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
-0.1200
Slippage Sweep
-0.2450
Arrival Price
5,946.1250
Average Total
5,946.2450
Destination Price
5,946.3750
Sweep to Fill
5,946.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:59:43.44 | SIM:ESM5 | Sell | 49 | 5946.25 | Aggressive |
| 2025-06-02T14:59:42.444 | SIM:ESM5 | Sell | 1 | 5946 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3400
Slippage Sweep
-0.4650
Arrival Price
5,946.8750
Average Total
5,946.5350
Destination Price
5,946.1250
Sweep to Fill
5,947.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:59:42.125 | SIM:ESM5 | Buy | 24 | 5946.5 | Aggressive |
| 2025-06-02T14:59:42.125 | SIM:ESM5 | Buy | 15 | 5946.25 | Aggressive |
| 2025-06-02T14:59:40.113 | SIM:ESM5 | Buy | 10 | 5947 | Aggressive |
| 2025-06-02T14:59:39.128 | SIM:ESM5 | Buy | 1 | 5947 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3450
Slippage Sweep
0.1050
Arrival Price
5,944.3750
Average Total
5,944.0300
Destination Price
5,944.3750
Sweep to Fill
5,944.1350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:59:08.364 | SIM:ESM5 | Sell | 1 | 5944.5 | Aggressive |
| 2025-06-02T14:59:08.364 | SIM:ESM5 | Sell | 3 | 5944.5 | Passive |
| 2025-06-02T14:59:08.364 | SIM:ESM5 | Sell | 1 | 5944.5 | Passive |
| 2025-06-02T14:59:08.363 | SIM:ESM5 | Sell | 1 | 5944.5 | Passive |
| 2025-06-02T14:59:06.923 | SIM:ESM5 | Sell | 14 | 5944.25 | Aggressive |
| 2025-06-02T14:59:06.224 | SIM:ESM5 | Sell | 5 | 5944 | Aggressive |
| 2025-06-02T14:59:06.224 | SIM:ESM5 | Sell | 1 | 5944.25 | Aggressive |
| 2025-06-02T14:59:02.933 | SIM:ESM5 | Sell | 5 | 5943.75 | Passive |
| 2025-06-02T14:59:00.928 | SIM:ESM5 | Sell | 1 | 5943.75 | Aggressive |
| 2025-06-02T14:58:59.883 | SIM:ESM5 | Sell | 1 | 5944 | Aggressive |
| 2025-06-02T14:59:04.471 | SIM:ESM5 | Sell | 4 | 5943.75 | Aggressive |
| 2025-06-02T14:59:02.932 | SIM:ESM5 | Sell | 5 | 5943.75 | Passive |
| 2025-06-02T14:59:01.895 | SIM:ESM5 | Sell | 7 | 5943.75 | Aggressive |
| 2025-06-02T14:58:58.865 | SIM:ESM5 | Sell | 1 | 5944.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1000
Slippage Sweep
-0.0250
Arrival Price
5,944.3750
Average Total
5,944.4750
Destination Price
5,944.1250
Sweep to Fill
5,944.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:58:55.612 | SIM:ESM5 | Buy | 5 | 5944.25 | Aggressive |
| 2025-06-02T14:58:54.552 | SIM:ESM5 | Buy | 16 | 5944.5 | Aggressive |
| 2025-06-02T14:58:53.04 | SIM:ESM5 | Buy | 1 | 5944.5 | Aggressive |
| 2025-06-02T14:58:53.039 | SIM:ESM5 | Buy | 10 | 5944.5 | Aggressive |
| 2025-06-02T14:58:53.038 | SIM:ESM5 | Buy | 8 | 5944.5 | Aggressive |
| 2025-06-02T14:58:53.038 | SIM:ESM5 | Buy | 10 | 5944.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0250
Slippage Sweep
-0.1500
Arrival Price
5,942.6250
Average Total
5,942.6500
