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
1.0250
Slippage Sweep
0.1739
Arrival Price
5,362.0000
Average Total
5,360.9750
Destination Price
5,361.0000
Sweep to Fill
5,361.1489
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:55:44.512 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T02:55:44.512 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:55:46.612 | SIM:ESM5 | Sell | 3 | 5361.25 | Aggressive |
| 2025-04-17T02:55:46.612 | SIM:ESM5 | Sell | 1 | 5361.25 | Passive |
| 2025-04-17T02:55:47.567 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:55:47.567 | SIM:ESM5 | Sell | 3 | 5361 | Aggressive |
| 2025-04-17T02:55:48.781 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T02:55:48.781 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T02:55:50.178 | SIM:ESM5 | Sell | 3 | 5361 | Aggressive |
| 2025-04-17T02:55:50.178 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:55:51.081 | SIM:ESM5 | Sell | 4 | 5361 | Aggressive |
| 2025-04-17T02:55:51.081 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T02:55:51.571 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T02:55:51.571 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T02:55:52.736 | SIM:ESM5 | Sell | 3 | 5361 | Aggressive |
| 2025-04-17T02:55:54.298 | SIM:ESM5 | Sell | 3 | 5361 | Aggressive |
| 2025-04-17T02:55:54.298 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T02:55:54.765 | SIM:ESM5 | Sell | 6 | 5360.75 | Aggressive |
| 2025-04-17T02:55:54.766 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T02:55:55.796 | SIM:ESM5 | Sell | 6 | 5360.75 | Aggressive |
| 2025-04-17T02:55:55.796 | SIM:ESM5 | Sell | 1 | 5360.75 | Passive |
| 2025-04-17T02:55:56.468 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T02:55:56.475 | SIM:ESM5 | Sell | 1 | 5361.25 | Passive |
| 2025-04-17T02:55:58.46 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5750
Slippage Sweep
0.0350
Arrival Price
5,362.5000
Average Total
5,363.0750
Destination Price
5,363.1250
Sweep to Fill
5,363.0400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:54:38.559 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:54:39.332 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:54:40.289 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:54:41.313 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:54:48.341 | SIM:ESM5 | Buy | 8 | 5363.25 | Aggressive |
| 2025-04-17T02:54:48.342 | SIM:ESM5 | Buy | 4 | 5363.25 | Passive |
| 2025-04-17T02:54:50.058 | SIM:ESM5 | Buy | 3 | 5363.25 | Aggressive |
| 2025-04-17T02:54:50.058 | SIM:ESM5 | Buy | 4 | 5363.25 | Aggressive |
| 2025-04-17T02:54:50.546 | SIM:ESM5 | Buy | 2 | 5363.25 | Aggressive |
| 2025-04-17T02:55:03.707 | SIM:ESM5 | Buy | 1 | 5362.75 | Passive |
| 2025-04-17T02:55:10.369 | SIM:ESM5 | Buy | 6 | 5363 | Aggressive |
| 2025-04-17T02:55:10.369 | SIM:ESM5 | Buy | 2 | 5363 | Passive |
| 2025-04-17T02:55:10.369 | SIM:ESM5 | Buy | 4 | 5363 | Passive |
| 2025-04-17T02:55:10.37 | SIM:ESM5 | Buy | 1 | 5363 | Passive |
| 2025-04-17T02:55:10.37 | SIM:ESM5 | Buy | 2 | 5363 | Passive |
| 2025-04-17T02:55:11.553 | SIM:ESM5 | Buy | 2 | 5363.25 | Aggressive |
| 2025-04-17T02:55:13.458 | SIM:ESM5 | Buy | 1 | 5363.25 | Aggressive |
| 2025-04-17T02:55:15.702 | SIM:ESM5 | Buy | 3 | 5363.25 | Aggressive |
| 2025-04-17T02:55:15.702 | SIM:ESM5 | Buy | 1 | 5363.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2050
Slippage Sweep
-0.9550
Arrival Price
5,361.1250
Average Total
5,361.3300
Destination Price
5,361.5000
Sweep to Fill
