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
-0.1150
Slippage Sweep
-0.4200
Arrival Price
6,028.6250
Average Total
6,028.7400
Destination Price
6,028.8750
Sweep to Fill
6,028.3200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T15:12:57.484 | SIM:ESM5 | Sell | 8 | 6028.75 | Aggressive |
| 2025-06-11T15:12:56.535 | SIM:ESM5 | Sell | 1 | 6028.5 | Aggressive |
| 2025-06-11T15:12:56.535 | SIM:ESM5 | Sell | 22 | 6028.75 | Aggressive |
| 2025-06-11T15:12:55.291 | SIM:ESM5 | Sell | 2 | 6028.75 | Aggressive |
| 2025-06-11T15:13:00.092 | SIM:ESM5 | Sell | 16 | 6028.75 | Aggressive |
| 2025-06-11T15:12:54.526 | SIM:ESM5 | Sell | 1 | 6028.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1500
Slippage Sweep
-0.4000
Arrival Price
6,028.8750
Average Total
6,028.7250
Destination Price
6,028.6250
Sweep to Fill
6,029.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T15:12:52.359 | SIM:ESM5 | Buy | 25 | 6028.5 | Aggressive |
| 2025-06-11T15:12:49.309 | SIM:ESM5 | Buy | 1 | 6029 | Aggressive |
| 2025-06-11T15:12:48.532 | SIM:ESM5 | Buy | 3 | 6029 | Aggressive |
| 2025-06-11T15:12:46.658 | SIM:ESM5 | Buy | 5 | 6029 | Aggressive |
| 2025-06-11T15:12:53.592 | SIM:ESM5 | Buy | 4 | 6028.75 | Aggressive |
| 2025-06-11T15:12:50.313 | SIM:ESM5 | Buy | 7 | 6029 | Aggressive |
| 2025-06-11T15:12:47.298 | SIM:ESM5 | Buy | 3 | 6029 | Aggressive |
| 2025-06-11T15:12:45.246 | SIM:ESM5 | Buy | 1 | 6028.75 | Aggressive |
| 2025-06-11T15:12:44.584 | SIM:ESM5 | Buy | 1 | 6029 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2400
Slippage Sweep
-0.0450
Arrival Price
6,056.3750
Average Total
6,056.1350
Destination Price
6,056.6250
Sweep to Fill
6,056.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T10:29:53.372 | SIM:ESM5 | Sell | 4 | 6056.25 | Aggressive |
| 2025-06-11T10:29:58.401 | SIM:ESM5 | Sell | 20 | 6056.5 | Aggressive |
| 2025-06-11T10:29:51.324 | SIM:ESM5 | Sell | 4 | 6056.25 | Aggressive |
| 2025-06-11T10:29:45.265 | SIM:ESM5 | Sell | 2 | 6055.5 | Aggressive |
| 2025-06-11T10:29:52.37 | SIM:ESM5 | Sell | 9 | 6056.25 | Aggressive |
| 2025-06-11T10:29:46.261 | SIM:ESM5 | Sell | 7 | 6055.25 | Aggressive |
| 2025-06-11T10:29:46.261 | SIM:ESM5 | Sell | 1 | 6055.5 | Aggressive |
| 2025-06-11T10:29:46.261 | SIM:ESM5 | Sell | 1 | 6055.5 | Passive |
| 2025-06-11T10:29:44.253 | SIM:ESM5 | Sell | 1 | 6055.75 | Aggressive |
| 2025-06-11T10:29:44.029 | SIM:ESM5 | Sell | 1 | 6056 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2300
Slippage Sweep
0.0750
Arrival Price
6,056.8750
Average Total
6,057.1050
Destination Price
6,056.3750
Sweep to Fill
6,057.0300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T10:29:42.746 | SIM:ESM5 | Buy | 7 | 6056.5 | Aggressive |
| 2025-06-11T10:29:33.672 | SIM:ESM5 | Buy | 1 | 6057.25 | Aggressive |
| 2025-06-11T10:29:32.679 | SIM:ESM5 | Buy | 5 | 6057.25 | Aggressive |
| 2025-06-11T10:29:31.671 | SIM:ESM5 | Buy | 1 | 6057.25 | Aggressive |
| 2025-06-11T10:29:30.679 | SIM:ESM5 | Buy | 5 | 6057.25 | Aggressive |
| 2025-06-11T10:29:41.73 | SIM:ESM5 | Buy | 18 | 6057 | Aggressive |
| 2025-06-11T10:29:36.785 | SIM:ESM5 | Buy | 11 | 6057.5 | Aggressive |
