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
-0.5750
Slippage Sweep
-1.1700
Arrival Price
5,358.8750
Average Total
5,359.4500
Destination Price
5,360.2500
Sweep to Fill
5,358.2800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:16:24.077 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:16:24.592 | SIM:ESM5 | Sell | 3 | 5358.5 | Aggressive |
| 2025-04-17T03:16:25.794 | SIM:ESM5 | Sell | 2 | 5358.5 | Aggressive |
| 2025-04-17T03:16:28.78 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:16:29.444 | SIM:ESM5 | Sell | 7 | 5359.5 | Aggressive |
| 2025-04-17T03:16:29.445 | SIM:ESM5 | Sell | 4 | 5359.25 | Aggressive |
| 2025-04-17T03:16:30.512 | SIM:ESM5 | Sell | 8 | 5359.5 | Aggressive |
| 2025-04-17T03:16:30.512 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:16:31.624 | SIM:ESM5 | Sell | 3 | 5359.75 | Aggressive |
| 2025-04-17T03:16:31.624 | SIM:ESM5 | Sell | 4 | 5359.5 | Aggressive |
| 2025-04-17T03:16:32.515 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:16:32.515 | SIM:ESM5 | Sell | 3 | 5359.5 | Aggressive |
| 2025-04-17T03:16:33.964 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T03:16:33.965 | SIM:ESM5 | Sell | 1 | 5360 | Passive |
| 2025-04-17T03:16:33.965 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:16:34.512 | SIM:ESM5 | Sell | 3 | 5360 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8100
Slippage Sweep
0.1500
Arrival Price
5,360.8750
Average Total
5,361.6850
Destination Price
5,361.8750
Sweep to Fill
5,361.5350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:13:57.003 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:13:59.317 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:13:59.827 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:14:00.448 | SIM:ESM5 | Buy | 2 | 5361 | Aggressive |
| 2025-04-17T03:14:01.564 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:14:02.531 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:14:03.839 | SIM:ESM5 | Buy | 3 | 5361 | Aggressive |
| 2025-04-17T03:14:04.584 | SIM:ESM5 | Buy | 3 | 5361.25 | Aggressive |
| 2025-04-17T03:14:07.475 | SIM:ESM5 | Buy | 3 | 5361.25 | Aggressive |
| 2025-04-17T03:14:07.475 | SIM:ESM5 | Buy | 1 | 5361.25 | Passive |
| 2025-04-17T03:14:08.652 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:14:08.652 | SIM:ESM5 | Buy | 2 | 5361.75 | Aggressive |
| 2025-04-17T03:14:10.149 | SIM:ESM5 | Buy | 10 | 5362 | Aggressive |
| 2025-04-17T03:14:10.149 | SIM:ESM5 | Buy | 5 | 5362 | Passive |
| 2025-04-17T03:14:10.493 | SIM:ESM5 | Buy | 6 | 5362 | Aggressive |
| 2025-04-17T03:14:10.493 | SIM:ESM5 | Buy | 4 | 5362.25 | Aggressive |
| 2025-04-17T03:14:10.493 | SIM:ESM5 | Buy | 4 | 5362 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0150
Slippage Sweep
0.4650
Arrival Price
5,359.6250
Average Total
5,358.6100
Destination Price
5,358.7500
Sweep to Fill
5,359.0750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:12:56.666 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:12:57.441 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:12:58.712 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:12:59.43 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:13:00.46 | SIM:ESM5 | Sell | 2 | 5358.75 | Aggressive |
| 2025-04-17T03:13:00.46 | SIM:ESM5 | Sell | 7 | 5358.5 | Aggressive |
| 2025-04-17T03:13:01.522 | SIM:ESM5 | Sell | 2 | 5358.75 | Aggressive |
| 2025-04-17T03:13:01.522 | SIM:ESM5 | Sell | 4 | 5358.5 | Aggressive |
| 2025-04-17T03:13:02.575 | SIM:ESM5 | Sell | 12 | 5358.5 | Aggressive |
| 2025-04-17T03:13:02.575 | SIM:ESM5 | Sell | 5 | 5358.5 | Aggressive |
| 2025-04-17T03:13:03.512 | SIM:ESM5 | Sell | 7 | 5358.5 | Aggressive |
| 2025-04-17T03:13:03.512 | SIM:ESM5 | Sell | 5 | 5358.5 | Aggressive |
