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
1.2400
Slippage Sweep
0.4424
Arrival Price
5,328.6250
Average Total
5,329.8650
Destination Price
5,330.1250
Sweep to Fill
5,329.4226
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:07:38.135 | SIM:ESM5 | Buy | 1 | 5329.25 | Aggressive |
| 2025-04-17T11:07:39.145 | SIM:ESM5 | Buy | 1 | 5328.5 | Aggressive |
| 2025-04-17T11:07:40.153 | SIM:ESM5 | Buy | 7 | 5330.5 | Aggressive |
| 2025-04-17T11:07:40.153 | SIM:ESM5 | Buy | 2 | 5330.5 | Aggressive |
| 2025-04-17T11:07:41.165 | SIM:ESM5 | Buy | 1 | 5330.5 | Aggressive |
| 2025-04-17T11:07:41.165 | SIM:ESM5 | Buy | 4 | 5330.75 | Aggressive |
| 2025-04-17T11:07:42.174 | SIM:ESM5 | Buy | 4 | 5330.75 | Aggressive |
| 2025-04-17T11:07:42.174 | SIM:ESM5 | Buy | 5 | 5331 | Aggressive |
| 2025-04-17T11:07:42.174 | SIM:ESM5 | Buy | 3 | 5330.75 | Passive |
| 2025-04-17T11:07:42.174 | SIM:ESM5 | Buy | 1 | 5330.75 | Passive |
| 2025-04-17T11:07:45.199 | SIM:ESM5 | Buy | 4 | 5326.75 | Aggressive |
| 2025-04-17T11:07:45.2 | SIM:ESM5 | Buy | 1 | 5326.75 | Aggressive |
| 2025-04-17T11:07:47.213 | SIM:ESM5 | Buy | 3 | 5330.25 | Aggressive |
| 2025-04-17T11:07:48.311 | SIM:ESM5 | Buy | 1 | 5329.5 | Passive |
| 2025-04-17T11:07:48.311 | SIM:ESM5 | Buy | 1 | 5329.5 | Passive |
| 2025-04-17T11:07:48.311 | SIM:ESM5 | Buy | 1 | 5329.5 | Passive |
| 2025-04-17T11:07:57.298 | SIM:ESM5 | Buy | 4 | 5329 | Aggressive |
| 2025-04-17T11:07:57.298 | SIM:ESM5 | Buy | 4 | 5329.25 | Aggressive |
| 2025-04-17T11:08:04.369 | SIM:ESM5 | Buy | 2 | 5330.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
3.7250
Slippage Sweep
3.0390
Arrival Price
5,326.6250
Average Total
5,322.9000
Destination Price
5,322.5000
Sweep to Fill
5,325.9390
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:06:45.678 | SIM:ESM5 | Sell | 5 | 5325.5 | Aggressive |
| 2025-04-17T11:06:45.678 | SIM:ESM5 | Sell | 5 | 5325.25 | Aggressive |
| 2025-04-17T11:06:46.687 | SIM:ESM5 | Sell | 7 | 5324.25 | Aggressive |
| 2025-04-17T11:06:46.687 | SIM:ESM5 | Sell | 1 | 5324 | Aggressive |
| 2025-04-17T11:06:47.695 | SIM:ESM5 | Sell | 5 | 5322 | Aggressive |
| 2025-04-17T11:06:47.695 | SIM:ESM5 | Sell | 1 | 5322 | Aggressive |
| 2025-04-17T11:06:47.695 | SIM:ESM5 | Sell | 1 | 5322 | Aggressive |
| 2025-04-17T11:06:48.771 | SIM:ESM5 | Sell | 8 | 5321.75 | Aggressive |
| 2025-04-17T11:06:48.771 | SIM:ESM5 | Sell | 2 | 5321.5 | Aggressive |
| 2025-04-17T11:06:49.735 | SIM:ESM5 | Sell | 5 | 5321.5 | Aggressive |
| 2025-04-17T11:06:49.735 | SIM:ESM5 | Sell | 2 | 5321.5 | Passive |
| 2025-04-17T11:06:50.722 | SIM:ESM5 | Sell | 2 | 5322 | Aggressive |
| 2025-04-17T11:06:50.722 | SIM:ESM5 | Sell | 2 | 5322 | Aggressive |
| 2025-04-17T11:06:50.723 | SIM:ESM5 | Sell | 2 | 5322 | Aggressive |
| 2025-04-17T11:06:50.723 | SIM:ESM5 | Sell | 2 | 5322 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
4.1150
Slippage Sweep
