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
-0.6500
Slippage Sweep
-1.0950
Arrival Price
5,314.3750
Average Total
5,315.0250
Destination Price
5,315.1250
Sweep to Fill
5,313.9300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T10:58:54.255 | SIM:ESM5 | Sell | 1 | 5314.25 | Aggressive |
| 2025-04-17T10:58:55.203 | SIM:ESM5 | Sell | 3 | 5313.75 | Aggressive |
| 2025-04-17T10:58:55.203 | SIM:ESM5 | Sell | 5 | 5313.75 | Aggressive |
| 2025-04-17T10:58:56.229 | SIM:ESM5 | Sell | 1 | 5314 | Aggressive |
| 2025-04-17T10:58:58.22 | SIM:ESM5 | Sell | 9 | 5315 | Aggressive |
| 2025-04-17T10:58:59.235 | SIM:ESM5 | Sell | 1 | 5315.75 | Aggressive |
| 2025-04-17T10:58:59.235 | SIM:ESM5 | Sell | 10 | 5315.5 | Aggressive |
| 2025-04-17T10:59:00.25 | SIM:ESM5 | Sell | 9 | 5315.25 | Aggressive |
| 2025-04-17T10:59:01.328 | SIM:ESM5 | Sell | 10 | 5315.5 | Aggressive |
| 2025-04-17T10:59:02.38 | SIM:ESM5 | Sell | 1 | 5315 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7100
Slippage Sweep
0.1800
Arrival Price
5,315.6250
Average Total
5,316.3350
Destination Price
5,315.2500
Sweep to Fill
5,316.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T10:58:23.526 | SIM:ESM5 | Buy | 1 | 5316.25 | Aggressive |
| 2025-04-17T10:58:24.536 | SIM:ESM5 | Buy | 7 | 5316.5 | Aggressive |
| 2025-04-17T10:58:24.536 | SIM:ESM5 | Buy | 3 | 5316.5 | Passive |
| 2025-04-17T10:58:26.564 | SIM:ESM5 | Buy | 13 | 5316.75 | Aggressive |
| 2025-04-17T10:58:26.564 | SIM:ESM5 | Buy | 4 | 5316.75 | Aggressive |
| 2025-04-17T10:58:28.584 | SIM:ESM5 | Buy | 8 | 5316.5 | Aggressive |
| 2025-04-17T10:58:30.624 | SIM:ESM5 | Buy | 4 | 5316 | Aggressive |
| 2025-04-17T10:58:36.777 | SIM:ESM5 | Buy | 1 | 5315.5 | Aggressive |
| 2025-04-17T10:58:36.934 | SIM:ESM5 | Buy | 1 | 5315.25 | Passive |
| 2025-04-17T10:58:40.727 | SIM:ESM5 | Buy | 1 | 5315.5 | Aggressive |
| 2025-04-17T10:58:41.744 | SIM:ESM5 | Buy | 4 | 5315.5 | Aggressive |
| 2025-04-17T10:58:42.789 | SIM:ESM5 | Buy | 2 | 5315.5 | Aggressive |
| 2025-04-17T10:58:43.764 | SIM:ESM5 | Buy | 1 | 5315.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.6400
Slippage Sweep
-1.4483
Arrival Price
5,338.6250
Average Total
5,337.9850
Destination Price
5,337.3750
Sweep to Fill
5,339.4333
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T05:15:25.884 | SIM:ESM5 | Buy | 1 | 5338.5 | Aggressive |
| 2025-04-17T05:15:28.296 | SIM:ESM5 | Buy | 1 | 5339 | Aggressive |
| 2025-04-17T05:15:28.927 | SIM:ESM5 | Buy | 1 | 5338.75 | Aggressive |
| 2025-04-17T05:15:29.969 | SIM:ESM5 | Buy | 1 | 5339 | Aggressive |
| 2025-04-17T05:15:31.968 | SIM:ESM5 | Buy | 2 | 5339 | Aggressive |
| 2025-04-17T05:15:31.968 | SIM:ESM5 | Buy | 1 | 5339.25 | Aggressive |
| 2025-04-17T05:15:33.012 | SIM:ESM5 | Buy | 6 | 5338 | Aggressive |
| 2025-04-17T05:15:33.012 | SIM:ESM5 | Buy | 1 | 5338.25 | Aggressive |
| 2025-04-17T05:15:34.012 | SIM:ESM5 | Buy | 6 | 5337.75 | Aggressive |
| 2025-04-17T05:15:34.012 | SIM:ESM5 | Buy | 1 | 5337.75 | Aggressive |
