SIM:ESM5 | Buy | 3 | 5324 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2450
Slippage Sweep
-0.9200
Arrival Price
5,325.7500
Average Total
5,325.9950
Destination Price
5,325.2500
Sweep to Fill
5,325.0750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:10:34.978 | SIM:ESM5 | Sell | 1 | 5326 | Aggressive |
| 2025-04-17T11:10:35.985 | SIM:ESM5 | Sell | 1 | 5325.75 | Aggressive |
| 2025-04-17T11:10:37.031 | SIM:ESM5 | Sell | 6 | 5326.25 | Aggressive |
| 2025-04-17T11:10:37.031 | SIM:ESM5 | Sell | 3 | 5326 | Aggressive |
| 2025-04-17T11:10:37.031 | SIM:ESM5 | Sell | 1 | 5326.25 | Passive |
| 2025-04-17T11:10:38.026 | SIM:ESM5 | Sell | 10 | 5326.5 | Aggressive |
| 2025-04-17T11:10:38.026 | SIM:ESM5 | Sell | 1 | 5326.5 | Aggressive |
| 2025-04-17T11:10:38.026 | SIM:ESM5 | Sell | 2 | 5326.5 | Aggressive |
| 2025-04-17T11:10:39.033 | SIM:ESM5 | Sell | 2 | 5326.75 | Aggressive |
| 2025-04-17T11:10:39.033 | SIM:ESM5 | Sell | 7 | 5326.5 | Aggressive |
| 2025-04-17T11:10:44.074 | SIM:ESM5 | Sell | 9 | 5325.25 | Aggressive |
| 2025-04-17T11:10:44.075 | SIM:ESM5 | Sell | 4 | 5325 | Aggressive |
| 2025-04-17T11:10:44.075 | SIM:ESM5 | Sell | 2 | 5325.25 | Passive |
| 2025-04-17T11:10:45.141 | SIM:ESM5 | Sell | 1 | 5325 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1550
Slippage Sweep
-0.8200
Arrival Price
5,325.6250
Average Total
5,325.4700
Destination Price
5,324.3750
Sweep to Fill
5,326.2900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:10:16.413 | SIM:ESM5 | Buy | 1 | 5325.5 | Aggressive |
| 2025-04-17T11:10:17.418 | SIM:ESM5 | Buy | 1 | 5325.5 | Aggressive |
| 2025-04-17T11:10:18.522 | SIM:ESM5 | Buy | 2 | 5325.5 | Aggressive |
| 2025-04-17T11:10:19.427 | SIM:ESM5 | Buy | 1 | 5325.75 | Aggressive |
| 2025-04-17T11:10:20.418 | SIM:ESM5 | Buy | 6 | 5326.75 | Aggressive |
| 2025-04-17T11:10:20.423 | SIM:ESM5 | Buy | 2 | 5326.75 | Aggressive |
| 2025-04-17T11:10:21.431 | SIM:ESM5 | Buy | 2 | 5327 | Aggressive |
| 2025-04-17T11:10:21.431 | SIM:ESM5 | Buy | 6 | 5327.25 | Aggressive |
| 2025-04-17T11:10:22.433 | SIM:ESM5 | Buy | 14 | 5324.75 | Aggressive |
| 2025-04-17T11:10:22.506 | SIM:ESM5 | Buy | 4 | 5324.5 | Aggressive |
| 2025-04-17T11:10:22.506 | SIM:ESM5 | Buy | 1 | 5324.75 | Aggressive |
| 2025-04-17T11:10:23.434 | SIM:ESM5 | Buy | 7 | 5324.5 | Aggressive |
| 2025-04-17T11:10:23.434 | SIM:ESM5 | Buy | 3 | 5324.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2300
Slippage Sweep
0.6000
Arrival Price
5,331.7500
Average Total
5,330.5200
Destination Price
5,330.8750
Sweep to Fill
5,331.1200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:09:29.944 | SIM:ESM5 | Sell | 1 | 5331.25 | Aggressive |
| 2025-04-17T11:09:31.954 | SIM:ESM5 | Sell | 1 | 5331.75 | Aggressive |
| 2025-04-17T11:09:32.959 | SIM:ESM5 | Sell | 1 | 5331.5 | Aggressive |
| 2025-04-17T11:09:32.96 | SIM:ESM5 | Sell | 5 | 5331.25 | Aggressive |
| 2025-04-17T11:09:33.967 | SIM:ESM5 | Sell | 1 | 5331.5 | Aggressive |