3.2750
Arrival Price
5,323.5000
Average Total
5,327.6150
Destination Price
5,327.5000
Sweep to Fill
5,324.3400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:06:14.891 | SIM:ESM5 | Buy | 1 | 5324 | Aggressive |
| 2025-04-17T11:06:15.884 | SIM:ESM5 | Buy | 2 | 5327.5 | Aggressive |
| 2025-04-17T11:06:15.884 | SIM:ESM5 | Buy | 7 | 5327.75 | Aggressive |
| 2025-04-17T11:06:15.884 | SIM:ESM5 | Buy | 10 | 5328 | Aggressive |
| 2025-04-17T11:06:15.884 | SIM:ESM5 | Buy | 3 | 5327.5 | Aggressive |
| 2025-04-17T11:06:15.884 | SIM:ESM5 | Buy | 2 | 5327.75 | Aggressive |
| 2025-04-17T11:06:16.899 | SIM:ESM5 | Buy | 6 | 5327.25 | Aggressive |
| 2025-04-17T11:06:16.899 | SIM:ESM5 | Buy | 3 | 5327.5 | Aggressive |
| 2025-04-17T11:06:17.91 | SIM:ESM5 | Buy | 2 | 5327.5 | Aggressive |
| 2025-04-17T11:06:17.91 | SIM:ESM5 | Buy | 9 | 5327.75 | Aggressive |
| 2025-04-17T11:06:17.91 | SIM:ESM5 | Buy | 1 | 5327.75 | Passive |
| 2025-04-17T11:06:18.922 | SIM:ESM5 | Buy | 4 | 5327.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-1.3850
Slippage Sweep
-2.1454
Arrival Price
5,324.8750
Average Total
5,326.2600
Destination Price
5,322.5000
Sweep to Fill
5,324.1146
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:05:23.458 | SIM:ESM5 | Sell | 7 | 5323.5 | Aggressive |
| 2025-04-17T11:05:23.458 | SIM:ESM5 | Sell | 2 | 5323.5 | Passive |
| 2025-04-17T11:05:24.447 | SIM:ESM5 | Sell | 3 | 5323 | Aggressive |
| 2025-04-17T11:05:24.447 | SIM:ESM5 | Sell | 4 | 5322.75 | Aggressive |
| 2025-04-17T11:05:25.454 | SIM:ESM5 | Sell | 2 | 5330.75 | Aggressive |
| 2025-04-17T11:05:25.455 | SIM:ESM5 | Sell | 3 | 5330.5 | Aggressive |
| 2025-04-17T11:05:25.457 | SIM:ESM5 | Sell | 1 | 5331 | Passive |
| 2025-04-17T11:05:26.468 | SIM:ESM5 | Sell | 2 | 5330.75 | Aggressive |
| 2025-04-17T11:05:27.476 | SIM:ESM5 | Sell | 1 | 5331.75 | Aggressive |
| 2025-04-17T11:05:28.486 | SIM:ESM5 | Sell | 8 | 5328.75 | Aggressive |
| 2025-04-17T11:05:28.696 | SIM:ESM5 | Sell | 1 | 5328.5 | Passive |
| 2025-04-17T11:05:28.696 | SIM:ESM5 | Sell | 1 | 5328.5 | Passive |
| 2025-04-17T11:05:28.696 | SIM:ESM5 | Sell | 1 | 5328.5 | Passive |
| 2025-04-17T11:05:29.485 | SIM:ESM5 | Sell | 3 | 5327.25 | Aggressive |
| 2025-04-17T11:05:29.486 | SIM:ESM5 | Sell | 2 | 5327 | Aggressive |
| 2025-04-17T11:05:29.486 | SIM:ESM5 | Sell | 1 | 5327.25 | Passive |
| 2025-04-17T11:05:30.495 | SIM:ESM5 | Sell | 4 | 5323.75 | Aggressive |
| 2025-04-17T11:05:30.496 | SIM:ESM5 | Sell | 1 | 5324 | Aggressive |
| 2025-04-17T11:05:33.521 | SIM:ESM5 | Sell | 3 | 5322.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
2.0850
Slippage Sweep
1.5550
Arrival Price
5,309.8750
Average Total
5,311.9600
Destination Price
5,316.8750
Sweep to Fill
5,310.4050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:05:14.614 | SIM:ESM5 | Buy | 1 | 5310 | Aggressive |
| 2025-04-17T11:05:14.614 | SIM:ESM5 | Buy | 3 | 5310 | Aggressive |
