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
0.1450
Slippage Sweep
-0.0650
Arrival Price
5,949.3750
Average Total
5,949.5200
Destination Price
5,949.3750
Sweep to Fill
5,949.5850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:05:28.589 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:05:39.117 | SIM:ESM5 | Buy | 4 | 5949.5 | Passive |
| 2025-06-02T15:05:39.117 | SIM:ESM5 | Buy | 4 | 5949.5 | Passive |
| 2025-06-02T15:05:39.117 | SIM:ESM5 | Buy | 3 | 5949.5 | Passive |
| 2025-06-02T15:05:34.056 | SIM:ESM5 | Buy | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:05:32.053 | SIM:ESM5 | Buy | 9 | 5949.75 | Aggressive |
| 2025-06-02T15:05:28.589 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:05:25.423 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:05:39.596 | SIM:ESM5 | Buy | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:05:26.483 | SIM:ESM5 | Buy | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:05:24.609 | SIM:ESM5 | Buy | 11 | 5949.5 | Aggressive |
| 2025-06-02T15:05:23.401 | SIM:ESM5 | Buy | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:05:22.669 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9400
Slippage Sweep
0.8150
Arrival Price
5,951.6250
Average Total
5,950.6850
Destination Price
5,950.3750
Sweep to Fill
5,951.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:04:52.152 | SIM:ESM5 | Sell | 14 | 5950.25 | Aggressive |
| 2025-06-02T15:04:50.31 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:04:50.31 | SIM:ESM5 | Sell | 2 | 5950.75 | Passive |
| 2025-06-02T15:04:50.31 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:04:50.31 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:04:43.929 | SIM:ESM5 | Sell | 6 | 5951 | Passive |
| 2025-06-02T15:04:43.929 | SIM:ESM5 | Sell | 2 | 5951 | Passive |
| 2025-06-02T15:04:43.929 | SIM:ESM5 | Sell | 2 | 5951 | Passive |
| 2025-06-02T15:04:43.929 | SIM:ESM5 | Sell | 1 | 5951 | Passive |
| 2025-06-02T15:04:43.929 | SIM:ESM5 | Sell | 1 | 5951 | Passive |
| 2025-06-02T15:04:40.254 | SIM:ESM5 | Sell | 10 | 5950.75 | Aggressive |
| 2025-06-02T15:04:46.901 | SIM:ESM5 | Sell | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:04:40.934 | SIM:ESM5 | Sell | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:04:37.299 | SIM:ESM5 | Sell | 1 | 5951.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1650
Slippage Sweep
-0.0150
Arrival Price
5,951.8750
Average Total
5,952.0400
Destination Price
5,951.6250
Sweep to Fill
5,952.0550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:04:35.526 | SIM:ESM5 | Buy | 10 | 5952 | Aggressive |
| 2025-06-02T15:04:36.397 | SIM:ESM5 | Buy | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:04:34.425 | SIM:ESM5 | Buy | 3 | 5952 | Aggressive |
| 2025-06-02T15:04:34.425 | SIM:ESM5 | Buy | 18 | 5952 | Aggressive |
| 2025-06-02T15:04:33.807 | SIM:ESM5 | Buy | 8 | 5952.25 | Aggressive |
| 2025-06-02T15:04:32.368 | SIM:ESM5 | Buy | 7 | 5952 | Aggressive |
| 2025-06-02T15:04:30.375 | SIM:ESM5 | Buy | 2 | 5952.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0050
Slippage Sweep
-0.2450
Arrival Price
5,951.0000
Average Total
5,950.9950
Destination Price
5,951.1250
Sweep to Fill
5,950.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:03:59.712 | SIM:ESM5 | Sell | 5 | 5951 | Aggressive |
| 2025-06-02T15:03:59.712 | SIM:ESM5 | Sell | 44 | 5951 | Aggressive |
| 2025-06-02T15:03:58.634 | 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
0.6150
Slippage Sweep
0.4900
Arrival Price
5,950.6250
Average Total
5,951.2400
Destination Price
5,951.1250
Sweep to Fill
5,950.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:03:54.197 | SIM:ESM5 | Buy | 11 | 5951.25 | Aggressive |