5,360.3750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:53:30.219 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:53:31.989 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:53:33.213 | SIM:ESM5 | Sell | 1 | 5361.25 | Passive |
| 2025-04-17T02:53:35.012 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:53:35.012 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:53:36.672 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:53:37.075 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:53:43.926 | SIM:ESM5 | Sell | 1 | 5361.25 | Passive |
| 2025-04-17T02:53:43.926 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:53:44.133 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:53:44.134 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:53:48.272 | SIM:ESM5 | Sell | 1 | 5361.25 | Passive |
| 2025-04-17T02:53:52.257 | SIM:ESM5 | Sell | 6 | 5361.5 | Aggressive |
| 2025-04-17T02:53:52.257 | SIM:ESM5 | Sell | 3 | 5361.25 | Aggressive |
| 2025-04-17T02:53:53.656 | SIM:ESM5 | Sell | 3 | 5361.5 | Aggressive |
| 2025-04-17T02:53:54.253 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:53:55.545 | SIM:ESM5 | Sell | 5 | 5361.25 | Aggressive |
| 2025-04-17T02:53:55.545 | SIM:ESM5 | Sell | 7 | 5361.25 | Aggressive |
| 2025-04-17T02:53:55.714 | SIM:ESM5 | Sell | 1 | 5361.5 | Passive |
| 2025-04-17T02:53:55.714 | SIM:ESM5 | Sell | 1 | 5361.5 | Passive |
| 2025-04-17T02:53:55.714 | SIM:ESM5 | Sell | 2 | 5361.5 | Passive |
| 2025-04-17T02:53:55.714 | SIM:ESM5 | Sell | 2 | 5361.5 | Passive |
| 2025-04-17T02:53:55.714 | SIM:ESM5 | Sell | 3 | 5361.5 | Passive |
| 2025-04-17T02:53:55.714 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.8000
Arrival Price
5,361.8750
Average Total
5,361.8000
Destination Price
5,361.2500
Sweep to Fill
5,362.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:50:35.012 | SIM:ESM5 | Buy | 1 | 5362 | Aggressive |
| 2025-04-17T02:50:36.152 | SIM:ESM5 | Buy | 1 | 5362 | Aggressive |
| 2025-04-17T02:50:37.062 | SIM:ESM5 | Buy | 1 | 5362 | Aggressive |
| 2025-04-17T02:50:38.483 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:50:40.012 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:50:41.058 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:50:41.058 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:50:45.143 | SIM:ESM5 | Buy | 1 | 5362 | Aggressive |
| 2025-04-17T02:50:46.088 | SIM:ESM5 | Buy | 10 | 5362.25 | Aggressive |
| 2025-04-17T02:50:47.149 | SIM:ESM5 | Buy | 4 | 5362.25 | Aggressive |
| 2025-04-17T02:50:47.413 | SIM:ESM5 | Buy | 1 | 5362 | Passive |
| 2025-04-17T02:50:47.414 | SIM:ESM5 | Buy | 1 | 5362 | Passive |
| 2025-04-17T02:50:50.822 | SIM:ESM5 | Buy | 1 | 5361.75 | Passive |
| 2025-04-17T02:50:55.267 | SIM:ESM5 | Buy | 3 | 5361.5 | Aggressive |
| 2025-04-17T02:50:55.267 | SIM:ESM5 | Buy | 1 | 5361.5 | Passive |
| 2025-04-17T02:50:57.532 | SIM:ESM5 | Buy | 10 | 5361.5 | Aggressive |
| 2025-04-17T02:50:57.532 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:50:57.532 | SIM:ESM5 | Buy | 8 | 5361.5 | Passive |
| 2025-04-17T02:50:57.612 | SIM:ESM5 | Buy | 2 | 5361.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9200
Slippage Sweep
0.1856
Arrival Price
5,362.1250
Average Total
5,361.2050
Destination Price
5,361.3750
Sweep to Fill
5,361.3906
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:49:26.15 | SIM:ESM5 | Sell | 1 | 5362.25 | Aggressive |
| 2025-04-17T02:49:28.727 | SIM:ESM5 | Sell | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:49:29.276 | SIM:ESM5 | Sell | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:49:36.312 | SIM:ESM5 | Sell | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:49:36.312 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T02:49:37.54 | SIM:ESM5 | Sell | 2 | 5361.75 | Passive |