| 2025-04-17T03:13:04.776 | SIM:ESM5 | Sell | 2 | 5358.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.6250
Arrival Price
5,361.1250
Average Total
5,361.2150
Destination Price
5,360.6250
Sweep to Fill
5,361.8400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:11:58.451 | SIM:ESM5 | Buy | 1 | 5361.25 | Aggressive |
| 2025-04-17T03:12:00.412 | SIM:ESM5 | Buy | 1 | 5361.25 | Aggressive |
| 2025-04-17T03:12:02.547 | SIM:ESM5 | Buy | 2 | 5361.25 | Aggressive |
| 2025-04-17T03:12:04.78 | SIM:ESM5 | Buy | 1 | 5361.25 | Aggressive |
| 2025-04-17T03:12:05.446 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:12:06.512 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:12:06.512 | SIM:ESM5 | Buy | 4 | 5361.5 | Aggressive |
| 2025-04-17T03:12:09.871 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:12:12.012 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:12:12.528 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:12:12.528 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:12:14.65 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T03:12:14.65 | SIM:ESM5 | Buy | 4 | 5361.75 | Aggressive |
| 2025-04-17T03:12:26.714 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:12:33.415 | SIM:ESM5 | Buy | 1 | 5361.25 | Aggressive |
| 2025-04-17T03:12:34.383 | SIM:ESM5 | Buy | 2 | 5361.25 | Aggressive |
| 2025-04-17T03:12:34.738 | SIM:ESM5 | Buy | 1 | 5361.25 | Aggressive |
| 2025-04-17T03:12:38.138 | SIM:ESM5 | Buy | 4 | 5361 | Aggressive |
| 2025-04-17T03:12:38.138 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:12:38.138 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:12:38.138 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:12:39.2 | SIM:ESM5 | Buy | 2 | 5361 | Aggressive |
| 2025-04-17T03:12:39.2 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T03:12:41.912 | SIM:ESM5 | Buy | 7 | 5360.75 | Aggressive |
| 2025-04-17T03:12:41.912 | SIM:ESM5 | Buy | 2 | 5360.75 | Aggressive |
| 2025-04-17T03:12:41.912 | SIM:ESM5 | Buy | 2 | 5360.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4700
Slippage Sweep
-0.3200
Arrival Price
5,360.8750
Average Total
5,360.4050
Destination Price
5,361.2500
Sweep to Fill
5,360.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:10:24.024 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T03:10:26.363 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
| 2025-04-17T03:10:27.595 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:10:30.13 | SIM:ESM5 | Sell | 3 | 5360 | Aggressive |
| 2025-04-17T03:10:30.13 | SIM:ESM5 | Sell | 5 | 5359.75 | Aggressive |
| 2025-04-17T03:10:31.216 | SIM:ESM5 | Sell | 3 | 5360 | Aggressive |
| 2025-04-17T03:10:31.216 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T03:10:34.194 | SIM:ESM5 | Sell | 3 | 5360.25 | Aggressive |
| 2025-04-17T03:10:35.025 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T03:10:35.212 | SIM:ESM5 | Sell | 8 | 5360 | Aggressive |
| 2025-04-17T03:10:35.212 | SIM:ESM5 | Sell | 3 | 5360 | Aggressive |
| 2025-04-17T03:10:45.312 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T03:10:45.312 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T03:10:47.175 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T03:10:47.42 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T03:10:47.42 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T03:10:50.112 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T03:10:50.112 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T03:10:50.112 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T03:10:50.112 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T03:10:50.112 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T03:10:50.412 | SIM:ESM5 | Sell | 7 | 5361 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.0300
