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
-0.6050
Slippage Sweep
-1.3650
Arrival Price
5,350.1250
Average Total
5,350.7300
Destination Price
5,351.2500
Sweep to Fill
5,349.3650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:16:00.244 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T04:16:02.013 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T04:16:03.113 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T04:16:04.146 | SIM:ESM5 | Sell | 2 | 5350.25 | Aggressive |
| 2025-04-17T04:16:06.228 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T04:16:06.228 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T04:16:07.312 | SIM:ESM5 | Sell | 6 | 5350.5 | Aggressive |
| 2025-04-17T04:16:08.212 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T04:16:10.32 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T04:16:10.32 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T04:16:11.129 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T04:16:11.129 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T04:16:12.414 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T04:16:15.673 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T04:16:15.673 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T04:16:16.513 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T04:16:16.532 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T04:16:17.615 | SIM:ESM5 | Sell | 7 | 5351.25 | Aggressive |
| 2025-04-17T04:16:17.615 | SIM:ESM5 | Sell | 6 | 5351 | Aggressive |
| 2025-04-17T04:16:19.262 | SIM:ESM5 | Sell | 5 | 5351 | Aggressive |
| 2025-04-17T04:16:19.262 | SIM:ESM5 | Sell | 3 | 5350.75 | Aggressive |
| 2025-04-17T04:16:20.612 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5400
Slippage Sweep
-0.2000
Arrival Price
5,346.6250
Average Total
5,346.0850
Destination Price
5,346.2500
Sweep to Fill
5,345.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:10:55.632 | SIM:ESM5 | Sell | 1 | 5346.5 | Aggressive |
| 2025-04-17T04:10:56.542 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T04:10:58.749 | SIM:ESM5 | Sell | 1 | 5346.5 | Aggressive |
| 2025-04-17T04:10:59.576 | SIM:ESM5 | Sell | 4 | 5346.25 | Aggressive |
| 2025-04-17T04:11:00.616 | SIM:ESM5 | Sell | 8 | 5346 | Aggressive |
| 2025-04-17T04:11:00.644 | SIM:ESM5 | Sell | 1 | 5346 | Aggressive |
| 2025-04-17T04:11:18.82 | SIM:ESM5 | Sell | 3 | 5346.25 | Aggressive |
| 2025-04-17T04:11:18.82 | SIM:ESM5 | Sell | 2 | 5346 | Aggressive |
| 2025-04-17T04:11:18.82 | SIM:ESM5 | Sell | 2 | 5346.25 | Passive |
| 2025-04-17T04:11:19.772 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T04:11:19.772 | SIM:ESM5 | Sell | 2 | 5346 | Aggressive |
| 2025-04-17T04:11:21.267 | SIM:ESM5 | Sell | 2 | 5346.25 | Aggressive |
| 2025-04-17T04:11:21.267 | SIM:ESM5 | Sell | 2 | 5346 | Aggressive |
| 2025-04-17T04:11:39.012 | SIM:ESM5 | Sell | 8 | 5346 | Aggressive |
| 2025-04-17T04:11:39.012 | SIM:ESM5 | Sell | 2 | 5346 | Passive |
| 2025-04-17T04:11:40.112 | SIM:ESM5 | Sell | 6 | 5346 | Aggressive |
| 2025-04-17T04:11:40.112 | SIM:ESM5 | Sell | 3 | 5346 | Aggressive |
| 2025-04-17T04:11:40.112 | SIM:ESM5 | Sell | 1 | 5346 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6050
Slippage Sweep
-0.0100
Arrival Price
5,350.1250
Average Total
5,349.5200
Destination Price
5,349.6250
Sweep to Fill
5,349.5100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:06:54.966 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:06:56.012 | SIM:ESM5 | Sell | 2 | 5349.75 | Aggressive |
