Arrival Price AI Analytics
CQG AI Algos
The Arrival Price Algorithm is driven by short-term realized volatility and drift signals as well as market-implied cost of liquidity to execute within a risk-optimized time horizon using trader-defined slippage expectations. Arrival Price is benchmarked against mid-market and sweep to fill (market order) metrics.
"Liquidity Cost, Volatility, and Drift" are the quantities used by the algorithm to compute a theoretically optimal Equilibrium Trading Horizon (White Paper). "Seconds spent" reflects the practical application of this horizon over simulated dynamic market conditions. A "fill stream" is also included to demonstrate the effects of the Market By Order Impact Model, which helps size order slices in a manner consistent with price-level population.
The graphs below illuminate the effects of these indicators on optimal execution horizon and therefore, performance results of hypothetical Arrival Price orders.
Impact Model: MBO
Payup Model: PayupAI
- Liquidity Cost:
- Implicit cost of liquidity per lot
- Volatility:
- Normal volatility in dollar terms
- Drift:
- Short-term directional drift
- Seconds Spent:
- Seconds spent in simulated execution
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5750
Slippage Sweep
-0.0700
Arrival Price
5,366.1250
Average Total
5,365.5500
Destination Price
5,365.6250
Sweep to Fill
5,365.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:33:52.298 | SIM:ESM5 | Sell | 1 | 5366.25 | Aggressive |
| 2025-04-17T02:33:54.366 | SIM:ESM5 | Sell | 1 | 5366.25 | Aggressive |
| 2025-04-17T02:33:55.281 | SIM:ESM5 | Sell | 1 | 5366 | Aggressive |
| 2025-04-17T02:33:56.483 | SIM:ESM5 | Sell | 10 | 5365.5 | Aggressive |
| 2025-04-17T02:33:57.342 | SIM:ESM5 | Sell | 9 | 5365.5 | Aggressive |
| 2025-04-17T02:33:58.337 | SIM:ESM5 | Sell | 9 | 5365.5 | Aggressive |
| 2025-04-17T02:33:58.337 | SIM:ESM5 | Sell | 4 | 5365.5 | Passive |
| 2025-04-17T02:33:59.234 | SIM:ESM5 | Sell | 1 | 5365.75 | Passive |
| 2025-04-17T02:33:59.234 | SIM:ESM5 | Sell | 1 | 5365.75 | Aggressive |
| 2025-04-17T02:33:59.234 | SIM:ESM5 | Sell | 2 | 5365.5 | Aggressive |
| 2025-04-17T02:34:00.506 | SIM:ESM5 | Sell | 4 | 5365.5 | Aggressive |
| 2025-04-17T02:34:00.522 | SIM:ESM5 | Sell | 2 | 5365.5 | Aggressive |
| 2025-04-17T02:34:07.26 | SIM:ESM5 | Sell | 1 | 5365.5 | Aggressive |
| 2025-04-17T02:34:08.451 | SIM:ESM5 | Sell | 3 | 5365.5 | Aggressive |
| 2025-04-17T02:34:09.379 | SIM:ESM5 | Sell | 1 | 5365.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5450
Slippage Sweep
-0.2050
Arrival Price
5,366.2500
Average Total
5,366.7950
Destination Price
5,366.7500
Sweep to Fill
5,367.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:32:59.185 | SIM:ESM5 | Buy | 1 | 5366.25 | Aggressive |
| 2025-04-17T02:33:01.157 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:02 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:02.953 | SIM:ESM5 | Buy | 3 | 5366.5 | Aggressive |
