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
0.8500
Slippage Sweep
0.7250
Arrival Price
5,940.3750
Average Total
5,939.5250
Destination Price
5,939.6250
Sweep to Fill
5,940.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:46:08.68 | SIM:ESM5 | Sell | 13 | 5939.5 | Aggressive |
| 2025-06-02T14:46:03.022 | SIM:ESM5 | Sell | 6 | 5939.25 | Aggressive |
| 2025-06-02T14:46:03.022 | SIM:ESM5 | Sell | 3 | 5939.5 | Aggressive |
| 2025-06-02T14:46:03.022 | SIM:ESM5 | Sell | 3 | 5939.5 | Passive |
| 2025-06-02T14:45:56.619 | SIM:ESM5 | Sell | 3 | 5940 | Aggressive |
| 2025-06-02T14:45:55.612 | SIM:ESM5 | Sell | 1 | 5940 | Aggressive |
| 2025-06-02T14:45:59.573 | SIM:ESM5 | Sell | 12 | 5939.5 | Aggressive |
| 2025-06-02T14:45:57.612 | SIM:ESM5 | Sell | 8 | 5939.5 | Aggressive |
| 2025-06-02T14:45:54.55 | 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
0.3350
Slippage Sweep
0.0900
Arrival Price
5,940.1250
Average Total
5,940.4600
Destination Price
5,940.3750
Sweep to Fill
5,940.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:45:45.501 | SIM:ESM5 | Buy | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:45:43.32 | SIM:ESM5 | Buy | 13 | 5940.5 | Aggressive |
| 2025-06-02T14:45:42.279 | SIM:ESM5 | Buy | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:45:50.913 | SIM:ESM5 | Buy | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:45:50.913 | SIM:ESM5 | Buy | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:45:47.743 | SIM:ESM5 | Buy | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:45:47.743 | SIM:ESM5 | Buy | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:45:41.266 | SIM:ESM5 | Buy | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:45:54.016 | SIM:ESM5 | Buy | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:45:54.016 | SIM:ESM5 | Buy | 5 | 5940.25 | Passive |
| 2025-06-02T14:45:51.453 | SIM:ESM5 | Buy | 3 | 5940.5 | Aggressive |
| 2025-06-02T14:45:44.513 | SIM:ESM5 | Buy | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:45:40.337 | 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
-0.0850
Slippage Sweep
-0.3300
Arrival Price
5,939.8750
Average Total
5,939.9600
Destination Price
5,940.1250
Sweep to Fill
5,939.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:45:07.413 | SIM:ESM5 | Sell | 9 | 5940 | Aggressive |
| 2025-06-02T14:45:07.413 | SIM:ESM5 | Sell | 11 | 5940 | Aggressive |
| 2025-06-02T14:45:07.413 | SIM:ESM5 | Sell | 22 | 5940 | Aggressive |
| 2025-06-02T14:45:05.241 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:45:04.244 | SIM:ESM5 | Sell | 5 | 5939.75 | Aggressive |
| 2025-06-02T14:45:03.239 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:45:02.345 | 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
0.0400
Slippage Sweep
-0.1100
Arrival Price
5,940.1250
Average Total
5,940.1650
Destination Price
5,939.8750
Sweep to Fill
5,940.2750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:44:57.663 | SIM:ESM5 | Buy | 13 | 5940.25 | Aggressive |
| 2025-06-02T14:45:01.464 | SIM:ESM5 | Buy | 13 | 5940 | Aggressive |
| 2025-06-02T14:45:00.9 | SIM:ESM5 | Buy | 5 | 5940.25 | Aggressive |
| 2025-06-02T14:45:00.9 | SIM:ESM5 | Buy | 4 | 5940 | Aggressive |
| 2025-06-02T14:44:55.553 | SIM:ESM5 | Buy | 9 | 5940.25 | Aggressive |
| 2025-06-02T14:44:55.553 | SIM:ESM5 | Buy | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:44:54.39 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:44:54.231 | 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
0.0300
Slippage Sweep
-0.0950
Arrival Price
5,941.1250
Average Total
5,941.0950
Destination Price
5,940.3750
Sweep to Fill