| 2025-06-11T10:29:34.713 | SIM:ESM5 | Buy | 1 | 6057.25 | Aggressive |
| 2025-06-11T10:29:28.656 | SIM:ESM5 | Buy | 1 | 6057 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5750
Slippage Sweep
0.1350
Arrival Price
6,032.8750
Average Total
6,032.3000
Destination Price
6,031.8750
Sweep to Fill
6,032.4350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T04:58:42.795 | SIM:ESM5 | Sell | 4 | 6032 | Aggressive |
| 2025-06-11T04:58:42.795 | SIM:ESM5 | Sell | 2 | 6032 | Aggressive |
| 2025-06-11T04:57:05.001 | SIM:ESM5 | Sell | 1 | 6032.5 | Aggressive |
| 2025-06-11T04:57:02.02 | SIM:ESM5 | Sell | 2 | 6032.5 | Aggressive |
| 2025-06-11T04:57:00.97 | SIM:ESM5 | Sell | 1 | 6032.5 | Aggressive |
| 2025-06-11T04:56:33.827 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:33.827 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:58:48.835 | SIM:ESM5 | Sell | 8 | 6031.75 | Aggressive |
| 2025-06-11T04:57:26.287 | SIM:ESM5 | Sell | 4 | 6032.5 | Aggressive |
| 2025-06-11T04:57:26.287 | SIM:ESM5 | Sell | 2 | 6032.5 | Aggressive |
| 2025-06-11T04:57:19.287 | SIM:ESM5 | Sell | 2 | 6032.5 | Aggressive |
| 2025-06-11T04:57:09.344 | SIM:ESM5 | Sell | 1 | 6032.5 | Aggressive |
| 2025-06-11T04:56:46.018 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:45.94 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:43.165 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:43.165 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:34.77 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:25.633 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:58:41.787 | SIM:ESM5 | Sell | 1 | 6032 | Aggressive |
| 2025-06-11T04:58:29.724 | SIM:ESM5 | Sell | 2 | 6032 | Aggressive |
| 2025-06-11T04:57:40.276 | SIM:ESM5 | Sell | 8 | 6032.25 | Aggressive |
| 2025-06-11T04:57:39.258 | SIM:ESM5 | Sell | 1 | 6032.25 | Aggressive |
| 2025-06-11T04:56:27.711 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:23.784 | SIM:ESM5 | Sell | 1 | 6032.75 | Aggressive |
| 2025-06-11T04:56:19.787 | SIM:ESM5 | Sell | 1 | 6032.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3450
Slippage Sweep
-0.1350
Arrival Price
6,032.8750
Average Total
6,033.2200
Destination Price
6,032.8750
Sweep to Fill
6,033.3550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T04:56:16.249 | SIM:ESM5 | Buy | 3 | 6033 | Aggressive |
| 2025-06-11T04:56:10.928 | SIM:ESM5 | Buy | 2 | 6033 | Aggressive |
| 2025-06-11T04:56:10.927 | SIM:ESM5 | Buy | 2 | 6033 | Aggressive |
| 2025-06-11T04:55:34.017 | SIM:ESM5 | Buy | 1 | 6033.25 | Passive |
| 2025-06-11T04:55:34.017 | SIM:ESM5 | Buy | 1 | 6033.25 | Passive |
| 2025-06-11T04:55:23.547 | SIM:ESM5 | Buy | 5 | 6033.5 | Aggressive |
| 2025-06-11T04:56:05.907 | SIM:ESM5 | Buy | 1 | 6033.25 | Aggressive |
| 2025-06-11T04:55:28.348 | SIM:ESM5 | Buy | 2 | 6033.5 | Aggressive |
| 2025-06-11T04:55:23.547 | SIM:ESM5 | Buy | 5 | 6033.5 | Aggressive |
| 2025-06-11T04:55:23.547 | SIM:ESM5 | Buy | 1 | 6033.5 | Aggressive |
| 2025-06-11T04:54:52.287 | SIM:ESM5 | Buy | 3 | 6033.25 | Aggressive |