| 2025-04-17T02:33:04.079 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:04.974 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:06.097 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:08.57 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:08.57 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:08.57 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:09.673 | SIM:ESM5 | Buy | 1 | 5366.5 | Aggressive |
| 2025-04-17T02:33:11.942 | SIM:ESM5 | Buy | 1 | 5366 | Passive |
| 2025-04-17T02:33:14.971 | SIM:ESM5 | Buy | 5 | 5366.75 | Aggressive |
| 2025-04-17T02:33:14.971 | SIM:ESM5 | Buy | 1 | 5366.75 | Aggressive |
| 2025-04-17T02:33:15.904 | SIM:ESM5 | Buy | 10 | 5367 | Aggressive |
| 2025-04-17T02:33:15.904 | SIM:ESM5 | Buy | 2 | 5367 | Passive |
| 2025-04-17T02:33:16.971 | SIM:ESM5 | Buy | 10 | 5367 | Aggressive |
| 2025-04-17T02:33:17.013 | SIM:ESM5 | Buy | 1 | 5366.75 | Passive |
| 2025-04-17T02:33:17.013 | SIM:ESM5 | Buy | 1 | 5366.75 | Passive |
| 2025-04-17T02:33:17.013 | SIM:ESM5 | Buy | 1 | 5366.75 | Passive |
| 2025-04-17T02:33:17.013 | SIM:ESM5 | Buy | 1 | 5366.75 | Passive |
| 2025-04-17T02:33:26.167 | SIM:ESM5 | Buy | 4 | 5367 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9400
Slippage Sweep
0.1602
Arrival Price
5,369.1250
Average Total
5,368.1850
Destination Price
5,368.1250
Sweep to Fill
5,368.3452
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:31:33.952 | SIM:ESM5 | Sell | 1 | 5369 | Aggressive |
| 2025-04-17T02:31:36.091 | SIM:ESM5 | Sell | 1 | 5368.75 | Aggressive |
| 2025-04-17T02:31:36.792 | SIM:ESM5 | Sell | 1 | 5368.75 | Aggressive |
| 2025-04-17T02:31:38.046 | SIM:ESM5 | Sell | 2 | 5368.5 | Aggressive |
| 2025-04-17T02:31:40.967 | SIM:ESM5 | Sell | 1 | 5368.5 | Aggressive |
| 2025-04-17T02:31:40.967 | SIM:ESM5 | Sell | 3 | 5368.5 | Aggressive |
| 2025-04-17T02:31:42.137 | SIM:ESM5 | Sell | 4 | 5368.5 | Aggressive |
| 2025-04-17T02:31:42.137 | SIM:ESM5 | Sell | 2 | 5368.5 | Aggressive |
| 2025-04-17T02:31:45.842 | SIM:ESM5 | Sell | 4 | 5368.25 | Aggressive |
| 2025-04-17T02:31:45.842 | SIM:ESM5 | Sell | 1 | 5368 | Aggressive |
| 2025-04-17T02:31:47.721 | SIM:ESM5 | Sell | 2 | 5368.25 | Aggressive |
| 2025-04-17T02:31:47.721 | SIM:ESM5 | Sell | 4 | 5368 | Aggressive |
| 2025-04-17T02:31:47.9 | SIM:ESM5 | Sell | 6 | 5368 | Aggressive |
| 2025-04-17T02:31:47.92 | SIM:ESM5 | Sell | 1 | 5368 | Aggressive |
| 2025-04-17T02:31:48.94 | SIM:ESM5 | Sell | 6 | 5368 | Aggressive |
| 2025-04-17T02:31:48.94 | SIM:ESM5 | Sell | 2 | 5367.75 | Aggressive |
| 2025-04-17T02:31:50.382 | SIM:ESM5 | Sell | 4 | 5368 | Aggressive |
| 2025-04-17T02:31:50.382 | SIM:ESM5 | Sell | 1 | 5367.75 | Aggressive |
| 2025-04-17T02:31:51.292 | SIM:ESM5 | Sell | 4 | 5368 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.7100
Slippage Sweep
-1.5100
Arrival Price
5,368.8750
Average Total
5,368.1650
Destination Price
5,367.7500
Sweep to Fill
5,369.6750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:31:07.055 | SIM:ESM5 | Buy | 1 | 5368.75 | Aggressive |
| 2025-04-17T02:31:08.082 | SIM:ESM5 | Buy | 4 | 5368 | Aggressive |
| 2025-04-17T02:31:08.082 | SIM:ESM5 | Buy | 1 | 5368 | Aggressive |
| 2025-04-17T02:31:09.239 | SIM:ESM5 | Buy | 3 | 5368.25 | Aggressive |
| 2025-04-17T02:31:10.104 | SIM:ESM5 | Buy | 10 | 5368 | Aggressive |
