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
-0.8300
Slippage Sweep
-1.6336
Arrival Price
5,284.7500
Average Total
5,285.5800
Destination Price
5,285.8750
Sweep to Fill
5,283.9464
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:23:39.952 | SIM:ESM5 | Sell | 1 | 5284.5 | Aggressive |
| 2025-04-20T17:23:41.733 | SIM:ESM5 | Sell | 2 | 5285.5 | Aggressive |
| 2025-04-20T17:23:42.988 | SIM:ESM5 | Sell | 4 | 5286 | Aggressive |
| 2025-04-20T17:23:43.869 | SIM:ESM5 | Sell | 2 | 5286 | Aggressive |
| 2025-04-20T17:23:43.869 | SIM:ESM5 | Sell | 3 | 5285.75 | Aggressive |
| 2025-04-20T17:23:44.863 | SIM:ESM5 | Sell | 3 | 5286 | Aggressive |
| 2025-04-20T17:23:44.863 | SIM:ESM5 | Sell | 2 | 5285.75 | Aggressive |
| 2025-04-20T17:23:47.972 | SIM:ESM5 | Sell | 4 | 5285.5 | Aggressive |
| 2025-04-20T17:23:49.125 | SIM:ESM5 | Sell | 4 | 5285.5 | Aggressive |
| 2025-04-20T17:23:50.189 | SIM:ESM5 | Sell | 4 | 5285.5 | Aggressive |
| 2025-04-20T17:23:50.189 | SIM:ESM5 | Sell | 1 | 5285.25 | Aggressive |
| 2025-04-20T17:23:50.863 | SIM:ESM5 | Sell | 3 | 5285.75 | Aggressive |
| 2025-04-20T17:23:50.863 | SIM:ESM5 | Sell | 1 | 5285.5 | Aggressive |
| 2025-04-20T17:23:54.178 | SIM:ESM5 | Sell | 3 | 5285.25 | Aggressive |
| 2025-04-20T17:23:54.18 | SIM:ESM5 | Sell | 1 | 5285.25 | Aggressive |
| 2025-04-20T17:23:54.93 | SIM:ESM5 | Sell | 2 | 5285.25 | Aggressive |
| 2025-04-20T17:23:55.882 | SIM:ESM5 | Sell | 5 | 5285.5 | Aggressive |
| 2025-04-20T17:23:56.956 | SIM:ESM5 | Sell | 1 | 5285.5 | Aggressive |
| 2025-04-20T17:23:57.012 | SIM:ESM5 | Sell | 1 | 5285.75 | Aggressive |
| 2025-04-20T17:23:58.012 | SIM:ESM5 | Sell | 3 | 5285.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.6850
Slippage Sweep
-1.4791
Arrival Price
5,286.2500
Average Total
5,286.9350
Destination Price
5,287.5000
Sweep to Fill
5,285.4559
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:22:22.233 | SIM:ESM5 | Sell | 1 | 5286.25 | Aggressive |
| 2025-04-20T17:22:25.261 | SIM:ESM5 | Sell | 4 | 5285.5 | Aggressive |
| 2025-04-20T17:22:25.261 | SIM:ESM5 | Sell | 1 | 5285.5 | Passive |
| 2025-04-20T17:22:27.087 | SIM:ESM5 | Sell | 1 | 5286 | Passive |
| 2025-04-20T17:22:37.72 | SIM:ESM5 | Sell | 2 | 5286.5 | Aggressive |
| 2025-04-20T17:22:37.72 | SIM:ESM5 | Sell | 1 | 5286.5 | Passive |
| 2025-04-20T17:22:38.633 | SIM:ESM5 | Sell | 3 | 5287 | Aggressive |
| 2025-04-20T17:22:39.624 | SIM:ESM5 | Sell | 3 | 5287 | Aggressive |
| 2025-04-20T17:22:40.305 | SIM:ESM5 | Sell | 3 | 5287 | Aggressive |
| 2025-04-20T17:22:41.545 | SIM:ESM5 | Sell | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:22:41.545 | SIM:ESM5 | Sell | 1 | 5287 | Aggressive |
| 2025-04-20T17:22:42.326 | SIM:ESM5 | Sell | 4 | 5287.25 | Aggressive |
| 2025-04-20T17:22:43.496 | SIM:ESM5 | Sell | 5 | 5287.25 | Aggressive |
| 2025-04-20T17:22:43.496 | SIM:ESM5 | Sell | 2 | 5287.25 | Aggressive |
| 2025-04-20T17:22:44.319 | SIM:ESM5 | Sell | 5 | 5287.25 | Aggressive |
| 2025-04-20T17:22:44.319 | SIM:ESM5 | Sell | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:22:45.403 | SIM:ESM5 | Sell | 7 | 5287.25 | Aggressive |
| 2025-04-20T17:22:45.403 | SIM:ESM5 | Sell | 3 | 5287.25 | Passive |
| 2025-04-20T17:22:46.277 | SIM:ESM5 | Sell | 2 | 5287.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.9050
Arrival Price
5,288.2500
Average Total
5,288.2200
Destination Price
5,288.3750
Sweep to Fill
5,289.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:20:50.674 | SIM:ESM5 | Buy | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:20:51.184 | SIM:ESM5 | Buy | 1 | 5288.75 | Aggressive |