| 2025-06-02T15:03:51.112 | SIM:ESM5 | Buy | 7 | 5951.25 | Aggressive |
| 2025-06-02T15:03:58.149 | SIM:ESM5 | Buy | 3 | 5951.25 | Aggressive |
| 2025-06-02T15:03:51.112 | SIM:ESM5 | Buy | 5 | 5951.25 | Aggressive |
| 2025-06-02T15:03:48.028 | SIM:ESM5 | Buy | 9 | 5951.25 | Aggressive |
| 2025-06-02T15:03:44.97 | SIM:ESM5 | Buy | 9 | 5951.25 | Aggressive |
| 2025-06-02T15:03:47.131 | SIM:ESM5 | Buy | 4 | 5951.25 | Aggressive |
| 2025-06-02T15:03:46.012 | SIM:ESM5 | Buy | 1 | 5951.25 | Aggressive |
| 2025-06-02T15:03:43.091 | 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
-0.0350
Slippage Sweep
-0.1600
Arrival Price
5,950.8750
Average Total
5,950.9100
Destination Price
5,951.1250
Sweep to Fill
5,950.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:03:12.635 | SIM:ESM5 | Sell | 13 | 5950.75 | Aggressive |
| 2025-06-02T15:03:12.635 | SIM:ESM5 | Sell | 26 | 5951 | Aggressive |
| 2025-06-02T15:03:12.124 | SIM:ESM5 | Sell | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:03:12.124 | SIM:ESM5 | Sell | 2 | 5951 | Aggressive |
| 2025-06-02T15:03:12.124 | SIM:ESM5 | Sell | 2 | 5951 | Passive |
| 2025-06-02T15:03:12.124 | SIM:ESM5 | Sell | 1 | 5951 | Passive |
| 2025-06-02T15:03:12.124 | SIM:ESM5 | Sell | 1 | 5951 | Passive |
| 2025-06-02T15:03:10.737 | 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
-0.2800
Slippage Sweep
-0.4050
Arrival Price
5,951.3750
Average Total
5,951.0950
Destination Price
5,950.8750
Sweep to Fill
5,951.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:03:10.323 | SIM:ESM5 | Buy | 14 | 5951.25 | Aggressive |
| 2025-06-02T15:03:10.323 | SIM:ESM5 | Buy | 31 | 5951 | Aggressive |
| 2025-06-02T15:03:09.326 | SIM:ESM5 | Buy | 4 | 5951.25 | Aggressive |
| 2025-06-02T15:03:08.268 | SIM:ESM5 | Buy | 1 | 5951.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.3100
Arrival Price
5,949.3750
Average Total
5,949.5600
Destination Price
5,949.8750
Sweep to Fill
5,949.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:02:38.02 | SIM:ESM5 | Sell | 32 | 5949.5 | Aggressive |
| 2025-06-02T15:02:38.02 | SIM:ESM5 | Sell | 13 | 5949.75 | Aggressive |
| 2025-06-02T15:02:37.009 | SIM:ESM5 | Sell | 4 | 5949.5 | Aggressive |
| 2025-06-02T15:02:35.993 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2250
Arrival Price
5,949.6250
Average Total
5,949.5250
Destination Price
5,949.3750
Sweep to Fill
5,949.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:02:35.809 | SIM:ESM5 | Buy | 45 | 5949.5 | Aggressive |
| 2025-06-02T15:02:34.877 | SIM:ESM5 | Buy | 4 | 5949.75 | Aggressive |
| 2025-06-02T15:02:34.762 | SIM:ESM5 | Buy | 1 | 5949.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9300
Slippage Sweep
0.5950
Arrival Price
5,950.3750
Average Total
5,949.4450
Destination Price
5,950.1250
Sweep to Fill
5,950.0400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:02:03.532 | SIM:ESM5 | Sell | 1 | 5950.25 | Passive |
| 2025-06-02T15:02:03.531 | SIM:ESM5 | Sell | 1 | 5950.25 | Passive |
| 2025-06-02T15:02:00.013 | SIM:ESM5 | Sell | 3 | 5948.75 | Aggressive |
| 2025-06-02T15:01:59.815 | SIM:ESM5 | Sell | 4 | 5949 | Aggressive |
| 2025-06-02T15:01:56.12 | SIM:ESM5 | Sell | 9 | 5949.5 | Aggressive |
| 2025-06-02T15:01:56.119 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:01:56.119 | SIM:ESM5 | Sell | 1 | 5949.75 | Passive |
| 2025-06-02T15:02:02.029 | SIM:ESM5 | Sell | 4 | 5949.5 | Aggressive |
| 2025-06-02T15:02:02.029 | SIM:ESM5 | Sell | 4 | 5949.5 | Passive |
| 2025-06-02T15:01:58.149 | SIM:ESM5 | Sell | 4 | 5949 | Aggressive |