| 2025-04-17T02:31:12.641 | SIM:ESM5 | Buy | 4 | 5368.25 | Aggressive |
| 2025-04-17T02:31:12.641 | SIM:ESM5 | Buy | 2 | 5368.5 | Aggressive |
| 2025-04-17T02:31:13.252 | SIM:ESM5 | Buy | 4 | 5368.25 | Aggressive |
| 2025-04-17T02:31:13.252 | SIM:ESM5 | Buy | 2 | 5368.5 | Aggressive |
| 2025-04-17T02:31:14.219 | SIM:ESM5 | Buy | 3 | 5368.25 | Aggressive |
| 2025-04-17T02:31:15.179 | SIM:ESM5 | Buy | 4 | 5368.25 | Aggressive |
| 2025-04-17T02:31:15.179 | SIM:ESM5 | Buy | 2 | 5368.5 | Aggressive |
| 2025-04-17T02:31:15.541 | SIM:ESM5 | Buy | 1 | 5368 | Passive |
| 2025-04-17T02:31:15.541 | SIM:ESM5 | Buy | 1 | 5368 | Passive |
| 2025-04-17T02:31:15.541 | SIM:ESM5 | Buy | 1 | 5368 | Passive |
| 2025-04-17T02:31:18.264 | SIM:ESM5 | Buy | 6 | 5368 | Aggressive |
| 2025-04-17T02:31:18.264 | SIM:ESM5 | Buy | 1 | 5368 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2150
Slippage Sweep
0.3608
Arrival Price
5,369.7500
Average Total
5,368.5350
Destination Price
5,368.8750
Sweep to Fill
5,368.8958
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:29:44.917 | SIM:ESM5 | Sell | 1 | 5369.5 | Aggressive |
| 2025-04-17T02:29:45.842 | SIM:ESM5 | Sell | 1 | 5370.25 | Aggressive |
| 2025-04-17T02:29:47.934 | SIM:ESM5 | Sell | 6 | 5368.5 | Aggressive |
| 2025-04-17T02:29:47.934 | SIM:ESM5 | Sell | 1 | 5368.5 | Aggressive |
| 2025-04-17T02:29:48.868 | SIM:ESM5 | Sell | 5 | 5368.5 | Aggressive |
| 2025-04-17T02:29:48.868 | SIM:ESM5 | Sell | 1 | 5368.25 | Aggressive |
| 2025-04-17T02:29:49.167 | SIM:ESM5 | Sell | 2 | 5368.5 | Aggressive |
| 2025-04-17T02:29:49.912 | SIM:ESM5 | Sell | 3 | 5368.5 | Aggressive |
| 2025-04-17T02:29:49.912 | SIM:ESM5 | Sell | 1 | 5368.25 | Aggressive |
| 2025-04-17T02:29:51.038 | SIM:ESM5 | Sell | 9 | 5368.25 | Aggressive |
| 2025-04-17T02:29:51.04 | SIM:ESM5 | Sell | 1 | 5368.5 | Aggressive |
| 2025-04-17T02:29:51.04 | SIM:ESM5 | Sell | 3 | 5368.25 | Aggressive |
| 2025-04-17T02:29:51.912 | SIM:ESM5 | Sell | 3 | 5368.75 | Aggressive |
| 2025-04-17T02:29:51.912 | SIM:ESM5 | Sell | 1 | 5368.75 | Passive |
| 2025-04-17T02:29:53.982 | SIM:ESM5 | Sell | 2 | 5368.75 | Aggressive |
| 2025-04-17T02:29:53.982 | SIM:ESM5 | Sell | 1 | 5368.5 | Aggressive |
| 2025-04-17T02:29:55.016 | SIM:ESM5 | Sell | 2 | 5368.75 | Aggressive |
| 2025-04-17T02:29:55.016 | SIM:ESM5 | Sell | 4 | 5368.5 | Aggressive |
| 2025-04-17T02:29:55.964 | SIM:ESM5 | Sell | 2 | 5368.75 | Aggressive |
| 2025-04-17T02:29:55.964 | SIM:ESM5 | Sell | 1 | 5368.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2250
Slippage Sweep
-0.4350
Arrival Price
5,369.7500
Average Total
5,369.9750
Destination Price
5,370.7500
Sweep to Fill
5,370.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:29:12.252 | SIM:ESM5 | Buy | 2 | 5370.5 | Aggressive |
| 2025-04-17T02:29:13.312 | SIM:ESM5 | Buy | 2 | 5369.25 | Aggressive |
| 2025-04-17T02:29:14.632 | SIM:ESM5 | Buy | 1 | 5369.25 | Passive |
| 2025-04-17T02:29:15.355 | SIM:ESM5 | Buy | 1 | 5369.5 | Aggressive |
| 2025-04-17T02:29:16.312 | SIM:ESM5 | Buy | 2 | 5369.25 | Aggressive |
| 2025-04-17T02:29:16.312 | SIM:ESM5 | Buy | 2 | 5369.5 | Aggressive |
| 2025-04-17T02:29:17.312 | SIM:ESM5 | Buy | 9 | 5369.25 | Aggressive |