Destination Price
5,942.8750
Sweep to Fill
5,942.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:58:19.136 | SIM:ESM5 | Sell | 15 | 5942.5 | Aggressive |
| 2025-06-02T14:58:19.136 | SIM:ESM5 | Sell | 32 | 5942.75 | Aggressive |
| 2025-06-02T14:58:18.583 | SIM:ESM5 | Sell | 1 | 5942.5 | Passive |
| 2025-06-02T14:58:18.136 | SIM:ESM5 | Sell | 2 | 5942.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.3600
Slippage Sweep
1.1000
Arrival Price
5,940.8750
Average Total
5,942.2350
Destination Price
5,942.6250
Sweep to Fill
5,941.1350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:58:13.847 | SIM:ESM5 | Buy | 8 | 5942.75 | Aggressive |
| 2025-06-02T14:58:05.786 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:58:16.912 | SIM:ESM5 | Buy | 3 | 5942.75 | Aggressive |
| 2025-06-02T14:58:15.917 | SIM:ESM5 | Buy | 3 | 5942.75 | Aggressive |
| 2025-06-02T14:58:15.8 | SIM:ESM5 | Buy | 4 | 5942.75 | Aggressive |
| 2025-06-02T14:58:11.812 | SIM:ESM5 | Buy | 3 | 5942.5 | Aggressive |
| 2025-06-02T14:58:10.825 | SIM:ESM5 | Buy | 9 | 5942 | Aggressive |
| 2025-06-02T14:58:08.768 | SIM:ESM5 | Buy | 4 | 5942 | Aggressive |
| 2025-06-02T14:58:07.755 | SIM:ESM5 | Buy | 12 | 5942 | Aggressive |
| 2025-06-02T14:58:06.755 | SIM:ESM5 | Buy | 2 | 5941.25 | Aggressive |
| 2025-06-02T14:58:04.719 | SIM:ESM5 | Buy | 1 | 5941 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2200
Slippage Sweep
-0.0150
Arrival Price
5,941.3750
Average Total
5,941.1550
Destination Price
5,941.1250
Sweep to Fill
5,941.1400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:57:07.478 | SIM:ESM5 | Sell | 12 | 5941 | Aggressive |
| 2025-06-02T14:57:03.322 | SIM:ESM5 | Sell | 14 | 5941.25 | Aggressive |
| 2025-06-02T14:56:59.312 | SIM:ESM5 | Sell | 16 | 5941.25 | Aggressive |
| 2025-06-02T14:56:58.264 | SIM:ESM5 | Sell | 2 | 5941 | Aggressive |
| 2025-06-02T14:56:55.49 | SIM:ESM5 | Sell | 5 | 5941 | Aggressive |
| 2025-06-02T14:56:54.357 | SIM:ESM5 | Sell | 1 | 5941.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.0900
Slippage Sweep
0.8350
Arrival Price
5,939.8750
Average Total
5,940.9650
Destination Price
5,941.3750
Sweep to Fill
5,940.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:56:48.649 | SIM:ESM5 | Buy | 11 | 5941.25 | Aggressive |
| 2025-06-02T14:56:45.513 | SIM:ESM5 | Buy | 4 | 5941 | Aggressive |
| 2025-06-02T14:56:44.512 | SIM:ESM5 | Buy | 6 | 5941.25 | Aggressive |
| 2025-06-02T14:56:52.729 | SIM:ESM5 | Buy | 1 | 5941.25 | Passive |
| 2025-06-02T14:56:52.729 | SIM:ESM5 | Buy | 3 | 5941.25 | Passive |
| 2025-06-02T14:56:52.728 | SIM:ESM5 | Buy | 3 | 5941.25 | Passive |
| 2025-06-02T14:56:44.118 | SIM:ESM5 | Buy | 7 | 5941 | Aggressive |
| 2025-06-02T14:56:41.412 | SIM:ESM5 | Buy | 9 | 5940.75 | Aggressive |
| 2025-06-02T14:56:39.386 | SIM:ESM5 | Buy | 4 | 5940.25 | Aggressive |