| 2025-06-02T15:01:58.149 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:01:58.149 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:01:58.149 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:01:58.149 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:01:54.926 | SIM:ESM5 | Sell | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:01:53.917 | SIM:ESM5 | Sell | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:01:53.917 | SIM:ESM5 | Sell | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:01:51.839 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:01:51.839 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:01:51.068 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.1050
Arrival Price
5,950.3750
Average Total
5,950.4000
Destination Price
5,950.1250
Sweep to Fill
5,950.5050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:01:50.401 | SIM:ESM5 | Buy | 20 | 5950.25 | Aggressive |
| 2025-06-02T15:01:49.396 | SIM:ESM5 | Buy | 9 | 5950.5 | Aggressive |
| 2025-06-02T15:01:48.434 | SIM:ESM5 | Buy | 10 | 5950.5 | Aggressive |
| 2025-06-02T15:01:47.363 | SIM:ESM5 | Buy | 10 | 5950.5 | Aggressive |
| 2025-06-02T15:01:46.334 | 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
-0.4400
Slippage Sweep
-0.5650
Arrival Price
5,950.1250
Average Total
5,950.5650
Destination Price
5,950.8750
Sweep to Fill
5,950.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:01:16.088 | SIM:ESM5 | Sell | 32 | 5950.75 | Aggressive |
| 2025-06-02T15:01:15.059 | SIM:ESM5 | Sell | 17 | 5950.25 | Aggressive |
| 2025-06-02T15:01:14.032 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9100
Slippage Sweep
0.5550
Arrival Price
5,949.3750
Average Total
5,950.2850
Destination Price
5,949.6250
Sweep to Fill
5,949.7300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:01:01.422 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:01:08.512 | SIM:ESM5 | Buy | 20 | 5950.5 | Aggressive |
| 2025-06-02T15:01:00.412 | SIM:ESM5 | Buy | 9 | 5950 | Aggressive |
| 2025-06-02T15:00:59.624 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:01:12.52 | SIM:ESM5 | Buy | 7 | 5949.75 | Aggressive |
| 2025-06-02T15:01:06.517 | SIM:ESM5 | Buy | 9 | 5950.5 | Aggressive |
| 2025-06-02T15:01:04.519 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
| 2025-06-02T15:00:58.917 | SIM:ESM5 | Buy | 1 | 5949.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.3100
Slippage Sweep
1.1300
Arrival Price
5,948.8750
Average Total
5,947.5650
Destination Price
5,947.8750
Sweep to Fill
5,948.6950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:00:27.396 | SIM:ESM5 | Sell | 14 | 5947.75 | Aggressive |
| 2025-06-02T15:00:26.312 | SIM:ESM5 | Sell | 8 | 5947.25 | Aggressive |
| 2025-06-02T15:00:20.219 | SIM:ESM5 | Sell | 7 | 5947.25 | Aggressive |
| 2025-06-02T15:00:20.219 | SIM:ESM5 | Sell | 2 | 5947.25 | Aggressive |
| 2025-06-02T15:00:17.319 | SIM:ESM5 | Sell | 6 | 5947.75 | Aggressive |
| 2025-06-02T15:00:17.319 | SIM:ESM5 | Sell | 1 | 5948 | Aggressive |
| 2025-06-02T15:00:17.318 | SIM:ESM5 | Sell | 1 | 5948 | Passive |
| 2025-06-02T15:00:21.306 | SIM:ESM5 | Sell | 4 | 5947 | Aggressive |
| 2025-06-02T15:00:18.212 | SIM:ESM5 | Sell | 5 | 5947.75 | Aggressive |
| 2025-06-02T15:00:16.18 | SIM:ESM5 | Sell | 1 | 5948.5 | Aggressive |
| 2025-06-02T15:00:15.165 | SIM:ESM5 | Sell | 1 | 5948.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3600
Slippage Sweep
-0.5400
Arrival Price
5,949.3750
Average Total
5,949.0150
Destination Price
5,948.8750
Sweep to Fill
5,949.5550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:00:14.912 | SIM:ESM5 | Buy | 49 | 5949 | Aggressive |
| 2025-06-02T15:00:13.949 | SIM:ESM5 | Buy | 1 | 5949.75 | Aggressive |