| 2025-04-17T11:05:14.614 | SIM:ESM5 | Buy | 1 | 5310.25 | Aggressive |
| 2025-04-17T11:05:15.678 | SIM:ESM5 | Buy | 9 | 5310.25 | Aggressive |
| 2025-04-17T11:05:15.678 | SIM:ESM5 | Buy | 6 | 5310.5 | Aggressive |
| 2025-04-17T11:05:16.647 | SIM:ESM5 | Buy | 13 | 5310.75 | Aggressive |
| 2025-04-17T11:05:17.653 | SIM:ESM5 | Buy | 6 | 5313 | Aggressive |
| 2025-04-17T11:05:17.653 | SIM:ESM5 | Buy | 3 | 5313.25 | Aggressive |
| 2025-04-17T11:05:17.688 | SIM:ESM5 | Buy | 1 | 5312.75 | Passive |
| 2025-04-17T11:05:17.688 | SIM:ESM5 | Buy | 1 | 5312.75 | Passive |
| 2025-04-17T11:05:18.65 | SIM:ESM5 | Buy | 1 | 5318.25 | Aggressive |
| 2025-04-17T11:05:18.65 | SIM:ESM5 | Buy | 1 | 5318.25 | Passive |
| 2025-04-17T11:05:18.65 | SIM:ESM5 | Buy | 1 | 5318.25 | Passive |
| 2025-04-17T11:05:18.65 | SIM:ESM5 | Buy | 1 | 5318.25 | Passive |
| 2025-04-17T11:05:18.65 | SIM:ESM5 | Buy | 1 | 5318.25 | Passive |
| 2025-04-17T11:05:18.65 | SIM:ESM5 | Buy | 1 | 5318.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
2.0100
Slippage Sweep
1.5700
Arrival Price
5,314.3750
Average Total
5,312.3650
Destination Price
5,312.3750
Sweep to Fill
5,313.9350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:04:27.503 | SIM:ESM5 | Sell | 1 | 5314 | Aggressive |
| 2025-04-17T11:04:28.548 | SIM:ESM5 | Sell | 14 | 5313 | Aggressive |
| 2025-04-17T11:04:29.447 | SIM:ESM5 | Sell | 9 | 5312 | Aggressive |
| 2025-04-17T11:04:29.486 | SIM:ESM5 | Sell | 1 | 5311.75 | Passive |
| 2025-04-17T11:04:30.458 | SIM:ESM5 | Sell | 8 | 5312.25 | Aggressive |
| 2025-04-17T11:04:30.458 | SIM:ESM5 | Sell | 2 | 5312.25 | Aggressive |
| 2025-04-17T11:04:31.471 | SIM:ESM5 | Sell | 11 | 5312 | Aggressive |
| 2025-04-17T11:04:31.471 | SIM:ESM5 | Sell | 2 | 5311.75 | Aggressive |
| 2025-04-17T11:04:32.51 | 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
-0.3950
Slippage Sweep
-1.0100
Arrival Price
5,316.1250
Average Total
5,315.7300
Destination Price
5,315.6250
Sweep to Fill
5,316.7400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:04:01.216 | SIM:ESM5 | Buy | 1 | 5316.25 | Aggressive |
| 2025-04-17T11:04:02.327 | SIM:ESM5 | Buy | 7 | 5315.75 | Aggressive |
| 2025-04-17T11:04:02.327 | SIM:ESM5 | Buy | 1 | 5315.75 | Passive |
| 2025-04-17T11:04:03.261 | SIM:ESM5 | Buy | 10 | 5315.75 | Aggressive |
| 2025-04-17T11:04:03.261 | SIM:ESM5 | Buy | 5 | 5315.75 | Passive |
| 2025-04-17T11:04:06.266 | SIM:ESM5 | Buy | 5 | 5315.75 | Aggressive |
| 2025-04-17T11:04:06.266 | SIM:ESM5 | Buy | 3 | 5316 | Aggressive |
| 2025-04-17T11:04:10.366 | SIM:ESM5 | Buy | 6 | 5315.75 | Aggressive |
| 2025-04-17T11:04:10.366 | SIM:ESM5 | Buy | 2 | 5316 | Aggressive |
| 2025-04-17T11:04:11.33 | SIM:ESM5 | Buy | 2 | 5315.25 | Aggressive |
| 2025-04-17T11:04:11.33 | SIM:ESM5 | Buy | 6 | 5315.5 | Aggressive |
| 2025-04-17T11:04:12.327 | SIM:ESM5 | Buy | 1 | 5315.5 | Aggressive |
