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
-0.0900
Slippage Sweep
-0.2800
Arrival Price
5,941.6250
Average Total
5,941.5350
Destination Price
5,941.3750
Sweep to Fill
5,941.8150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:52:54.757 | SIM:ESM5 | Buy | 5 | 5941.75 | Aggressive |
| 2025-06-02T14:52:56.769 | SIM:ESM5 | Buy | 10 | 5941.5 | Passive |
| 2025-06-02T14:52:56.769 | SIM:ESM5 | Buy | 1 | 5941.5 | Aggressive |
| 2025-06-02T14:52:56.769 | SIM:ESM5 | Buy | 32 | 5941.5 | Aggressive |
| 2025-06-02T14:52:54.458 | SIM:ESM5 | Buy | 2 | 5941.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.7550
Slippage Sweep
1.4750
Arrival Price
5,943.6250
Average Total
5,941.8700
Destination Price
5,941.1250
Sweep to Fill
5,943.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:52:08.572 | SIM:ESM5 | Sell | 4 | 5941.75 | Aggressive |
| 2025-06-02T14:52:08.572 | SIM:ESM5 | Sell | 1 | 5942 | Aggressive |
| 2025-06-02T14:52:08.571 | SIM:ESM5 | Sell | 1 | 5942 | Passive |
| 2025-06-02T14:52:06.301 | SIM:ESM5 | Sell | 4 | 5941.75 | Aggressive |
| 2025-06-02T14:52:02.175 | SIM:ESM5 | Sell | 1 | 5943.25 | Aggressive |
| 2025-06-02T14:52:21.549 | SIM:ESM5 | Sell | 4 | 5941 | Aggressive |
| 2025-06-02T14:52:16.296 | SIM:ESM5 | Sell | 12 | 5941 | Aggressive |
| 2025-06-02T14:52:05.181 | SIM:ESM5 | Sell | 19 | 5942.25 | Aggressive |
| 2025-06-02T14:52:03.286 | SIM:ESM5 | Sell | 1 | 5943 | Aggressive |
| 2025-06-02T14:52:00.17 | SIM:ESM5 | Sell | 3 | 5943.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0500
Slippage Sweep
-0.0800
Arrival Price
5,943.8750
Average Total
5,943.9250
Destination Price
5,943.6250
Sweep to Fill
5,944.0050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:51:59.597 | SIM:ESM5 | Buy | 9 | 5943.75 | Aggressive |
| 2025-06-02T14:51:58.959 | SIM:ESM5 | Buy | 3 | 5943.75 | Passive |
| 2025-06-02T14:51:58.959 | SIM:ESM5 | Buy | 3 | 5943.75 | Passive |
| 2025-06-02T14:51:56.647 | SIM:ESM5 | Buy | 17 | 5944 | Aggressive |
| 2025-06-02T14:51:55.559 | SIM:ESM5 | Buy | 5 | 5944 | Aggressive |
| 2025-06-02T14:51:54.546 | SIM:ESM5 | Buy | 1 | 5944 | Aggressive |
| 2025-06-02T14:51:53.922 | SIM:ESM5 | Buy | 11 | 5944 | Aggressive |
| 2025-06-02T14:51:52.536 | SIM:ESM5 | Buy | 1 | 5944 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4850
Slippage Sweep
0.2400
Arrival Price
5,943.1250
Average Total
5,942.6400
Destination Price
5,943.1250
Sweep to Fill
5,942.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:51:21.185 | SIM:ESM5 | Sell | 9 | 5943 | Aggressive |
| 2025-06-02T14:51:21.185 | SIM:ESM5 | Sell | 1 | 5943.25 | Aggressive |
| 2025-06-02T14:51:21.185 | SIM:ESM5 | Sell | 1 | 5943.25 | Passive |
| 2025-06-02T14:51:15.166 | SIM:ESM5 | Sell | 13 | 5942.5 | Aggressive |
| 2025-06-02T14:51:15.166 | SIM:ESM5 | Sell | 13 | 5942.5 | Aggressive |
| 2025-06-02T14:51:15.166 | SIM:ESM5 | Sell | 1 | 5942.75 | Aggressive |