| 2025-04-20T17:20:53.258 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:20:54.461 | SIM:ESM5 | Buy | 1 | 5287.75 | Aggressive |
| 2025-04-20T17:20:54.461 | SIM:ESM5 | Buy | 1 | 5288 | Aggressive |
| 2025-04-20T17:20:55.312 | SIM:ESM5 | Buy | 3 | 5288 | Aggressive |
| 2025-04-20T17:20:56.477 | SIM:ESM5 | Buy | 4 | 5287.75 | Aggressive |
| 2025-04-20T17:20:57.386 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:20:57.386 | SIM:ESM5 | Buy | 1 | 5287.75 | Passive |
| 2025-04-20T17:20:59.453 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:20:59.453 | SIM:ESM5 | Buy | 3 | 5288 | Aggressive |
| 2025-04-20T17:21:12.432 | SIM:ESM5 | Buy | 2 | 5288.5 | Aggressive |
| 2025-04-20T17:21:13.512 | SIM:ESM5 | Buy | 2 | 5288.5 | Aggressive |
| 2025-04-20T17:21:14.997 | SIM:ESM5 | Buy | 2 | 5288.5 | Aggressive |
| 2025-04-20T17:21:14.997 | SIM:ESM5 | Buy | 1 | 5288.5 | Aggressive |
| 2025-04-20T17:21:16.623 | SIM:ESM5 | Buy | 3 | 5288.25 | Aggressive |
| 2025-04-20T17:21:17.683 | SIM:ESM5 | Buy | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:21:19.688 | SIM:ESM5 | Buy | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:21:19.688 | SIM:ESM5 | Buy | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:21:27.807 | SIM:ESM5 | Buy | 2 | 5288.75 | Aggressive |
| 2025-04-20T17:21:27.807 | SIM:ESM5 | Buy | 2 | 5288.75 | Passive |
| 2025-04-20T17:21:27.964 | SIM:ESM5 | Buy | 2 | 5288.75 | Passive |
| 2025-04-20T17:21:27.964 | SIM:ESM5 | Buy | 1 | 5288.75 | Passive |
| 2025-04-20T17:21:28.938 | SIM:ESM5 | Buy | 2 | 5288.75 | Aggressive |
| 2025-04-20T17:22:05.068 | SIM:ESM5 | Buy | 2 | 5288.5 | Aggressive |
| 2025-04-20T17:22:05.068 | SIM:ESM5 | Buy | 2 | 5288.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0700
Slippage Sweep
0.3427
Arrival Price
5,289.1250
Average Total
5,288.0550
Destination Price
5,288.5000
Sweep to Fill
5,288.3977
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:18:51.712 | SIM:ESM5 | Sell | 1 | 5288.75 | Aggressive |
| 2025-04-20T17:18:52.728 | SIM:ESM5 | Sell | 1 | 5288.75 | Aggressive |
| 2025-04-20T17:18:53.729 | SIM:ESM5 | Sell | 1 | 5288.5 | Aggressive |
| 2025-04-20T17:18:53.729 | SIM:ESM5 | Sell | 1 | 5288.5 | Aggressive |
| 2025-04-20T17:18:54.766 | SIM:ESM5 | Sell | 2 | 5288.5 | Aggressive |
| 2025-04-20T17:18:55.756 | SIM:ESM5 | Sell | 1 | 5287.75 | Aggressive |
| 2025-04-20T17:18:55.756 | SIM:ESM5 | Sell | 2 | 5287.5 | Aggressive |
| 2025-04-20T17:18:56.929 | SIM:ESM5 | Sell | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:18:57.849 | SIM:ESM5 | Sell | 4 | 5287.75 | Aggressive |
| 2025-04-20T17:18:57.849 | SIM:ESM5 | Sell | 1 | 5287.75 | Passive |
| 2025-04-20T17:18:59.928 | SIM:ESM5 | Sell | 1 | 5287.75 | Aggressive |
| 2025-04-20T17:18:59.928 | SIM:ESM5 | Sell | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:18:59.928 | SIM:ESM5 | Sell | 2 | 5287.5 | Aggressive |
| 2025-04-20T17:19:00.812 | SIM:ESM5 | Sell | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:19:01.874 | SIM:ESM5 | Sell | 3 | 5288 | Aggressive |
| 2025-04-20T17:19:01.874 | SIM:ESM5 | Sell | 1 | 5288 | Passive |
| 2025-04-20T17:19:02.739 | SIM:ESM5 | Sell | 4 | 5288.25 | Aggressive |
| 2025-04-20T17:19:02.739 | SIM:ESM5 | Sell | 2 | 5288.25 | Passive |
| 2025-04-20T17:19:07.121 | SIM:ESM5 | Sell | 3 | 5288.25 | Aggressive |