| 2025-06-11T04:54:22.662 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:54:16.092 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:54:09.097 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:54:05.289 | SIM:ESM5 | Buy | 1 | 6032.75 | Passive |
| 2025-06-11T04:54:05.288 | SIM:ESM5 | Buy | 1 | 6032.75 | Passive |
| 2025-06-11T04:56:15.235 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:56:15.235 | SIM:ESM5 | Buy | 2 | 6033 | Aggressive |
| 2025-06-11T04:54:56.321 | SIM:ESM5 | Buy | 1 | 6033.25 | Aggressive |
| 2025-06-11T04:54:54.122 | SIM:ESM5 | Buy | 1 | 6033.25 | Aggressive |
| 2025-06-11T04:54:33.008 | SIM:ESM5 | Buy | 2 | 6033.5 | Aggressive |
| 2025-06-11T04:54:30.186 | SIM:ESM5 | Buy | 1 | 6033.25 | Passive |
| 2025-06-11T04:54:30.186 | SIM:ESM5 | Buy | 2 | 6033.25 | Passive |
| 2025-06-11T04:54:30.185 | SIM:ESM5 | Buy | 2 | 6033.25 | Passive |
| 2025-06-11T04:54:30.185 | SIM:ESM5 | Buy | 2 | 6033.25 | Passive |
| 2025-06-11T04:53:58.256 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:53:57.431 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:53:54.67 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:53:49.784 | SIM:ESM5 | Buy | 1 | 6033 | Aggressive |
| 2025-06-11T04:53:43.634 | SIM:ESM5 | Buy | 1 | 6033.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.7950
Slippage Sweep
-1.3750
Arrival Price
6,026.8750
Average Total
6,026.0800
Destination Price
6,025.8750
Sweep to Fill
6,027.4550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-11T00:56:21.793 | SIM:ESM5 | Buy | 1 | 6026 | Aggressive |
| 2025-06-11T00:56:15.709 | SIM:ESM5 | Buy | 1 | 6026.25 | Passive |
| 2025-06-11T00:56:14.935 | SIM:ESM5 | Buy | 2 | 6026.5 | Aggressive |
| 2025-06-11T00:56:19.983 | SIM:ESM5 | Buy | 1 | 6026 | Aggressive |
| 2025-06-11T00:56:17.967 | SIM:ESM5 | Buy | 8 | 6026 | Aggressive |
| 2025-06-11T00:56:17.967 | SIM:ESM5 | Buy | 3 | 6025.75 | Aggressive |
| 2025-06-11T00:56:13.408 | SIM:ESM5 | Buy | 1 | 6026.75 | Aggressive |
| 2025-06-11T00:56:04.134 | SIM:ESM5 | Buy | 1 | 6027 | Aggressive |
| 2025-06-11T00:56:20.818 | SIM:ESM5 | Buy | 3 | 6026 | Aggressive |
| 2025-06-11T00:56:20.818 | SIM:ESM5 | Buy | 3 | 6026 | Aggressive |
| 2025-06-11T00:56:19.977 | SIM:ESM5 | Buy | 7 | 6026 | Aggressive |
| 2025-06-11T00:56:19.508 | SIM:ESM5 | Buy | 3 | 6026 | Passive |
| 2025-06-11T00:56:19.508 | SIM:ESM5 | Buy | 7 | 6026 | Aggressive |
| 2025-06-11T00:56:17.187 | SIM:ESM5 | Buy | 1 | 6026 | Passive |
| 2025-06-11T00:56:17.187 | SIM:ESM5 | Buy | 6 | 6026 | Aggressive |
| 2025-06-11T00:56:08.243 | SIM:ESM5 | Buy | 1 | 6026.75 | Passive |
| 2025-06-11T00:55:53.891 | SIM:ESM5 | Buy | 1 | 6027 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2700
Slippage Sweep
-0.7700
Arrival Price
6,029.3750
Average Total
6,029.1050
Destination Price
6,028.8750
Sweep to Fill
6,029.8750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T23:27:57.556 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-10T23:27:55.546 | SIM:ESM5 | Buy | 3 | 6029.25 | Aggressive |
| 2025-06-10T23:27:32.995 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:59.105 | SIM:ESM5 | Buy | 5 | 6029 | Passive |
| 2025-06-10T23:27:59.105 | SIM:ESM5 | Buy | 14 | 6029 | Aggressive |