| 2025-04-17T05:15:35.065 | SIM:ESM5 | Buy | 3 | 5337.75 | Aggressive |
| 2025-04-17T05:15:36.02 | SIM:ESM5 | Buy | 10 | 5337.75 | Aggressive |
| 2025-04-17T05:15:36.02 | SIM:ESM5 | Buy | 1 | 5337.75 | Passive |
| 2025-04-17T05:15:37.064 | SIM:ESM5 | Buy | 2 | 5338 | Aggressive |
| 2025-04-17T05:15:37.064 | SIM:ESM5 | Buy | 2 | 5338.25 | Aggressive |
| 2025-04-17T05:15:49.22 | SIM:ESM5 | Buy | 4 | 5338 | Aggressive |
| 2025-04-17T05:15:50.215 | SIM:ESM5 | Buy | 4 | 5337.5 | Aggressive |
| 2025-04-17T05:15:50.215 | SIM:ESM5 | Buy | 3 | 5337.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.5350
Slippage Sweep
0.9050
Arrival Price
5,340.3750
Average Total
5,341.9100
Destination Price
5,342.0000
Sweep to Fill
5,341.0050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T05:10:15.387 | SIM:ESM5 | Buy | 1 | 5340.5 | Aggressive |
| 2025-04-17T05:10:16.776 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T05:10:17.672 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T05:10:18.471 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T05:10:19.436 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T05:10:19.437 | SIM:ESM5 | Buy | 1 | 5341 | Aggressive |
| 2025-04-17T05:10:20.457 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T05:10:22.512 | SIM:ESM5 | Buy | 2 | 5340.75 | Aggressive |
| 2025-04-17T05:10:22.512 | SIM:ESM5 | Buy | 1 | 5340.75 | Aggressive |
| 2025-04-17T05:10:23.551 | SIM:ESM5 | Buy | 2 | 5341.75 | Aggressive |
| 2025-04-17T05:10:23.551 | SIM:ESM5 | Buy | 5 | 5342 | Aggressive |
| 2025-04-17T05:10:24.566 | SIM:ESM5 | Buy | 7 | 5342 | Aggressive |
| 2025-04-17T05:10:24.612 | SIM:ESM5 | Buy | 2 | 5342 | Aggressive |
| 2025-04-17T05:10:25.528 | SIM:ESM5 | Buy | 7 | 5342.25 | Aggressive |
| 2025-04-17T05:10:25.528 | SIM:ESM5 | Buy | 2 | 5342.5 | Aggressive |
| 2025-04-17T05:10:26.712 | SIM:ESM5 | Buy | 7 | 5342.25 | Aggressive |
| 2025-04-17T05:10:26.712 | SIM:ESM5 | Buy | 8 | 5342.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3300
Slippage Sweep
-1.0850
Arrival Price
5,342.6250
Average Total
5,342.2950
Destination Price
5,341.8750
Sweep to Fill
5,343.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T05:09:00.579 | SIM:ESM5 | Buy | 1 | 5342.75 | Aggressive |
| 2025-04-17T05:09:02.774 | SIM:ESM5 | Buy | 1 | 5342.5 | Aggressive |
| 2025-04-17T05:09:03.664 | SIM:ESM5 | Buy | 4 | 5342.5 | Aggressive |
| 2025-04-17T05:09:03.664 | SIM:ESM5 | Buy | 1 | 5342.5 | Aggressive |
| 2025-04-17T05:09:04.634 | SIM:ESM5 | Buy | 3 | 5342 | Aggressive |
| 2025-04-17T05:09:04.635 | SIM:ESM5 | Buy | 10 | 5342.25 | Aggressive |
| 2025-04-17T05:09:04.635 | SIM:ESM5 | Buy | 6 | 5342.5 | Aggressive |
| 2025-04-17T05:09:05.712 | SIM:ESM5 | Buy | 4 | 5342 | Aggressive |
| 2025-04-17T05:09:05.712 | SIM:ESM5 | Buy | 11 | 5342.25 | Aggressive |
| 2025-04-17T05:09:05.712 | SIM:ESM5 | Buy | 5 | 5342.5 | Aggressive |
| 2025-04-17T05:09:06.712 | SIM:ESM5 | Buy | 3 | 5342 | Aggressive |
| 2025-04-17T05:09:06.712 | SIM:ESM5 | Buy | 1 | 5342.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7100
