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
-0.1200
Slippage Sweep
-0.3750
Arrival Price
5,940.6250
Average Total
5,940.5050
Destination Price
5,940.3750
Sweep to Fill
5,940.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:39:50.154 | SIM:ESM5 | Buy | 2 | 5940.5 | Passive |
| 2025-06-02T14:39:50.154 | SIM:ESM5 | Buy | 5 | 5940.5 | Passive |
| 2025-06-02T14:39:50.154 | SIM:ESM5 | Buy | 5 | 5940.5 | Passive |
| 2025-06-02T14:39:50.938 | SIM:ESM5 | Buy | 37 | 5940.5 | Aggressive |
| 2025-06-02T14:39:48.921 | 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
0.7850
Slippage Sweep
0.6250
Arrival Price
5,940.6250
Average Total
5,939.8400
Destination Price
5,940.1250
Sweep to Fill
5,940.4650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:39:18.412 | SIM:ESM5 | Sell | 4 | 5940 | Aggressive |
| 2025-06-02T14:39:18.387 | SIM:ESM5 | Sell | 3 | 5940 | Aggressive |
| 2025-06-02T14:39:14.286 | SIM:ESM5 | Sell | 13 | 5940 | Aggressive |
| 2025-06-02T14:39:13.276 | SIM:ESM5 | Sell | 2 | 5939.75 | Aggressive |
| 2025-06-02T14:39:10.273 | SIM:ESM5 | Sell | 15 | 5939.5 | Aggressive |
| 2025-06-02T14:39:08.231 | SIM:ESM5 | Sell | 3 | 5939.5 | Aggressive |
| 2025-06-02T14:39:09.26 | SIM:ESM5 | Sell | 2 | 5939.5 | Aggressive |
| 2025-06-02T14:39:07.312 | SIM:ESM5 | Sell | 2 | 5939.75 | Aggressive |
| 2025-06-02T14:39:05.444 | SIM:ESM5 | Sell | 3 | 5940.5 | Passive |
| 2025-06-02T14:39:05.444 | SIM:ESM5 | Sell | 1 | 5940.5 | Passive |
| 2025-06-02T14:39:05.444 | SIM:ESM5 | Sell | 1 | 5940.5 | Passive |
| 2025-06-02T14:39:04.239 | SIM:ESM5 | Sell | 1 | 5940.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.2000
Arrival Price
5,940.8750
Average Total
5,940.8000
Destination Price
5,940.6250
Sweep to Fill
5,941.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:39:02.596 | SIM:ESM5 | Buy | 10 | 5941 | Aggressive |
| 2025-06-02T14:39:02.596 | SIM:ESM5 | Buy | 24 | 5940.75 | Aggressive |
| 2025-06-02T14:39:03.99 | SIM:ESM5 | Buy | 15 | 5940.75 | Aggressive |
| 2025-06-02T14:39:02.289 | SIM:ESM5 | Buy | 1 | 5940.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2400
Slippage Sweep
0.1150
Arrival Price
5,940.8750
Average Total
5,940.6350
Destination Price
5,940.8750
Sweep to Fill
5,940.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:38:31.265 | SIM:ESM5 | Sell | 23 | 5940.75 | Aggressive |
| 2025-06-02T14:38:22.186 | SIM:ESM5 | Sell | 5 | 5940.5 | Aggressive |
| 2025-06-02T14:38:21.22 | SIM:ESM5 | Sell | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:38:29.245 | SIM:ESM5 | Sell | 3 | 5940.75 | Aggressive |
| 2025-06-02T14:38:27.112 | SIM:ESM5 | Sell | 5 | 5940.5 | Aggressive |
| 2025-06-02T14:38:24.712 | SIM:ESM5 | Sell | 4 | 5940.5 | Passive |
| 2025-06-02T14:38:23.112 | SIM:ESM5 | Sell | 5 | 5940.5 | Aggressive |
| 2025-06-02T14:38:20.48 | 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
-0.6100
Slippage Sweep
-0.8550
Arrival Price
5,941.6250
Average Total
5,941.0150
Destination Price
5,941.1250
Sweep to Fill
5,941.8700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:38:19.774 | SIM:ESM5 | Buy | 9 | 5941 | Passive |
| 2025-06-02T14:38:19.774 | SIM:ESM5 | Buy | 12 | 5941 | Aggressive |
| 2025-06-02T14:38:19.774 | SIM:ESM5 | Buy | 28 | 5941 | Aggressive |
| 2025-06-02T14:38:18.78 | SIM:ESM5 | Buy | 1 | 5941.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.2400
Arrival Price
5,941.6250
Average Total
5,941.6700
Destination Price
5,941.8750
Sweep to Fill