Slippage Sweep
0.4050
Arrival Price
5,361.2500
Average Total
5,362.2800
Destination Price
5,362.3750
Sweep to Fill
5,361.8750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:09:41.512 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:09:43.724 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:09:44.657 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:09:45.181 | SIM:ESM5 | Buy | 3 | 5361.75 | Aggressive |
| 2025-04-17T03:09:49.134 | SIM:ESM5 | Buy | 4 | 5362 | Aggressive |
| 2025-04-17T03:09:49.134 | SIM:ESM5 | Buy | 4 | 5362 | Passive |
| 2025-04-17T03:09:49.135 | SIM:ESM5 | Buy | 1 | 5362 | Passive |
| 2025-04-17T03:09:50.132 | SIM:ESM5 | Buy | 3 | 5362 | Aggressive |
| 2025-04-17T03:09:50.132 | SIM:ESM5 | Buy | 1 | 5362.25 | Aggressive |
| 2025-04-17T03:09:51.254 | SIM:ESM5 | Buy | 10 | 5362.5 | Aggressive |
| 2025-04-17T03:09:51.254 | SIM:ESM5 | Buy | 3 | 5362.5 | Aggressive |
| 2025-04-17T03:09:52.124 | SIM:ESM5 | Buy | 1 | 5362.25 | Aggressive |
| 2025-04-17T03:09:52.124 | SIM:ESM5 | Buy | 5 | 5362.5 | Aggressive |
| 2025-04-17T03:09:53.312 | SIM:ESM5 | Buy | 5 | 5362.75 | Aggressive |
| 2025-04-17T03:09:54.27 | SIM:ESM5 | Buy | 4 | 5362.5 | Aggressive |
| 2025-04-17T03:09:54.27 | SIM:ESM5 | Buy | 2 | 5362.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2400
Slippage Sweep
-1.0100
Arrival Price
5,360.8750
Average Total
5,361.1150
Destination Price
5,361.7500
Sweep to Fill
5,360.1050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:08:19.612 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T03:08:20.765 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T03:08:21.612 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T03:08:23.04 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
| 2025-04-17T03:08:23.04 | SIM:ESM5 | Sell | 2 | 5360.5 | Passive |
| 2025-04-17T03:08:23.631 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T03:08:28.869 | SIM:ESM5 | Sell | 4 | 5360.5 | Aggressive |
| 2025-04-17T03:08:28.869 | SIM:ESM5 | Sell | 3 | 5360.25 | Aggressive |
| 2025-04-17T03:08:29.718 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:08:29.718 | SIM:ESM5 | Sell | 7 | 5361.25 | Aggressive |
| 2025-04-17T03:08:29.718 | SIM:ESM5 | Sell | 3 | 5361.25 | Aggressive |
| 2025-04-17T03:08:30.712 | SIM:ESM5 | Sell | 2 | 5361.75 | Aggressive |
| 2025-04-17T03:08:30.712 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:08:31.741 | SIM:ESM5 | Sell | 3 | 5361.75 | Aggressive |
| 2025-04-17T03:08:31.741 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T03:08:33.291 | SIM:ESM5 | Sell | 3 | 5361.75 | Aggressive |
| 2025-04-17T03:08:33.338 | SIM:ESM5 | Sell | 1 | 5361.75 | Aggressive |
| 2025-04-17T03:08:34.812 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T03:08:35.183 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T03:08:35.183 | SIM:ESM5 | Sell | 2 | 5361.25 | Passive |
| 2025-04-17T03:08:35.183 | SIM:ESM5 | Sell | 2 | 5361.25 | Passive |
| 2025-04-17T03:08:35.183 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3200
Slippage Sweep
-1.0572
Arrival Price
5,359.6250
Average Total
5,359.9450
Destination Price
5,360.5000
Sweep to Fill
5,358.8878
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:07:08.212 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:07:10.012 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:07:13.123 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:07:14.012 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:07:15.312 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:07:16.387 | SIM:ESM5 | Sell | 4 | 5359.25 | Aggressive |
| 2025-04-17T03:07:16.388 | SIM:ESM5 | Sell | 1 | 5359.25 | Passive |