Slippage Sweep
-0.1350
Arrival Price
5,342.5000
Average Total
5,343.2100
Destination Price
5,343.2500
Sweep to Fill
5,343.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T05:07:44.264 | SIM:ESM5 | Buy | 1 | 5343.25 | Aggressive |
| 2025-04-17T05:07:45.326 | SIM:ESM5 | Buy | 2 | 5343.25 | Aggressive |
| 2025-04-17T05:07:47.29 | SIM:ESM5 | Buy | 2 | 5343.25 | Aggressive |
| 2025-04-17T05:07:47.29 | SIM:ESM5 | Buy | 3 | 5343.25 | Aggressive |
| 2025-04-17T05:07:49.31 | SIM:ESM5 | Buy | 4 | 5343 | Aggressive |
| 2025-04-17T05:07:49.31 | SIM:ESM5 | Buy | 7 | 5343.25 | Aggressive |
| 2025-04-17T05:07:49.31 | SIM:ESM5 | Buy | 2 | 5343 | Aggressive |
| 2025-04-17T05:07:51.658 | SIM:ESM5 | Buy | 2 | 5343 | Aggressive |
| 2025-04-17T05:07:54.342 | SIM:ESM5 | Buy | 9 | 5343.25 | Aggressive |
| 2025-04-17T05:07:56.913 | SIM:ESM5 | Buy | 6 | 5343.25 | Aggressive |
| 2025-04-17T05:07:56.914 | SIM:ESM5 | Buy | 3 | 5343.25 | Aggressive |
| 2025-04-17T05:07:57.757 | SIM:ESM5 | Buy | 2 | 5343.25 | Aggressive |
| 2025-04-17T05:07:58.668 | SIM:ESM5 | Buy | 1 | 5343 | Passive |
| 2025-04-17T05:08:05.633 | SIM:ESM5 | Buy | 3 | 5343.25 | Aggressive |
| 2025-04-17T05:08:05.756 | SIM:ESM5 | Buy | 2 | 5343.25 | Aggressive |
| 2025-04-17T05:08:06.638 | SIM:ESM5 | Buy | 1 | 5343.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8000
Slippage Sweep
0.0450
Arrival Price
5,344.2500
Average Total
5,345.0500
Destination Price
5,345.6250
Sweep to Fill
5,345.0050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T05:04:04.312 | SIM:ESM5 | Buy | 1 | 5344.5 | Aggressive |
| 2025-04-17T05:04:05.235 | SIM:ESM5 | Buy | 1 | 5344.25 | Aggressive |
| 2025-04-17T05:04:07.22 | SIM:ESM5 | Buy | 8 | 5343.75 | Aggressive |
| 2025-04-17T05:04:08.016 | SIM:ESM5 | Buy | 1 | 5343.75 | Passive |
| 2025-04-17T05:04:08.016 | SIM:ESM5 | Buy | 1 | 5343.75 | Passive |
| 2025-04-17T05:04:09.235 | SIM:ESM5 | Buy | 2 | 5343.75 | Aggressive |
| 2025-04-17T05:04:09.235 | SIM:ESM5 | Buy | 2 | 5344 | Aggressive |
| 2025-04-17T05:04:12.196 | SIM:ESM5 | Buy | 2 | 5345 | Aggressive |
| 2025-04-17T05:04:12.196 | SIM:ESM5 | Buy | 4 | 5345.25 | Aggressive |
| 2025-04-17T05:04:13.324 | SIM:ESM5 | Buy | 4 | 5345.5 | Aggressive |
| 2025-04-17T05:04:13.324 | SIM:ESM5 | Buy | 3 | 5345.75 | Aggressive |
| 2025-04-17T05:04:13.324 | SIM:ESM5 | Buy | 1 | 5345.5 | Passive |
| 2025-04-17T05:04:14.436 | SIM:ESM5 | Buy | 6 | 5345.75 | Aggressive |
| 2025-04-17T05:04:14.436 | SIM:ESM5 | Buy | 3 | 5346 | Aggressive |
| 2025-04-17T05:04:15.312 | SIM:ESM5 | Buy | 3 | 5345.5 | Aggressive |
| 2025-04-17T05:04:15.312 | SIM:ESM5 | Buy | 2 | 5345.75 | Aggressive |
| 2025-04-17T05:04:16.249 | SIM:ESM5 | Buy | 4 | 5345.75 | Aggressive |
| 2025-04-17T05:04:16.249 | SIM:ESM5 | Buy | 1 | 5345.75 | Aggressive |
| 2025-04-17T05:04:16.249 | SIM:ESM5 | Buy | 1 | 5345.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7200
Slippage Sweep
0.1950
Arrival Price
5,348.2500
Average Total
5,347.5300
Destination Price
5,347.5000
Sweep to Fill
