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
0.5300
Slippage Sweep
-0.3350
Arrival Price
5,354.8750
Average Total
5,354.3450
Destination Price
5,353.8750
Sweep to Fill
5,354.0100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:41:50.912 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:41:54.412 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:41:54.412 | SIM:ESM5 | Sell | 1 | 5355 | Passive |
| 2025-04-17T03:41:54.812 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:41:56.212 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:41:57.049 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:41:57.821 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:41:59.612 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:42:00.158 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:42:02.612 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:42:02.956 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:42:03.912 | SIM:ESM5 | Sell | 2 | 5355 | Aggressive |
| 2025-04-17T03:42:06.912 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T03:42:08.027 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T03:42:09.677 | SIM:ESM5 | Sell | 6 | 5354.5 | Aggressive |
| 2025-04-17T03:42:09.842 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T03:42:10.939 | SIM:ESM5 | Sell | 7 | 5354 | Aggressive |
| 2025-04-17T03:42:10.94 | SIM:ESM5 | Sell | 2 | 5354 | Aggressive |
| 2025-04-17T03:42:13.513 | SIM:ESM5 | Sell | 7 | 5354 | Aggressive |
| 2025-04-17T03:42:13.513 | SIM:ESM5 | Sell | 2 | 5354 | Passive |
| 2025-04-17T03:42:13.513 | SIM:ESM5 | Sell | 5 | 5354 | Passive |
| 2025-04-17T03:42:13.513 | SIM:ESM5 | Sell | 2 | 5354 | Passive |
| 2025-04-17T03:42:13.513 | SIM:ESM5 | Sell | 2 | 5354 | Passive |
| 2025-04-17T03:42:15.537 | SIM:ESM5 | Sell | 1 | 5353.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7650
Slippage Sweep
-0.0228
Arrival Price
5,354.6250
Average Total
5,355.3900
Destination Price
5,355.5000
Sweep to Fill
5,355.4128
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:41:00.129 | SIM:ESM5 | Buy | 1 | 5355 | Passive |
| 2025-04-17T03:41:01.312 | SIM:ESM5 | Buy | 2 | 5355.25 | Aggressive |
| 2025-04-17T03:41:02.913 | SIM:ESM5 | Buy | 8 | 5355.25 | Aggressive |
| 2025-04-17T03:41:03.712 | SIM:ESM5 | Buy | 3 | 5355.25 | Aggressive |
| 2025-04-17T03:41:13.236 | SIM:ESM5 | Buy | 4 | 5355.25 | Aggressive |
| 2025-04-17T03:41:13.236 | SIM:ESM5 | Buy | 2 | 5355.25 | Passive |
| 2025-04-17T03:41:14.118 | SIM:ESM5 | Buy | 11 | 5355.5 | Aggressive |
| 2025-04-17T03:41:14.222 | SIM:ESM5 | Buy | 1 | 5355.25 | Passive |
| 2025-04-17T03:41:14.222 | SIM:ESM5 | Buy | 1 | 5355.25 | Passive |
| 2025-04-17T03:41:15.331 | SIM:ESM5 | Buy | 9 | 5355.5 | Aggressive |
| 2025-04-17T03:41:15.335 | SIM:ESM5 | Buy | 3 | 5355.25 | Aggressive |
| 2025-04-17T03:41:15.335 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T03:41:17.061 | SIM:ESM5 | Buy | 2 | 5355.75 | Aggressive |
| 2025-04-17T03:41:18.112 | SIM:ESM5 | Buy | 2 | 5355.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9400
Slippage Sweep
0.2500
Arrival Price
5,356.3750
Average Total
5,355.4350
Destination Price
5,355.6250
Sweep to Fill
5,355.6850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:39:49.412 | SIM:ESM5 | Sell | 1 | 5356.5 | Passive |
| 2025-04-17T03:39:50.052 | SIM:ESM5 | Sell | 1 | 5356 | Aggressive |