| 2025-06-02T14:51:15.166 | SIM:ESM5 | Sell | 1 | 5942.75 | Passive |
| 2025-06-02T14:51:15.166 | SIM:ESM5 | Sell | 1 | 5942.75 | Passive |
| 2025-06-02T14:51:15.165 | SIM:ESM5 | Sell | 1 | 5942.75 | Passive |
| 2025-06-02T14:51:11.021 | SIM:ESM5 | Sell | 1 | 5942 | Aggressive |
| 2025-06-02T14:51:09.019 | SIM:ESM5 | Sell | 4 | 5942.25 | Aggressive |
| 2025-06-02T14:51:08.012 | SIM:ESM5 | Sell | 2 | 5942.75 | Aggressive |
| 2025-06-02T14:51:06.926 | SIM:ESM5 | Sell | 1 | 5942.75 | Aggressive |
| 2025-06-02T14:51:06.024 | SIM:ESM5 | Sell | 1 | 5943.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5700
Slippage Sweep
0.2200
Arrival Price
5,941.8750
Average Total
5,942.4450
Destination Price
5,943.1250
Sweep to Fill
5,942.2250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:50:59.851 | SIM:ESM5 | Buy | 5 | 5942.75 | Aggressive |
| 2025-06-02T14:50:53.831 | SIM:ESM5 | Buy | 2 | 5942.5 | Passive |
| 2025-06-02T14:50:53.831 | SIM:ESM5 | Buy | 1 | 5942.5 | Passive |
| 2025-06-02T14:50:53.831 | SIM:ESM5 | Buy | 1 | 5942.5 | Passive |
| 2025-06-02T14:50:56.823 | SIM:ESM5 | Buy | 7 | 5942.25 | Aggressive |
| 2025-06-02T14:50:52.771 | SIM:ESM5 | Buy | 12 | 5942.75 | Aggressive |
| 2025-06-02T14:50:49.724 | SIM:ESM5 | Buy | 4 | 5942.5 | Aggressive |
| 2025-06-02T14:51:05.642 | SIM:ESM5 | Buy | 1 | 5943 | Passive |
| 2025-06-02T14:50:48.681 | SIM:ESM5 | Buy | 11 | 5942.25 | Aggressive |
| 2025-06-02T14:50:46.754 | SIM:ESM5 | Buy | 5 | 5942 | Aggressive |
| 2025-06-02T14:50:45.68 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.6800
Slippage Sweep
-0.9450
Arrival Price
5,939.8750
Average Total
5,940.5550
Destination Price
5,940.8750
Sweep to Fill
5,939.6100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:50:13.212 | SIM:ESM5 | Sell | 15 | 5940.75 | Aggressive |
| 2025-06-02T14:50:09.213 | SIM:ESM5 | Sell | 7 | 5940.5 | Aggressive |
| 2025-06-02T14:50:08.113 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |
| 2025-06-02T14:50:08.113 | SIM:ESM5 | Sell | 26 | 5940.5 | Aggressive |
| 2025-06-02T14:50:07.123 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5450
Slippage Sweep
-0.6900
Arrival Price
5,940.8750
Average Total
5,940.3300
Destination Price
5,939.6250
Sweep to Fill
5,941.0200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:50:05.051 | SIM:ESM5 | Buy | 9 | 5939.75 | Aggressive |
| 2025-06-02T14:50:03.912 | SIM:ESM5 | Buy | 32 | 5940.5 | Aggressive |
| 2025-06-02T14:50:03.912 | SIM:ESM5 | Buy | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:50:03.07 | SIM:ESM5 | Buy | 1 | 5940.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3650
Arrival Price
5,940.8750
Average Total
5,940.9950
Destination Price
5,941.1250
Sweep to Fill
5,940.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:49:30.832 | SIM:ESM5 | Sell | 5 | 5941 | Aggressive |
| 2025-06-02T14:49:29.985 | SIM:ESM5 | Sell | 25 | 5941 | Aggressive |