| 2025-04-17T11:04:13.361 | SIM:ESM5 | Buy | 1 | 5315.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7950
Slippage Sweep
0.1500
Arrival Price
5,315.1250
Average Total
5,314.3300
Destination Price
5,314.5000
Sweep to Fill
5,314.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:03:15.078 | SIM:ESM5 | Sell | 1 | 5315 | Aggressive |
| 2025-04-17T11:03:15.89 | SIM:ESM5 | Sell | 1 | 5314.75 | Aggressive |
| 2025-04-17T11:03:17.896 | SIM:ESM5 | Sell | 16 | 5314.25 | Aggressive |
| 2025-04-17T11:03:17.896 | SIM:ESM5 | Sell | 2 | 5314.25 | Passive |
| 2025-04-17T11:03:17.896 | SIM:ESM5 | Sell | 2 | 5314.25 | Passive |
| 2025-04-17T11:03:19.042 | SIM:ESM5 | Sell | 2 | 5314.75 | Passive |
| 2025-04-17T11:03:19.042 | SIM:ESM5 | Sell | 1 | 5314.75 | Passive |
| 2025-04-17T11:03:23.008 | SIM:ESM5 | Sell | 5 | 5314.5 | Aggressive |
| 2025-04-17T11:03:23.008 | SIM:ESM5 | Sell | 5 | 5314.25 | Aggressive |
| 2025-04-17T11:03:23.961 | SIM:ESM5 | Sell | 6 | 5314.25 | Aggressive |
| 2025-04-17T11:03:23.961 | SIM:ESM5 | Sell | 9 | 5314.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.6200
Slippage Sweep
-0.9350
Arrival Price
5,315.6250
Average Total
5,315.0050
Destination Price
5,313.8750
Sweep to Fill
5,315.9400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:02:56.61 | SIM:ESM5 | Buy | 1 | 5315.75 | Passive |
| 2025-04-17T11:02:57.534 | SIM:ESM5 | Buy | 1 | 5316 | Aggressive |
| 2025-04-17T11:02:58.554 | SIM:ESM5 | Buy | 1 | 5316 | Aggressive |
| 2025-04-17T11:03:00.541 | SIM:ESM5 | Buy | 3 | 5315.25 | Aggressive |
| 2025-04-17T11:03:00.541 | SIM:ESM5 | Buy | 5 | 5315.5 | Aggressive |
| 2025-04-17T11:03:00.541 | SIM:ESM5 | Buy | 3 | 5315.25 | Passive |
| 2025-04-17T11:03:01.538 | SIM:ESM5 | Buy | 5 | 5315 | Aggressive |
| 2025-04-17T11:03:01.538 | SIM:ESM5 | Buy | 4 | 5315.25 | Aggressive |
| 2025-04-17T11:03:02.566 | SIM:ESM5 | Buy | 16 | 5315 | Aggressive |
| 2025-04-17T11:03:02.566 | SIM:ESM5 | Buy | 2 | 5315 | Aggressive |
| 2025-04-17T11:03:03.561 | SIM:ESM5 | Buy | 3 | 5314 | Aggressive |
| 2025-04-17T11:03:03.561 | SIM:ESM5 | Buy | 6 | 5314.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.3750
Slippage Sweep
0.8600
Arrival Price
5,319.3750
Average Total
5,318.0000
Destination Price
5,317.2500
Sweep to Fill
5,318.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:02:08.057 | SIM:ESM5 | Sell | 1 | 5319.5 | Aggressive |
| 2025-04-17T11:02:09.019 | SIM:ESM5 | Sell | 8 | 5318.5 | Aggressive |
| 2025-04-17T11:02:09.019 | SIM:ESM5 | Sell | 1 | 5318.5 | Passive |
| 2025-04-17T11:02:09.019 | SIM:ESM5 | Sell | 3 | 5318.5 | Aggressive |
| 2025-04-17T11:02:10.031 | SIM:ESM5 | Sell | 6 | 5318.5 | Aggressive |
| 2025-04-17T11:02:10.032 | SIM:ESM5 | Sell | 2 | 5318.25 | Aggressive |
| 2025-04-17T11:02:11.056 | SIM:ESM5 | Sell | 4 | 5318.5 | Aggressive |
| 2025-04-17T11:02:11.056 | SIM:ESM5 | Sell | 1 | 5318.25 | Aggressive |