| 2025-04-17T03:39:52.067 | SIM:ESM5 | Sell | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:39:52.067 | SIM:ESM5 | Sell | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:39:53.217 | SIM:ESM5 | Sell | 3 | 5355.75 | Aggressive |
| 2025-04-17T03:39:53.217 | SIM:ESM5 | Sell | 1 | 5355.75 | Passive |
| 2025-04-17T03:39:54.128 | SIM:ESM5 | Sell | 2 | 5355.75 | Aggressive |
| 2025-04-17T03:39:54.128 | SIM:ESM5 | Sell | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:39:55.154 | SIM:ESM5 | Sell | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:39:55.154 | SIM:ESM5 | Sell | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:39:56.212 | SIM:ESM5 | Sell | 3 | 5355.75 | Aggressive |
| 2025-04-17T03:39:57.313 | SIM:ESM5 | Sell | 14 | 5355.25 | Aggressive |
| 2025-04-17T03:39:57.526 | SIM:ESM5 | Sell | 4 | 5355.25 | Aggressive |
| 2025-04-17T03:39:58.457 | SIM:ESM5 | Sell | 10 | 5355.25 | Aggressive |
| 2025-04-17T03:39:58.457 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T03:39:58.457 | SIM:ESM5 | Sell | 1 | 5355.25 | Passive |
| 2025-04-17T03:39:58.457 | SIM:ESM5 | Sell | 3 | 5355.25 | Passive |
| 2025-04-17T03:40:00.243 | SIM:ESM5 | Sell | 1 | 5355.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5200
Slippage Sweep
-1.0950
Arrival Price
5,356.1250
Average Total
5,355.6050
Destination Price
5,355.5000
Sweep to Fill
5,356.7000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:38:06.597 | SIM:ESM5 | Buy | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:38:08.095 | SIM:ESM5 | Buy | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:38:08.254 | SIM:ESM5 | Buy | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:38:09.243 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T03:38:09.243 | SIM:ESM5 | Buy | 2 | 5355.25 | Aggressive |
| 2025-04-17T03:38:10.387 | SIM:ESM5 | Buy | 8 | 5355.5 | Aggressive |
| 2025-04-17T03:38:10.387 | SIM:ESM5 | Buy | 3 | 5355.5 | Passive |
| 2025-04-17T03:38:11.488 | SIM:ESM5 | Buy | 8 | 5355.5 | Aggressive |
| 2025-04-17T03:38:11.489 | SIM:ESM5 | Buy | 3 | 5355.5 | Passive |
| 2025-04-17T03:38:12.472 | SIM:ESM5 | Buy | 2 | 5355.5 | Aggressive |
| 2025-04-17T03:38:12.472 | SIM:ESM5 | Buy | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:38:13.744 | SIM:ESM5 | Buy | 3 | 5355.5 | Aggressive |
| 2025-04-17T03:38:13.744 | SIM:ESM5 | Buy | 1 | 5355.75 | Aggressive |
| 2025-04-17T03:38:14.445 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T03:38:14.446 | SIM:ESM5 | Buy | 5 | 5355.75 | Aggressive |
| 2025-04-17T03:38:15.416 | SIM:ESM5 | Buy | 8 | 5355.75 | Aggressive |
| 2025-04-17T03:38:16.529 | SIM:ESM5 | Buy | 1 | 5355.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.7200
Arrival Price
5,356.1250
Average Total
5,356.1100
Destination Price
5,355.3750
Sweep to Fill
5,355.3900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:36:38.956 | SIM:ESM5 | Sell | 1 | 5356 | Aggressive |
| 2025-04-17T03:36:39.312 | SIM:ESM5 | Sell | 1 | 5356 | Aggressive |
| 2025-04-17T03:36:40.412 | SIM:ESM5 | Sell | 1 | 5356 | Aggressive |
| 2025-04-17T03:36:41.312 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:42.179 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:45.027 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:45.531 | SIM:ESM5 | Sell | 1 | 5356.25 | Passive |
| 2025-04-17T03:36:47.574 | SIM:ESM5 | Sell | 2 | 5356.25 | Aggressive |