| 2025-04-17T03:07:17.851 | SIM:ESM5 | Sell | 2 | 5359.25 | Aggressive |
| 2025-04-17T03:07:22.112 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:07:23.23 | SIM:ESM5 | Sell | 5 | 5360 | Aggressive |
| 2025-04-17T03:07:23.231 | SIM:ESM5 | Sell | 1 | 5360 | Aggressive |
| 2025-04-17T03:07:24.131 | SIM:ESM5 | Sell | 7 | 5360.25 | Aggressive |
| 2025-04-17T03:07:24.133 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T03:07:25.325 | SIM:ESM5 | Sell | 4 | 5360.25 | Aggressive |
| 2025-04-17T03:07:25.551 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T03:07:26.164 | SIM:ESM5 | Sell | 5 | 5360.25 | Aggressive |
| 2025-04-17T03:07:26.164 | SIM:ESM5 | Sell | 10 | 5360 | Aggressive |
| 2025-04-17T03:07:27.234 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1350
Slippage Sweep
-0.4950
Arrival Price
5,358.5000
Average Total
5,358.6350
Destination Price
5,358.1250
Sweep to Fill
5,359.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:06:12.534 | SIM:ESM5 | Buy | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:06:14.501 | SIM:ESM5 | Buy | 2 | 5358.75 | Aggressive |
| 2025-04-17T03:06:14.521 | SIM:ESM5 | Buy | 2 | 5358.5 | Aggressive |
| 2025-04-17T03:06:17.817 | SIM:ESM5 | Buy | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:06:19.021 | SIM:ESM5 | Buy | 2 | 5358.5 | Aggressive |
| 2025-04-17T03:06:22.58 | SIM:ESM5 | Buy | 2 | 5358.25 | Aggressive |
| 2025-04-17T03:06:22.58 | SIM:ESM5 | Buy | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:06:23.862 | SIM:ESM5 | Buy | 3 | 5358.25 | Aggressive |
| 2025-04-17T03:06:24.6 | SIM:ESM5 | Buy | 5 | 5358.25 | Aggressive |
| 2025-04-17T03:06:25.613 | SIM:ESM5 | Buy | 6 | 5358.25 | Aggressive |
| 2025-04-17T03:06:27.7 | SIM:ESM5 | Buy | 2 | 5358.25 | Aggressive |
| 2025-04-17T03:06:27.7 | SIM:ESM5 | Buy | 2 | 5358.25 | Aggressive |
| 2025-04-17T03:06:28.612 | SIM:ESM5 | Buy | 1 | 5358.25 | Aggressive |
| 2025-04-17T03:06:28.612 | SIM:ESM5 | Buy | 1 | 5358.25 | Aggressive |
| 2025-04-17T03:06:29.629 | SIM:ESM5 | Buy | 4 | 5359 | Aggressive |
| 2025-04-17T03:06:29.645 | SIM:ESM5 | Buy | 2 | 5359 | Aggressive |
| 2025-04-17T03:06:30.683 | SIM:ESM5 | Buy | 3 | 5359.25 | Aggressive |
| 2025-04-17T03:06:32.958 | SIM:ESM5 | Buy | 6 | 5359.25 | Aggressive |
| 2025-04-17T03:06:33.082 | SIM:ESM5 | Buy | 2 | 5359.25 | Aggressive |
| 2025-04-17T03:06:54.188 | SIM:ESM5 | Buy | 2 | 5358.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.8200
Slippage Sweep
-1.6050
Arrival Price
5,358.8750
Average Total
5,359.6950
Destination Price
5,360.3750
Sweep to Fill
5,358.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:05:10.212 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:05:11.229 | SIM:ESM5 | Sell | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:05:13.217 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:05:14.367 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:05:15.412 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:05:16.369 | SIM:ESM5 | Sell | 2 | 5359 | Aggressive |
| 2025-04-17T03:05:16.369 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:05:17.892 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:05:18.312 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:05:19.312 | SIM:ESM5 | Sell | 4 | 5359.25 | Aggressive |
| 2025-04-17T03:05:19.312 | SIM:ESM5 | Sell | 1 | 5359 | Aggressive |
| 2025-04-17T03:05:21.341 | SIM:ESM5 | Sell | 4 | 5359.25 | Aggressive |
| 2025-04-17T03:05:21.341 | SIM:ESM5 | Sell | 2 | 5359 | Aggressive |
| 2025-04-17T03:05:22.521 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T03:05:22.521 | SIM:ESM5 | Sell | 5 | 5360 | Aggressive |
| 2025-04-17T03:05:23.417 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T03:05:23.417 | SIM:ESM5 | Sell | 5 | 5360 | Aggressive |