| 2025-04-17T11:02:12.039 | SIM:ESM5 | Sell | 14 | 5317.5 | Aggressive |
| 2025-04-17T11:02:13.052 | SIM:ESM5 | Sell | 3 | 5317 | Aggressive |
| 2025-04-17T11:02:13.052 | SIM:ESM5 | Sell | 2 | 5317 | Aggressive |
| 2025-04-17T11:02:18.09 | SIM:ESM5 | Sell | 1 | 5317.75 | Passive |
| 2025-04-17T11:02:18.091 | SIM:ESM5 | Sell | 1 | 5317.75 | Passive |
| 2025-04-17T11:02:18.091 | SIM:ESM5 | Sell | 1 | 5317.75 | Passive |
| 2025-04-17T11:02:18.091 | SIM:ESM5 | Sell | 1 | 5317.75 | Passive |
| 2025-04-17T11:02:18.091 | SIM:ESM5 | Sell | 1 | 5317.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.2750
Slippage Sweep
0.6450
Arrival Price
5,316.2500
Average Total
5,317.5250
Destination Price
5,317.7500
Sweep to Fill
5,316.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:01:56.015 | SIM:ESM5 | Buy | 1 | 5316.5 | Aggressive |
| 2025-04-17T11:01:57.015 | SIM:ESM5 | Buy | 10 | 5317 | Aggressive |
| 2025-04-17T11:01:57.051 | SIM:ESM5 | Buy | 3 | 5317 | Aggressive |
| 2025-04-17T11:01:58.023 | SIM:ESM5 | Buy | 5 | 5317.5 | Aggressive |
| 2025-04-17T11:01:58.023 | SIM:ESM5 | Buy | 2 | 5317.5 | Passive |
| 2025-04-17T11:01:59.039 | SIM:ESM5 | Buy | 12 | 5317.75 | Aggressive |
| 2025-04-17T11:01:59.039 | SIM:ESM5 | Buy | 1 | 5317.75 | Passive |
| 2025-04-17T11:01:59.039 | SIM:ESM5 | Buy | 2 | 5317.75 | Passive |
| 2025-04-17T11:02:00.061 | SIM:ESM5 | Buy | 6 | 5317.75 | Aggressive |
| 2025-04-17T11:02:00.096 | SIM:ESM5 | Buy | 2 | 5317.75 | Aggressive |
| 2025-04-17T11:02:01.06 | SIM:ESM5 | Buy | 3 | 5318 | Aggressive |
| 2025-04-17T11:02:01.06 | SIM:ESM5 | Buy | 3 | 5318 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.3300
Arrival Price
5,315.3750
Average Total
5,315.2500
Destination Price
5,316.2500
Sweep to Fill
5,314.9200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:01:04.77 | SIM:ESM5 | Sell | 1 | 5315.25 | Aggressive |
| 2025-04-17T11:01:05.759 | SIM:ESM5 | Sell | 5 | 5314.75 | Aggressive |
| 2025-04-17T11:01:07.812 | SIM:ESM5 | Sell | 2 | 5315 | Aggressive |
| 2025-04-17T11:01:08.785 | SIM:ESM5 | Sell | 12 | 5314.5 | Aggressive |
| 2025-04-17T11:01:08.796 | SIM:ESM5 | Sell | 4 | 5314.5 | Aggressive |
| 2025-04-17T11:01:11.799 | SIM:ESM5 | Sell | 6 | 5314.75 | Aggressive |
| 2025-04-17T11:01:13.861 | SIM:ESM5 | Sell | 8 | 5316.25 | Aggressive |
| 2025-04-17T11:01:13.861 | SIM:ESM5 | Sell | 3 | 5316 | Aggressive |
| 2025-04-17T11:01:13.861 | SIM:ESM5 | Sell | 4 | 5316.25 | Passive |
| 2025-04-17T11:01:14.842 | SIM:ESM5 | Sell | 1 | 5316 | Aggressive |
| 2025-04-17T11:01:14.908 | SIM:ESM5 | Sell | 4 | 5316 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.7700
Slippage Sweep
-2.3150
Arrival Price
5,321.2500
Average Total
5,319.4800
Destination Price
5,318.6250
Sweep to Fill
5,321.7950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:00:47.599 | SIM:ESM5 | Buy | 1 | 5320.75 | Aggressive |
| 2025-04-17T11:00:48.629 | SIM:ESM5 | Buy | 8 | 5320.25 | Aggressive |