| 2025-04-20T17:19:07.121 | SIM:ESM5 | Sell | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:19:07.871 | SIM:ESM5 | Sell | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:19:08.863 | SIM:ESM5 | Sell | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:19:08.863 | SIM:ESM5 | Sell | 2 | 5288 | Aggressive |
| 2025-04-20T17:19:10.377 | SIM:ESM5 | Sell | 2 | 5288.25 | Aggressive |
| 2025-04-20T17:19:10.377 | SIM:ESM5 | Sell | 2 | 5288 | Aggressive |
| 2025-04-20T17:19:10.863 | SIM:ESM5 | Sell | 2 | 5288.25 | Aggressive |
| 2025-04-20T17:19:10.863 | SIM:ESM5 | Sell | 3 | 5288.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.0100
Slippage Sweep
0.2725
Arrival Price
5,286.5000
Average Total
5,287.5100
Destination Price
5,287.5000
Sweep to Fill
5,287.2375
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:18:12.326 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:18:13.32 | SIM:ESM5 | Buy | 1 | 5286.5 | Aggressive |
| 2025-04-20T17:18:14.686 | SIM:ESM5 | Buy | 1 | 5286.25 | Aggressive |
| 2025-04-20T17:18:14.686 | SIM:ESM5 | Buy | 1 | 5286.5 | Aggressive |
| 2025-04-20T17:18:18.577 | SIM:ESM5 | Buy | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:18:18.577 | SIM:ESM5 | Buy | 1 | 5287.25 | Passive |
| 2025-04-20T17:18:19.345 | SIM:ESM5 | Buy | 4 | 5287.25 | Aggressive |
| 2025-04-20T17:18:19.85 | SIM:ESM5 | Buy | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:18:21.028 | SIM:ESM5 | Buy | 2 | 5287.25 | Aggressive |
| 2025-04-20T17:18:21.714 | SIM:ESM5 | Buy | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:18:21.714 | SIM:ESM5 | Buy | 1 | 5287.25 | Passive |
| 2025-04-20T17:18:22.416 | SIM:ESM5 | Buy | 4 | 5287.25 | Aggressive |
| 2025-04-20T17:18:23.412 | SIM:ESM5 | Buy | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:18:24.797 | SIM:ESM5 | Buy | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:18:26.039 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:18:26.039 | SIM:ESM5 | Buy | 1 | 5288 | Aggressive |
| 2025-04-20T17:18:27.219 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:18:27.613 | SIM:ESM5 | Buy | 9 | 5288 | Aggressive |
| 2025-04-20T17:18:27.613 | SIM:ESM5 | Buy | 4 | 5288 | Aggressive |
| 2025-04-20T17:18:28.851 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:18:29.562 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:18:30.63 | SIM:ESM5 | Buy | 1 | 5287.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0000
Slippage Sweep
-0.6588
Arrival Price
5,286.6250
Average Total
5,286.6250
Destination Price
5,287.5000
Sweep to Fill
5,285.9662
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:14:54.589 | SIM:ESM5 | Sell | 1 | 5286.75 | Passive |
| 2025-04-20T17:14:55.312 | SIM:ESM5 | Sell | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:14:57.064 | SIM:ESM5 | Sell | 1 | 5286.5 | Passive |
| 2025-04-20T17:14:57.064 | SIM:ESM5 | Sell | 1 | 5286.5 | Passive |
| 2025-04-20T17:15:02.56 | SIM:ESM5 | Sell | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:15:02.56 | SIM:ESM5 | Sell | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:15:03.343 | SIM:ESM5 | Sell | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:15:09.609 | SIM:ESM5 | Sell | 1 | 5286.5 | Aggressive |
| 2025-04-20T17:15:13.651 | SIM:ESM5 | Sell | 1 | 5286.25 | Aggressive |
| 2025-04-20T17:15:14.548 | SIM:ESM5 | Sell | 1 | 5286.25 | Aggressive |
| 2025-04-20T17:15:15.62 | SIM:ESM5 | Sell | 3 | 5286.25 | Aggressive |
| 2025-04-20T17:15:18.033 | SIM:ESM5 | Sell | 2 | 5286 | Aggressive |
| 2025-04-20T17:15:18.033 | SIM:ESM5 | Sell | 3 | 5286 | Aggressive |
| 2025-04-20T17:15:19.468 | SIM:ESM5 | Sell | 2 | 5286 | Aggressive |