| 2025-04-17T03:05:24.356 | SIM:ESM5 | Sell | 6 | 5360.25 | Aggressive |
| 2025-04-17T03:05:24.512 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T03:05:25.412 | SIM:ESM5 | Sell | 4 | 5360.25 | Aggressive |
| 2025-04-17T03:05:25.412 | SIM:ESM5 | Sell | 2 | 5360.25 | Passive |
| 2025-04-17T03:05:26.684 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.7500
Slippage Sweep
-1.4400
Arrival Price
5,359.2500
Average Total
5,358.5000
Destination Price
5,358.0000
Sweep to Fill
5,359.9400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:04:39.048 | SIM:ESM5 | Buy | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:04:39.999 | SIM:ESM5 | Buy | 7 | 5358.75 | Aggressive |
| 2025-04-17T03:04:39.999 | SIM:ESM5 | Buy | 1 | 5358.75 | Passive |
| 2025-04-17T03:04:41.016 | SIM:ESM5 | Buy | 2 | 5358.5 | Aggressive |
| 2025-04-17T03:04:41.016 | SIM:ESM5 | Buy | 2 | 5358.75 | Aggressive |
| 2025-04-17T03:04:42.2 | SIM:ESM5 | Buy | 5 | 5358.25 | Aggressive |
| 2025-04-17T03:04:42.2 | SIM:ESM5 | Buy | 2 | 5358.25 | Passive |
| 2025-04-17T03:04:43.081 | SIM:ESM5 | Buy | 2 | 5358.25 | Aggressive |
| 2025-04-17T03:04:43.081 | SIM:ESM5 | Buy | 2 | 5358.5 | Aggressive |
| 2025-04-17T03:04:44.209 | SIM:ESM5 | Buy | 1 | 5358.25 | Aggressive |
| 2025-04-17T03:04:44.209 | SIM:ESM5 | Buy | 5 | 5358.5 | Aggressive |
| 2025-04-17T03:04:45.063 | SIM:ESM5 | Buy | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:04:45.063 | SIM:ESM5 | Buy | 2 | 5358.75 | Aggressive |
| 2025-04-17T03:04:46.451 | SIM:ESM5 | Buy | 1 | 5358.5 | Passive |
| 2025-04-17T03:04:46.451 | SIM:ESM5 | Buy | 1 | 5358.5 | Passive |
| 2025-04-17T03:04:47.063 | SIM:ESM5 | Buy | 5 | 5358.75 | Aggressive |
| 2025-04-17T03:04:48.085 | SIM:ESM5 | Buy | 1 | 5358 | Aggressive |
| 2025-04-17T03:04:48.086 | SIM:ESM5 | Buy | 7 | 5358.25 | Aggressive |
| 2025-04-17T03:04:49.086 | SIM:ESM5 | Buy | 1 | 5358.25 | Aggressive |
| 2025-04-17T03:04:49.086 | SIM:ESM5 | Buy | 1 | 5358.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4900
Slippage Sweep
-1.2250
Arrival Price
5,358.7500
Average Total
5,359.2400
Destination Price
5,359.8750
Sweep to Fill
5,358.0150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:01:37.517 | SIM:ESM5 | Sell | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:01:40.04 | SIM:ESM5 | Sell | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:01:41.673 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T03:01:41.673 | SIM:ESM5 | Sell | 1 | 5358.5 | Aggressive |
| 2025-04-17T03:01:43.614 | SIM:ESM5 | Sell | 4 | 5358.75 | Aggressive |
| 2025-04-17T03:01:44.559 | SIM:ESM5 | Sell | 2 | 5359.25 | Aggressive |
| 2025-04-17T03:01:44.559 | SIM:ESM5 | Sell | 3 | 5359 | Aggressive |
| 2025-04-17T03:01:45.812 | SIM:ESM5 | Sell | 6 | 5359.25 | Aggressive |
| 2025-04-17T03:01:45.812 | SIM:ESM5 | Sell | 1 | 5359.25 | Passive |
| 2025-04-17T03:01:46.559 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:01:46.559 | SIM:ESM5 | Sell | 7 | 5359.25 | Aggressive |
| 2025-04-17T03:01:47.612 | SIM:ESM5 | Sell | 8 | 5359.5 | Aggressive |
| 2025-04-17T03:01:47.613 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:01:48.624 | SIM:ESM5 | Sell | 6 | 5359.25 | Aggressive |
| 2025-04-17T03:01:52.329 | SIM:ESM5 | Sell | 1 | 5359.25 | Passive |
| 2025-04-17T03:01:52.33 | SIM:ESM5 | Sell | 1 | 5359.25 | Passive |
| 2025-04-17T03:01:53.812 | SIM:ESM5 | Sell | 5 | 5359.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1750
Slippage Sweep
-0.9500
Arrival Price
5,359.0000
Average Total
5,358.8250
Destination Price
5,358.2500
Sweep to Fill
5,359.7750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T03:00:49.898 | SIM:ESM5 | Buy | 1 | 5359 | Aggressive |