5,347.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T05:00:52.561 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T05:00:53.46 | SIM:ESM5 | Sell | 1 | 5348.25 | Passive |
| 2025-04-17T05:00:53.914 | SIM:ESM5 | Sell | 2 | 5348 | Aggressive |
| 2025-04-17T05:00:54.889 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T05:00:55.896 | SIM:ESM5 | Sell | 8 | 5348 | Aggressive |
| 2025-04-17T05:00:55.896 | SIM:ESM5 | Sell | 1 | 5348 | Aggressive |
| 2025-04-17T05:00:57.917 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T05:00:57.917 | SIM:ESM5 | Sell | 10 | 5347.25 | Aggressive |
| 2025-04-17T05:01:02.012 | SIM:ESM5 | Sell | 3 | 5347.75 | Aggressive |
| 2025-04-17T05:01:04.856 | SIM:ESM5 | Sell | 2 | 5347.5 | Aggressive |
| 2025-04-17T05:01:04.856 | SIM:ESM5 | Sell | 8 | 5347.25 | Aggressive |
| 2025-04-17T05:01:05.497 | SIM:ESM5 | Sell | 2 | 5347.5 | Aggressive |
| 2025-04-17T05:01:05.497 | SIM:ESM5 | Sell | 3 | 5347.25 | Aggressive |
| 2025-04-17T05:01:06.739 | SIM:ESM5 | Sell | 7 | 5347.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5700
Slippage Sweep
-0.1450
Arrival Price
5,350.0000
Average Total
5,350.5700
Destination Price
5,349.1250
Sweep to Fill
5,350.7150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:59:58.079 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T04:59:59.72 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T05:00:00.685 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T05:00:01.76 | SIM:ESM5 | Buy | 2 | 5350.25 | Aggressive |
| 2025-04-17T05:00:03.702 | SIM:ESM5 | Buy | 4 | 5350.75 | Aggressive |
| 2025-04-17T05:00:03.702 | SIM:ESM5 | Buy | 2 | 5351 | Aggressive |
| 2025-04-17T05:00:04.931 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
| 2025-04-17T05:00:04.931 | SIM:ESM5 | Buy | 4 | 5351 | Aggressive |
| 2025-04-17T05:00:05.813 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T05:00:07.745 | SIM:ESM5 | Buy | 2 | 5349.75 | Aggressive |
| 2025-04-17T05:00:13.812 | SIM:ESM5 | Buy | 1 | 5350.5 | Aggressive |
| 2025-04-17T05:00:15.919 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T05:00:15.919 | SIM:ESM5 | Buy | 3 | 5351.25 | Aggressive |
| 2025-04-17T05:00:16.917 | SIM:ESM5 | Buy | 5 | 5351 | Aggressive |
| 2025-04-17T05:00:16.917 | SIM:ESM5 | Buy | 2 | 5351 | Passive |
| 2025-04-17T05:00:18.284 | SIM:ESM5 | Buy | 4 | 5350.75 | Aggressive |
| 2025-04-17T05:00:18.284 | SIM:ESM5 | Buy | 2 | 5350.75 | Passive |
| 2025-04-17T05:00:18.922 | SIM:ESM5 | Buy | 4 | 5350.75 | Aggressive |
| 2025-04-17T05:00:18.922 | SIM:ESM5 | Buy | 1 | 5350.75 | Passive |
| 2025-04-17T05:00:21.312 | SIM:ESM5 | Buy | 3 | 5349.5 | Aggressive |
| 2025-04-17T05:00:21.883 | SIM:ESM5 | Buy | 1 | 5349.25 | Aggressive |
| 2025-04-17T05:00:21.883 | SIM:ESM5 | Buy | 1 | 5349.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.7100
Arrival Price
5,350.6250
Average Total
5,350.4400
Destination Price
5,349.8750
Sweep to Fill
5,351.1500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:58:39.012 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