| 2025-04-20T17:15:20.348 | SIM:ESM5 | Sell | 1 | 5286 | Aggressive |
| 2025-04-20T17:15:20.557 | SIM:ESM5 | Sell | 1 | 5286 | Aggressive |
| 2025-04-20T17:15:24.565 | SIM:ESM5 | Sell | 1 | 5286.25 | Passive |
| 2025-04-20T17:15:38.664 | SIM:ESM5 | Sell | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:15:38.664 | SIM:ESM5 | Sell | 3 | 5286.5 | Aggressive |
| 2025-04-20T17:15:40.157 | SIM:ESM5 | Sell | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:15:40.157 | SIM:ESM5 | Sell | 2 | 5286.5 | Aggressive |
| 2025-04-20T17:15:40.951 | SIM:ESM5 | Sell | 2 | 5287 | Aggressive |
| 2025-04-20T17:15:40.951 | SIM:ESM5 | Sell | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:15:42.058 | SIM:ESM5 | Sell | 2 | 5287 | Aggressive |
| 2025-04-20T17:15:42.058 | SIM:ESM5 | Sell | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:15:43.86 | SIM:ESM5 | Sell | 4 | 5287.25 | Aggressive |
| 2025-04-20T17:15:43.861 | SIM:ESM5 | Sell | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:15:44.853 | SIM:ESM5 | Sell | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:15:44.853 | SIM:ESM5 | Sell | 1 | 5287 | Aggressive |
| 2025-04-20T17:15:46.626 | SIM:ESM5 | Sell | 1 | 5287 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.1000
Slippage Sweep
0.3438
Arrival Price
5,288.2500
Average Total
5,287.1500
Destination Price
5,286.6250
Sweep to Fill
5,287.4938
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:13:17.813 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:13:17.813 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:13:17.813 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:13:19.425 | SIM:ESM5 | Sell | 1 | 5288 | Aggressive |
| 2025-04-20T17:13:21.722 | SIM:ESM5 | Sell | 3 | 5288.75 | Aggressive |
| 2025-04-20T17:13:22.728 | SIM:ESM5 | Sell | 3 | 5288.75 | Aggressive |
| 2025-04-20T17:13:23.744 | SIM:ESM5 | Sell | 3 | 5288.75 | Aggressive |
| 2025-04-20T17:13:23.744 | SIM:ESM5 | Sell | 4 | 5288.5 | Aggressive |
| 2025-04-20T17:13:23.744 | SIM:ESM5 | Sell | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:13:25.782 | SIM:ESM5 | Sell | 14 | 5286.25 | Aggressive |
| 2025-04-20T17:13:26.023 | SIM:ESM5 | Sell | 1 | 5286.5 | Passive |
| 2025-04-20T17:13:26.807 | SIM:ESM5 | Sell | 1 | 5286.5 | Aggressive |
| 2025-04-20T17:13:26.807 | SIM:ESM5 | Sell | 2 | 5286.25 | Aggressive |
| 2025-04-20T17:13:28.114 | SIM:ESM5 | Sell | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:13:28.114 | SIM:ESM5 | Sell | 3 | 5286.5 | Aggressive |
| 2025-04-20T17:13:28.843 | SIM:ESM5 | Sell | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:13:28.843 | SIM:ESM5 | Sell | 2 | 5286.5 | Aggressive |
| 2025-04-20T17:13:30.004 | SIM:ESM5 | Sell | 2 | 5286.5 | Aggressive |
| 2025-04-20T17:13:30.004 | SIM:ESM5 | Sell | 3 | 5286.25 | Aggressive |
| 2025-04-20T17:13:32.795 | SIM:ESM5 | Sell | 1 | 5286.5 | Aggressive |
| 2025-04-20T17:13:32.795 | SIM:ESM5 | Sell | 1 | 5286.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.3900
Slippage Sweep
0.5377
Arrival Price
5,285.5000
Average Total
5,286.8900
Destination Price
5,286.6250
Sweep to Fill
5,286.3523
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:12:35.134 | SIM:ESM5 | Buy | 1 | 5286 | Aggressive |
| 2025-04-20T17:12:37.13 | SIM:ESM5 | Buy | 4 | 5286.75 | Aggressive |
| 2025-04-20T17:12:37.13 | SIM:ESM5 | Buy | 1 | 5287 | Aggressive |
| 2025-04-20T17:12:38.212 | SIM:ESM5 | Buy | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:12:38.212 | SIM:ESM5 | Buy | 4 | 5287 | Aggressive |