| 2025-04-17T11:00:48.629 | SIM:ESM5 | Buy | 5 | 5320.5 | Aggressive |
| 2025-04-17T11:00:49.616 | SIM:ESM5 | Buy | 6 | 5320 | Aggressive |
| 2025-04-17T11:00:50.63 | SIM:ESM5 | Buy | 3 | 5319.5 | Aggressive |
| 2025-04-17T11:00:50.63 | SIM:ESM5 | Buy | 3 | 5319.75 | Aggressive |
| 2025-04-17T11:00:51.641 | SIM:ESM5 | Buy | 9 | 5318.25 | Aggressive |
| 2025-04-17T11:00:51.641 | SIM:ESM5 | Buy | 1 | 5318.5 | Aggressive |
| 2025-04-17T11:00:52.652 | SIM:ESM5 | Buy | 7 | 5319.5 | Aggressive |
| 2025-04-17T11:00:52.772 | SIM:ESM5 | Buy | 2 | 5319 | Aggressive |
| 2025-04-17T11:00:53.678 | SIM:ESM5 | Buy | 5 | 5318.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-1.2100
Slippage Sweep
-1.6600
Arrival Price
5,324.3750
Average Total
5,325.5850
Destination Price
5,325.7500
Sweep to Fill
5,323.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T11:00:03.058 | SIM:ESM5 | Sell | 1 | 5323.25 | Passive |
| 2025-04-17T11:00:03.533 | SIM:ESM5 | Sell | 3 | 5326 | Aggressive |
| 2025-04-17T11:00:03.533 | SIM:ESM5 | Sell | 2 | 5325.75 | Aggressive |
| 2025-04-17T11:00:03.533 | SIM:ESM5 | Sell | 2 | 5326 | Aggressive |
| 2025-04-17T11:00:04.532 | SIM:ESM5 | Sell | 11 | 5327.25 | Aggressive |
| 2025-04-17T11:00:04.572 | SIM:ESM5 | Sell | 1 | 5327.75 | Passive |
| 2025-04-17T11:00:04.572 | SIM:ESM5 | Sell | 1 | 5327.75 | Passive |
| 2025-04-17T11:00:04.572 | SIM:ESM5 | Sell | 2 | 5327.75 | Passive |
| 2025-04-17T11:00:04.572 | SIM:ESM5 | Sell | 1 | 5327.75 | Passive |
| 2025-04-17T11:00:05.544 | SIM:ESM5 | Sell | 8 | 5326.25 | Aggressive |
| 2025-04-17T11:00:05.544 | SIM:ESM5 | Sell | 1 | 5326.25 | Aggressive |
| 2025-04-17T11:00:05.544 | SIM:ESM5 | Sell | 2 | 5326.25 | Passive |
| 2025-04-17T11:00:07.559 | SIM:ESM5 | Sell | 5 | 5322.5 | Aggressive |
| 2025-04-17T11:00:07.559 | SIM:ESM5 | Sell | 1 | 5322.5 | Aggressive |
| 2025-04-17T11:00:08.571 | SIM:ESM5 | Sell | 2 | 5321 | Aggressive |
| 2025-04-17T11:00:08.571 | SIM:ESM5 | Sell | 2 | 5320.75 | Aggressive |
| 2025-04-17T11:00:09.579 | SIM:ESM5 | Sell | 5 | 5325.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4250
Slippage Sweep
-0.8750
Arrival Price
5,315.1250
Average Total
5,314.7000
Destination Price
5,314.3750
Sweep to Fill
5,315.5750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T10:59:43.541 | SIM:ESM5 | Buy | 1 | 5315 | Aggressive |
| 2025-04-17T10:59:44.562 | SIM:ESM5 | Buy | 3 | 5315 | Aggressive |
| 2025-04-17T10:59:45.56 | SIM:ESM5 | Buy | 2 | 5314.75 | Aggressive |
| 2025-04-17T10:59:45.56 | SIM:ESM5 | Buy | 9 | 5315 | Aggressive |
| 2025-04-17T10:59:46.616 | SIM:ESM5 | Buy | 12 | 5314.75 | Aggressive |
| 2025-04-17T10:59:46.671 | SIM:ESM5 | Buy | 1 | 5314.5 | Passive |
| 2025-04-17T10:59:46.672 | SIM:ESM5 | Buy | 1 | 5314.5 | Passive |
| 2025-04-17T10:59:47.665 | SIM:ESM5 | Buy | 15 | 5314.5 | Aggressive |
| 2025-04-17T10:59:47.665 | SIM:ESM5 | Buy | 6 | 5314.5 | Passive |