| 2025-04-17T02:49:39.612 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:39.612 | SIM:ESM5 | Sell | 6 | 5361 | Aggressive |
| 2025-04-17T02:49:39.912 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:39.912 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:39.938 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:40.318 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:40.318 | SIM:ESM5 | Sell | 6 | 5361 | Aggressive |
| 2025-04-17T02:49:41.478 | SIM:ESM5 | Sell | 4 | 5361 | Aggressive |
| 2025-04-17T02:49:41.478 | SIM:ESM5 | Sell | 3 | 5360.75 | Aggressive |
| 2025-04-17T02:49:42.565 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:42.565 | SIM:ESM5 | Sell | 5 | 5361 | Aggressive |
| 2025-04-17T02:49:43.567 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:49:43.567 | SIM:ESM5 | Sell | 4 | 5361 | Aggressive |
| 2025-04-17T02:49:44.444 | SIM:ESM5 | Sell | 4 | 5361.25 | Aggressive |
| 2025-04-17T02:49:44.444 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:49:45.344 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3750
Slippage Sweep
-1.1300
Arrival Price
5,361.2500
Average Total
5,361.6250
Destination Price
5,362.2500
Sweep to Fill
5,360.4950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:47:15.112 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:47:17.226 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:47:19.247 | SIM:ESM5 | Sell | 3 | 5361.5 | Aggressive |
| 2025-04-17T02:47:19.712 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:47:20.075 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:47:27.275 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:47:29.147 | SIM:ESM5 | Sell | 4 | 5361.5 | Aggressive |
| 2025-04-17T02:47:29.147 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T02:47:30.305 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:47:31.259 | SIM:ESM5 | Sell | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:47:31.259 | SIM:ESM5 | Sell | 7 | 5361.5 | Aggressive |
| 2025-04-17T02:47:32.504 | SIM:ESM5 | Sell | 4 | 5361.75 | Aggressive |
| 2025-04-17T02:47:33.185 | SIM:ESM5 | Sell | 2 | 5361.75 | Aggressive |
| 2025-04-17T02:47:33.185 | SIM:ESM5 | Sell | 3 | 5361.5 | Aggressive |
| 2025-04-17T02:47:34.315 | SIM:ESM5 | Sell | 2 | 5361.75 | Aggressive |
| 2025-04-17T02:47:34.315 | SIM:ESM5 | Sell | 2 | 5361.5 | Aggressive |
| 2025-04-17T02:47:35.201 | SIM:ESM5 | Sell | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:48:14.873 | SIM:ESM5 | Sell | 1 | 5361.5 | Passive |
| 2025-04-17T02:48:15.57 | SIM:ESM5 | Sell | 5 | 5362 | Aggressive |
| 2025-04-17T02:48:15.57 | SIM:ESM5 | Sell | 7 | 5361.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3550
Slippage Sweep
-0.2450
Arrival Price
5,362.1250
Average Total
5,362.4800
Destination Price
5,362.3750
Sweep to Fill
5,362.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:46:01.041 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:02.936 | SIM:ESM5 | Buy | 1 | 5362 | Aggressive |
| 2025-04-17T02:46:04.033 | SIM:ESM5 | Buy | 4 | 5362.5 | Aggressive |
| 2025-04-17T02:46:04.033 | SIM:ESM5 | Buy | 1 | 5362.5 | Passive |
| 2025-04-17T02:46:06.272 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:07.029 | SIM:ESM5 | Buy | 4 | 5362.5 | Aggressive |
| 2025-04-17T02:46:07.029 | SIM:ESM5 | Buy | 1 | 5362.75 | Aggressive |
| 2025-04-17T02:46:08.101 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:08.101 | SIM:ESM5 | Buy | 2 | 5362.75 | Aggressive |