| 2025-06-10T23:27:53.292 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:43.064 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:42.292 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:41.585 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:41.585 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:22.378 | SIM:ESM5 | Buy | 1 | 6029.5 | Aggressive |
| 2025-06-10T23:28:00.21 | SIM:ESM5 | Buy | 5 | 6029 | Aggressive |
| 2025-06-10T23:28:00.209 | SIM:ESM5 | Buy | 8 | 6029 | Aggressive |
| 2025-06-10T23:27:46.106 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T23:27:29.826 | SIM:ESM5 | Buy | 3 | 6029.25 | Aggressive |
| 2025-06-10T23:27:26.951 | SIM:ESM5 | Buy | 1 | 6029.5 | Aggressive |
| 2025-06-10T23:27:13.016 | SIM:ESM5 | Buy | 1 | 6029.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.3950
Arrival Price
6,029.3750
Average Total
6,029.5000
Destination Price
6,029.1250
Sweep to Fill
6,029.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T21:41:26.379 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:42:46.884 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-10T21:42:45.141 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-10T21:42:05.734 | SIM:ESM5 | Buy | 3 | 6029.75 | Aggressive |
| 2025-06-10T21:42:05.734 | SIM:ESM5 | Buy | 3 | 6029.75 | Aggressive |
| 2025-06-10T21:40:53.658 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:00.154 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:40:48.184 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:40:47.17 | SIM:ESM5 | Buy | 2 | 6029.75 | Aggressive |
| 2025-06-10T21:42:47.295 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-10T21:42:47.295 | SIM:ESM5 | Buy | 3 | 6029.25 | Aggressive |
| 2025-06-10T21:42:46.884 | SIM:ESM5 | Buy | 10 | 6029.25 | Aggressive |
| 2025-06-10T21:42:44.306 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T21:42:40.089 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-10T21:42:38.099 | SIM:ESM5 | Buy | 2 | 6029.25 | Aggressive |
| 2025-06-10T21:42:06.774 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:36.271 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:33.876 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:24.729 | SIM:ESM5 | Buy | 2 | 6029.75 | Aggressive |
| 2025-06-10T21:41:19.376 | SIM:ESM5 | Buy | 2 | 6029.75 | Aggressive |
| 2025-06-10T21:41:18.679 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:17.27 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:17.27 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:15.123 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:41:01.191 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:40:41.274 | SIM:ESM5 | Buy | 1 | 6029.5 | Aggressive |
| 2025-06-10T21:40:35.913 | SIM:ESM5 | Buy | 1 | 6029.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2500
Slippage Sweep
-0.7800
Arrival Price
6,028.8750
Average Total
6,029.1250
Destination Price
6,029.3750
Sweep to Fill
6,028.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T21:39:23.362 | SIM:ESM5 | Sell | 2 | 6029 | Aggressive |
| 2025-06-10T21:39:21.041 | SIM:ESM5 | Sell | 2 | 6029 | Aggressive |
| 2025-06-10T21:39:02.404 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