| 2025-04-17T03:36:47.574 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:48.34 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:50.128 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:54.667 | SIM:ESM5 | Sell | 4 | 5356.5 | Aggressive |
| 2025-04-17T03:36:54.667 | SIM:ESM5 | Sell | 1 | 5356.5 | Passive |
| 2025-04-17T03:36:55.712 | SIM:ESM5 | Sell | 3 | 5356.75 | Aggressive |
| 2025-04-17T03:36:55.712 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T03:36:57.764 | SIM:ESM5 | Sell | 4 | 5356.5 | Aggressive |
| 2025-04-17T03:36:57.764 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T03:36:57.765 | SIM:ESM5 | Sell | 1 | 5356.5 | Passive |
| 2025-04-17T03:36:58.616 | SIM:ESM5 | Sell | 5 | 5356.75 | Aggressive |
| 2025-04-17T03:36:58.616 | SIM:ESM5 | Sell | 2 | 5356.75 | Passive |
| 2025-04-17T03:36:59.5 | SIM:ESM5 | Sell | 3 | 5356.75 | Aggressive |
| 2025-04-17T03:37:11.49 | SIM:ESM5 | Sell | 5 | 5355 | Aggressive |
| 2025-04-17T03:37:11.49 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T03:37:12.612 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T03:37:12.612 | SIM:ESM5 | Sell | 2 | 5355 | Aggressive |
| 2025-04-17T03:37:13.56 | SIM:ESM5 | Sell | 3 | 5355 | Aggressive |
| 2025-04-17T03:37:14.618 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7050
Slippage Sweep
0.0100
Arrival Price
5,356.2500
Average Total
5,356.9550
Destination Price
5,357.1250
Sweep to Fill
5,356.9450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:35:45.429 | SIM:ESM5 | Buy | 1 | 5356.5 | Aggressive |
| 2025-04-17T03:35:46.518 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T03:35:47.631 | SIM:ESM5 | Buy | 3 | 5356.75 | Aggressive |
| 2025-04-17T03:35:47.631 | SIM:ESM5 | Buy | 1 | 5356.5 | Passive |
| 2025-04-17T03:35:51.052 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T03:35:51.052 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
| 2025-04-17T03:35:51.712 | SIM:ESM5 | Buy | 3 | 5356.75 | Aggressive |
| 2025-04-17T03:35:52.514 | SIM:ESM5 | Buy | 13 | 5357 | Aggressive |
| 2025-04-17T03:35:52.612 | SIM:ESM5 | Buy | 3 | 5357 | Aggressive |
| 2025-04-17T03:35:53.927 | SIM:ESM5 | Buy | 8 | 5357 | Aggressive |
| 2025-04-17T03:35:53.927 | SIM:ESM5 | Buy | 3 | 5357 | Passive |
| 2025-04-17T03:35:54.558 | SIM:ESM5 | Buy | 5 | 5357 | Aggressive |
| 2025-04-17T03:35:55 | SIM:ESM5 | Buy | 2 | 5357 | Aggressive |
| 2025-04-17T03:36:01.851 | SIM:ESM5 | Buy | 2 | 5357.25 | Aggressive |
| 2025-04-17T03:36:01.851 | SIM:ESM5 | Buy | 2 | 5357.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7250
Slippage Sweep
-0.0402
Arrival Price
5,360.1250
Average Total
5,359.4000
Destination Price
5,359.3750
Sweep to Fill
5,359.3598
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:33:07.012 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T03:33:07.612 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
| 2025-04-17T03:33:10.885 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T03:33:11.637 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
| 2025-04-17T03:33:11.637 | SIM:ESM5 | Sell | 3 | 5360.25 | Aggressive |
| 2025-04-17T03:33:12.812 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T03:33:12.812 | SIM:ESM5 | Sell | 1 | 5360.5 | Passive |
| 2025-04-17T03:33:15.112 | SIM:ESM5 | Sell | 2 | 5359.5 | Aggressive |
| 2025-04-17T03:33:16.733 | SIM:ESM5 | Sell | 6 | 5359.25 | Aggressive |