| 2025-06-02T14:49:29.985 | SIM:ESM5 | Sell | 19 | 5941 | Aggressive |
| 2025-06-02T14:49:28.86 | SIM:ESM5 | Sell | 1 | 5940.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7000
Slippage Sweep
0.4200
Arrival Price
5,940.1250
Average Total
5,940.8250
Destination Price
5,940.8750
Sweep to Fill
5,940.4050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:49:28.168 | SIM:ESM5 | Buy | 9 | 5941 | Aggressive |
| 2025-06-02T14:49:19.027 | SIM:ESM5 | Buy | 3 | 5940.5 | Passive |
| 2025-06-02T14:49:19.027 | SIM:ESM5 | Buy | 3 | 5940.5 | Passive |
| 2025-06-02T14:49:19.027 | SIM:ESM5 | Buy | 3 | 5940.5 | Passive |
| 2025-06-02T14:49:25.241 | SIM:ESM5 | Buy | 4 | 5941 | Aggressive |
| 2025-06-02T14:49:24.043 | SIM:ESM5 | Buy | 4 | 5941 | Aggressive |
| 2025-06-02T14:49:22.988 | SIM:ESM5 | Buy | 16 | 5941 | Aggressive |
| 2025-06-02T14:49:17.412 | SIM:ESM5 | Buy | 7 | 5940.5 | Aggressive |
| 2025-06-02T14:49:16.012 | SIM:ESM5 | Buy | 1 | 5940.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0250
Slippage Sweep
-0.2200
Arrival Price
5,941.3750
Average Total
5,941.4000
Destination Price
5,941.6250
Sweep to Fill
5,941.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:48:45.307 | SIM:ESM5 | Sell | 1 | 5941.5 | Aggressive |
| 2025-06-02T14:48:42.977 | SIM:ESM5 | Sell | 11 | 5941.25 | Aggressive |
| 2025-06-02T14:48:41.912 | SIM:ESM5 | Sell | 5 | 5941.25 | Aggressive |
| 2025-06-02T14:48:38.013 | SIM:ESM5 | Sell | 3 | 5941.25 | Aggressive |
| 2025-06-02T14:48:38.013 | SIM:ESM5 | Sell | 21 | 5941.5 | Aggressive |
| 2025-06-02T14:48:37.017 | SIM:ESM5 | Sell | 8 | 5941.5 | Passive |
| 2025-06-02T14:48:36.077 | 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
0.1550
Slippage Sweep
-0.1850
Arrival Price
5,941.6250
Average Total
5,941.7800
Destination Price
5,941.3750
Sweep to Fill
5,941.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:48:32.248 | SIM:ESM5 | Buy | 4 | 5942 | Aggressive |
| 2025-06-02T14:48:32.248 | SIM:ESM5 | Buy | 2 | 5941.75 | Aggressive |
| 2025-06-02T14:48:32.248 | SIM:ESM5 | Buy | 2 | 5941.75 | Passive |
| 2025-06-02T14:48:27.86 | SIM:ESM5 | Buy | 2 | 5942 | Aggressive |
| 2025-06-02T14:48:35.012 | SIM:ESM5 | Buy | 12 | 5941.5 | Aggressive |
| 2025-06-02T14:48:33.883 | SIM:ESM5 | Buy | 9 | 5941.75 | Aggressive |
| 2025-06-02T14:48:33.883 | SIM:ESM5 | Buy | 5 | 5941.75 | Aggressive |
| 2025-06-02T14:48:30.922 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
| 2025-06-02T14:48:29.912 | SIM:ESM5 | Buy | 4 | 5942 | Aggressive |
| 2025-06-02T14:48:29.671 | SIM:ESM5 | Buy | 6 | 5942 | Aggressive |
| 2025-06-02T14:48:29.671 | SIM:ESM5 | Buy | 1 | 5941.75 | Aggressive |
| 2025-06-02T14:48:29.671 | SIM:ESM5 | Buy | 1 | 5941.75 | Passive |
| 2025-06-02T14:48:27.788 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2650
Slippage Sweep
-0.3900
Arrival Price
5,940.8750
Average Total
5,941.1400
Destination Price
