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
-0.0600
Slippage Sweep
-0.4050
Arrival Price
5,944.8750
Average Total
5,944.8150
Destination Price
5,944.6250
Sweep to Fill
5,945.2200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:28:23.312 | SIM:ESM5 | Buy | 20 | 5944.75 | Aggressive |
| 2025-06-02T14:28:22.291 | SIM:ESM5 | Buy | 5 | 5945 | Aggressive |
| 2025-06-02T14:28:22.291 | SIM:ESM5 | Buy | 17 | 5944.75 | Aggressive |
| 2025-06-02T14:28:21.293 | SIM:ESM5 | Buy | 4 | 5945 | Aggressive |
| 2025-06-02T14:28:20.317 | SIM:ESM5 | Buy | 3 | 5945 | Aggressive |
| 2025-06-02T14:28:19.317 | SIM:ESM5 | Buy | 1 | 5945 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1600
Slippage Sweep
-0.0700
Arrival Price
5,945.6250
Average Total
5,945.4650
Destination Price
5,945.6250
Sweep to Fill
5,945.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:27:48.767 | SIM:ESM5 | Sell | 18 | 5945.5 | Aggressive |
| 2025-06-02T14:27:47.142 | SIM:ESM5 | Sell | 2 | 5945.5 | Aggressive |
| 2025-06-02T14:27:47.141 | SIM:ESM5 | Sell | 2 | 5945.5 | Passive |
| 2025-06-02T14:27:46.068 | SIM:ESM5 | Sell | 7 | 5945.25 | Aggressive |
| 2025-06-02T14:27:42.126 | SIM:ESM5 | Sell | 10 | 5945.5 | Aggressive |
| 2025-06-02T14:27:41.115 | SIM:ESM5 | Sell | 1 | 5945.5 | Aggressive |
| 2025-06-02T14:27:41.114 | SIM:ESM5 | Sell | 10 | 5945.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.3600
Arrival Price
5,945.6250
Average Total
5,945.5250
Destination Price
5,945.3750
Sweep to Fill
5,945.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:27:39.012 | SIM:ESM5 | Buy | 45 | 5945.5 | Aggressive |
| 2025-06-02T14:27:37.956 | SIM:ESM5 | Buy | 4 | 5945.75 | Aggressive |
| 2025-06-02T14:27:37.017 | SIM:ESM5 | Buy | 1 | 5945.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1700
Slippage Sweep
-0.2950
Arrival Price
5,945.1250
Average Total
5,945.2950
Destination Price
5,945.6250
Sweep to Fill
5,945.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:27:06.385 | SIM:ESM5 | Sell | 29 | 5945.5 | Aggressive |
| 2025-06-02T14:27:05.38 | SIM:ESM5 | Sell | 10 | 5945 | Aggressive |
| 2025-06-02T14:27:04.337 | SIM:ESM5 | Sell | 10 | 5945 | Aggressive |
| 2025-06-02T14:27:03.444 | SIM:ESM5 | Sell | 1 | 5945.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5800
Slippage Sweep
0.3900
Arrival Price
5,944.8750
Average Total
5,945.4550
Destination Price
5,945.3750
Sweep to Fill
5,945.0650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:26:59.586 | SIM:ESM5 | Buy | 4 | 5945.5 | Aggressive |
| 2025-06-02T14:26:56.414 | SIM:ESM5 | Buy | 11 | 5945.5 | Aggressive |
| 2025-06-02T14:27:03.123 | SIM:ESM5 | Buy | 1 | 5945.25 | Passive |
| 2025-06-02T14:27:02.44 | SIM:ESM5 | Buy | 2 | 5945.5 | Aggressive |
| 2025-06-02T14:27:01.434 | SIM:ESM5 | Buy | 6 | 5945.5 | Aggressive |
| 2025-06-02T14:27:00.415 | SIM:ESM5 | Buy | 9 | 5945.75 | Aggressive |
| 2025-06-02T14:26:55.412 | SIM:ESM5 | Buy | 1 | 5945.25 | Aggressive |
| 2025-06-02T14:26:55.412 | SIM:ESM5 | Buy | 5 | 5945.25 | Aggressive |
| 2025-06-02T14:26:52.412 | SIM:ESM5 | Buy | 10 | 5945.25 | Aggressive |
| 2025-06-02T14:26:51.316 | SIM:ESM5 | Buy | 1 | 5945.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1100
Slippage Sweep
-0.4400
Arrival Price
5,945.6250
Average Total
5,945.7350
Destination Price
5,945.8750
Sweep to Fill
5,945.2950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:26:19.628 | SIM:ESM5 | Sell | 3 | 5945.5 | Aggressive |