| 2025-04-17T04:58:40.617 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
| 2025-04-17T04:58:40.912 | SIM:ESM5 | Buy | 6 | 5351 | Aggressive |
| 2025-04-17T04:58:41.93 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T04:58:43.858 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T04:58:43.858 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T04:58:44.873 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T04:58:48.914 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T04:58:48.914 | SIM:ESM5 | Buy | 3 | 5350.25 | Aggressive |
| 2025-04-17T04:58:50.012 | SIM:ESM5 | Buy | 4 | 5350 | Aggressive |
| 2025-04-17T04:58:50.957 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T04:58:50.957 | SIM:ESM5 | Buy | 4 | 5350.25 | Aggressive |
| 2025-04-17T04:58:51.95 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T04:58:51.95 | SIM:ESM5 | Buy | 5 | 5350.25 | Aggressive |
| 2025-04-17T04:58:53.312 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T04:58:53.312 | SIM:ESM5 | Buy | 5 | 5350.25 | Aggressive |
| 2025-04-17T04:58:54.112 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T04:58:54.112 | SIM:ESM5 | Buy | 1 | 5350.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7600
Slippage Sweep
0.1123
Arrival Price
5,349.6250
Average Total
5,348.8650
Destination Price
5,348.8750
Sweep to Fill
5,348.9773
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:55:48.267 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:55:49.327 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:55:50.312 | SIM:ESM5 | Sell | 2 | 5349.25 | Aggressive |
| 2025-04-17T04:55:51.347 | SIM:ESM5 | Sell | 2 | 5349.25 | Aggressive |
| 2025-04-17T04:55:52.334 | SIM:ESM5 | Sell | 2 | 5349.25 | Aggressive |
| 2025-04-17T04:55:54.39 | SIM:ESM5 | Sell | 1 | 5349.25 | Aggressive |
| 2025-04-17T04:55:58.456 | SIM:ESM5 | Sell | 2 | 5349.25 | Aggressive |
| 2025-04-17T04:56:00.369 | SIM:ESM5 | Sell | 3 | 5349.25 | Aggressive |
| 2025-04-17T04:56:00.37 | SIM:ESM5 | Sell | 1 | 5349.25 | Aggressive |
| 2025-04-17T04:56:00.37 | SIM:ESM5 | Sell | 1 | 5349.25 | Aggressive |
| 2025-04-17T04:56:02.52 | SIM:ESM5 | Sell | 2 | 5349.25 | Aggressive |
| 2025-04-17T04:56:03.445 | SIM:ESM5 | Sell | 4 | 5349 | Aggressive |
| 2025-04-17T04:56:04.759 | SIM:ESM5 | Sell | 3 | 5348.5 | Aggressive |
| 2025-04-17T04:56:05.536 | SIM:ESM5 | Sell | 2 | 5348.75 | Aggressive |
| 2025-04-17T04:56:05.536 | SIM:ESM5 | Sell | 5 | 5348.5 | Aggressive |
| 2025-04-17T04:56:05.536 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T04:56:06.512 | SIM:ESM5 | Sell | 3 | 5348.75 | Aggressive |
| 2025-04-17T04:56:06.512 | SIM:ESM5 | Sell | 5 | 5348.5 | Aggressive |
| 2025-04-17T04:56:06.512 | SIM:ESM5 | Sell | 2 | 5348.25 | Aggressive |
| 2025-04-17T04:56:07.175 | SIM:ESM5 | Sell | 1 | 5349 | Passive |
| 2025-04-17T04:56:07.175 | SIM:ESM5 | Sell | 1 | 5349 | Passive |
| 2025-04-17T04:56:08.545 | SIM:ESM5 | Sell | 4 | 5348.5 | Aggressive |
| 2025-04-17T04:56:09.821 | SIM:ESM5 | Sell | 1 | 5348.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1750