| 2025-06-02T14:56:38.376 | SIM:ESM5 | Buy | 2 | 5939.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0550
Slippage Sweep
-0.1100
Arrival Price
5,941.1250
Average Total
5,941.0700
Destination Price
5,939.3750
Sweep to Fill
5,940.9600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:56:06.981 | SIM:ESM5 | Sell | 3 | 5939.25 | Aggressive |
| 2025-06-02T14:56:02.9 | SIM:ESM5 | Sell | 7 | 5939.75 | Aggressive |
| 2025-06-02T14:56:01.253 | SIM:ESM5 | Sell | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:55:53.812 | SIM:ESM5 | Sell | 2 | 5941.5 | Aggressive |
| 2025-06-02T14:55:53.812 | SIM:ESM5 | Sell | 32 | 5941.5 | Aggressive |
| 2025-06-02T14:55:53.256 | SIM:ESM5 | Sell | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:55:53.256 | SIM:ESM5 | Sell | 1 | 5941.25 | Passive |
| 2025-06-02T14:55:53.256 | SIM:ESM5 | Sell | 1 | 5941.25 | Passive |
| 2025-06-02T14:55:53.256 | SIM:ESM5 | Sell | 1 | 5941.25 | Passive |
| 2025-06-02T14:55:51.807 | SIM:ESM5 | Sell | 1 | 5941 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5950
Slippage Sweep
0.4150
Arrival Price
5,940.8750
Average Total
5,941.4700
Destination Price
5,941.6250
Sweep to Fill
5,941.0550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:55:37.006 | SIM:ESM5 | Buy | 8 | 5941.5 | Aggressive |
| 2025-06-02T14:55:50.241 | SIM:ESM5 | Buy | 7 | 5941.75 | Aggressive |
| 2025-06-02T14:55:42.112 | SIM:ESM5 | Buy | 4 | 5941.5 | Aggressive |
| 2025-06-02T14:55:42.112 | SIM:ESM5 | Buy | 9 | 5941.25 | Aggressive |
| 2025-06-02T14:55:38.149 | SIM:ESM5 | Buy | 1 | 5941.25 | Passive |
| 2025-06-02T14:55:38.149 | SIM:ESM5 | Buy | 1 | 5941.25 | Passive |
| 2025-06-02T14:55:36.018 | SIM:ESM5 | Buy | 4 | 5941.5 | Aggressive |
| 2025-06-02T14:55:45.046 | SIM:ESM5 | Buy | 11 | 5941.5 | Aggressive |
| 2025-06-02T14:55:32.912 | SIM:ESM5 | Buy | 4 | 5941.5 | Aggressive |
| 2025-06-02T14:55:31.924 | SIM:ESM5 | Buy | 1 | 5941 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1350
Slippage Sweep
-0.2050
Arrival Price
5,940.6250
Average Total
5,940.4900
Destination Price
5,941.1250
Sweep to Fill
5,940.2850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:55:00.632 | SIM:ESM5 | Sell | 2 | 5941 | Aggressive |
| 2025-06-02T14:54:56.625 | SIM:ESM5 | Sell | 1 | 5939 | Aggressive |
| 2025-06-02T14:54:42.512 | SIM:ESM5 | Sell | 26 | 5940.75 | Aggressive |
| 2025-06-02T14:54:58.734 | SIM:ESM5 | Sell | 6 | 5939.5 | Aggressive |
| 2025-06-02T14:54:58.734 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:54:58.734 | SIM:ESM5 | Sell | 1 | 5939.75 | Passive |
| 2025-06-02T14:54:42.512 | SIM:ESM5 | Sell | 4 | 5940.75 | Passive |
| 2025-06-02T14:54:42.512 | SIM:ESM5 | Sell | 8 | 5940.5 | Aggressive |
| 2025-06-02T14:54:41.513 | SIM:ESM5 | Sell | 1 | 5940.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4100