| 2025-04-17T04:06:57.112 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:06:58.008 | SIM:ESM5 | Sell | 10 | 5349.5 | Aggressive |
| 2025-04-17T04:06:59.072 | SIM:ESM5 | Sell | 11 | 5349.5 | Aggressive |
| 2025-04-17T04:07:00.12 | SIM:ESM5 | Sell | 11 | 5349.5 | Aggressive |
| 2025-04-17T04:07:00.12 | SIM:ESM5 | Sell | 5 | 5349.5 | Aggressive |
| 2025-04-17T04:07:01.011 | SIM:ESM5 | Sell | 2 | 5349.5 | Aggressive |
| 2025-04-17T04:07:02.286 | SIM:ESM5 | Sell | 6 | 5349.5 | Aggressive |
| 2025-04-17T04:07:02.286 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0150
Slippage Sweep
-0.5600
Arrival Price
5,351.3750
Average Total
5,351.3600
Destination Price
5,350.6250
Sweep to Fill
5,351.9200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:05:56.43 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T04:05:57.49 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T04:05:58.634 | SIM:ESM5 | Buy | 1 | 5351.75 | Aggressive |
| 2025-04-17T04:05:59.325 | SIM:ESM5 | Buy | 2 | 5351.75 | Aggressive |
| 2025-04-17T04:06:01.784 | SIM:ESM5 | Buy | 2 | 5351.5 | Aggressive |
| 2025-04-17T04:06:02.509 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |
| 2025-04-17T04:06:03.312 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |
| 2025-04-17T04:06:03.312 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T04:06:05.463 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T04:06:05.463 | SIM:ESM5 | Buy | 3 | 5351.25 | Aggressive |
| 2025-04-17T04:06:06.643 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T04:06:14.517 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T04:06:15.533 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T04:06:17.645 | SIM:ESM5 | Buy | 13 | 5351.75 | Aggressive |
| 2025-04-17T04:06:18.275 | SIM:ESM5 | Buy | 1 | 5351.5 | Passive |
| 2025-04-17T04:06:18.275 | SIM:ESM5 | Buy | 1 | 5351.5 | Passive |
| 2025-04-17T04:06:23.333 | SIM:ESM5 | Buy | 6 | 5351 | Aggressive |
| 2025-04-17T04:06:23.333 | SIM:ESM5 | Buy | 8 | 5351 | Aggressive |
| 2025-04-17T04:06:23.76 | SIM:ESM5 | Buy | 2 | 5350.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6350
Slippage Sweep
0.0550
Arrival Price
5,349.6250
Average Total
5,350.2600
Destination Price
5,350.3750
Sweep to Fill
5,350.2050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:03:26.371 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:03:27.222 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:03:28.051 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T04:03:29.112 | SIM:ESM5 | Buy | 4 | 5350 | Aggressive |
| 2025-04-17T04:03:30.013 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T04:03:31.014 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T04:03:31.014 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T04:03:37.113 | SIM:ESM5 | Buy | 7 | 5350.25 | Aggressive |
| 2025-04-17T04:03:37.113 | SIM:ESM5 | Buy | 3 | 5350.25 | Passive |
| 2025-04-17T04:03:38.046 | SIM:ESM5 | Buy | 5 | 5350.25 | Aggressive |
| 2025-04-17T04:03:38.046 | SIM:ESM5 | Buy | 2 | 5350.5 | Aggressive |
| 2025-04-17T04:03:39.144 | SIM:ESM5 | Buy | 11 | 5350.5 | Aggressive |
| 2025-04-17T04:03:39.144 | SIM:ESM5 | Buy | 1 | 5350.5 | Passive |
| 2025-04-17T04:03:41.212 | SIM:ESM5 | Buy | 3 | 5350.5 | Aggressive |
| 2025-04-17T04:03:41.212 | SIM:ESM5 | Buy | 3 | 5350.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4250
Slippage Sweep
-1.0150
Arrival Price