| 2025-06-02T14:26:19.627 | SIM:ESM5 | Sell | 47 | 5945.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9800
Slippage Sweep
0.6900
Arrival Price
5,944.1250
Average Total
5,945.1050
Destination Price
5,945.6250
Sweep to Fill
5,944.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:26:17.004 | SIM:ESM5 | Buy | 3 | 5945.75 | Aggressive |
| 2025-06-02T14:26:16.727 | SIM:ESM5 | Buy | 12 | 5945.75 | Aggressive |
| 2025-06-02T14:26:09.979 | SIM:ESM5 | Buy | 8 | 5944.75 | Aggressive |
| 2025-06-02T14:26:19.222 | SIM:ESM5 | Buy | 3 | 5945.75 | Aggressive |
| 2025-06-02T14:26:12.983 | SIM:ESM5 | Buy | 2 | 5945 | Aggressive |
| 2025-06-02T14:26:12.983 | SIM:ESM5 | Buy | 5 | 5945 | Aggressive |
| 2025-06-02T14:26:11.975 | SIM:ESM5 | Buy | 3 | 5944.75 | Aggressive |
| 2025-06-02T14:26:11.051 | SIM:ESM5 | Buy | 8 | 5944.75 | Aggressive |
| 2025-06-02T14:26:07.973 | SIM:ESM5 | Buy | 4 | 5944.5 | Aggressive |
| 2025-06-02T14:26:06.94 | SIM:ESM5 | Buy | 1 | 5944.25 | Aggressive |
| 2025-06-02T14:26:05.903 | SIM:ESM5 | Buy | 1 | 5944.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4900
Slippage Sweep
0.1800
Arrival Price
5,945.6250
Average Total
5,945.1350
Destination Price
5,944.6250
Sweep to Fill
5,945.3150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:25:35.413 | SIM:ESM5 | Sell | 2 | 5944.75 | Aggressive |
| 2025-06-02T14:25:35.413 | SIM:ESM5 | Sell | 2 | 5944.75 | Passive |
| 2025-06-02T14:25:35.413 | SIM:ESM5 | Sell | 1 | 5944.75 | Passive |
| 2025-06-02T14:25:35.412 | SIM:ESM5 | Sell | 1 | 5944.75 | Passive |
| 2025-06-02T14:25:31.443 | SIM:ESM5 | Sell | 20 | 5945 | Aggressive |
| 2025-06-02T14:25:26.255 | SIM:ESM5 | Sell | 4 | 5945 | Aggressive |
| 2025-06-02T14:25:25.312 | SIM:ESM5 | Sell | 7 | 5945.25 | Aggressive |
| 2025-06-02T14:25:22.218 | SIM:ESM5 | Sell | 12 | 5945.5 | Aggressive |
| 2025-06-02T14:25:21.212 | SIM:ESM5 | Sell | 1 | 5945.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.2200
Arrival Price
5,945.6250
Average Total
5,945.5500
Destination Price
5,945.3750
Sweep to Fill
5,945.7700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:25:20.812 | SIM:ESM5 | Buy | 4 | 5945.75 | Aggressive |
| 2025-06-02T14:25:20.812 | SIM:ESM5 | Buy | 34 | 5945.5 | Aggressive |
| 2025-06-02T14:25:19.849 | SIM:ESM5 | Buy | 5 | 5945.75 | Aggressive |
| 2025-06-02T14:25:19.849 | SIM:ESM5 | Buy | 3 | 5945.5 | Aggressive |
| 2025-06-02T14:25:19.849 | SIM:ESM5 | Buy | 3 | 5945.5 | Passive |
| 2025-06-02T14:25:18.766 | SIM:ESM5 | Buy | 1 | 5945.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0100
Slippage Sweep
-0.2200
Arrival Price
5,946.3750
Average Total
5,946.3850
Destination Price
5,946.6250
Sweep to Fill
5,946.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:24:48.452 | SIM:ESM5 | Sell | 27 | 5946.5 | Aggressive |
| 2025-06-02T14:24:47.516 | SIM:ESM5 | Sell | 22 | 5946.25 | Aggressive |
| 2025-06-02T14:24:45.412 | SIM:ESM5 | Sell | 1 | 5946.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7350
Slippage Sweep
0.6100
Arrival Price
5,945.3750
Average Total
5,946.1100
Destination Price
5,946.3750
Sweep to Fill
5,945.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:24:39.945 | SIM:ESM5 | Buy | 14 | 5946.25 | Aggressive |
| 2025-06-02T14:24:36.917 | SIM:ESM5 | Buy | 8 | 5946 | Aggressive |
| 2025-06-02T14:24:35.716 | SIM:ESM5 | Buy | 4 | 5946.5 | Aggressive |
| 2025-06-02T14:24:32.693 | SIM:ESM5 | Buy | 7 | 5945.5 | Aggressive |
| 2025-06-02T14:24:44.926 | SIM:ESM5 | Buy | 2 | 5946.25 | Passive |