| 2025-04-20T17:12:38.212 | SIM:ESM5 | Buy | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:12:39.16 | SIM:ESM5 | Buy | 3 | 5286.75 | Aggressive |
| 2025-04-20T17:12:39.16 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:12:40.76 | SIM:ESM5 | Buy | 3 | 5287 | Aggressive |
| 2025-04-20T17:12:40.76 | SIM:ESM5 | Buy | 1 | 5287.25 | Aggressive |
| 2025-04-20T17:12:41.26 | SIM:ESM5 | Buy | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:12:41.26 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:12:42.265 | SIM:ESM5 | Buy | 2 | 5286.75 | Aggressive |
| 2025-04-20T17:12:42.265 | SIM:ESM5 | Buy | 1 | 5286.75 | Passive |
| 2025-04-20T17:12:43.224 | SIM:ESM5 | Buy | 3 | 5286.75 | Aggressive |
| 2025-04-20T17:12:43.224 | SIM:ESM5 | Buy | 5 | 5287 | Aggressive |
| 2025-04-20T17:12:44.215 | SIM:ESM5 | Buy | 9 | 5287 | Aggressive |
| 2025-04-20T17:12:44.215 | SIM:ESM5 | Buy | 1 | 5287 | Aggressive |
| 2025-04-20T17:12:44.215 | SIM:ESM5 | Buy | 3 | 5287 | Passive |
| 2025-04-20T17:12:45.23 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:12:45.23 | SIM:ESM5 | Buy | 1 | 5287 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-1.1150
Slippage Sweep
-1.8962
Arrival Price
5,281.5000
Average Total
5,282.6150
Destination Price
5,283.8750
Sweep to Fill
5,280.7188
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:11:30.183 | SIM:ESM5 | Sell | 1 | 5281 | Aggressive |
| 2025-04-20T17:11:31.257 | SIM:ESM5 | Sell | 3 | 5281.5 | Aggressive |
| 2025-04-20T17:11:32.245 | SIM:ESM5 | Sell | 4 | 5282 | Aggressive |
| 2025-04-20T17:11:32.245 | SIM:ESM5 | Sell | 2 | 5282 | Passive |
| 2025-04-20T17:11:33.259 | SIM:ESM5 | Sell | 3 | 5282 | Aggressive |
| 2025-04-20T17:11:33.26 | SIM:ESM5 | Sell | 1 | 5281.75 | Aggressive |
| 2025-04-20T17:11:33.294 | SIM:ESM5 | Sell | 1 | 5282.25 | Aggressive |
| 2025-04-20T17:11:33.295 | SIM:ESM5 | Sell | 1 | 5282 | Aggressive |
| 2025-04-20T17:11:34.212 | SIM:ESM5 | Sell | 1 | 5282.25 | Aggressive |
| 2025-04-20T17:11:34.212 | SIM:ESM5 | Sell | 2 | 5282 | Aggressive |
| 2025-04-20T17:11:35.212 | SIM:ESM5 | Sell | 2 | 5282.5 | Aggressive |
| 2025-04-20T17:11:36.241 | SIM:ESM5 | Sell | 3 | 5282.5 | Aggressive |
| 2025-04-20T17:11:36.241 | SIM:ESM5 | Sell | 1 | 5282.5 | Aggressive |
| 2025-04-20T17:11:37.348 | SIM:ESM5 | Sell | 1 | 5282.75 | Aggressive |
| 2025-04-20T17:11:37.348 | SIM:ESM5 | Sell | 1 | 5282.5 | Aggressive |
| 2025-04-20T17:11:38.256 | SIM:ESM5 | Sell | 3 | 5282.75 | Aggressive |
| 2025-04-20T17:11:38.257 | SIM:ESM5 | Sell | 1 | 5282.75 | Passive |
| 2025-04-20T17:11:39.715 | SIM:ESM5 | Sell | 1 | 5283 | Aggressive |
| 2025-04-20T17:11:40.331 | SIM:ESM5 | Sell | 1 | 5283.25 | Aggressive |
| 2025-04-20T17:11:40.331 | SIM:ESM5 | Sell | 1 | 5283 | Aggressive |
| 2025-04-20T17:11:41.225 | SIM:ESM5 | Sell | 1 | 5283.5 | Aggressive |
| 2025-04-20T17:11:41.225 | SIM:ESM5 | Sell | 5 | 5283.25 | Aggressive |
| 2025-04-20T17:11:42.312 | SIM:ESM5 | Sell | 4 | 5283.5 | Aggressive |
| 2025-04-20T17:11:42.312 | SIM:ESM5 | Sell | 3 | 5283.25 | Aggressive |
| 2025-04-20T17:11:43.297 | SIM:ESM5 | Sell | 2 | 5283.75 | Aggressive |
| 2025-04-20T17:11:43.297 | SIM:ESM5 | Sell | 1 | 5283.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.7550
Slippage Sweep
-1.7050
Arrival Price
5,280.8750
Average Total
5,280.1200
Destination Price
5,279.5000
Sweep to Fill
5,281.8250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:10:52.567 | SIM:ESM5 | Buy | 1 | 5280.75 | Aggressive |
| 2025-04-20T17:10:53.617 | SIM:ESM5 | Buy | 1 | 5280.75 | Aggressive |