Slippage Sweep
0.2850
Arrival Price
5,938.6250
Average Total
5,939.0350
Destination Price
5,939.1250
Sweep to Fill
5,938.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:54:38.943 | SIM:ESM5 | Buy | 3 | 5939.25 | Aggressive |
| 2025-06-02T14:54:32.023 | SIM:ESM5 | Buy | 4 | 5939 | Aggressive |
| 2025-06-02T14:54:30.872 | SIM:ESM5 | Buy | 1 | 5939 | Aggressive |
| 2025-06-02T14:54:30.872 | SIM:ESM5 | Buy | 2 | 5938.75 | Aggressive |
| 2025-06-02T14:54:30.872 | SIM:ESM5 | Buy | 2 | 5938.75 | Passive |
| 2025-06-02T14:54:29.961 | SIM:ESM5 | Buy | 2 | 5938.75 | Aggressive |
| 2025-06-02T14:54:28.834 | SIM:ESM5 | Buy | 5 | 5938.75 | Aggressive |
| 2025-06-02T14:54:37.891 | SIM:ESM5 | Buy | 23 | 5939.25 | Aggressive |
| 2025-06-02T14:54:27.788 | SIM:ESM5 | Buy | 7 | 5938.75 | Aggressive |
| 2025-06-02T14:54:26.952 | SIM:ESM5 | Buy | 1 | 5938.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1050
Slippage Sweep
-0.0900
Arrival Price
5,939.3750
Average Total
5,939.2700
Destination Price
5,939.6250
Sweep to Fill
5,939.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:53:55.146 | SIM:ESM5 | Sell | 11 | 5939.25 | Aggressive |
| 2025-06-02T14:53:55.146 | SIM:ESM5 | Sell | 19 | 5939.5 | Aggressive |
| 2025-06-02T14:53:51.405 | SIM:ESM5 | Sell | 8 | 5938.75 | Aggressive |
| 2025-06-02T14:53:49.09 | SIM:ESM5 | Sell | 9 | 5939.25 | Aggressive |
| 2025-06-02T14:53:48.012 | SIM:ESM5 | Sell | 2 | 5939.25 | Aggressive |
| 2025-06-02T14:53:47.012 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3550
Arrival Price
5,939.8750
Average Total
5,939.7550
Destination Price
5,939.6250
Sweep to Fill
5,940.1100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:53:45.82 | SIM:ESM5 | Buy | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:53:45.82 | SIM:ESM5 | Buy | 11 | 5939.75 | Aggressive |
| 2025-06-02T14:53:44.812 | SIM:ESM5 | Buy | 35 | 5939.75 | Aggressive |
| 2025-06-02T14:53:43.776 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0700
Slippage Sweep
-0.0550
Arrival Price
5,941.1250
Average Total
5,941.0550
Destination Price
5,941.3750
Sweep to Fill
5,941.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:53:12.912 | SIM:ESM5 | Sell | 1 | 5941.5 | Aggressive |
| 2025-06-02T14:53:12.912 | SIM:ESM5 | Sell | 3 | 5941.5 | Passive |
| 2025-06-02T14:53:09.973 | SIM:ESM5 | Sell | 1 | 5940.75 | Aggressive |
| 2025-06-02T14:53:09.973 | SIM:ESM5 | Sell | 2 | 5940.75 | Passive |
| 2025-06-02T14:53:08.845 | SIM:ESM5 | Sell | 12 | 5940.75 | Aggressive |
| 2025-06-02T14:53:01.716 | SIM:ESM5 | Sell | 3 | 5941 | Aggressive |
| 2025-06-02T14:53:01.716 | SIM:ESM5 | Sell | 18 | 5941.25 | Aggressive |
| 2025-06-02T14:53:00.034 | SIM:ESM5 | Sell | 1 | 5941 | Aggressive |
| 2025-06-02T14:53:00.033 | SIM:ESM5 | Sell | 9 | 5941 | Aggressive |