| 2025-04-17T02:46:09.329 | SIM:ESM5 | Buy | 3 | 5362.5 | Aggressive |
| 2025-04-17T02:46:09.329 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:09.329 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:10.105 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:11.524 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:46:13.08 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:46:14.483 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:46:22.287 | SIM:ESM5 | Buy | 4 | 5361.75 | Aggressive |
| 2025-04-17T02:46:22.287 | SIM:ESM5 | Buy | 2 | 5362 | Aggressive |
| 2025-04-17T02:46:27.129 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:46:28.879 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:46:28.88 | SIM:ESM5 | Buy | 2 | 5362.75 | Aggressive |
| 2025-04-17T02:46:30.163 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:46:30.163 | SIM:ESM5 | Buy | 6 | 5362.75 | Aggressive |
| 2025-04-17T02:46:30.164 | SIM:ESM5 | Buy | 3 | 5362.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.1150
Slippage Sweep
0.2900
Arrival Price
5,361.5000
Average Total
5,360.3850
Destination Price
5,360.3750
Sweep to Fill
5,360.6750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:44:30.262 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:44:31.886 | SIM:ESM5 | Sell | 1 | 5361 | Passive |
| 2025-04-17T02:44:32.477 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:44:35.424 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:44:37.419 | SIM:ESM5 | Sell | 1 | 5361 | Aggressive |
| 2025-04-17T02:44:38.37 | SIM:ESM5 | Sell | 4 | 5361 | Aggressive |
| 2025-04-17T02:44:40.106 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:44:40.106 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:44:40.391 | SIM:ESM5 | Sell | 4 | 5360.5 | Aggressive |
| 2025-04-17T02:44:40.391 | SIM:ESM5 | Sell | 1 | 5360.5 | Passive |
| 2025-04-17T02:44:41.45 | SIM:ESM5 | Sell | 4 | 5360.5 | Aggressive |
| 2025-04-17T02:44:41.45 | SIM:ESM5 | Sell | 1 | 5360.5 | Passive |
| 2025-04-17T02:44:42.574 | SIM:ESM5 | Sell | 4 | 5360.5 | Aggressive |
| 2025-04-17T02:44:42.574 | SIM:ESM5 | Sell | 2 | 5360.5 | Passive |
| 2025-04-17T02:44:43.423 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:44:43.423 | SIM:ESM5 | Sell | 2 | 5360 | Aggressive |
| 2025-04-17T02:44:44.429 | SIM:ESM5 | Sell | 4 | 5360 | Aggressive |
| 2025-04-17T02:44:44.429 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T02:44:46.642 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:44:46.642 | SIM:ESM5 | Sell | 5 | 5360 | Aggressive |
| 2025-04-17T02:44:46.642 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.8300
Arrival Price
5,360.3750
Average Total
5,360.4450
Destination Price
5,360.8750
Sweep to Fill
5,359.6150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:42:55.338 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:42:55.962 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:42:56.839 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
| 2025-04-17T02:42:59.774 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:43:00.812 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:00.812 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:43:02.901 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:04.14 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:05.825 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:05.825 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:43:08.18 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:43:09.923 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:43:14.786 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