| 2025-06-10T21:40:01.223 | SIM:ESM5 | Sell | 1 | 6029 | Aggressive |
| 2025-06-10T21:39:30.139 | SIM:ESM5 | Sell | 3 | 6029.25 | Passive |
| 2025-06-10T21:38:55.275 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
| 2025-06-10T21:38:53.349 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
| 2025-06-10T21:38:53.349 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
| 2025-06-10T21:39:31.341 | SIM:ESM5 | Sell | 3 | 6029.25 | Aggressive |
| 2025-06-10T21:39:31.341 | SIM:ESM5 | Sell | 1 | 6029.25 | Aggressive |
| 2025-06-10T21:39:30.139 | SIM:ESM5 | Sell | 9 | 6029.25 | Aggressive |
| 2025-06-10T21:39:28.416 | SIM:ESM5 | Sell | 8 | 6029.25 | Aggressive |
| 2025-06-10T21:39:27.625 | SIM:ESM5 | Sell | 7 | 6029.25 | Aggressive |
| 2025-06-10T21:39:26.615 | SIM:ESM5 | Sell | 3 | 6029 | Aggressive |
| 2025-06-10T21:39:21.75 | SIM:ESM5 | Sell | 2 | 6029 | Aggressive |
| 2025-06-10T21:39:20.214 | SIM:ESM5 | Sell | 1 | 6029 | Passive |
| 2025-06-10T21:39:20.214 | SIM:ESM5 | Sell | 1 | 6029 | Passive |
| 2025-06-10T21:39:01.746 | SIM:ESM5 | Sell | 1 | 6029 | Passive |
| 2025-06-10T21:39:00.178 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
| 2025-06-10T21:38:36.07 | SIM:ESM5 | Sell | 1 | 6028.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2900
Slippage Sweep
-0.7000
Arrival Price
6,029.3750
Average Total
6,029.0850
Destination Price
6,028.8750
Sweep to Fill
6,029.7850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T21:38:15.534 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T21:38:14.335 | SIM:ESM5 | Buy | 1 | 6029.25 | Aggressive |
| 2025-06-10T21:38:28.346 | SIM:ESM5 | Buy | 1 | 6029 | Aggressive |
| 2025-06-10T21:38:27.188 | SIM:ESM5 | Buy | 2 | 6029 | Passive |
| 2025-06-10T21:38:25.234 | SIM:ESM5 | Buy | 3 | 6029.25 | Aggressive |
| 2025-06-10T21:38:25.234 | SIM:ESM5 | Buy | 5 | 6029 | Aggressive |
| 2025-06-10T21:38:17.09 | SIM:ESM5 | Buy | 3 | 6029.25 | Aggressive |
| 2025-06-10T21:38:06.002 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:38:31.318 | SIM:ESM5 | Buy | 3 | 6029 | Aggressive |
| 2025-06-10T21:38:31.318 | SIM:ESM5 | Buy | 6 | 6029 | Aggressive |
| 2025-06-10T21:38:27.188 | SIM:ESM5 | Buy | 9 | 6029 | Aggressive |
| 2025-06-10T21:38:26.54 | SIM:ESM5 | Buy | 4 | 6029 | Aggressive |
| 2025-06-10T21:38:26.356 | SIM:ESM5 | Buy | 9 | 6029 | Aggressive |
| 2025-06-10T21:38:01.934 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
| 2025-06-10T21:38:00.558 | SIM:ESM5 | Buy | 1 | 6029.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3550
Slippage Sweep
-0.7900
Arrival Price
6,028.1250
Average Total
6,028.4800
Destination Price
6,028.6250
Sweep to Fill
6,027.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T21:37:25.151 | SIM:ESM5 | Sell | 5 | 6028.5 | Aggressive |
| 2025-06-10T21:37:24.752 | SIM:ESM5 | Sell | 11 | 6028.5 | Aggressive |
| 2025-06-10T21:37:23.773 | SIM:ESM5 | Sell | 12 | 6028.5 | Aggressive |
| 2025-06-10T21:37:23.863 | SIM:ESM5 | Sell | 6 | 6028.5 | Aggressive |
| 2025-06-10T21:37:20.088 | SIM:ESM5 | Sell | 1 | 6028.25 | Aggressive |
| 2025-06-10T21:37:25.151 | SIM:ESM5 | Sell | 1 | 6028.5 | Aggressive |