5,941.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:44:22.963 | SIM:ESM5 | Sell | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:44:22.003 | SIM:ESM5 | Sell | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:44:10.953 | SIM:ESM5 | Sell | 20 | 5941 | Aggressive |
| 2025-06-02T14:44:10.953 | SIM:ESM5 | Sell | 26 | 5941.25 | Aggressive |
| 2025-06-02T14:44:09.869 | SIM:ESM5 | Sell | 1 | 5941.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0050
Slippage Sweep
-0.2000
Arrival Price
5,941.3750
Average Total
5,941.3700
Destination Price
5,940.8750
Sweep to Fill
5,941.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:44:08.412 | SIM:ESM5 | Buy | 12 | 5941 | Aggressive |
| 2025-06-02T14:44:07.281 | SIM:ESM5 | Buy | 21 | 5941.5 | Aggressive |
| 2025-06-02T14:44:06.266 | SIM:ESM5 | Buy | 8 | 5941.5 | Aggressive |
| 2025-06-02T14:44:05.263 | SIM:ESM5 | Buy | 4 | 5941.5 | Aggressive |
| 2025-06-02T14:44:05.263 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:44:05.263 | SIM:ESM5 | Buy | 1 | 5941.25 | Passive |
| 2025-06-02T14:44:04.254 | SIM:ESM5 | Buy | 2 | 5941.5 | Aggressive |
| 2025-06-02T14:44:03.437 | SIM:ESM5 | Buy | 1 | 5941.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0100
Slippage Sweep
-0.2000
Arrival Price
5,941.8750
Average Total
5,941.8850
Destination Price
5,942.1250
Sweep to Fill
5,941.6850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:43:22.727 | SIM:ESM5 | Sell | 27 | 5942 | Aggressive |
| 2025-06-02T14:43:21.827 | SIM:ESM5 | Sell | 6 | 5941.75 | Aggressive |
| 2025-06-02T14:43:21.827 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |
| 2025-06-02T14:43:20.726 | SIM:ESM5 | Sell | 2 | 5941.75 | Aggressive |
| 2025-06-02T14:43:20.726 | SIM:ESM5 | Sell | 12 | 5941.75 | Aggressive |
| 2025-06-02T14:43:19.788 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |
| 2025-06-02T14:43:18.912 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.0450
Arrival Price
5,941.8750
Average Total
5,941.9650
Destination Price
5,942.3750
Sweep to Fill
5,942.0100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:43:13.842 | SIM:ESM5 | Buy | 7 | 5942.5 | Aggressive |
| 2025-06-02T14:43:13.842 | SIM:ESM5 | Buy | 2 | 5942.5 | Aggressive |
| 2025-06-02T14:43:07.757 | SIM:ESM5 | Buy | 2 | 5942 | Aggressive |
| 2025-06-02T14:43:00.717 | SIM:ESM5 | Buy | 18 | 5941.75 | Aggressive |
| 2025-06-02T14:42:59.814 | SIM:ESM5 | Buy | 13 | 5942 | Aggressive |
| 2025-06-02T14:42:59.814 | SIM:ESM5 | Buy | 1 | 5941.75 | Aggressive |
| 2025-06-02T14:42:59.814 | SIM:ESM5 | Buy | 1 | 5941.75 | Passive |
| 2025-06-02T14:42:58.648 | SIM:ESM5 | Buy | 5 | 5941.75 | Aggressive |
| 2025-06-02T14:42:57.628 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.2600
Arrival Price
5,941.1250
Average Total
5,941.2300
Destination Price
5,941.3750
Sweep to Fill
5,940.9700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:42:26.016 | SIM:ESM5 | Sell | 4 | 5941 | Aggressive |
| 2025-06-02T14:42:26.016 | SIM:ESM5 | Sell | 32 | 5941.25 | Aggressive |
| 2025-06-02T14:42:24.236 | SIM:ESM5 | Sell | 5 | 5941.25 | Aggressive |
| 2025-06-02T14:42:24.235 | SIM:ESM5 | Sell | 3 | 5941.25 | Aggressive |
| 2025-06-02T14:42:24.235 | SIM:ESM5 | Sell | 5 | 5941.25 | Passive |
| 2025-06-02T14:42:22.114 | 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
-0.4350
Slippage Sweep
-0.6750
Arrival Price
5,941.8750
Average Total
5,941.4400
Destination Price
5,941.1250
Sweep to Fill
5,942.1150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:42:21.453 | SIM:ESM5 | Buy | 20 | 5941.5 | Aggressive |
| 2025-06-02T14:42:21.453 | SIM:ESM5 | Buy | 24 | 5941.25 | Aggressive |