| 2025-04-17T03:33:16.733 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:33:16.733 | SIM:ESM5 | Sell | 2 | 5359.25 | Passive |
| 2025-04-17T03:33:18.737 | SIM:ESM5 | Sell | 3 | 5359.25 | Aggressive |
| 2025-04-17T03:33:19.479 | SIM:ESM5 | Sell | 1 | 5359.25 | Passive |
| 2025-04-17T03:33:19.479 | SIM:ESM5 | Sell | 1 | 5359.25 | Passive |
| 2025-04-17T03:33:19.812 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:33:19.812 | SIM:ESM5 | Sell | 3 | 5359 | Aggressive |
| 2025-04-17T03:33:20.717 | SIM:ESM5 | Sell | 9 | 5358.75 | Aggressive |
| 2025-04-17T03:33:21.912 | SIM:ESM5 | Sell | 3 | 5359 | Aggressive |
| 2025-04-17T03:33:21.912 | SIM:ESM5 | Sell | 3 | 5358.75 | Aggressive |
| 2025-04-17T03:33:22.812 | SIM:ESM5 | Sell | 2 | 5359 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4000
Slippage Sweep
-1.1050
Arrival Price
5,360.1250
Average Total
5,359.7250
Destination Price
5,359.1250
Sweep to Fill
5,360.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:32:16.226 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:17.412 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:18.312 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:18.312 | SIM:ESM5 | Buy | 2 | 5360.5 | Aggressive |
| 2025-04-17T03:32:20.14 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:20.336 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:20.336 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:21.312 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:22.422 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:23.412 | SIM:ESM5 | Buy | 3 | 5360.5 | Aggressive |
| 2025-04-17T03:32:27.181 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:32:31.844 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:31.844 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:32.742 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:34.812 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:34.812 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:36.143 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:38.492 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:32:38.492 | SIM:ESM5 | Buy | 2 | 5360 | Aggressive |
| 2025-04-17T03:32:39.777 | SIM:ESM5 | Buy | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:32:39.777 | SIM:ESM5 | Buy | 4 | 5360 | Aggressive |
| 2025-04-17T03:32:40.553 | SIM:ESM5 | Buy | 10 | 5358.75 | Aggressive |
| 2025-04-17T03:32:40.553 | SIM:ESM5 | Buy | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:32:41.548 | SIM:ESM5 | Buy | 4 | 5359.25 | Aggressive |
| 2025-04-17T03:32:41.549 | SIM:ESM5 | Buy | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:32:43.159 | SIM:ESM5 | Buy | 3 | 5359.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5450
Slippage Sweep
-0.1310
Arrival Price
5,361.1250
Average Total
5,360.5800
Destination Price
5,361.5000
Sweep to Fill
5,360.4490
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:28:54.445 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T03:28:55.248 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T03:28:56.312 | SIM:ESM5 | Sell | 2 | 5360.75 | Aggressive |
| 2025-04-17T03:28:58.021 | SIM:ESM5 | Sell | 4 | 5360.5 | Aggressive |
| 2025-04-17T03:28:59.019 | SIM:ESM5 | Sell | 6 | 5360.5 | Aggressive |
| 2025-04-17T03:28:59.413 | SIM:ESM5 | Sell | 1 | 5360.5 | Passive |
| 2025-04-17T03:29:00.043 | SIM:ESM5 | Sell | 8 | 5360.25 | Aggressive |