| 2025-06-10T21:37:25.141 | SIM:ESM5 | Sell | 6 | 6028.5 | Aggressive |
| 2025-06-10T21:37:25.141 | SIM:ESM5 | Sell | 5 | 6028.5 | Aggressive |
| 2025-06-10T21:37:22.288 | SIM:ESM5 | Sell | 1 | 6028.25 | Aggressive |
| 2025-06-10T21:37:22.288 | SIM:ESM5 | Sell | 1 | 6028.25 | Aggressive |
| 2025-06-10T21:37:18.998 | SIM:ESM5 | Sell | 1 | 6028.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4200
Slippage Sweep
-0.1200
Arrival Price
6,027.1250
Average Total
6,027.5450
Destination Price
6,028.1250
Sweep to Fill
6,027.6650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T21:36:35.533 | SIM:ESM5 | Buy | 3 | 6028 | Aggressive |
| 2025-06-10T21:36:24.942 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:32.739 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:20.542 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:16.277 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:35:07.048 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:01.455 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:34:09.448 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:34:03.379 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:33:21.825 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:33:16.671 | SIM:ESM5 | Buy | 1 | 6027 | Aggressive |
| 2025-06-10T21:33:08.065 | SIM:ESM5 | Buy | 1 | 6027 | Aggressive |
| 2025-06-10T21:32:59.695 | SIM:ESM5 | Buy | 1 | 6027 | Aggressive |
| 2025-06-10T21:37:15.883 | SIM:ESM5 | Buy | 4 | 6028.25 | Aggressive |
| 2025-06-10T21:35:26.265 | SIM:ESM5 | Buy | 1 | 6027.75 | Aggressive |
| 2025-06-10T21:34:37.497 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:34:21.044 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:34:14.515 | SIM:ESM5 | Buy | 1 | 6027.75 | Aggressive |
| 2025-06-10T21:33:53.022 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:33:47.158 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:33:42.778 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:33:37.927 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:33:26.814 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:32:57.686 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:37:05.978 | SIM:ESM5 | Buy | 1 | 6027.75 | Passive |
| 2025-06-10T21:37:05.978 | SIM:ESM5 | Buy | 1 | 6027.75 | Passive |
| 2025-06-10T21:37:05.978 | SIM:ESM5 | Buy | 1 | 6027.75 | Passive |
| 2025-06-10T21:37:05.978 | SIM:ESM5 | Buy | 1 | 6027.75 | Passive |
| 2025-06-10T21:36:31.489 | SIM:ESM5 | Buy | 1 | 6027.75 | Aggressive |
| 2025-06-10T21:36:20.248 | SIM:ESM5 | Buy | 1 | 6027.5 | Passive |
| 2025-06-10T21:36:12.162 | SIM:ESM5 | Buy | 1 | 6027.75 | Aggressive |
| 2025-06-10T21:36:05.379 | SIM:ESM5 | Buy | 1 | 6027.75 | Aggressive |
| 2025-06-10T21:35:58.378 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:51.174 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:45.655 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:35:38.216 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:34:55.327 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:34:49.284 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:34:42.863 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:34:34.066 | SIM:ESM5 | Buy | 1 | 6027.5 | Passive |