5,345.3750
Average Total
5,344.9500
Destination Price
5,345.6250
Sweep to Fill
5,345.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T04:01:04.99 | SIM:ESM5 | Buy | 1 | 5345.5 | Aggressive |
| 2025-04-17T04:01:05.737 | SIM:ESM5 | Buy | 1 | 5345.75 | Aggressive |
| 2025-04-17T04:01:07.752 | SIM:ESM5 | Buy | 2 | 5345.25 | Aggressive |
| 2025-04-17T04:01:09.728 | SIM:ESM5 | Buy | 7 | 5346 | Aggressive |
| 2025-04-17T04:01:09.728 | SIM:ESM5 | Buy | 3 | 5346 | Aggressive |
| 2025-04-17T04:01:13.126 | SIM:ESM5 | Buy | 1 | 5345.25 | Passive |
| 2025-04-17T04:01:13.127 | SIM:ESM5 | Buy | 1 | 5345.25 | Passive |
| 2025-04-17T04:01:14.956 | SIM:ESM5 | Buy | 7 | 5344.5 | Aggressive |
| 2025-04-17T04:01:15.231 | SIM:ESM5 | Buy | 1 | 5344.5 | Aggressive |
| 2025-04-17T04:01:16.133 | SIM:ESM5 | Buy | 8 | 5344.5 | Aggressive |
| 2025-04-17T04:01:16.912 | SIM:ESM5 | Buy | 8 | 5344.5 | Aggressive |
| 2025-04-17T04:01:17.052 | SIM:ESM5 | Buy | 1 | 5344.25 | Passive |
| 2025-04-17T04:01:17.92 | SIM:ESM5 | Buy | 2 | 5344.5 | Aggressive |
| 2025-04-17T04:01:17.921 | SIM:ESM5 | Buy | 5 | 5344.5 | Aggressive |
| 2025-04-17T04:01:29.962 | SIM:ESM5 | Buy | 2 | 5345.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.9400
Slippage Sweep
-2.4500
Arrival Price
5,345.6250
Average Total
5,343.6850
Destination Price
5,342.3750
Sweep to Fill
5,346.1350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:59:57.618 | SIM:ESM5 | Buy | 1 | 5345.75 | Aggressive |
| 2025-04-17T03:59:58.831 | SIM:ESM5 | Buy | 1 | 5345.75 | Aggressive |
| 2025-04-17T03:59:58.831 | SIM:ESM5 | Buy | 1 | 5345.75 | Aggressive |
| 2025-04-17T04:00:00.62 | SIM:ESM5 | Buy | 5 | 5346 | Aggressive |
| 2025-04-17T04:00:03.63 | SIM:ESM5 | Buy | 7 | 5344.75 | Aggressive |
| 2025-04-17T04:00:03.631 | SIM:ESM5 | Buy | 3 | 5344.75 | Aggressive |
| 2025-04-17T04:00:04.629 | SIM:ESM5 | Buy | 8 | 5343 | Aggressive |
| 2025-04-17T04:00:04.629 | SIM:ESM5 | Buy | 11 | 5343.25 | Aggressive |
| 2025-04-17T04:00:05.639 | SIM:ESM5 | Buy | 4 | 5342 | Aggressive |
| 2025-04-17T04:00:05.639 | SIM:ESM5 | Buy | 3 | 5342.25 | Aggressive |
| 2025-04-17T04:00:06.727 | SIM:ESM5 | Buy | 3 | 5342.5 | Aggressive |
| 2025-04-17T04:00:06.864 | SIM:ESM5 | Buy | 1 | 5342.5 | Passive |
| 2025-04-17T04:00:06.864 | SIM:ESM5 | Buy | 1 | 5342.5 | Passive |
| 2025-04-17T04:00:06.864 | SIM:ESM5 | Buy | 1 | 5342.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2600
Slippage Sweep
0.4450
Arrival Price
5,347.7500
Average Total
5,346.4900
Destination Price
5,346.6250
Sweep to Fill
5,346.9350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:58:47.978 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:58:49.562 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:58:51.421 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:58:51.912 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:58:54.301 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:58:54.301 | SIM:ESM5 | Sell | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:58:55.027 | SIM:ESM5 | Sell | 2 | 5347 | Aggressive |
| 2025-04-17T03:58:55.028 | SIM:ESM5 | Sell | 1 | 5346.75 | Aggressive |
| 2025-04-17T03:58:55.927 | SIM:ESM5 | Sell | 6 | 5346.5 | Aggressive |
| 2025-04-17T03:58:55.928 | SIM:ESM5 | Sell | 3 | 5346.5 | Aggressive |
| 2025-04-17T03:58:57.477 | SIM:ESM5 | Sell | 15 | 5346.25 | Aggressive |
| 2025-04-17T03:58:57.477 | SIM:ESM5 | Sell | 7 | 5346.25 | Passive |