| 2025-04-20T17:10:54.578 | SIM:ESM5 | Buy | 4 | 5280.5 | Aggressive |
| 2025-04-20T17:10:55.587 | SIM:ESM5 | Buy | 1 | 5279.75 | Aggressive |
| 2025-04-20T17:10:55.587 | SIM:ESM5 | Buy | 3 | 5280 | Aggressive |
| 2025-04-20T17:10:56.398 | SIM:ESM5 | Buy | 1 | 5280 | Passive |
| 2025-04-20T17:10:56.759 | SIM:ESM5 | Buy | 1 | 5280.5 | Aggressive |
| 2025-04-20T17:11:00.76 | SIM:ESM5 | Buy | 3 | 5280.25 | Aggressive |
| 2025-04-20T17:11:00.762 | SIM:ESM5 | Buy | 1 | 5280.25 | Aggressive |
| 2025-04-20T17:11:01.658 | SIM:ESM5 | Buy | 3 | 5280 | Aggressive |
| 2025-04-20T17:11:01.658 | SIM:ESM5 | Buy | 1 | 5279.75 | Aggressive |
| 2025-04-20T17:11:02.728 | SIM:ESM5 | Buy | 3 | 5280.25 | Aggressive |
| 2025-04-20T17:11:02.896 | SIM:ESM5 | Buy | 1 | 5280 | Aggressive |
| 2025-04-20T17:11:03.712 | SIM:ESM5 | Buy | 5 | 5279.75 | Aggressive |
| 2025-04-20T17:11:03.712 | SIM:ESM5 | Buy | 1 | 5279.75 | Passive |
| 2025-04-20T17:11:05.002 | SIM:ESM5 | Buy | 2 | 5279.75 | Aggressive |
| 2025-04-20T17:11:05.687 | SIM:ESM5 | Buy | 1 | 5280.25 | Aggressive |
| 2025-04-20T17:11:05.687 | SIM:ESM5 | Buy | 3 | 5280.5 | Aggressive |
| 2025-04-20T17:11:06.912 | SIM:ESM5 | Buy | 6 | 5280.25 | Aggressive |
| 2025-04-20T17:11:07.074 | SIM:ESM5 | Buy | 1 | 5280 | Passive |
| 2025-04-20T17:11:07.074 | SIM:ESM5 | Buy | 1 | 5280 | Passive |
| 2025-04-20T17:11:07.729 | SIM:ESM5 | Buy | 2 | 5279.75 | Aggressive |
| 2025-04-20T17:11:07.729 | SIM:ESM5 | Buy | 4 | 5280 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.6950
Slippage Sweep
-1.4450
Arrival Price
5,288.2500
Average Total
5,287.5550
Destination Price
5,287.2500
Sweep to Fill
5,289.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:09:06.915 | SIM:ESM5 | Buy | 1 | 5288 | Aggressive |
| 2025-04-20T17:09:08.826 | SIM:ESM5 | Buy | 1 | 5288 | Aggressive |
| 2025-04-20T17:09:09.848 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:09:09.848 | SIM:ESM5 | Buy | 1 | 5287.75 | Passive |
| 2025-04-20T17:09:10.912 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
| 2025-04-20T17:09:11.822 | SIM:ESM5 | Buy | 2 | 5287.25 | Aggressive |
| 2025-04-20T17:09:13.004 | SIM:ESM5 | Buy | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:09:13.004 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:09:14.105 | SIM:ESM5 | Buy | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:09:14.105 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:09:14.912 | SIM:ESM5 | Buy | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:09:14.912 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:09:16.018 | SIM:ESM5 | Buy | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:09:16.018 | SIM:ESM5 | Buy | 1 | 5287.25 | Passive |
| 2025-04-20T17:09:17.07 | SIM:ESM5 | Buy | 4 | 5287.5 | Aggressive |
| 2025-04-20T17:09:17.07 | SIM:ESM5 | Buy | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:09:18.112 | SIM:ESM5 | Buy | 3 | 5287.5 | Aggressive |
| 2025-04-20T17:09:18.112 | SIM:ESM5 | Buy | 1 | 5287.5 | Passive |
| 2025-04-20T17:09:19.42 | SIM:ESM5 | Buy | 3 | 5287.5 | Aggressive |
| 2025-04-20T17:09:19.42 | SIM:ESM5 | Buy | 1 | 5287.5 | Passive |
| 2025-04-20T17:09:20.012 | SIM:ESM5 | Buy | 2 | 5287.5 | Aggressive |
| 2025-04-20T17:09:21.424 | SIM:ESM5 | Buy | 3 | 5287.5 | Aggressive |
| 2025-04-20T17:09:21.424 | SIM:ESM5 | Buy | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:09:21.949 | SIM:ESM5 | Buy | 3 | 5287.5 | Aggressive |
| 2025-04-20T17:09:21.949 | SIM:ESM5 | Buy | 1 | 5287.5 | Aggressive |