| 2025-04-17T11:09:35.978 | SIM:ESM5 | Sell | 11 | 5331 | Aggressive |
| 2025-04-17T11:09:35.978 | SIM:ESM5 | Sell | 1 | 5331 | Aggressive |
| 2025-04-17T11:09:36.989 | SIM:ESM5 | Sell | 9 | 5329.75 | Aggressive |
| 2025-04-17T11:09:36.989 | SIM:ESM5 | Sell | 2 | 5329.5 | Aggressive |
| 2025-04-17T11:09:37.999 | SIM:ESM5 | Sell | 2 | 5330.25 | Aggressive |
| 2025-04-17T11:09:37.999 | SIM:ESM5 | Sell | 7 | 5330 | Aggressive |
| 2025-04-17T11:09:39.014 | SIM:ESM5 | Sell | 9 | 5330.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.8700
Slippage Sweep
1.2100
Arrival Price
5,332.6250
Average Total
5,334.4950
Destination Price
5,333.3750
Sweep to Fill
5,333.2850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:09:10.388 | SIM:ESM5 | Buy | 1 | 5332.5 | Aggressive |
| 2025-04-17T11:09:11.399 | SIM:ESM5 | Buy | 9 | 5334.75 | Aggressive |
| 2025-04-17T11:09:11.399 | SIM:ESM5 | Buy | 4 | 5334.75 | Passive |
| 2025-04-17T11:09:12.4 | SIM:ESM5 | Buy | 7 | 5335 | Aggressive |
| 2025-04-17T11:09:12.4 | SIM:ESM5 | Buy | 6 | 5335.25 | Aggressive |
| 2025-04-17T11:09:13.404 | SIM:ESM5 | Buy | 5 | 5334 | Aggressive |
| 2025-04-17T11:09:13.404 | SIM:ESM5 | Buy | 1 | 5334 | Passive |
| 2025-04-17T11:09:14.441 | SIM:ESM5 | Buy | 3 | 5334 | Aggressive |
| 2025-04-17T11:09:14.441 | SIM:ESM5 | Buy | 7 | 5334.25 | Aggressive |
| 2025-04-17T11:09:15.442 | SIM:ESM5 | Buy | 3 | 5334 | Aggressive |
| 2025-04-17T11:09:15.443 | SIM:ESM5 | Buy | 3 | 5334.25 | Aggressive |
| 2025-04-17T11:09:16.462 | SIM:ESM5 | Buy | 1 | 5333.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-1.5200
Slippage Sweep
-2.3609
Arrival Price
5,328.5000
Average Total
5,330.0200
Destination Price
5,330.8750
Sweep to Fill
5,327.6591
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:08:15.992 | SIM:ESM5 | Sell | 1 | 5329 | Aggressive |
| 2025-04-17T11:08:17.008 | SIM:ESM5 | Sell | 2 | 5329.5 | Aggressive |
| 2025-04-17T11:08:18.018 | SIM:ESM5 | Sell | 11 | 5330.25 | Aggressive |
| 2025-04-17T11:08:18.018 | SIM:ESM5 | Sell | 5 | 5330.25 | Passive |
| 2025-04-17T11:08:22.052 | SIM:ESM5 | Sell | 5 | 5330 | Aggressive |
| 2025-04-17T11:08:22.052 | SIM:ESM5 | Sell | 1 | 5330 | Aggressive |
| 2025-04-17T11:08:23.059 | SIM:ESM5 | Sell | 8 | 5330 | Aggressive |
| 2025-04-17T11:08:23.314 | SIM:ESM5 | Sell | 3 | 5329.75 | Aggressive |
| 2025-04-17T11:08:24.059 | SIM:ESM5 | Sell | 1 | 5330.25 | Aggressive |
| 2025-04-17T11:08:24.06 | SIM:ESM5 | Sell | 2 | 5330 | Aggressive |
| 2025-04-17T11:08:25.069 | SIM:ESM5 | Sell | 2 | 5330.25 | Aggressive |
| 2025-04-17T11:08:25.069 | SIM:ESM5 | Sell | 2 | 5330 | Aggressive |
| 2025-04-17T11:08:25.069 | SIM:ESM5 | Sell | 1 | 5330.25 | Passive |
| 2025-04-17T11:08:26.084 | SIM:ESM5 | Sell | 3 | 5329.25 | Aggressive |
| 2025-04-17T11:08:26.084 | SIM:ESM5 | Sell | 1 | 5329 | Aggressive |
| 2025-04-17T11:08:27.518 | SIM:ESM5 | Sell | 1 | 5331.25 | Passive |
| 2025-04-17T11:08:28.099 | SIM:ESM5 | Sell | 1 | 5330.75 | Aggressive |