| 2025-04-17T03:00:50.916 | SIM:ESM5 | Buy | 2 | 5358.75 | Aggressive |
| 2025-04-17T03:00:53.517 | SIM:ESM5 | Buy | 1 | 5358.75 | Passive |
| 2025-04-17T03:00:55.012 | SIM:ESM5 | Buy | 3 | 5359.5 | Aggressive |
| 2025-04-17T03:00:57.969 | SIM:ESM5 | Buy | 1 | 5359 | Aggressive |
| 2025-04-17T03:01:02.023 | SIM:ESM5 | Buy | 3 | 5359 | Aggressive |
| 2025-04-17T03:01:03.289 | SIM:ESM5 | Buy | 1 | 5359.25 | Aggressive |
| 2025-04-17T03:01:04.112 | SIM:ESM5 | Buy | 2 | 5359.5 | Aggressive |
| 2025-04-17T03:01:06.048 | SIM:ESM5 | Buy | 6 | 5359.5 | Aggressive |
| 2025-04-17T03:01:06.228 | SIM:ESM5 | Buy | 1 | 5359.5 | Aggressive |
| 2025-04-17T03:01:08.768 | SIM:ESM5 | Buy | 5 | 5358.75 | Passive |
| 2025-04-17T03:01:09.119 | SIM:ESM5 | Buy | 3 | 5358.75 | Aggressive |
| 2025-04-17T03:01:10.172 | SIM:ESM5 | Buy | 7 | 5358.25 | Aggressive |
| 2025-04-17T03:01:10.172 | SIM:ESM5 | Buy | 12 | 5358.5 | Aggressive |
| 2025-04-17T03:01:11.112 | SIM:ESM5 | Buy | 2 | 5358.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2850
Slippage Sweep
-0.9950
Arrival Price
5,359.5000
Average Total
5,359.7850
Destination Price
5,360.1250
Sweep to Fill
5,358.7900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:57:21.44 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:57:28.932 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:57:28.933 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:57:28.933 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:57:28.933 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:57:28.933 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:57:29.718 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:57:31.579 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:57:32.72 | SIM:ESM5 | Sell | 3 | 5359.5 | Aggressive |
| 2025-04-17T02:57:33.873 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:57:37.062 | SIM:ESM5 | Sell | 2 | 5359.5 | Aggressive |
| 2025-04-17T02:57:37.062 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:57:37.964 | SIM:ESM5 | Sell | 1 | 5359.75 | Passive |
| 2025-04-17T02:57:38.718 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:57:41.626 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T02:57:42.703 | SIM:ESM5 | Sell | 4 | 5360 | Aggressive |
| 2025-04-17T02:57:43.815 | SIM:ESM5 | Sell | 5 | 5360 | Aggressive |
| 2025-04-17T02:57:43.815 | SIM:ESM5 | Sell | 2 | 5360 | Passive |
| 2025-04-17T02:57:44.79 | SIM:ESM5 | Sell | 7 | 5360 | Aggressive |
| 2025-04-17T02:57:45.812 | SIM:ESM5 | Sell | 7 | 5360 | Aggressive |
| 2025-04-17T02:57:45.812 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T02:57:45.812 | SIM:ESM5 | Sell | 2 | 5360 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4800
Slippage Sweep
-1.2649
Arrival Price
5,360.7500
Average Total
5,360.2700
Destination Price
5,360.0000
Sweep to Fill
5,361.5349
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:56:40.643 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T02:56:41.583 | SIM:ESM5 | Buy | 8 | 5360.25 | Aggressive |
| 2025-04-17T02:56:42.863 | SIM:ESM5 | Buy | 7 | 5360.25 | Aggressive |
| 2025-04-17T02:56:42.863 | SIM:ESM5 | Buy | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:56:43.488 | SIM:ESM5 | Buy | 1 | 5360.25 | Passive |
| 2025-04-17T02:56:46.64 | SIM:ESM5 | Buy | 11 | 5360.25 | Aggressive |
| 2025-04-17T02:56:46.64 | SIM:ESM5 | Buy | 5 | 5360.25 | Passive |
| 2025-04-17T02:56:54.111 | SIM:ESM5 | Buy | 4 | 5360.25 | Aggressive |
| 2025-04-17T02:56:54.819 | SIM:ESM5 | Buy | 3 | 5360.25 | Aggressive |
| 2025-04-17T02:56:54.819 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:56:57.273 | SIM:ESM5 | Buy | 5 | 5360.25 | Aggressive |
| 2025-04-17T02:56:57.273 | SIM:ESM5 | Buy | 2 | 5360.25 | Aggressive |