| 2025-04-20T17:09:26.146 | SIM:ESM5 | Buy | 3 | 5287.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.6300
Slippage Sweep
0.7967
Arrival Price
5,287.0000
Average Total
5,285.3700
Destination Price
5,286.0000
Sweep to Fill
5,286.1667
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:08:04.313 | SIM:ESM5 | Sell | 2 | 5285.75 | Aggressive |
| 2025-04-20T17:08:05.319 | SIM:ESM5 | Sell | 1 | 5285 | Aggressive |
| 2025-04-20T17:08:05.319 | SIM:ESM5 | Sell | 1 | 5284.75 | Aggressive |
| 2025-04-20T17:08:06.449 | SIM:ESM5 | Sell | 3 | 5285 | Aggressive |
| 2025-04-20T17:08:06.449 | SIM:ESM5 | Sell | 1 | 5285 | Passive |
| 2025-04-20T17:08:07.338 | SIM:ESM5 | Sell | 3 | 5285.5 | Aggressive |
| 2025-04-20T17:08:07.338 | SIM:ESM5 | Sell | 3 | 5285.25 | Aggressive |
| 2025-04-20T17:08:08.412 | SIM:ESM5 | Sell | 3 | 5285.25 | Aggressive |
| 2025-04-20T17:08:08.412 | SIM:ESM5 | Sell | 1 | 5285 | Aggressive |
| 2025-04-20T17:08:09.649 | SIM:ESM5 | Sell | 1 | 5285.5 | Aggressive |
| 2025-04-20T17:08:09.649 | SIM:ESM5 | Sell | 2 | 5285.25 | Aggressive |
| 2025-04-20T17:08:10.359 | SIM:ESM5 | Sell | 2 | 5285 | Aggressive |
| 2025-04-20T17:08:11.318 | SIM:ESM5 | Sell | 3 | 5285.25 | Aggressive |
| 2025-04-20T17:08:11.318 | SIM:ESM5 | Sell | 1 | 5285 | Aggressive |
| 2025-04-20T17:08:12.321 | SIM:ESM5 | Sell | 3 | 5285 | Aggressive |
| 2025-04-20T17:08:13.526 | SIM:ESM5 | Sell | 3 | 5285 | Aggressive |
| 2025-04-20T17:08:14.345 | SIM:ESM5 | Sell | 3 | 5285.75 | Aggressive |
| 2025-04-20T17:08:14.345 | SIM:ESM5 | Sell | 1 | 5285.75 | Aggressive |
| 2025-04-20T17:08:15.434 | SIM:ESM5 | Sell | 3 | 5285.5 | Aggressive |
| 2025-04-20T17:08:15.434 | SIM:ESM5 | Sell | 1 | 5285.5 | Passive |
| 2025-04-20T17:08:16.512 | SIM:ESM5 | Sell | 3 | 5286 | Aggressive |
| 2025-04-20T17:08:16.512 | SIM:ESM5 | Sell | 3 | 5285.75 | Aggressive |
| 2025-04-20T17:08:17.619 | SIM:ESM5 | Sell | 1 | 5285.75 | Aggressive |
| 2025-04-20T17:08:17.619 | SIM:ESM5 | Sell | 2 | 5285.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.1950
Slippage Sweep
0.5533
Arrival Price
5,288.7500
Average Total
5,287.5550
Destination Price
5,287.6250
Sweep to Fill
5,288.1083
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:06:09.535 | SIM:ESM5 | Sell | 3 | 5288 | Aggressive |
| 2025-04-20T17:06:10.612 | SIM:ESM5 | Sell | 5 | 5287.75 | Aggressive |
| 2025-04-20T17:06:10.612 | SIM:ESM5 | Sell | 1 | 5287.75 | Passive |
| 2025-04-20T17:06:12.587 | SIM:ESM5 | Sell | 7 | 5288 | Aggressive |
| 2025-04-20T17:06:13.63 | SIM:ESM5 | Sell | 2 | 5288 | Aggressive |
| 2025-04-20T17:06:14.165 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:06:14.165 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:06:14.165 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:06:14.165 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:06:14.166 | SIM:ESM5 | Sell | 1 | 5288.25 | Passive |
| 2025-04-20T17:06:14.512 | SIM:ESM5 | Sell | 1 | 5288.25 | Aggressive |
| 2025-04-20T17:06:14.512 | SIM:ESM5 | Sell | 2 | 5288.25 | Aggressive |
| 2025-04-20T17:06:18.613 | SIM:ESM5 | Sell | 2 | 5287 | Aggressive |
| 2025-04-20T17:06:18.613 | SIM:ESM5 | Sell | 3 | 5286.75 | Aggressive |
| 2025-04-20T17:06:19.429 | SIM:ESM5 | Sell | 2 | 5287.25 | Aggressive |
| 2025-04-20T17:06:19.429 | SIM:ESM5 | Sell | 3 | 5287 | Aggressive |
| 2025-04-20T17:06:20.921 | SIM:ESM5 | Sell | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:06:20.921 | SIM:ESM5 | Sell | 4 | 5287 | Aggressive |