5,941.4300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:37:48.177 | SIM:ESM5 | Sell | 3 | 5941.5 | Aggressive |
| 2025-06-02T14:37:48.177 | SIM:ESM5 | Sell | 34 | 5941.75 | Aggressive |
| 2025-06-02T14:37:47.328 | SIM:ESM5 | Sell | 12 | 5941.5 | Aggressive |
| 2025-06-02T14:37:45.152 | SIM:ESM5 | Sell | 1 | 5941.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0700
Slippage Sweep
-0.0550
Arrival Price
5,941.8750
Average Total
5,941.9450
Destination Price
5,941.6250
Sweep to Fill
5,942.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:37:44.225 | SIM:ESM5 | Buy | 9 | 5941.75 | Aggressive |
| 2025-06-02T14:37:43.453 | SIM:ESM5 | Buy | 7 | 5942 | Aggressive |
| 2025-06-02T14:37:43.453 | SIM:ESM5 | Buy | 3 | 5941.75 | Aggressive |
| 2025-06-02T14:37:43.453 | SIM:ESM5 | Buy | 3 | 5941.75 | Passive |
| 2025-06-02T14:37:42.581 | SIM:ESM5 | Buy | 2 | 5942.25 | Aggressive |
| 2025-06-02T14:37:42.581 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
| 2025-06-02T14:37:42.581 | SIM:ESM5 | Buy | 1 | 5942 | Passive |
| 2025-06-02T14:37:41.127 | SIM:ESM5 | Buy | 3 | 5942.25 | Aggressive |
| 2025-06-02T14:37:38.074 | SIM:ESM5 | Buy | 17 | 5942 | Aggressive |
| 2025-06-02T14:37:37.462 | SIM:ESM5 | Buy | 1 | 5941.75 | Passive |
| 2025-06-02T14:37:37.112 | SIM:ESM5 | Buy | 3 | 5942 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.2600
Arrival Price
5,941.1250
Average Total
5,941.2600
Destination Price
5,941.6250
Sweep to Fill
5,941.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:37:05.365 | SIM:ESM5 | Sell | 15 | 5941.5 | Aggressive |
| 2025-06-02T14:37:04.349 | SIM:ESM5 | Sell | 13 | 5941 | Aggressive |
| 2025-06-02T14:37:04.349 | SIM:ESM5 | Sell | 21 | 5941.25 | Aggressive |
| 2025-06-02T14:37:03.812 | 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
-0.3000
Slippage Sweep
-0.5350
Arrival Price
5,941.6250
Average Total
5,941.3250
Destination Price
5,941.1250
Sweep to Fill
5,941.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 2 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 4 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 4 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 2 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 2 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 1 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 1 | 5941.25 | Passive |
| 2025-06-02T14:37:02.117 | SIM:ESM5 | Buy | 13 | 5941.5 | Aggressive |
| 2025-06-02T14:37:03.112 | SIM:ESM5 | Buy | 20 | 5941.25 | Aggressive |
| 2025-06-02T14:37:01.108 | SIM:ESM5 | Buy | 1 | 5941.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.0950
Arrival Price
5,942.1250
Average Total
5,942.0600
Destination Price
5,942.3750
Sweep to Fill
5,941.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:36:29.712 | SIM:ESM5 | Sell | 8 | 5942 | Aggressive |
| 2025-06-02T14:36:29.712 | SIM:ESM5 | Sell | 4 | 5942 | Aggressive |
| 2025-06-02T14:36:30.628 | SIM:ESM5 | Sell | 12 | 5942.25 | Aggressive |
| 2025-06-02T14:36:26.56 | SIM:ESM5 | Sell | 11 | 5942 | Aggressive |
| 2025-06-02T14:36:28.645 | SIM:ESM5 | Sell | 8 | 5942 | Aggressive |
| 2025-06-02T14:36:27.612 | SIM:ESM5 | Sell | 6 | 5942 | Aggressive |
| 2025-06-02T14:36:25.543 | SIM:ESM5 | Sell | 1 | 5942 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.2950
Slippage Sweep
1.1150
Arrival Price
5,940.6250
Average Total
5,941.9200
Destination Price
5,942.1250
Sweep to Fill
5,940.8050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:36:25.214 | SIM:ESM5 | Buy | 2 | 5942 | Passive |