Slippage Sweep
-0.8600
Arrival Price
5,351.5000
Average Total
5,351.6750
Destination Price
5,352.1250
Sweep to Fill
5,350.8150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:54:26.555 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T04:54:28.481 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T04:54:29.318 | SIM:ESM5 | Sell | 4 | 5351 | Aggressive |
| 2025-04-17T04:54:30.489 | SIM:ESM5 | Sell | 5 | 5351 | Aggressive |
| 2025-04-17T04:54:30.489 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T04:54:31.514 | SIM:ESM5 | Sell | 4 | 5351 | Aggressive |
| 2025-04-17T04:54:31.514 | SIM:ESM5 | Sell | 4 | 5351 | Aggressive |
| 2025-04-17T04:54:36.616 | SIM:ESM5 | Sell | 7 | 5352.25 | Aggressive |
| 2025-04-17T04:54:36.616 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T04:54:37.293 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T04:54:37.293 | SIM:ESM5 | Sell | 8 | 5352.25 | Aggressive |
| 2025-04-17T04:54:37.294 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T04:54:38.356 | SIM:ESM5 | Sell | 6 | 5352 | Aggressive |
| 2025-04-17T04:54:38.356 | SIM:ESM5 | Sell | 3 | 5352 | Passive |
| 2025-04-17T04:54:39.356 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6650
Slippage Sweep
0.0350
Arrival Price
5,352.6250
Average Total
5,353.2900
Destination Price
5,353.1250
Sweep to Fill
5,353.2550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:53:36.412 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T04:53:36.412 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T04:53:37.373 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T04:53:38.454 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T04:53:40.198 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T04:53:40.198 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T04:53:42.414 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T04:53:44.052 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T04:53:44.053 | SIM:ESM5 | Buy | 2 | 5353 | Aggressive |
| 2025-04-17T04:53:45.414 | SIM:ESM5 | Buy | 4 | 5353 | Aggressive |
| 2025-04-17T04:53:50.444 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T04:53:50.444 | SIM:ESM5 | Buy | 1 | 5353.5 | Aggressive |
| 2025-04-17T04:53:51.555 | SIM:ESM5 | Buy | 8 | 5353.5 | Aggressive |
| 2025-04-17T04:53:51.555 | SIM:ESM5 | Buy | 1 | 5353.5 | Passive |
| 2025-04-17T04:53:51.555 | SIM:ESM5 | Buy | 2 | 5353.5 | Passive |
| 2025-04-17T04:53:52.601 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T04:53:52.601 | SIM:ESM5 | Buy | 1 | 5353.5 | Aggressive |
| 2025-04-17T04:53:54.144 | SIM:ESM5 | Buy | 8 | 5353.5 | Aggressive |
| 2025-04-17T04:53:54.144 | SIM:ESM5 | Buy | 4 | 5353.5 | Passive |
| 2025-04-17T04:53:55.712 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T04:53:55.714 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T04:54:03.589 | SIM:ESM5 | Buy | 3 | 5353.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3100
Slippage Sweep
-0.0950
Arrival Price
5,357.1250
Average Total