| 2025-04-17T03:58:58.321 | SIM:ESM5 | Sell | 2 | 5346.25 | Aggressive |
| 2025-04-17T03:58:58.321 | SIM:ESM5 | Sell | 7 | 5346.25 | Aggressive |
| 2025-04-17T03:58:59.337 | SIM:ESM5 | Sell | 1 | 5346.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.5450
Arrival Price
5,347.6250
Average Total
5,347.6500
Destination Price
5,347.3750
Sweep to Fill
5,348.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:57:14.371 | SIM:ESM5 | Buy | 1 | 5347.5 | Aggressive |
| 2025-04-17T03:57:15.72 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:16.6 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:17.432 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:18.346 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:19.431 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:21.302 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:22.397 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:22.397 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:25.138 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:25.138 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:27.435 | SIM:ESM5 | Buy | 2 | 5347.75 | Aggressive |
| 2025-04-17T03:57:27.435 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:28.525 | SIM:ESM5 | Buy | 2 | 5347.75 | Aggressive |
| 2025-04-17T03:57:30.638 | SIM:ESM5 | Buy | 2 | 5347.75 | Aggressive |
| 2025-04-17T03:57:32.628 | SIM:ESM5 | Buy | 2 | 5347.75 | Aggressive |
| 2025-04-17T03:57:34.264 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:35.579 | SIM:ESM5 | Buy | 1 | 5348 | Aggressive |
| 2025-04-17T03:57:35.579 | SIM:ESM5 | Buy | 2 | 5348 | Aggressive |
| 2025-04-17T03:57:42.45 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:42.45 | SIM:ESM5 | Buy | 1 | 5347.75 | Aggressive |
| 2025-04-17T03:57:43.464 | SIM:ESM5 | Buy | 2 | 5347.75 | Aggressive |
| 2025-04-17T03:57:46.619 | SIM:ESM5 | Buy | 7 | 5347.5 | Aggressive |
| 2025-04-17T03:57:46.619 | SIM:ESM5 | Buy | 3 | 5347.5 | Aggressive |
| 2025-04-17T03:57:47.626 | SIM:ESM5 | Buy | 7 | 5347.5 | Aggressive |
| 2025-04-17T03:57:47.626 | SIM:ESM5 | Buy | 3 | 5347.5 | Aggressive |
| 2025-04-17T03:57:48.527 | SIM:ESM5 | Buy | 2 | 5347.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6400
Slippage Sweep
-0.1300
Arrival Price
5,347.3750
Average Total
5,346.7350
Destination Price
5,346.8750
Sweep to Fill
5,346.6050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:54:54.427 | SIM:ESM5 | Sell | 1 | 5347.25 | Aggressive |
| 2025-04-17T03:54:56.679 | SIM:ESM5 | Sell | 1 | 5347.25 | Aggressive |
| 2025-04-17T03:54:57.212 | SIM:ESM5 | Sell | 3 | 5347 | Aggressive |
| 2025-04-17T03:54:58.175 | SIM:ESM5 | Sell | 1 | 5347 | Aggressive |
| 2025-04-17T03:54:58.175 | SIM:ESM5 | Sell | 1 | 5347 | Aggressive |
| 2025-04-17T03:55:00.248 | SIM:ESM5 | Sell | 4 | 5346.75 | Aggressive |
| 2025-04-17T03:55:00.248 | SIM:ESM5 | Sell | 12 | 5346.5 | Aggressive |
| 2025-04-17T03:55:04.226 | SIM:ESM5 | Sell | 2 | 5346.75 | Aggressive |
| 2025-04-17T03:55:04.226 | SIM:ESM5 | Sell | 3 | 5346.75 | Aggressive |
| 2025-04-17T03:55:05.71 | SIM:ESM5 | Sell | 7 | 5346.75 | Aggressive |
| 2025-04-17T03:55:05.71 | SIM:ESM5 | Sell | 2 | 5346.75 | Passive |
| 2025-04-17T03:55:06.645 | SIM:ESM5 | Sell | 7 | 5346.75 | Aggressive |
| 2025-04-17T03:55:06.645 | SIM:ESM5 | Sell | 1 | 5346.75 | Passive |
| 2025-04-17T03:55:07.287 | SIM:ESM5 | Sell | 5 | 5346.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5750
Slippage Sweep
-1.0200
Arrival Price
5,348.1250