| 2025-04-17T02:29:17.312 | SIM:ESM5 | Buy | 2 | 5369.25 | Passive |
| 2025-04-17T02:29:18.513 | SIM:ESM5 | Buy | 2 | 5369 | Aggressive |
| 2025-04-17T02:29:18.513 | SIM:ESM5 | Buy | 2 | 5369.25 | Aggressive |
| 2025-04-17T02:29:19.417 | SIM:ESM5 | Buy | 3 | 5369 | Aggressive |
| 2025-04-17T02:29:19.417 | SIM:ESM5 | Buy | 1 | 5369 | Passive |
| 2025-04-17T02:29:21.366 | SIM:ESM5 | Buy | 1 | 5370.75 | Aggressive |
| 2025-04-17T02:29:21.366 | SIM:ESM5 | Buy | 3 | 5371 | Aggressive |
| 2025-04-17T02:29:22.382 | SIM:ESM5 | Buy | 6 | 5370.75 | Aggressive |
| 2025-04-17T02:29:22.382 | SIM:ESM5 | Buy | 2 | 5370.75 | Aggressive |
| 2025-04-17T02:29:31.455 | SIM:ESM5 | Buy | 7 | 5371 | Aggressive |
| 2025-04-17T02:29:31.455 | SIM:ESM5 | Buy | 1 | 5371 | Aggressive |
| 2025-04-17T02:29:31.455 | SIM:ESM5 | Buy | 1 | 5371 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9150
Slippage Sweep
0.0959
Arrival Price
5,365.2500
Average Total
5,364.3350
Destination Price
5,365.8750
Sweep to Fill
5,364.4309
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:27:22.466 | SIM:ESM5 | Sell | 1 | 5365 | Aggressive |
| 2025-04-17T02:27:24.97 | SIM:ESM5 | Sell | 1 | 5365 | Aggressive |
| 2025-04-17T02:27:25.663 | SIM:ESM5 | Sell | 1 | 5365 | Aggressive |
| 2025-04-17T02:27:26.912 | SIM:ESM5 | Sell | 2 | 5364.75 | Aggressive |
| 2025-04-17T02:27:26.912 | SIM:ESM5 | Sell | 1 | 5364.5 | Aggressive |
| 2025-04-17T02:27:31.803 | SIM:ESM5 | Sell | 1 | 5365 | Aggressive |
| 2025-04-17T02:27:34.64 | SIM:ESM5 | Sell | 1 | 5365.25 | Aggressive |
| 2025-04-17T02:27:35.928 | SIM:ESM5 | Sell | 1 | 5365.25 | Aggressive |
| 2025-04-17T02:27:36.617 | SIM:ESM5 | Sell | 1 | 5365.25 | Aggressive |
| 2025-04-17T02:27:38.7 | SIM:ESM5 | Sell | 2 | 5364.5 | Aggressive |
| 2025-04-17T02:27:39.66 | SIM:ESM5 | Sell | 7 | 5364.5 | Aggressive |
| 2025-04-17T02:27:39.66 | SIM:ESM5 | Sell | 5 | 5364.25 | Aggressive |
| 2025-04-17T02:27:40.79 | SIM:ESM5 | Sell | 1 | 5364.5 | Aggressive |
| 2025-04-17T02:27:41.76 | SIM:ESM5 | Sell | 1 | 5364.5 | Aggressive |
| 2025-04-17T02:27:41.76 | SIM:ESM5 | Sell | 2 | 5364.25 | Aggressive |
| 2025-04-17T02:27:45.68 | SIM:ESM5 | Sell | 4 | 5364.5 | Aggressive |
| 2025-04-17T02:27:45.68 | SIM:ESM5 | Sell | 2 | 5364.5 | Passive |
| 2025-04-17T02:27:46.679 | SIM:ESM5 | Sell | 6 | 5363.75 | Aggressive |
| 2025-04-17T02:27:46.679 | SIM:ESM5 | Sell | 2 | 5363.5 | Aggressive |
| 2025-04-17T02:27:47.719 | SIM:ESM5 | Sell | 4 | 5363.75 | Aggressive |
| 2025-04-17T02:27:47.719 | SIM:ESM5 | Sell | 3 | 5363.5 | Aggressive |
| 2025-04-17T02:27:59.841 | SIM:ESM5 | Sell | 1 | 5365.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2000
Slippage Sweep
-0.5036
Arrival Price
5,363.8750
Average Total
5,364.0750
Destination Price
5,364.3750
Sweep to Fill
5,364.5786
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:26:07.549 | SIM:ESM5 | Buy | 1 | 5363.75 | Aggressive |
| 2025-04-17T02:26:08.597 | SIM:ESM5 | Buy | 1 | 5363.75 | Aggressive |
| 2025-04-17T02:26:10.58 | SIM:ESM5 | Buy | 2 | 5363.5 | Aggressive |
| 2025-04-17T02:26:10.58 | SIM:ESM5 | Buy | 1 | 5363.75 | Aggressive |