| 2025-06-02T14:24:44.926 | SIM:ESM5 | Buy | 3 | 5946.25 | Passive |
| 2025-06-02T14:24:44.926 | SIM:ESM5 | Buy | 3 | 5946.25 | Passive |
| 2025-06-02T14:24:43.802 | SIM:ESM5 | Buy | 6 | 5946.25 | Aggressive |
| 2025-06-02T14:24:39.761 | SIM:ESM5 | Buy | 2 | 5946.25 | Aggressive |
| 2025-06-02T14:24:31.695 | SIM:ESM5 | Buy | 1 | 5945.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
0.0000
Arrival Price
5,942.8750
Average Total
5,942.7500
Destination Price
5,942.8750
Sweep to Fill
5,942.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:23:58.488 | SIM:ESM5 | Sell | 9 | 5942.75 | Aggressive |
| 2025-06-02T14:23:57.426 | SIM:ESM5 | Sell | 14 | 5942.75 | Aggressive |
| 2025-06-02T14:23:56.384 | SIM:ESM5 | Sell | 6 | 5942.75 | Aggressive |
| 2025-06-02T14:24:01.494 | SIM:ESM5 | Sell | 12 | 5942.75 | Aggressive |
| 2025-06-02T14:24:00.025 | SIM:ESM5 | Sell | 8 | 5942.75 | Aggressive |
| 2025-06-02T14:23:55.546 | SIM:ESM5 | Sell | 1 | 5942.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.0350
Arrival Price
5,943.1250
Average Total
5,943.2150
Destination Price
5,943.1250
Sweep to Fill
5,943.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:23:54.834 | SIM:ESM5 | Buy | 5 | 5943 | Passive |
| 2025-06-02T14:23:51.456 | SIM:ESM5 | Buy | 8 | 5943.25 | Aggressive |
| 2025-06-02T14:23:49.49 | SIM:ESM5 | Buy | 10 | 5943.25 | Aggressive |
| 2025-06-02T14:23:52.471 | SIM:ESM5 | Buy | 8 | 5943.25 | Aggressive |
| 2025-06-02T14:23:51.204 | SIM:ESM5 | Buy | 8 | 5943.25 | Aggressive |
| 2025-06-02T14:23:51.204 | SIM:ESM5 | Buy | 1 | 5943 | Aggressive |
| 2025-06-02T14:23:51.203 | SIM:ESM5 | Buy | 1 | 5943 | Passive |
| 2025-06-02T14:23:50.457 | SIM:ESM5 | Buy | 8 | 5943.25 | Aggressive |
| 2025-06-02T14:23:47.465 | SIM:ESM5 | Buy | 1 | 5943.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3750
Slippage Sweep
0.2300
Arrival Price
5,942.6250
Average Total
5,942.2500
Destination Price
5,942.3750
Sweep to Fill
5,942.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:23:11.013 | SIM:ESM5 | Sell | 3 | 5942.5 | Passive |
| 2025-06-02T14:23:11.013 | SIM:ESM5 | Sell | 2 | 5942.5 | Passive |
| 2025-06-02T14:23:11.013 | SIM:ESM5 | Sell | 2 | 5942.5 | Passive |
| 2025-06-02T14:23:11.013 | SIM:ESM5 | Sell | 1 | 5942.5 | Passive |
| 2025-06-02T14:23:11.013 | SIM:ESM5 | Sell | 1 | 5942.5 | Passive |
| 2025-06-02T14:23:07.966 | SIM:ESM5 | Sell | 5 | 5942 | Aggressive |
| 2025-06-02T14:23:17.234 | SIM:ESM5 | Sell | 7 | 5942.25 | Aggressive |
| 2025-06-02T14:23:17.038 | SIM:ESM5 | Sell | 6 | 5942.25 | Aggressive |
| 2025-06-02T14:23:15.048 | SIM:ESM5 | Sell | 8 | 5942.25 | Aggressive |
| 2025-06-02T14:23:09.026 | SIM:ESM5 | Sell | 4 | 5942 | Aggressive |
| 2025-06-02T14:23:07.012 | SIM:ESM5 | Sell | 5 | 5942.25 | Aggressive |
| 2025-06-02T14:23:05.944 | SIM:ESM5 | Sell | 5 | 5942.25 | Aggressive |
| 2025-06-02T14:23:04.942 | SIM:ESM5 | Sell | 1 | 5942.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0350
Slippage Sweep
-0.2900
Arrival Price
5,942.8750
Average Total
5,942.8400
Destination Price
5,942.6250
Sweep to Fill
5,943.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:23:04.451 | SIM:ESM5 | Buy | 16 | 5942.75 | Aggressive |
| 2025-06-02T14:23:04.451 | SIM:ESM5 | Buy | 16 | 5942.75 | Aggressive |
| 2025-06-02T14:23:03.42 | SIM:ESM5 | Buy | 13 | 5943 | Aggressive |
| 2025-06-02T14:23:00.393 | SIM:ESM5 | Buy | 4 | 5943 | Aggressive |
| 2025-06-02T14:22:59.384 | SIM:ESM5 | Buy | 1 | 5943 | Aggressive |