| 2025-04-20T17:06:21.555 | SIM:ESM5 | Sell | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:06:21.555 | SIM:ESM5 | Sell | 4 | 5287 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.3150
Slippage Sweep
0.5531
Arrival Price
5,286.5000
Average Total
5,287.8150
Destination Price
5,287.5000
Sweep to Fill
5,287.2619
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:05:32.112 | SIM:ESM5 | Buy | 1 | 5286.25 | Aggressive |
| 2025-04-20T17:05:33.294 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:05:35.065 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:05:35.065 | SIM:ESM5 | Buy | 1 | 5286.75 | Aggressive |
| 2025-04-20T17:05:37.159 | SIM:ESM5 | Buy | 1 | 5287 | Aggressive |
| 2025-04-20T17:05:38.087 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:05:38.087 | SIM:ESM5 | Buy | 1 | 5287.75 | Aggressive |
| 2025-04-20T17:05:39.24 | SIM:ESM5 | Buy | 3 | 5288 | Aggressive |
| 2025-04-20T17:05:40.145 | SIM:ESM5 | Buy | 6 | 5288 | Aggressive |
| 2025-04-20T17:05:40.145 | SIM:ESM5 | Buy | 3 | 5288 | Aggressive |
| 2025-04-20T17:05:41.12 | SIM:ESM5 | Buy | 6 | 5288.25 | Aggressive |
| 2025-04-20T17:05:41.12 | SIM:ESM5 | Buy | 3 | 5288.25 | Passive |
| 2025-04-20T17:05:42.124 | SIM:ESM5 | Buy | 5 | 5288.25 | Aggressive |
| 2025-04-20T17:05:42.124 | SIM:ESM5 | Buy | 2 | 5288 | Aggressive |
| 2025-04-20T17:05:43.239 | SIM:ESM5 | Buy | 3 | 5287.25 | Aggressive |
| 2025-04-20T17:05:43.239 | SIM:ESM5 | Buy | 1 | 5287.25 | Passive |
| 2025-04-20T17:05:46.744 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:05:46.744 | SIM:ESM5 | Buy | 1 | 5287.75 | Passive |
| 2025-04-20T17:05:46.744 | SIM:ESM5 | Buy | 2 | 5287.75 | Aggressive |
| 2025-04-20T17:05:46.744 | SIM:ESM5 | Buy | 2 | 5287.75 | Passive |
| 2025-04-20T17:05:47.245 | SIM:ESM5 | Buy | 3 | 5287.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-1.1025
Arrival Price
5,293.2500
Average Total
5,293.4150
Destination Price
5,292.5000
Sweep to Fill
5,292.3125
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:04:13.725 | SIM:ESM5 | Sell | 1 | 5293 | Aggressive |
| 2025-04-20T17:04:13.725 | SIM:ESM5 | Sell | 1 | 5293 | Aggressive |
| 2025-04-20T17:04:13.725 | SIM:ESM5 | Sell | 1 | 5292.5 | Aggressive |
| 2025-04-20T17:04:13.725 | SIM:ESM5 | Sell | 2 | 5292.5 | Aggressive |
| 2025-04-20T17:04:18.312 | SIM:ESM5 | Sell | 3 | 5293.25 | Aggressive |
| 2025-04-20T17:04:19.728 | SIM:ESM5 | Sell | 2 | 5293.25 | Aggressive |
| 2025-04-20T17:04:19.728 | SIM:ESM5 | Sell | 1 | 5293 | Aggressive |
| 2025-04-20T17:04:19.728 | SIM:ESM5 | Sell | 3 | 5293 | Aggressive |
| 2025-04-20T17:04:21.139 | SIM:ESM5 | Sell | 4 | 5293.25 | Aggressive |
| 2025-04-20T17:04:21.139 | SIM:ESM5 | Sell | 2 | 5293.25 | Aggressive |
| 2025-04-20T17:04:25.82 | SIM:ESM5 | Sell | 3 | 5293.75 | Aggressive |
| 2025-04-20T17:04:25.82 | SIM:ESM5 | Sell | 1 | 5293.5 | Aggressive |
| 2025-04-20T17:04:26.973 | SIM:ESM5 | Sell | 2 | 5293.75 | Aggressive |
| 2025-04-20T17:04:26.973 | SIM:ESM5 | Sell | 1 | 5293.5 | Aggressive |
| 2025-04-20T17:04:27.863 | SIM:ESM5 | Sell | 6 | 5293.75 | Aggressive |
| 2025-04-20T17:04:27.863 | SIM:ESM5 | Sell | 2 | 5293.75 | Passive |
| 2025-04-20T17:04:29.02 | SIM:ESM5 | Sell | 5 | 5293.75 | Aggressive |
| 2025-04-20T17:04:29.02 | SIM:ESM5 | Sell | 1 | 5293.75 | Passive |
| 2025-04-20T17:04:29.924 | SIM:ESM5 | Sell | 5 | 5293.75 | Aggressive |
| 2025-04-20T17:04:29.924 | SIM:ESM5 | Sell | 2 | 5293.75 | Aggressive |
| 2025-04-20T17:04:42.17 | SIM:ESM5 | Sell | 1 | 5292.75 | Passive |
| 2025-04-20T17:04:47.874 | SIM:ESM5 | Sell | 1 | 5292.25 | Passive |