Average Total
5,348.7000
Destination Price
5,349.3750
Sweep to Fill
5,347.6800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:53:21.112 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T03:53:23.15 | SIM:ESM5 | Sell | 3 | 5348 | Aggressive |
| 2025-04-17T03:53:24.217 | SIM:ESM5 | Sell | 2 | 5348 | Aggressive |
| 2025-04-17T03:53:26.113 | SIM:ESM5 | Sell | 1 | 5348 | Passive |
| 2025-04-17T03:53:29.363 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T03:53:30.317 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T03:53:31.134 | SIM:ESM5 | Sell | 1 | 5348.25 | Aggressive |
| 2025-04-17T03:53:32.498 | SIM:ESM5 | Sell | 4 | 5348.5 | Aggressive |
| 2025-04-17T03:53:32.498 | SIM:ESM5 | Sell | 2 | 5348.25 | Aggressive |
| 2025-04-17T03:53:33.226 | SIM:ESM5 | Sell | 9 | 5348.75 | Aggressive |
| 2025-04-17T03:53:33.226 | SIM:ESM5 | Sell | 1 | 5348.5 | Aggressive |
| 2025-04-17T03:53:34.412 | SIM:ESM5 | Sell | 9 | 5348.75 | Aggressive |
| 2025-04-17T03:53:34.412 | SIM:ESM5 | Sell | 1 | 5349 | Passive |
| 2025-04-17T03:53:34.412 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T03:53:35.226 | SIM:ESM5 | Sell | 5 | 5349.25 | Aggressive |
| 2025-04-17T03:53:35.226 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T03:53:36.27 | SIM:ESM5 | Sell | 5 | 5349.25 | Aggressive |
| 2025-04-17T03:53:36.27 | SIM:ESM5 | Sell | 2 | 5349 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8950
Slippage Sweep
0.2150
Arrival Price
5,348.2500
Average Total
5,349.1450
Destination Price
5,349.1250
Sweep to Fill
5,348.9300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:52:39.312 | SIM:ESM5 | Buy | 1 | 5348.75 | Aggressive |
| 2025-04-17T03:52:40.317 | SIM:ESM5 | Buy | 1 | 5348.75 | Aggressive |
| 2025-04-17T03:52:40.954 | SIM:ESM5 | Buy | 4 | 5349 | Aggressive |
| 2025-04-17T03:52:40.954 | SIM:ESM5 | Buy | 1 | 5349.25 | Aggressive |
| 2025-04-17T03:52:43.19 | SIM:ESM5 | Buy | 11 | 5349 | Aggressive |
| 2025-04-17T03:52:43.19 | SIM:ESM5 | Buy | 2 | 5349 | Passive |
| 2025-04-17T03:52:44.045 | SIM:ESM5 | Buy | 12 | 5349.25 | Aggressive |
| 2025-04-17T03:52:44.381 | SIM:ESM5 | Buy | 3 | 5349.25 | Aggressive |
| 2025-04-17T03:52:48.112 | SIM:ESM5 | Buy | 7 | 5349.25 | Aggressive |
| 2025-04-17T03:52:48.112 | SIM:ESM5 | Buy | 3 | 5349.25 | Aggressive |
| 2025-04-17T03:52:49.566 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T03:52:50.204 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T03:52:52.288 | 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
-0.2950
Slippage Sweep
-0.8900
Arrival Price
5,350.6250
Average Total
5,350.3300
Destination Price
5,350.0000
Sweep to Fill
5,351.2200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:49:23.712 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T03:49:25.114 | SIM:ESM5 | Buy | 2 | 5351 | Aggressive |
| 2025-04-17T03:49:25.712 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |
| 2025-04-17T03:49:28.069 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T03:49:28.74 | SIM:ESM5 | Buy | 6 | 5351.5 | Aggressive |
| 2025-04-17T03:49:28.741 | SIM:ESM5 | Buy | 1 | 5351.25 | Passive |
| 2025-04-17T03:49:31.694 | SIM:ESM5 | Buy | 5 | 5350 | Aggressive |
| 2025-04-17T03:49:31.694 | SIM:ESM5 | Buy | 3 | 5350.25 | Aggressive |
| 2025-04-17T03:49:32.919 | SIM:ESM5 | Buy | 8 | 5350 | Aggressive |
| 2025-04-17T03:49:33.818 | SIM:ESM5 | Buy | 2 | 5349.75 | Aggressive |
| 2025-04-17T03:49:33.818 | SIM:ESM5 | Buy | 5 | 5350 | Aggressive |