| 2025-04-17T03:29:00.043 | SIM:ESM5 | Sell | 3 | 5360.25 | Passive |
| 2025-04-17T03:29:01.012 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T03:29:01.012 | SIM:ESM5 | Sell | 4 | 5360 | Aggressive |
| 2025-04-17T03:29:02.377 | SIM:ESM5 | Sell | 4 | 5360 | Aggressive |
| 2025-04-17T03:29:02.377 | SIM:ESM5 | Sell | 2 | 5360 | Passive |
| 2025-04-17T03:29:06.115 | SIM:ESM5 | Sell | 5 | 5361.5 | Aggressive |
| 2025-04-17T03:29:06.281 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:29:10.252 | SIM:ESM5 | Sell | 5 | 5361.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5050
Slippage Sweep
-0.2137
Arrival Price
5,359.6250
Average Total
5,360.1300
Destination Price
5,360.3750
Sweep to Fill
5,360.3438
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:27:34.944 | SIM:ESM5 | Buy | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:27:37.258 | SIM:ESM5 | Buy | 2 | 5359.5 | Aggressive |
| 2025-04-17T03:27:39.112 | SIM:ESM5 | Buy | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:27:39.112 | SIM:ESM5 | Buy | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:27:40.182 | SIM:ESM5 | Buy | 2 | 5359.5 | Aggressive |
| 2025-04-17T03:27:45.112 | SIM:ESM5 | Buy | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:27:49.312 | SIM:ESM5 | Buy | 5 | 5360.25 | Aggressive |
| 2025-04-17T03:27:49.348 | SIM:ESM5 | Buy | 1 | 5360 | Passive |
| 2025-04-17T03:27:50.241 | SIM:ESM5 | Buy | 6 | 5360.25 | Aggressive |
| 2025-04-17T03:27:51.312 | SIM:ESM5 | Buy | 1 | 5360.25 | Aggressive |
| 2025-04-17T03:27:51.312 | SIM:ESM5 | Buy | 5 | 5360.25 | Passive |
| 2025-04-17T03:27:52.52 | SIM:ESM5 | Buy | 7 | 5360.25 | Aggressive |
| 2025-04-17T03:27:52.52 | SIM:ESM5 | Buy | 1 | 5360 | Passive |
| 2025-04-17T03:27:52.52 | SIM:ESM5 | Buy | 1 | 5360 | Passive |
| 2025-04-17T03:27:52.52 | SIM:ESM5 | Buy | 1 | 5360 | Passive |
| 2025-04-17T03:27:52.52 | SIM:ESM5 | Buy | 1 | 5360 | Aggressive |
| 2025-04-17T03:27:52.52 | SIM:ESM5 | Buy | 2 | 5360 | Passive |
| 2025-04-17T03:27:55.312 | SIM:ESM5 | Buy | 3 | 5360.25 | Aggressive |
| 2025-04-17T03:27:55.312 | SIM:ESM5 | Buy | 4 | 5360.25 | Aggressive |
| 2025-04-17T03:28:00.412 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:28:00.412 | SIM:ESM5 | Buy | 1 | 5360.75 | Aggressive |
| 2025-04-17T03:28:04.813 | SIM:ESM5 | Buy | 1 | 5360.5 | Passive |
| 2025-04-17T03:28:04.813 | SIM:ESM5 | Buy | 1 | 5360.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2850
Slippage Sweep
-0.5200
Arrival Price
5,356.8750
Average Total
5,357.1600
Destination Price
5,357.5000
Sweep to Fill
5,357.6800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:24:32.541 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
| 2025-04-17T03:24:33.975 | SIM:ESM5 | Buy | 1 | 5357.25 | Aggressive |
| 2025-04-17T03:24:35.412 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
| 2025-04-17T03:24:36.636 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T03:24:37.578 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T03:24:38.512 | SIM:ESM5 | Buy | 9 | 5356.5 | Aggressive |
| 2025-04-17T03:24:39.55 | SIM:ESM5 | Buy | 3 | 5356.5 | Aggressive |
| 2025-04-17T03:24:40.341 | SIM:ESM5 | Buy | 3 | 5356.5 | Aggressive |
| 2025-04-17T03:24:50.412 | SIM:ESM5 | Buy | 13 | 5357.5 | Aggressive |
| 2025-04-17T03:24:50.919 | SIM:ESM5 | Buy | 1 | 5357.5 | Passive |
| 2025-04-17T03:24:50.919 | SIM:ESM5 | Buy | 2 | 5357.5 | Aggressive |