| 2025-04-17T02:43:14.786 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:43:17.922 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:43:17.922 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:43:25.945 | SIM:ESM5 | Sell | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:43:25.945 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:43:28.128 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:29.26 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:29.26 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:30.212 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:32.06 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:37.053 | SIM:ESM5 | Sell | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:43:37.053 | SIM:ESM5 | Sell | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:43:38.189 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:43:38.189 | SIM:ESM5 | Sell | 1 | 5360.5 | Passive |
| 2025-04-17T02:43:39.535 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:43:40.079 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T02:43:40.079 | SIM:ESM5 | Sell | 3 | 5360.5 | Aggressive |
| 2025-04-17T02:43:41.327 | SIM:ESM5 | Sell | 1 | 5360.75 | Aggressive |
| 2025-04-17T02:43:41.327 | SIM:ESM5 | Sell | 2 | 5360.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0550
Slippage Sweep
-0.6325
Arrival Price
5,359.3750
Average Total
5,359.3200
Destination Price
5,359.8750
Sweep to Fill
5,358.6875
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:40:22.897 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:40:23.586 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:40:24.63 | SIM:ESM5 | Sell | 2 | 5358.75 | Aggressive |
| 2025-04-17T02:40:24.63 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:40:31.185 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:40:33.685 | SIM:ESM5 | Sell | 4 | 5358.75 | Aggressive |
| 2025-04-17T02:40:34.712 | SIM:ESM5 | Sell | 7 | 5358.75 | Aggressive |
| 2025-04-17T02:40:35.313 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:40:43.425 | SIM:ESM5 | Sell | 6 | 5359.5 | Aggressive |
| 2025-04-17T02:40:43.425 | SIM:ESM5 | Sell | 3 | 5359.5 | Aggressive |
| 2025-04-17T02:40:43.789 | SIM:ESM5 | Sell | 2 | 5359.75 | Aggressive |
| 2025-04-17T02:40:43.789 | SIM:ESM5 | Sell | 2 | 5359.5 | Aggressive |
| 2025-04-17T02:40:45.224 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T02:40:45.859 | SIM:ESM5 | Sell | 1 | 5359.75 | Aggressive |
| 2025-04-17T02:40:48.79 | SIM:ESM5 | Sell | 3 | 5359.5 | Aggressive |
| 2025-04-17T02:40:49.345 | SIM:ESM5 | Sell | 2 | 5359.5 | Aggressive |
| 2025-04-17T02:40:49.842 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:40:52.112 | SIM:ESM5 | Sell | 1 | 5359.5 | Aggressive |
| 2025-04-17T02:40:57.918 | SIM:ESM5 | Sell | 4 | 5359.75 | Aggressive |
| 2025-04-17T02:40:57.918 | SIM:ESM5 | Sell | 3 | 5359.75 | Aggressive |
| 2025-04-17T02:40:59.92 | SIM:ESM5 | Sell | 3 | 5359.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1600
Slippage Sweep
-0.9200
Arrival Price
5,361.1250
Average Total
5,360.9650
Destination Price
5,360.3750
Sweep to Fill
5,361.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:39:40.216 | SIM:ESM5 | Buy | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:39:41.885 | SIM:ESM5 | Buy | 3 | 5361.5 | Aggressive |
| 2025-04-17T02:39:46.973 | SIM:ESM5 | Buy | 4 | 5361.5 | Aggressive |
| 2025-04-17T02:39:46.973 | SIM:ESM5 | Buy | 1 | 5361.5 | Passive |