| 2025-04-17T02:26:11.655 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:26:13.599 | SIM:ESM5 | Buy | 1 | 5363.25 | Aggressive |
| 2025-04-17T02:26:14.58 | SIM:ESM5 | Buy | 3 | 5363.25 | Aggressive |
| 2025-04-17T02:26:14.58 | SIM:ESM5 | Buy | 1 | 5363.25 | Passive |
| 2025-04-17T02:26:15.596 | SIM:ESM5 | Buy | 3 | 5363.25 | Aggressive |
| 2025-04-17T02:26:16.631 | SIM:ESM5 | Buy | 2 | 5363.25 | Aggressive |
| 2025-04-17T02:26:16.631 | SIM:ESM5 | Buy | 2 | 5363.5 | Aggressive |
| 2025-04-17T02:26:21.01 | SIM:ESM5 | Buy | 2 | 5363.5 | Aggressive |
| 2025-04-17T02:26:21.01 | SIM:ESM5 | Buy | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:26:24.189 | SIM:ESM5 | Buy | 1 | 5364.25 | Aggressive |
| 2025-04-17T02:26:27.295 | SIM:ESM5 | Buy | 1 | 5364.5 | Aggressive |
| 2025-04-17T02:26:27.781 | SIM:ESM5 | Buy | 3 | 5364.5 | Aggressive |
| 2025-04-17T02:26:28.73 | SIM:ESM5 | Buy | 6 | 5364.75 | Aggressive |
| 2025-04-17T02:26:28.9 | SIM:ESM5 | Buy | 1 | 5364.75 | Aggressive |
| 2025-04-17T02:26:31.022 | SIM:ESM5 | Buy | 1 | 5364.5 | Aggressive |
| 2025-04-17T02:26:47.324 | SIM:ESM5 | Buy | 5 | 5364.5 | Aggressive |
| 2025-04-17T02:26:47.324 | SIM:ESM5 | Buy | 4 | 5364.5 | Aggressive |
| 2025-04-17T02:26:48.015 | SIM:ESM5 | Buy | 3 | 5364.5 | Aggressive |
| 2025-04-17T02:26:49.405 | SIM:ESM5 | Buy | 2 | 5364.5 | Aggressive |
| 2025-04-17T02:26:50.061 | SIM:ESM5 | Buy | 2 | 5364.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5250
Slippage Sweep
-1.2788
Arrival Price
5,361.3750
Average Total
5,361.9000
Destination Price
5,362.3750
Sweep to Fill
5,360.6212
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:24:46.987 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:24:49.436 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:24:50.161 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:24:52.954 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:24:53.051 | SIM:ESM5 | Sell | 1 | 5361.25 | Aggressive |
| 2025-04-17T02:24:54.3 | SIM:ESM5 | Sell | 4 | 5361.5 | Aggressive |
| 2025-04-17T02:24:55.544 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:24:56.222 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:25:00.463 | SIM:ESM5 | Sell | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:25:01.117 | SIM:ESM5 | Sell | 2 | 5362.25 | Aggressive |
| 2025-04-17T02:25:01.117 | SIM:ESM5 | Sell | 1 | 5362 | Aggressive |
| 2025-04-17T02:25:02.141 | SIM:ESM5 | Sell | 4 | 5362 | Aggressive |
| 2025-04-17T02:25:02.141 | SIM:ESM5 | Sell | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:25:02.141 | SIM:ESM5 | Sell | 2 | 5362 | Passive |
| 2025-04-17T02:25:03.179 | SIM:ESM5 | Sell | 4 | 5362 | Aggressive |
| 2025-04-17T02:25:03.179 | SIM:ESM5 | Sell | 1 | 5362 | Passive |
| 2025-04-17T02:25:04.28 | SIM:ESM5 | Sell | 5 | 5362 | Aggressive |
| 2025-04-17T02:25:04.28 | SIM:ESM5 | Sell | 1 | 5362 | Aggressive |
| 2025-04-17T02:25:05.346 | SIM:ESM5 | Sell | 5 | 5362 | Aggressive |
| 2025-04-17T02:25:05.347 | SIM:ESM5 | Sell | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:25:06.261 | SIM:ESM5 | Sell | 3 | 5362.5 | Aggressive |
| 2025-04-17T02:25:08.751 | SIM:ESM5 | Sell | 2 | 5362.25 | Aggressive |