| 2025-04-17T03:24:51.457 | SIM:ESM5 | Buy | 7 | 5357.5 | Aggressive |
| 2025-04-17T03:24:51.457 | SIM:ESM5 | Buy | 2 | 5357.75 | Aggressive |
| 2025-04-17T03:24:57.613 | SIM:ESM5 | Buy | 1 | 5357.5 | Aggressive |
| 2025-04-17T03:24:57.613 | SIM:ESM5 | Buy | 2 | 5357.75 | Aggressive |
| 2025-04-17T03:24:57.613 | SIM:ESM5 | Buy | 1 | 5358 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9050
Slippage Sweep
0.1450
Arrival Price
5,358.1250
Average Total
5,357.2200
Destination Price
5,357.0000
Sweep to Fill
5,357.3650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:23:17.374 | SIM:ESM5 | Sell | 1 | 5358.25 | Aggressive |
| 2025-04-17T03:23:19.312 | SIM:ESM5 | Sell | 1 | 5358 | Aggressive |
| 2025-04-17T03:23:21.747 | SIM:ESM5 | Sell | 2 | 5357.75 | Aggressive |
| 2025-04-17T03:23:21.747 | SIM:ESM5 | Sell | 3 | 5357.75 | Aggressive |
| 2025-04-17T03:23:22.325 | SIM:ESM5 | Sell | 7 | 5357.5 | Aggressive |
| 2025-04-17T03:23:22.325 | SIM:ESM5 | Sell | 3 | 5357.5 | Passive |
| 2025-04-17T03:23:23.36 | SIM:ESM5 | Sell | 7 | 5357.5 | Aggressive |
| 2025-04-17T03:23:23.615 | SIM:ESM5 | Sell | 2 | 5357.5 | Aggressive |
| 2025-04-17T03:23:28.367 | SIM:ESM5 | Sell | 2 | 5357 | Aggressive |
| 2025-04-17T03:23:28.367 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T03:23:29.645 | SIM:ESM5 | Sell | 4 | 5357 | Aggressive |
| 2025-04-17T03:23:29.645 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T03:23:30.435 | SIM:ESM5 | Sell | 8 | 5356.75 | Aggressive |
| 2025-04-17T03:23:30.435 | SIM:ESM5 | Sell | 1 | 5356.75 | Passive |
| 2025-04-17T03:23:31.6 | SIM:ESM5 | Sell | 5 | 5356.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7500
Slippage Sweep
0.0050
Arrival Price
5,357.1250
Average Total
5,357.8750
Destination Price
5,358.0000
Sweep to Fill
5,357.8700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:22:09.652 | SIM:ESM5 | Buy | 1 | 5357.5 | Aggressive |
| 2025-04-17T03:22:10.921 | SIM:ESM5 | Buy | 1 | 5357.5 | Aggressive |
| 2025-04-17T03:22:12.646 | SIM:ESM5 | Buy | 3 | 5357 | Aggressive |
| 2025-04-17T03:22:12.721 | SIM:ESM5 | Buy | 3 | 5357.25 | Aggressive |
| 2025-04-17T03:22:12.721 | SIM:ESM5 | Buy | 3 | 5357.25 | Aggressive |
| 2025-04-17T03:22:12.721 | SIM:ESM5 | Buy | 2 | 5357.25 | Aggressive |
| 2025-04-17T03:22:15.661 | SIM:ESM5 | Buy | 1 | 5357.5 | Aggressive |
| 2025-04-17T03:22:16.636 | SIM:ESM5 | Buy | 3 | 5358 | Aggressive |
| 2025-04-17T03:22:18.712 | SIM:ESM5 | Buy | 2 | 5357.75 | Aggressive |
| 2025-04-17T03:22:19.687 | SIM:ESM5 | Buy | 1 | 5357.75 | Aggressive |
| 2025-04-17T03:22:20.712 | SIM:ESM5 | Buy | 7 | 5358 | Aggressive |
| 2025-04-17T03:22:21.812 | SIM:ESM5 | Buy | 3 | 5358 | Aggressive |
| 2025-04-17T03:22:21.812 | SIM:ESM5 | Buy | 1 | 5358.25 | Aggressive |
| 2025-04-17T03:22:22.762 | SIM:ESM5 | Buy | 8 | 5358.25 | Aggressive |
| 2025-04-17T03:22:24.019 | SIM:ESM5 | Buy | 4 | 5358.25 | Aggressive |
| 2025-04-17T03:22:24.019 | SIM:ESM5 | Buy | 5 | 5358.25 | Aggressive |
| 2025-04-17T03:22:27.201 | SIM:ESM5 | Buy | 1 | 5358.25 | Passive |
| 2025-04-17T03:22:27.201 | SIM:ESM5 | Buy | 1 | 5358.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6100
Slippage Sweep
-0.1300
Arrival Price
5,360.3750
Average Total
5,359.7650
Destination Price
5,359.2500
Sweep to Fill