| 2025-04-17T02:39:50.126 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:39:50.126 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:39:50.726 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:39:55.988 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T02:39:57.202 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T02:39:58.012 | SIM:ESM5 | Buy | 2 | 5360.75 | Aggressive |
| 2025-04-17T02:39:58.012 | SIM:ESM5 | Buy | 5 | 5361 | Aggressive |
| 2025-04-17T02:39:59.012 | SIM:ESM5 | Buy | 2 | 5360.75 | Aggressive |
| 2025-04-17T02:39:59.012 | SIM:ESM5 | Buy | 1 | 5361 | Aggressive |
| 2025-04-17T02:40:00.123 | SIM:ESM5 | Buy | 3 | 5360.75 | Aggressive |
| 2025-04-17T02:40:04.083 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:40:04.083 | SIM:ESM5 | Buy | 7 | 5360.75 | Aggressive |
| 2025-04-17T02:40:04.084 | SIM:ESM5 | Buy | 5 | 5361 | Aggressive |
| 2025-04-17T02:40:05.05 | SIM:ESM5 | Buy | 4 | 5360.5 | Aggressive |
| 2025-04-17T02:40:05.05 | SIM:ESM5 | Buy | 6 | 5360.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.8998
Arrival Price
5,361.6250
Average Total
5,361.7900
Destination Price
5,362.7500
Sweep to Fill
5,360.8902
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:38:02.939 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:38:04.805 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:38:05.745 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:38:07.82 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:38:09.784 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T02:38:09.784 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T02:38:12.917 | SIM:ESM5 | Sell | 4 | 5361.25 | Aggressive |
| 2025-04-17T02:38:12.917 | SIM:ESM5 | Sell | 2 | 5361 | Aggressive |
| 2025-04-17T02:38:14.09 | SIM:ESM5 | Sell | 4 | 5361.25 | Aggressive |
| 2025-04-17T02:38:14.875 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:38:14.918 | SIM:ESM5 | Sell | 1 | 5361.5 | Passive |
| 2025-04-17T02:38:17.023 | SIM:ESM5 | Sell | 6 | 5361.25 | Aggressive |
| 2025-04-17T02:38:17.023 | SIM:ESM5 | Sell | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:38:20.872 | SIM:ESM5 | Sell | 4 | 5362.75 | Aggressive |
| 2025-04-17T02:38:20.873 | SIM:ESM5 | Sell | 4 | 5362.5 | Aggressive |
| 2025-04-17T02:38:21.921 | SIM:ESM5 | Sell | 4 | 5362.5 | Aggressive |
| 2025-04-17T02:38:22.773 | SIM:ESM5 | Sell | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:38:22.961 | SIM:ESM5 | Sell | 7 | 5362.5 | Aggressive |
| 2025-04-17T02:38:22.961 | SIM:ESM5 | Sell | 1 | 5362.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5900
Slippage Sweep
-1.3100
Arrival Price
5,363.3750
Average Total
5,362.7850
Destination Price
5,362.5000
Sweep to Fill
5,364.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:37:30.081 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:37:30.081 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:37:30.081 | SIM:ESM5 | Buy | 1 | 5363.5 | Passive |
| 2025-04-17T02:37:30.081 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:37:30.081 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:37:30.081 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:37:32.107 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:37:33.96 | SIM:ESM5 | Buy | 4 | 5363.75 | Aggressive |
| 2025-04-17T02:37:35.9 | SIM:ESM5 | Buy | 4 | 5362.25 | Aggressive |
| 2025-04-17T02:37:35.9 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:37:36.923 | SIM:ESM5 | Buy | 11 | 5362.5 | Aggressive |
| 2025-04-17T02:37:36.923 | SIM:ESM5 | Buy | 1 | 5362.5 | Passive |
| 2025-04-17T02:37:38.081 | SIM:ESM5 | Buy | 7 | 5362.75 | Aggressive |
| 2025-04-17T02:37:38.152 | SIM:ESM5 | Buy | 2 | 5362.75 | Aggressive |