| 2025-04-17T02:25:08.751 | SIM:ESM5 | Sell | 5 | 5362 | Aggressive |
| 2025-04-17T02:25:10.674 | SIM:ESM5 | Sell | 1 | 5362.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0650
Slippage Sweep
-0.6200
Arrival Price
5,361.3750
Average Total
5,361.3100
Destination Price
5,360.3750
Sweep to Fill
5,361.9300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:23:38.009 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:23:39.016 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:23:39.016 | SIM:ESM5 | Buy | 2 | 5361.75 | Aggressive |
| 2025-04-17T02:23:42.006 | SIM:ESM5 | Buy | 2 | 5361.75 | Aggressive |
| 2025-04-17T02:23:42.007 | SIM:ESM5 | Buy | 1 | 5362 | Aggressive |
| 2025-04-17T02:23:48.881 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:23:49.21 | SIM:ESM5 | Buy | 1 | 5361.5 | Aggressive |
| 2025-04-17T02:23:50.997 | SIM:ESM5 | Buy | 8 | 5361.75 | Aggressive |
| 2025-04-17T02:23:50.997 | SIM:ESM5 | Buy | 1 | 5361.75 | Aggressive |
| 2025-04-17T02:23:51.339 | SIM:ESM5 | Buy | 2 | 5361.75 | Aggressive |
| 2025-04-17T02:23:52.089 | SIM:ESM5 | Buy | 7 | 5362 | Aggressive |
| 2025-04-17T02:23:53.068 | SIM:ESM5 | Buy | 1 | 5361.5 | Passive |
| 2025-04-17T02:23:53.068 | SIM:ESM5 | Buy | 1 | 5361.5 | Passive |
| 2025-04-17T02:23:53.068 | SIM:ESM5 | Buy | 1 | 5361.5 | Passive |
| 2025-04-17T02:23:53.079 | SIM:ESM5 | Buy | 2 | 5361.25 | Aggressive |
| 2025-04-17T02:23:53.079 | SIM:ESM5 | Buy | 2 | 5361.5 | Aggressive |
| 2025-04-17T02:24:00.156 | SIM:ESM5 | Buy | 2 | 5360.25 | Aggressive |
| 2025-04-17T02:24:00.156 | SIM:ESM5 | Buy | 1 | 5360.25 | Passive |
| 2025-04-17T02:24:01.172 | SIM:ESM5 | Buy | 6 | 5360.5 | Aggressive |
| 2025-04-17T02:24:01.172 | SIM:ESM5 | Buy | 2 | 5360.5 | Aggressive |
| 2025-04-17T02:24:02.414 | SIM:ESM5 | Buy | 2 | 5360.5 | Aggressive |
| 2025-04-17T02:24:02.414 | SIM:ESM5 | Buy | 3 | 5360.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1600
Slippage Sweep
-0.9450
Arrival Price
5,358.7500
Average Total
5,358.9100
Destination Price
5,359.7500
Sweep to Fill
5,357.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:22:01.012 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:22:03.216 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:22:05.212 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:22:06.676 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:22:08.854 | SIM:ESM5 | Sell | 3 | 5359 | Aggressive |
| 2025-04-17T02:22:08.854 | SIM:ESM5 | Sell | 1 | 5358.75 | Aggressive |
| 2025-04-17T02:22:10.091 | SIM:ESM5 | Sell | 7 | 5358 | Aggressive |
| 2025-04-17T02:22:10.3 | SIM:ESM5 | Sell | 3 | 5358.25 | Aggressive |
| 2025-04-17T02:22:11.109 | SIM:ESM5 | Sell | 2 | 5358 | Aggressive |
| 2025-04-17T02:22:21.326 | SIM:ESM5 | Sell | 4 | 5359.25 | Aggressive |
| 2025-04-17T02:22:21.326 | SIM:ESM5 | Sell | 4 | 5359 | Aggressive |
| 2025-04-17T02:22:22.309 | SIM:ESM5 | Sell | 3 | 5359.5 | Aggressive |
| 2025-04-17T02:22:22.309 | SIM:ESM5 | Sell | 3 | 5359.25 | Aggressive |
| 2025-04-17T02:22:23.191 | SIM:ESM5 | Sell | 7 | 5359.25 | Aggressive |
| 2025-04-17T02:22:23.439 | SIM:ESM5 | Sell | 1 | 5359.25 | Aggressive |
| 2025-04-17T02:22:24.22 | SIM:ESM5 | Sell | 3 | 5359.5 | Aggressive |
| 2025-04-17T02:22:24.22 | SIM:ESM5 | Sell | 5 | 5359.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9700
Slippage Sweep
0.2900
Arrival Price
5,359.8750
Average Total
5,360.8450
Destination Price
5,360.7500
Sweep to Fill
5,360.5550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:21:15.113 | SIM:ESM5 | Buy | 1 | 5360 | Passive |
| 2025-04-17T02:21:16.677 | SIM:ESM5 | Buy | 1 | 5360.25 | Aggressive |
| 2025-04-17T02:21:16.677 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:18.112 | SIM:ESM5 | Buy | 1 | 5360.25 | Passive |
| 2025-04-17T02:21:18.647 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:18.647 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:19.824 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:19.824 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:20.864 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:21.789 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:22.714 | SIM:ESM5 | Buy | 1 | 5360.5 | Aggressive |
| 2025-04-17T02:21:23.833 | SIM:ESM5 | Buy | 12 | 5361 | Aggressive |
| 2025-04-17T02:21:23.833 | SIM:ESM5 | Buy | 5 | 5361 | Aggressive |
| 2025-04-17T02:21:24.736 | SIM:ESM5 | Buy | 12 | 5361 | Aggressive |
| 2025-04-17T02:21:24.736 | SIM:ESM5 | Buy | 3 | 5361 | Passive |
| 2025-04-17T02:21:25.685 | SIM:ESM5 | Buy | 5 | 5360.75 | Aggressive |
| 2025-04-17T02:21:26.778 | SIM:ESM5 | Buy | 2 | 5361 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.5050
Slippage Sweep
0.7250
Arrival Price
5,364.0000
Average Total
5,362.4950
Destination Price
5,362.2500
Sweep to Fill
5,363.2200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:20:06.471 | SIM:ESM5 | Sell | 1 | 5363.5 | Aggressive |
| 2025-04-17T02:20:06.797 | SIM:ESM5 | Sell | 1 | 5363.5 | Passive |
| 2025-04-17T02:20:07.442 | SIM:ESM5 | Sell | 2 | 5363.25 | Aggressive |
| 2025-04-17T02:20:07.442 | SIM:ESM5 | Sell | 2 | 5363 | Aggressive |
| 2025-04-17T02:20:08.444 | SIM:ESM5 | Sell | 3 | 5363.25 | Aggressive |
| 2025-04-17T02:20:08.445 | SIM:ESM5 | Sell | 1 | 5363.25 | Aggressive |
| 2025-04-17T02:20:11.73 | SIM:ESM5 | Sell | 1 | 5362.75 | Aggressive |
| 2025-04-17T02:20:11.73 | SIM:ESM5 | Sell | 2 | 5362.5 | Aggressive |
| 2025-04-17T02:20:12.7 | SIM:ESM5 | Sell | 4 | 5362.25 | Aggressive |
| 2025-04-17T02:20:12.7 | SIM:ESM5 | Sell | 1 | 5362.25 | Passive |
| 2025-04-17T02:20:13.48 | SIM:ESM5 | Sell | 4 | 5362.25 | Aggressive |
| 2025-04-17T02:20:14.537 | SIM:ESM5 | Sell | 1 | 5362.5 | Aggressive |
| 2025-04-17T02:20:14.537 | SIM:ESM5 | Sell | 1 | 5362.25 | Aggressive |
| 2025-04-17T02:20:15.578 | SIM:ESM5 | Sell | 6 | 5362.75 | Aggressive |
| 2025-04-17T02:20:15.578 | SIM:ESM5 | Sell | 3 | 5362.75 | Passive |
| 2025-04-17T02:20:16.526 | SIM:ESM5 | Sell | 2 | 5362.25 | Aggressive |
| 2025-04-17T02:20:17.545 | SIM:ESM5 | Sell | 7 | 5362 | Aggressive |
| 2025-04-17T02:20:17.613 | SIM:ESM5 | Sell | 1 | 5362.25 | Passive |
| 2025-04-17T02:20:18.591 | SIM:ESM5 | Sell | 2 | 5362 | Aggressive |
| 2025-04-17T02:20:19.664 | SIM:ESM5 | Sell | 2 | 5362 | Aggressive |
| 2025-04-17T02:20:19.664 | SIM:ESM5 | Sell | 3 | 5362 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0550
Slippage Sweep
-0.7079
Arrival Price
5,368.8750
Average Total
5,368.8200
Destination Price
5,365.5000
Sweep to Fill
5,368.1121
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:18:22.623 | SIM:ESM5 | Sell | 3 | 5369.5 | Aggressive |
| 2025-04-17T02:18:22.623 | SIM:ESM5 | Sell | 2 | 5369.25 | Aggressive |
| 2025-04-17T02:18:23.65 | SIM:ESM5 | Sell | 1 | 5370.5 | Aggressive |
| 2025-04-17T02:18:24.685 | SIM:ESM5 | Sell | 3 | 5369.5 | Aggressive |
| 2025-04-17T02:18:25.644 | SIM:ESM5 | Sell | 3 | 5369.5 | Aggressive |
| 2025-04-17T02:18:26.692 | SIM:ESM5 | Sell | 7 | 5369.75 | Aggressive |
| 2025-04-17T02:18:26.692 | SIM:ESM5 | Sell | 3 | 5369.75 | Aggressive |
| 2025-04-17T02:18:27.671 | SIM:ESM5 | Sell | 1 | 5370.25 | Aggressive |
| 2025-04-17T02:18:27.671 | SIM:ESM5 | Sell | 2 | 5370 | Aggressive |
| 2025-04-17T02:18:28.677 | SIM:ESM5 | Sell | 9 | 5370.5 | Aggressive |
| 2025-04-17T02:18:28.682 | SIM:ESM5 | Sell | 1 | 5370.5 | Aggressive |
| 2025-04-17T02:18:32.861 | SIM:ESM5 | Sell | 3 | 5367.75 | Aggressive |
| 2025-04-17T02:18:33.695 | SIM:ESM5 | Sell | 3 | 5366.5 | Aggressive |
| 2025-04-17T02:18:34.733 | SIM:ESM5 | Sell | 2 | 5365.5 | Aggressive |
| 2025-04-17T02:18:34.733 | SIM:ESM5 | Sell | 5 | 5365.5 | Aggressive |
| 2025-04-17T02:18:35.828 | SIM:ESM5 | Sell | 1 | 5365.25 | Aggressive |
| 2025-04-17T02:18:43.027 | SIM:ESM5 | Sell | 1 | 5367.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5450
Slippage Sweep
-0.0500
Arrival Price
5,352.2500
Average Total
5,352.7950
Destination Price
5,353.3750
Sweep to Fill
5,352.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:16:31.165 | SIM:ESM5 | Buy | 4 | 5352.75 | Aggressive |
| 2025-04-17T02:16:31.165 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T02:16:31.317 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T02:16:31.317 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T02:16:32.263 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:16:42.331 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:16:43.674 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:16:43.674 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:16:43.694 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:16:45.372 | SIM:ESM5 | Buy | 4 | 5352.5 | Aggressive |
| 2025-04-17T02:16:45.372 | SIM:ESM5 | Buy | 2 | 5352.5 | Aggressive |
| 2025-04-17T02:16:46.61 | SIM:ESM5 | Buy | 4 | 5352.5 | Aggressive |
| 2025-04-17T02:16:46.61 | SIM:ESM5 | Buy | 2 | 5352.5 | Passive |
| 2025-04-17T02:16:47.505 | SIM:ESM5 | Buy | 3 | 5352.75 | Aggressive |
| 2025-04-17T02:16:49.172 | SIM:ESM5 | Buy | 4 | 5352.75 | Passive |
| 2025-04-17T02:16:50.078 | SIM:ESM5 | Buy | 4 | 5352.75 | Aggressive |
| 2025-04-17T02:16:51.07 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T02:16:51.07 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T02:16:51.07 | SIM:ESM5 | Buy | 1 | 5352.75 | Passive |
| 2025-04-17T02:16:51.07 | SIM:ESM5 | Buy | 1 | 5352.75 | Passive |
| 2025-04-17T02:16:51.572 | SIM:ESM5 | Buy | 8 | 5353.5 | Aggressive |
| 2025-04-17T02:16:51.572 | SIM:ESM5 | Buy | 2 | 5353.5 | Aggressive |