| 2025-06-02T14:36:24.076 | SIM:ESM5 | Buy | 20 | 5942.25 | Aggressive |
| 2025-06-02T14:36:15.986 | SIM:ESM5 | Buy | 9 | 5941.5 | Aggressive |
| 2025-06-02T14:36:18.938 | SIM:ESM5 | Buy | 3 | 5942.25 | Aggressive |
| 2025-06-02T14:36:18.059 | SIM:ESM5 | Buy | 9 | 5942.25 | Aggressive |
| 2025-06-02T14:36:14.319 | SIM:ESM5 | Buy | 5 | 5941 | Aggressive |
| 2025-06-02T14:36:13.471 | SIM:ESM5 | Buy | 1 | 5940.75 | Passive |
| 2025-06-02T14:36:13.471 | SIM:ESM5 | Buy | 1 | 5940.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.1950
Arrival Price
5,939.6250
Average Total
5,939.6950
Destination Price
5,939.8750
Sweep to Fill
5,939.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:35:41.213 | SIM:ESM5 | Sell | 9 | 5939.75 | Aggressive |
| 2025-06-02T14:35:41.213 | SIM:ESM5 | Sell | 30 | 5939.75 | Aggressive |
| 2025-06-02T14:35:40.83 | SIM:ESM5 | Sell | 10 | 5939.5 | Aggressive |
| 2025-06-02T14:35:39.177 | SIM:ESM5 | Sell | 1 | 5939.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5650
Slippage Sweep
0.4200
Arrival Price
5,939.1250
Average Total
5,939.6900
Destination Price
5,939.6250
Sweep to Fill
5,939.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:35:38.975 | SIM:ESM5 | Buy | 7 | 5939.75 | Aggressive |
| 2025-06-02T14:35:38.258 | SIM:ESM5 | Buy | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:35:35.063 | SIM:ESM5 | Buy | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:35:35.063 | SIM:ESM5 | Buy | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:35:34.045 | SIM:ESM5 | Buy | 9 | 5939.75 | Aggressive |
| 2025-06-02T14:35:33.08 | SIM:ESM5 | Buy | 7 | 5939.75 | Aggressive |
| 2025-06-02T14:35:27.27 | SIM:ESM5 | Buy | 5 | 5939.5 | Aggressive |
| 2025-06-02T14:35:30.015 | SIM:ESM5 | Buy | 9 | 5939.75 | Aggressive |
| 2025-06-02T14:35:28.231 | SIM:ESM5 | Buy | 5 | 5939.5 | Aggressive |
| 2025-06-02T14:35:25.968 | SIM:ESM5 | Buy | 1 | 5939.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3150
Slippage Sweep
0.1450
Arrival Price
5,940.3750
Average Total
5,940.0600
Destination Price
5,940.3750
Sweep to Fill
5,940.2050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:34:44.412 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |
| 2025-06-02T14:34:55.536 | SIM:ESM5 | Sell | 18 | 5940.25 | Aggressive |
| 2025-06-02T14:34:50.461 | SIM:ESM5 | Sell | 7 | 5940 | Aggressive |
| 2025-06-02T14:34:49.517 | SIM:ESM5 | Sell | 5 | 5940 | Aggressive |
| 2025-06-02T14:34:47.444 | SIM:ESM5 | Sell | 10 | 5940 | Aggressive |
| 2025-06-02T14:34:46.371 | SIM:ESM5 | Sell | 8 | 5939.75 | Aggressive |
| 2025-06-02T14:34:43.428 | 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
-0.1100
Slippage Sweep
-0.2350
Arrival Price
5,940.6250
Average Total
5,940.5150
Destination Price
5,940.3750
Sweep to Fill
5,940.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:34:43.076 | SIM:ESM5 | Buy | 22 | 5940.5 | Aggressive |
| 2025-06-02T14:34:43.076 | SIM:ESM5 | Buy | 7 | 5940.5 | Aggressive |
| 2025-06-02T14:34:42.24 | SIM:ESM5 | Buy | 4 | 5940.5 | Passive |
| 2025-06-02T14:34:42.24 | SIM:ESM5 | Buy | 4 | 5940.5 | Passive |
| 2025-06-02T14:34:42.24 | SIM:ESM5 | Buy | 4 | 5940.5 | Passive |
| 2025-06-02T14:34:42.24 | SIM:ESM5 | Buy | 3 | 5940.5 | Passive |
| 2025-06-02T14:34:42.24 | SIM:ESM5 | Buy | 3 | 5940.5 | Passive |
| 2025-06-02T14:34:41.08 | SIM:ESM5 | Buy | 2 | 5940.75 | Aggressive |
| 2025-06-02T14:34:40.177 | SIM:ESM5 | Buy | 1 | 5940.75 | Aggressive |