5,359.6350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:19:01.418 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T03:19:03.351 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:04.332 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:06.412 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T03:19:07.361 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T03:19:07.361 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:08.712 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:19:08.712 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:19:12.993 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:19:16.422 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:17.918 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:20.612 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:20.613 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:20.613 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:19:22.812 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T03:19:24.659 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T03:19:32.869 | SIM:ESM5 | Sell | 1 | 5360 | Passive |
| 2025-04-17T03:19:32.869 | SIM:ESM5 | Sell | 1 | 5360 | Passive |
| 2025-04-17T03:19:32.869 | SIM:ESM5 | Sell | 1 | 5360 | Passive |
| 2025-04-17T03:19:34.451 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T03:19:34.826 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:19:35.638 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:19:35.638 | SIM:ESM5 | Sell | 2 | 5359.75 | Aggressive |
| 2025-04-17T03:19:36.736 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:19:36.736 | SIM:ESM5 | Sell | 2 | 5359.75 | Passive |
| 2025-04-17T03:19:38.194 | SIM:ESM5 | Sell | 4 | 5359 | Aggressive |
| 2025-04-17T03:19:38.194 | SIM:ESM5 | Sell | 2 | 5358.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4300
Slippage Sweep
-1.0100
Arrival Price
5,358.7500
Average Total
5,359.1800
Destination Price
5,359.5000
Sweep to Fill
5,358.1700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:17:43.196 | SIM:ESM5 | Sell | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:17:44.162 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:17:45.105 | SIM:ESM5 | Sell | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:17:46.109 | SIM:ESM5 | Sell | 4 | 5358.5 | Aggressive |
| 2025-04-17T03:17:50.348 | SIM:ESM5 | Sell | 3 | 5358.75 | Aggressive |
| 2025-04-17T03:17:50.348 | SIM:ESM5 | Sell | 1 | 5359 | Passive |
| 2025-04-17T03:17:51.122 | SIM:ESM5 | Sell | 5 | 5359 | Aggressive |
| 2025-04-17T03:17:51.122 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:17:52.13 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:17:52.13 | SIM:ESM5 | Sell | 2 | 5359 | Aggressive |
| 2025-04-17T03:17:52.13 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:17:53.186 | SIM:ESM5 | Sell | 3 | 5359.25 | Aggressive |
| 2025-04-17T03:17:54.16 | SIM:ESM5 | Sell | 2 | 5359.25 | Aggressive |
| 2025-04-17T03:17:54.16 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:17:56.471 | SIM:ESM5 | Sell | 2 | 5359.25 | Aggressive |
| 2025-04-17T03:18:01.23 | SIM:ESM5 | Sell | 7 | 5359.5 | Aggressive |
| 2025-04-17T03:18:01.23 | SIM:ESM5 | Sell | 2 | 5359.25 | Aggressive |
| 2025-04-17T03:18:02.245 | SIM:ESM5 | Sell | 5 | 5359.75 | Aggressive |
| 2025-04-17T03:18:02.245 | SIM:ESM5 | Sell | 4 | 5359.5 | Aggressive |
| 2025-04-17T03:18:03.695 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:18:04.24 | SIM:ESM5 | Sell | 2 | 5359.25 | Aggressive |