| 2025-06-10T21:34:26.033 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:34:00.006 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
| 2025-06-10T21:33:32.286 | SIM:ESM5 | Buy | 1 | 6027.5 | Aggressive |
| 2025-06-10T21:33:12.965 | SIM:ESM5 | Buy | 1 | 6027 | Aggressive |
| 2025-06-10T21:32:52.561 | SIM:ESM5 | Buy | 1 | 6027.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2700
Slippage Sweep
-0.7850
Arrival Price
6,031.0000
Average Total
6,031.2700
Destination Price
6,031.6250
Sweep to Fill
6,030.4850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T20:14:28.888 | SIM:ESM5 | Sell | 4 | 6031.25 | Aggressive |
| 2025-06-10T20:14:28.888 | SIM:ESM5 | Sell | 3 | 6031.5 | Aggressive |
| 2025-06-10T20:14:26.622 | SIM:ESM5 | Sell | 8 | 6031.25 | Aggressive |
| 2025-06-10T20:14:26.622 | SIM:ESM5 | Sell | 3 | 6031.5 | Aggressive |
| 2025-06-10T20:14:26.338 | SIM:ESM5 | Sell | 3 | 6031.25 | Aggressive |
| 2025-06-10T20:14:26.338 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:23.954 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:23.954 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:23.953 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:17.937 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:15.614 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:12.382 | SIM:ESM5 | Sell | 2 | 6031.25 | Aggressive |
| 2025-06-10T20:13:54.308 | SIM:ESM5 | Sell | 1 | 6031 | Aggressive |
| 2025-06-10T20:14:03.406 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:14:03.405 | SIM:ESM5 | Sell | 4 | 6031.25 | Aggressive |
| 2025-06-10T20:13:59.554 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:13:50.231 | SIM:ESM5 | Sell | 1 | 6030.75 | Aggressive |
| 2025-06-10T20:13:45.264 | SIM:ESM5 | Sell | 1 | 6031 | Aggressive |
| 2025-06-10T20:14:27.641 | SIM:ESM5 | Sell | 7 | 6031.25 | Aggressive |
| 2025-06-10T20:14:27.641 | SIM:ESM5 | Sell | 3 | 6031.5 | Aggressive |
| 2025-06-10T20:14:16.912 | SIM:ESM5 | Sell | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:13:40.137 | SIM:ESM5 | Sell | 1 | 6031 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4500
Slippage Sweep
-0.8900
Arrival Price
6,031.8750
Average Total
6,031.4250
Destination Price
6,031.1250
Sweep to Fill
6,032.3150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T20:13:35.235 | SIM:ESM5 | Buy | 1 | 6031.25 | Aggressive |
| 2025-06-10T20:13:34.213 | SIM:ESM5 | Buy | 4 | 6031 | Passive |
| 2025-06-10T20:13:34.213 | SIM:ESM5 | Buy | 9 | 6031.25 | Aggressive |
| 2025-06-10T20:13:33.193 | SIM:ESM5 | Buy | 3 | 6031.25 | Aggressive |
| 2025-06-10T20:13:33.19 | SIM:ESM5 | Buy | 9 | 6031.5 | Aggressive |
| 2025-06-10T20:13:32.602 | SIM:ESM5 | Buy | 6 | 6031.5 | Aggressive |
| 2025-06-10T20:13:32.428 | SIM:ESM5 | Buy | 9 | 6031.75 | Aggressive |
| 2025-06-10T20:13:35.397 | SIM:ESM5 | Buy | 6 | 6031.25 | Aggressive |
| 2025-06-10T20:13:31.364 | SIM:ESM5 | Buy | 1 | 6031.5 | Aggressive |
| 2025-06-10T20:13:29.512 | SIM:ESM5 | Buy | 1 | 6031.75 | Aggressive |
| 2025-06-10T20:13:20.222 | SIM:ESM5 | Buy | 1 | 6032 | Passive |