| 2025-04-17T02:37:38.284 | SIM:ESM5 | Buy | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:37:38.921 | SIM:ESM5 | Buy | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:37:38.921 | SIM:ESM5 | Buy | 1 | 5362.75 | Aggressive |
| 2025-04-17T02:37:40.012 | SIM:ESM5 | Buy | 4 | 5362.5 | Aggressive |
| 2025-04-17T02:37:40.012 | SIM:ESM5 | Buy | 2 | 5362.5 | Passive |
| 2025-04-17T02:37:41.115 | SIM:ESM5 | Buy | 3 | 5362.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4900
Slippage Sweep
-0.2520
Arrival Price
5,364.3750
Average Total
5,363.8850
Destination Price
5,363.8750
Sweep to Fill
5,363.6330
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:35:34.412 | SIM:ESM5 | Sell | 1 | 5364 | Aggressive |
| 2025-04-17T02:35:35.363 | SIM:ESM5 | Sell | 3 | 5363.5 | Aggressive |
| 2025-04-17T02:35:36.379 | SIM:ESM5 | Sell | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:35:37.387 | SIM:ESM5 | Sell | 2 | 5363.5 | Aggressive |
| 2025-04-17T02:35:37.387 | SIM:ESM5 | Sell | 4 | 5363.25 | Aggressive |
| 2025-04-17T02:35:42.468 | SIM:ESM5 | Sell | 4 | 5363.5 | Aggressive |
| 2025-04-17T02:35:56.622 | SIM:ESM5 | Sell | 1 | 5364 | Aggressive |
| 2025-04-17T02:35:59.866 | SIM:ESM5 | Sell | 1 | 5364 | Aggressive |
| 2025-04-17T02:35:59.866 | SIM:ESM5 | Sell | 1 | 5364 | Aggressive |
| 2025-04-17T02:36:00.615 | SIM:ESM5 | Sell | 5 | 5363.75 | Aggressive |
| 2025-04-17T02:36:00.615 | SIM:ESM5 | Sell | 2 | 5363.75 | Aggressive |
| 2025-04-17T02:36:18.738 | SIM:ESM5 | Sell | 2 | 5364.25 | Aggressive |
| 2025-04-17T02:36:19.968 | SIM:ESM5 | Sell | 1 | 5364.5 | Aggressive |
| 2025-04-17T02:36:20.916 | SIM:ESM5 | Sell | 2 | 5364.5 | Aggressive |
| 2025-04-17T02:36:22.682 | SIM:ESM5 | Sell | 3 | 5364.5 | Aggressive |
| 2025-04-17T02:36:22.682 | SIM:ESM5 | Sell | 1 | 5364.5 | Passive |
| 2025-04-17T02:36:22.912 | SIM:ESM5 | Sell | 3 | 5364.25 | Aggressive |
| 2025-04-17T02:36:22.912 | SIM:ESM5 | Sell | 1 | 5364.25 | Passive |
| 2025-04-17T02:36:23.868 | SIM:ESM5 | Sell | 2 | 5364.25 | Aggressive |
| 2025-04-17T02:36:23.868 | SIM:ESM5 | Sell | 2 | 5364.25 | Aggressive |
| 2025-04-17T02:36:27.912 | SIM:ESM5 | Sell | 4 | 5363.75 | Aggressive |
| 2025-04-17T02:36:27.995 | SIM:ESM5 | Sell | 1 | 5363.75 | Aggressive |
| 2025-04-17T02:36:30.9 | SIM:ESM5 | Sell | 3 | 5363.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.3600
Slippage Sweep
-2.0350
Arrival Price
5,365.6250
Average Total
5,364.2650
Destination Price
5,362.7500
Sweep to Fill
5,366.3000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:35:11.483 | SIM:ESM5 | Buy | 1 | 5365.75 | Aggressive |
| 2025-04-17T02:35:13.372 | SIM:ESM5 | Buy | 1 | 5365.75 | Aggressive |
| 2025-04-17T02:35:15.414 | SIM:ESM5 | Buy | 9 | 5365 | Aggressive |
| 2025-04-17T02:35:15.414 | SIM:ESM5 | Buy | 1 | 5365.25 | Aggressive |
| 2025-04-17T02:35:15.414 | SIM:ESM5 | Buy | 5 | 5365 | Passive |
| 2025-04-17T02:35:16.426 | SIM:ESM5 | Buy | 12 | 5364.75 | Aggressive |
| 2025-04-17T02:35:16.504 | SIM:ESM5 | Buy | 1 | 5364.5 | Passive |
| 2025-04-17T02:35:16.504 | SIM:ESM5 | Buy | 1 | 5364.5 | Passive |
| 2025-04-17T02:35:16.504 | SIM:ESM5 | Buy | 1 | 5364.5 | Passive |
| 2025-04-17T02:35:17.37 | SIM:ESM5 | Buy | 3 | 5363.75 | Aggressive |
| 2025-04-17T02:35:18.371 | SIM:ESM5 | Buy | 5 | 5363.5 | Aggressive |
| 2025-04-17T02:35:18.451 | SIM:ESM5 | Buy | 2 | 5363.5 | Aggressive |
| 2025-04-17T02:35:19.379 | SIM:ESM5 | Buy | 4 | 5362.25 | Aggressive |
| 2025-04-17T02:35:19.379 | SIM:ESM5 | Buy | 1 | 5362.25 | Aggressive |
| 2025-04-17T02:35:20.443 | SIM:ESM5 | Buy | 3 | 5363 | Aggressive |