5,356.8150
Destination Price
5,356.8750
Sweep to Fill
5,356.7200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:22:58.412 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T04:22:59.733 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T04:23:00.347 | SIM:ESM5 | Sell | 3 | 5357 | Aggressive |
| 2025-04-17T04:23:01.347 | SIM:ESM5 | Sell | 11 | 5356.75 | Aggressive |
| 2025-04-17T04:23:04.854 | SIM:ESM5 | Sell | 5 | 5356.75 | Aggressive |
| 2025-04-17T04:23:04.854 | SIM:ESM5 | Sell | 17 | 5356.75 | Aggressive |
| 2025-04-17T04:23:10.554 | SIM:ESM5 | Sell | 1 | 5357 | Passive |
| 2025-04-17T04:23:10.554 | SIM:ESM5 | Sell | 1 | 5357 | Passive |
| 2025-04-17T04:23:10.554 | SIM:ESM5 | Sell | 1 | 5357 | Passive |
| 2025-04-17T04:23:10.555 | SIM:ESM5 | Sell | 1 | 5357 | Passive |
| 2025-04-17T04:23:10.555 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T04:23:10.555 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T04:23:10.555 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T04:23:10.555 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T04:23:10.555 | SIM:ESM5 | Sell | 4 | 5356.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.6800
Arrival Price
5,357.1250
Average Total
5,357.1400
Destination Price
5,357.6250
Sweep to Fill
5,357.8200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:22:21.412 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
| 2025-04-17T04:22:22.418 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
| 2025-04-17T04:22:23.212 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
| 2025-04-17T04:22:24.132 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T04:22:24.132 | SIM:ESM5 | Buy | 2 | 5357 | Aggressive |
| 2025-04-17T04:22:25.237 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:26.118 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T04:22:27.118 | SIM:ESM5 | Buy | 5 | 5356.75 | Aggressive |
| 2025-04-17T04:22:28.985 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T04:22:28.985 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T04:22:29.478 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:29.478 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:30.312 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:30.312 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:31.215 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:31.215 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:32.322 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T04:22:34.639 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T04:22:36.212 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T04:22:38.03 | SIM:ESM5 | Buy | 3 | 5356.75 | Aggressive |
| 2025-04-17T04:22:39.258 | SIM:ESM5 | Buy | 5 | 5357.75 | Aggressive |
| 2025-04-17T04:22:39.258 | SIM:ESM5 | Buy | 3 | 5358 | Aggressive |
| 2025-04-17T04:22:40.403 | SIM:ESM5 | Buy | 6 | 5357.75 | Aggressive |
| 2025-04-17T04:22:40.403 | SIM:ESM5 | Buy | 2 | 5358 | Aggressive |
| 2025-04-17T04:22:41.317 | SIM:ESM5 | Buy | 1 | 5357.75 | Aggressive |