5,941.3750
Sweep to Fill
5,940.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:47:54.315 | SIM:ESM5 | Sell | 4 | 5941 | Aggressive |
| 2025-06-02T14:47:54.315 | SIM:ESM5 | Sell | 32 | 5941.25 | Aggressive |
| 2025-06-02T14:47:53.324 | SIM:ESM5 | Sell | 5 | 5941 | Aggressive |
| 2025-06-02T14:47:53.324 | SIM:ESM5 | Sell | 4 | 5941 | Passive |
| 2025-06-02T14:47:53.324 | SIM:ESM5 | Sell | 1 | 5941 | Passive |
| 2025-06-02T14:47:52.261 | SIM:ESM5 | Sell | 4 | 5940.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.1000
Arrival Price
5,941.1250
Average Total
5,941.1900
Destination Price
5,940.8750
Sweep to Fill
5,941.2900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:47:50.325 | SIM:ESM5 | Buy | 10 | 5941 | Aggressive |
| 2025-06-02T14:47:50.325 | SIM:ESM5 | Buy | 2 | 5941 | Aggressive |
| 2025-06-02T14:47:49.346 | SIM:ESM5 | Buy | 19 | 5941.25 | Aggressive |
| 2025-06-02T14:47:48.343 | SIM:ESM5 | Buy | 8 | 5941.25 | Aggressive |
| 2025-06-02T14:47:47.412 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:47:47.412 | SIM:ESM5 | Buy | 8 | 5941.25 | Aggressive |
| 2025-06-02T14:47:46.33 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:47:45.285 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2500
Slippage Sweep
0.0000
Arrival Price
5,940.2500
Average Total
5,940.0000
Destination Price
5,940.3750
Sweep to Fill
5,940.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:47:13.815 | SIM:ESM5 | Sell | 5 | 5940.25 | Aggressive |
| 2025-06-02T14:47:11.712 | SIM:ESM5 | Sell | 5 | 5940 | Aggressive |
| 2025-06-02T14:47:14.738 | SIM:ESM5 | Sell | 16 | 5940.25 | Aggressive |
| 2025-06-02T14:47:09.642 | SIM:ESM5 | Sell | 3 | 5940 | Aggressive |
| 2025-06-02T14:47:05.013 | SIM:ESM5 | Sell | 5 | 5939.5 | Aggressive |
| 2025-06-02T14:47:03.625 | SIM:ESM5 | Sell | 12 | 5939.75 | Aggressive |
| 2025-06-02T14:47:01.55 | SIM:ESM5 | Sell | 3 | 5940 | Aggressive |
| 2025-06-02T14:47:00.512 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9550
Slippage Sweep
0.6050
Arrival Price
5,939.1250
Average Total
5,940.0800
Destination Price
5,940.3750
Sweep to Fill
5,939.4750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:46:44.076 | SIM:ESM5 | Buy | 12 | 5939.75 | Aggressive |
| 2025-06-02T14:46:43.095 | SIM:ESM5 | Buy | 1 | 5939.5 | Aggressive |
| 2025-06-02T14:46:42.055 | SIM:ESM5 | Buy | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:47:00.04 | SIM:ESM5 | Buy | 10 | 5940.5 | Aggressive |
| 2025-06-02T14:46:54.225 | SIM:ESM5 | Buy | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:46:54.225 | SIM:ESM5 | Buy | 3 | 5940.5 | Aggressive |
| 2025-06-02T14:46:47.755 | SIM:ESM5 | Buy | 16 | 5940.25 | Aggressive |
| 2025-06-02T14:46:40.022 | SIM:ESM5 | Buy | 1 | 5939.5 | Aggressive |
| 2025-06-02T14:46:40.022 | SIM:ESM5 | Buy | 1 | 5939.5 | Aggressive |
| 2025-06-02T14:46:39.388 | SIM:ESM5 | Buy | 1 | 5939.5 | Aggressive |