| 2025-06-02T14:42:20.44 | SIM:ESM5 | Buy | 5 | 5942 | Aggressive |
| 2025-06-02T14:42:19.512 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2550
Slippage Sweep
0.1000
Arrival Price
5,938.8750
Average Total
5,938.6200
Destination Price
5,939.1250
Sweep to Fill
5,938.7200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:41:26.17 | SIM:ESM5 | Sell | 4 | 5938.75 | Aggressive |
| 2025-06-02T14:41:26.17 | SIM:ESM5 | Sell | 18 | 5939 | Aggressive |
| 2025-06-02T14:41:24.415 | SIM:ESM5 | Sell | 8 | 5938.5 | Aggressive |
| 2025-06-02T14:41:22.187 | SIM:ESM5 | Sell | 5 | 5938.25 | Aggressive |
| 2025-06-02T14:41:20.288 | SIM:ESM5 | Sell | 7 | 5938.25 | Aggressive |
| 2025-06-02T14:41:20.288 | SIM:ESM5 | Sell | 1 | 5938.5 | Aggressive |
| 2025-06-02T14:41:20.288 | SIM:ESM5 | Sell | 1 | 5938.5 | Passive |
| 2025-06-02T14:41:21.578 | SIM:ESM5 | Sell | 5 | 5938.25 | Aggressive |
| 2025-06-02T14:41:18.136 | SIM:ESM5 | Sell | 1 | 5938.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1400
Slippage Sweep
-0.1100
Arrival Price
5,938.8750
Average Total
5,939.0150
Destination Price
5,938.8750
Sweep to Fill
5,939.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:41:17.812 | SIM:ESM5 | Buy | 21 | 5939 | Aggressive |
| 2025-06-02T14:41:17.812 | SIM:ESM5 | Buy | 18 | 5939 | Aggressive |
| 2025-06-02T14:41:15.875 | SIM:ESM5 | Buy | 6 | 5939 | Aggressive |
| 2025-06-02T14:41:14.745 | SIM:ESM5 | Buy | 1 | 5939 | Aggressive |
| 2025-06-02T14:41:13.812 | SIM:ESM5 | Buy | 2 | 5939.25 | Aggressive |
| 2025-06-02T14:41:12.746 | SIM:ESM5 | Buy | 1 | 5939.25 | Aggressive |
| 2025-06-02T14:41:11.714 | SIM:ESM5 | Buy | 1 | 5939 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
0.0200
Arrival Price
5,939.8750
Average Total
5,939.7300
Destination Price
5,939.8750
Sweep to Fill
5,939.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:40:41.354 | SIM:ESM5 | Sell | 5 | 5939.75 | Aggressive |
| 2025-06-02T14:40:37.225 | SIM:ESM5 | Sell | 14 | 5939.75 | Aggressive |
| 2025-06-02T14:40:37.225 | SIM:ESM5 | Sell | 16 | 5939.75 | Aggressive |
| 2025-06-02T14:40:35.219 | SIM:ESM5 | Sell | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:40:34.07 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:40:34.07 | SIM:ESM5 | Sell | 10 | 5939.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0650
Slippage Sweep
-0.3000
Arrival Price
5,940.1250
Average Total
5,940.0600
Destination Price
5,939.8750
Sweep to Fill
5,940.3600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:40:30.932 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:40:31.887 | SIM:ESM5 | Buy | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:40:31.887 | SIM:ESM5 | Buy | 38 | 5940 | Aggressive |
| 2025-06-02T14:40:29.895 | 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
0.1150
Slippage Sweep
-0.1450
Arrival Price
5,940.3750
Average Total
5,940.2600
Destination Price
5,940.3750
Sweep to Fill
5,940.1150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:39:56.294 | SIM:ESM5 | Sell | 5 | 5940.25 | Aggressive |
| 2025-06-02T14:39:56.294 | SIM:ESM5 | Sell | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:39:56.294 | SIM:ESM5 | Sell | 1 | 5940.5 | Passive |
| 2025-06-02T14:39:54.901 | SIM:ESM5 | Sell | 25 | 5940.25 | Aggressive |
| 2025-06-02T14:39:57.975 | SIM:ESM5 | Sell | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:39:53.889 | SIM:ESM5 | Sell | 4 | 5940.25 | Aggressive |
| 2025-06-02T14:39:58.573 | SIM:ESM5 | Sell | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:39:52.935 | SIM:ESM5 | Sell | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:39:51.868 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |