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
0.1400
Slippage Sweep
0.0150
Arrival Price
5,941.8750
Average Total
5,941.7350
Destination Price
5,941.6250
Sweep to Fill
5,941.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:22:19.86 | SIM:ESM5 | Sell | 20 | 5941.75 | Aggressive |
| 2025-06-02T14:22:13.999 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |
| 2025-06-02T14:22:29.011 | SIM:ESM5 | Sell | 3 | 5941.5 | Aggressive |
| 2025-06-02T14:22:21.537 | SIM:ESM5 | Sell | 6 | 5941.75 | Aggressive |
| 2025-06-02T14:22:13.758 | SIM:ESM5 | Sell | 2 | 5941.75 | Aggressive |
| 2025-06-02T14:22:13.758 | SIM:ESM5 | Sell | 8 | 5941.75 | Aggressive |
| 2025-06-02T14:22:13.558 | SIM:ESM5 | Sell | 10 | 5941.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0850
Slippage Sweep
-0.2100
Arrival Price
5,942.3750
Average Total
5,942.2900
Destination Price
5,942.1250
Sweep to Fill
5,942.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:22:08.628 | SIM:ESM5 | Buy | 2 | 5942.5 | Aggressive |
| 2025-06-02T14:22:08.628 | SIM:ESM5 | Buy | 3 | 5942.25 | Aggressive |
| 2025-06-02T14:22:08.627 | SIM:ESM5 | Buy | 3 | 5942.25 | Passive |
| 2025-06-02T14:22:11.512 | SIM:ESM5 | Buy | 35 | 5942.25 | Aggressive |
| 2025-06-02T14:22:10.464 | SIM:ESM5 | Buy | 4 | 5942.5 | Aggressive |
| 2025-06-02T14:22:09.439 | SIM:ESM5 | Buy | 2 | 5942.5 | Aggressive |
| 2025-06-02T14:22:07.412 | SIM:ESM5 | Buy | 1 | 5942.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2500
Arrival Price
5,940.8750
Average Total
5,941.0000
Destination Price
5,941.1250
Sweep to Fill
5,940.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:21:37.153 | SIM:ESM5 | Sell | 2 | 5941 | Aggressive |
| 2025-06-02T14:21:36.214 | SIM:ESM5 | Sell | 47 | 5941 | Aggressive |
| 2025-06-02T14:21:35.313 | SIM:ESM5 | Sell | 1 | 5941 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1600
Slippage Sweep
0.0100
Arrival Price
5,940.6250
Average Total
5,940.7850
Destination Price
5,940.8750
Sweep to Fill
5,940.7750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:21:34.935 | SIM:ESM5 | Buy | 8 | 5941 | Aggressive |
| 2025-06-02T14:21:32.725 | SIM:ESM5 | Buy | 3 | 5941 | Aggressive |
| 2025-06-02T14:21:29.712 | SIM:ESM5 | Buy | 7 | 5941 | Aggressive |
| 2025-06-02T14:21:26.718 | SIM:ESM5 | Buy | 3 | 5941 | Aggressive |
| 2025-06-02T14:21:28.69 | SIM:ESM5 | Buy | 7 | 5941 | Aggressive |
| 2025-06-02T14:21:21.621 | SIM:ESM5 | Buy | 21 | 5940.5 | Aggressive |
| 2025-06-02T14:21:20.6 | SIM:ESM5 | Buy | 1 | 5940.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.3800
Arrival Price
5,940.3750
Average Total
5,940.5400
Destination Price
5,940.8750
Sweep to Fill
5,940.1600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:20:48.589 | SIM:ESM5 | Sell | 15 | 5940.25 | Aggressive |
| 2025-06-02T14:20:47.584 | SIM:ESM5 | Sell | 5 | 5940.25 | Aggressive |
| 2025-06-02T14:20:49.596 | SIM:ESM5 | Sell | 24 | 5940.75 | Aggressive |
| 2025-06-02T14:20:49.596 | SIM:ESM5 | Sell | 5 | 5940.75 | Aggressive |
| 2025-06-02T14:20:46.612 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8300
Slippage Sweep
0.5700
Arrival Price
5,939.1250
Average Total
5,939.9550
Destination Price
5,940.3750
Sweep to Fill
5,939.3850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:20:46.308 | SIM:ESM5 | Buy | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:20:46.308 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:20:45.958 | SIM:ESM5 | Buy | 2 | 5940.5 | Aggressive |
| 2025-06-02T14:20:42.512 | SIM:ESM5 | Buy | 9 | 5940 | Aggressive |
| 2025-06-02T14:20:38.844 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
| 2025-06-02T14:20:35.433 | SIM:ESM5 | Buy | 6 | 5939.5 | Aggressive |
| 2025-06-02T14:20:40.469 | SIM:ESM5 | Buy | 6 | 5940 | Aggressive |
| 2025-06-02T14:20:37.853 | SIM:ESM5 | Buy | 5 | 5940 | Aggressive |
| 2025-06-02T14:20:37.055 | SIM:ESM5 | Buy | 9 | 5939.75 | Aggressive |
| 2025-06-02T14:20:33.76 | SIM:ESM5 | Buy | 1 | 5939.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2800
Slippage Sweep
0.1000
Arrival Price
5,939.8750
Average Total
5,939.5950
Destination Price
5,939.3750
Sweep to Fill
5,939.6950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:20:03.214 | SIM:ESM5 | Sell | 2 | 5939.5 | Passive |
| 2025-06-02T14:20:03.213 | SIM:ESM5 | Sell | 4 | 5939.5 | Passive |
| 2025-06-02T14:20:01.241 | SIM:ESM5 | Sell | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:20:00.235 | SIM:ESM5 | Sell | 3 | 5939.5 | Aggressive |
| 2025-06-02T14:19:59.224 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:19:59.224 | SIM:ESM5 | Sell | 3 | 5939.75 | Passive |
| 2025-06-02T14:19:59.224 | SIM:ESM5 | Sell | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:19:59.224 | SIM:ESM5 | Sell | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:19:59.223 | SIM:ESM5 | Sell | 3 | 5939.75 | Passive |
| 2025-06-02T14:19:59.223 | SIM:ESM5 | Sell | 1 | 5939.75 | Passive |
| 2025-06-02T14:19:59.223 | SIM:ESM5 | Sell | 1 | 5939.75 | Passive |
| 2025-06-02T14:19:55.038 | SIM:ESM5 | Sell | 3 | 5939.5 | Passive |
| 2025-06-02T14:19:55.038 | SIM:ESM5 | Sell | 2 | 5939.5 | Passive |
| 2025-06-02T14:19:55.038 | SIM:ESM5 | Sell | 1 | 5939.5 | Aggressive |
| 2025-06-02T14:19:55.038 | SIM:ESM5 | Sell | 3 | 5939.5 | Passive |
| 2025-06-02T14:19:53.028 | SIM:ESM5 | Sell | 5 | 5939.5 | Aggressive |
| 2025-06-02T14:19:52.113 | SIM:ESM5 | Sell | 2 | 5939.75 | Passive |
| 2025-06-02T14:19:52.113 | SIM:ESM5 | Sell | 2 | 5939.75 | Passive |
| 2025-06-02T14:19:52.113 | SIM:ESM5 | Sell | 1 | 5939.75 | Passive |
| 2025-06-02T14:19:52.112 | SIM:ESM5 | Sell | 1 | 5939.75 | Passive |
| 2025-06-02T14:19:51.437 | SIM:ESM5 | Sell | 1 | 5939.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0950
Slippage Sweep
-0.1900
Arrival Price
5,940.1250
Average Total
5,940.2200
Destination Price
5,939.8750
Sweep to Fill
5,940.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:19:50.436 | SIM:ESM5 | Buy | 12 | 5940 | Aggressive |
| 2025-06-02T14:19:47.443 | SIM:ESM5 | Buy | 6 | 5940.5 | Aggressive |
| 2025-06-02T14:19:42.674 | SIM:ESM5 | Buy | 9 | 5940.25 | Aggressive |
| 2025-06-02T14:19:41.357 | SIM:ESM5 | Buy | 9 | 5940.25 | Aggressive |
| 2025-06-02T14:19:49.417 | SIM:ESM5 | Buy | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:19:40.544 | SIM:ESM5 | Buy | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:19:40.544 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:19:39.486 | SIM:ESM5 | Buy | 1 | 5940.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0050
Slippage Sweep
-0.3050
Arrival Price
5,940.1250
Average Total
5,940.1200
Destination Price
5,940.3750
Sweep to Fill
5,939.8150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:19:08.513 | SIM:ESM5 | Sell | 8 | 5940 | Aggressive |
| 2025-06-02T14:19:08.513 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |
| 2025-06-02T14:19:08.513 | SIM:ESM5 | Sell | 1 | 5940.25 | Passive |
| 2025-06-02T14:19:08.513 | SIM:ESM5 | Sell | 1 | 5940.25 | Passive |
| 2025-06-02T14:19:08.513 | SIM:ESM5 | Sell | 1 | 5940.25 | Passive |
| 2025-06-02T14:19:09.018 | SIM:ESM5 | Sell | 17 | 5940 | Aggressive |
| 2025-06-02T14:19:09.017 | SIM:ESM5 | Sell | 20 | 5940.25 | Aggressive |
| 2025-06-02T14:19:07.35 | SIM:ESM5 | Sell | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0050
Slippage Sweep
-0.1600
Arrival Price
5,940.1250
Average Total
5,940.1200
Destination Price
5,939.8750
Sweep to Fill
5,940.2800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:19:03.977 | SIM:ESM5 | Buy | 5 | 5940.25 | Aggressive |
| 2025-06-02T14:19:05.945 | SIM:ESM5 | Buy | 15 | 5940.25 | Aggressive |
| 2025-06-02T14:19:05.945 | SIM:ESM5 | Buy | 26 | 5940 | Aggressive |
| 2025-06-02T14:19:03.977 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:19:02.887 | SIM:ESM5 | Buy | 1 | 5940.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1350
Slippage Sweep
0.0100
Arrival Price
5,939.8750
Average Total
5,939.7400
Destination Price