| 2025-04-17T03:49:34.881 | SIM:ESM5 | Buy | 4 | 5349.75 | Aggressive |
| 2025-04-17T03:49:34.881 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T03:49:35.765 | SIM:ESM5 | Buy | 5 | 5350 | Aggressive |
| 2025-04-17T03:49:35.765 | SIM:ESM5 | Buy | 2 | 5350 | Passive |
| 2025-04-17T03:49:37.432 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T03:49:37.432 | 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
0.4800
Slippage Sweep
-0.0100
Arrival Price
5,351.3750
Average Total
5,350.8950
Destination Price
5,350.3750
Sweep to Fill
5,350.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:44:48.918 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T03:44:49.513 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T03:44:50.457 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T03:44:51.512 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T03:44:52.489 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T03:44:53.48 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T03:44:54.514 | SIM:ESM5 | Sell | 4 | 5351.5 | Aggressive |
| 2025-04-17T03:44:56.513 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T03:44:59.983 | SIM:ESM5 | Sell | 16 | 5350.75 | Aggressive |
| 2025-04-17T03:44:59.983 | SIM:ESM5 | Sell | 1 | 5350.75 | Passive |
| 2025-04-17T03:44:59.983 | SIM:ESM5 | Sell | 6 | 5350.75 | Passive |
| 2025-04-17T03:45:02.612 | SIM:ESM5 | Sell | 4 | 5350.75 | Aggressive |
| 2025-04-17T03:45:02.654 | SIM:ESM5 | Sell | 1 | 5351 | Passive |
| 2025-04-17T03:45:02.654 | SIM:ESM5 | Sell | 1 | 5351 | Passive |
| 2025-04-17T03:45:02.654 | SIM:ESM5 | Sell | 2 | 5351 | Passive |
| 2025-04-17T03:45:06.092 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T03:45:08.599 | SIM:ESM5 | Sell | 3 | 5350.25 | Aggressive |
| 2025-04-17T03:45:08.599 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6200
Slippage Sweep
-0.1300
Arrival Price
5,354.6250
Average Total
5,355.2450
Destination Price
5,355.2500
Sweep to Fill
5,355.3750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:43:17.516 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T03:43:19.614 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T03:43:21.423 | SIM:ESM5 | Buy | 1 | 5354.75 | Passive |
| 2025-04-17T03:43:22.758 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T03:43:23.546 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T03:43:26.342 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T03:43:26.778 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T03:43:29.122 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T03:43:30.024 | SIM:ESM5 | Buy | 3 | 5355 | Aggressive |
| 2025-04-17T03:43:31.312 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T03:43:31.312 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T03:43:31.612 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T03:43:32.636 | SIM:ESM5 | Buy | 6 | 5355.25 | Aggressive |
| 2025-04-17T03:43:33.929 | SIM:ESM5 | Buy | 5 | 5355.5 | Aggressive |
| 2025-04-17T03:43:33.949 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T03:43:34.912 | SIM:ESM5 | Buy | 9 | 5355.5 | Aggressive |
| 2025-04-17T03:43:34.912 | SIM:ESM5 | Buy | 3 | 5355.5 | Passive |
| 2025-04-17T03:43:37.912 | SIM:ESM5 | Buy | 3 | 5355.25 | Aggressive |
| 2025-04-17T03:43:37.912 | SIM:ESM5 | Buy | 1 | 5355.25 | Passive |
| 2025-04-17T03:43:39.223 | SIM:ESM5 | Buy | 3 | 5355.25 | Aggressive |
| 2025-04-17T03:43:40.954 | SIM:ESM5 | Buy | 4 | 5355.5 | Passive |