5,939.8750
Sweep to Fill
5,939.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:18:29.191 | SIM:ESM5 | Sell | 21 | 5939.75 | Aggressive |
| 2025-06-02T14:18:28.117 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:18:27.156 | SIM:ESM5 | Sell | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:18:31.157 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:18:31.157 | SIM:ESM5 | Sell | 20 | 5939.75 | Aggressive |
| 2025-06-02T14:18:25.077 | SIM:ESM5 | Sell | 3 | 5939.5 | Aggressive |
| 2025-06-02T14:18:24.849 | SIM:ESM5 | Sell | 1 | 5940 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1650
Slippage Sweep
0.0400
Arrival Price
5,940.1250
Average Total
5,940.2900
Destination Price
5,939.8750
Sweep to Fill
5,940.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:18:19.717 | SIM:ESM5 | Buy | 15 | 5940.5 | Aggressive |
| 2025-06-02T14:18:23.812 | SIM:ESM5 | Buy | 9 | 5940 | Aggressive |
| 2025-06-02T14:18:22.812 | SIM:ESM5 | Buy | 5 | 5940.25 | Aggressive |
| 2025-06-02T14:18:17.694 | SIM:ESM5 | Buy | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:18:15.672 | SIM:ESM5 | Buy | 2 | 5940.5 | Aggressive |
| 2025-06-02T14:18:12.665 | SIM:ESM5 | Buy | 10 | 5940.25 | Aggressive |
| 2025-06-02T14:18:11.865 | SIM:ESM5 | Buy | 1 | 5940.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4850
Slippage Sweep
0.3600
Arrival Price
5,940.1250
Average Total
5,939.6400
Destination Price
5,939.3750
Sweep to Fill
5,940.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:17:40.147 | SIM:ESM5 | Sell | 3 | 5939 | Aggressive |
| 2025-06-02T14:17:36.426 | SIM:ESM5 | Sell | 4 | 5939.25 | Aggressive |
| 2025-06-02T14:17:35.212 | SIM:ESM5 | Sell | 4 | 5939.25 | Aggressive |
| 2025-06-02T14:17:31.471 | SIM:ESM5 | Sell | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:17:30.159 | SIM:ESM5 | Sell | 3 | 5939.5 | Aggressive |
| 2025-06-02T14:17:26.981 | SIM:ESM5 | Sell | 17 | 5940 | Aggressive |
| 2025-06-02T14:17:25.962 | SIM:ESM5 | Sell | 3 | 5940 | Aggressive |
| 2025-06-02T14:17:34.196 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
| 2025-06-02T14:17:34.196 | SIM:ESM5 | Sell | 2 | 5939.5 | Passive |
| 2025-06-02T14:17:34.196 | SIM:ESM5 | Sell | 2 | 5939.5 | Passive |
| 2025-06-02T14:17:34.195 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
| 2025-06-02T14:17:34.195 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
| 2025-06-02T14:17:32.741 | SIM:ESM5 | Sell | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:17:25.012 | SIM:ESM5 | Sell | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3650
Slippage Sweep
0.2400
Arrival Price
5,939.8750
Average Total
5,940.2400
Destination Price
5,940.3750
Sweep to Fill
5,940.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:17:24.726 | SIM:ESM5 | Buy | 3 | 5940.5 | Aggressive |
| 2025-06-02T14:17:24.726 | SIM:ESM5 | Buy | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:17:24.726 | SIM:ESM5 | Buy | 2 | 5940.25 | Passive |
| 2025-06-02T14:17:22.412 | SIM:ESM5 | Buy | 8 | 5940.75 | Aggressive |
| 2025-06-02T14:17:22.412 | SIM:ESM5 | Buy | 1 | 5940.5 | Aggressive |
| 2025-06-02T14:17:19.382 | SIM:ESM5 | Buy | 4 | 5940 | Aggressive |
| 2025-06-02T14:17:18.339 | SIM:ESM5 | Buy | 8 | 5940 | Aggressive |
| 2025-06-02T14:17:14.258 | SIM:ESM5 | Buy | 5 | 5940 | Aggressive |
| 2025-06-02T14:17:13.388 | SIM:ESM5 | Buy | 2 | 5940 | Aggressive |
| 2025-06-02T14:17:22.385 | SIM:ESM5 | Buy | 1 | 5940.5 | Passive |
| 2025-06-02T14:17:20.312 | SIM:ESM5 | Buy | 5 | 5940.5 | Aggressive |
| 2025-06-02T14:17:15.317 | SIM:ESM5 | Buy | 8 | 5940 | Aggressive |
| 2025-06-02T14:17:12.247 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3650
Slippage Sweep
-0.5350
Arrival Price
5,938.6250
Average Total
5,938.9900
Destination Price
5,939.1250
Sweep to Fill
5,938.4550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:16:38.493 | SIM:ESM5 | Sell | 49 | 5939 | Aggressive |
| 2025-06-02T14:16:31.512 | SIM:ESM5 | Sell | 1 | 5938.5 | Aggressive |