Arrival Price AI Analytics
CQG AI Algos
The Arrival Price Algorithm is driven by short-term realized volatility and drift signals as well as market-implied cost of liquidity to execute within a risk-optimized time horizon using trader-defined slippage expectations. Arrival Price is benchmarked against mid-market and sweep to fill (market order) metrics.
"Liquidity Cost, Volatility, and Drift" are the quantities used by the algorithm to compute a theoretically optimal Equilibrium Trading Horizon (White Paper). "Seconds spent" reflects the practical application of this horizon over simulated dynamic market conditions. A "fill stream" is also included to demonstrate the effects of the Market By Order Impact Model, which helps size order slices in a manner consistent with price-level population.
The graphs below illuminate the effects of these indicators on optimal execution horizon and therefore, performance results of hypothetical Arrival Price orders.
Impact Model: MBO
Payup Model: PayupAI
- Liquidity Cost:
- Implicit cost of liquidity per lot
- Volatility:
- Normal volatility in dollar terms
- Drift:
- Short-term directional drift
- Seconds Spent:
- Seconds spent in simulated execution
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.2300
Arrival Price
5,938.8750
Average Total
5,938.8300
Destination Price
5,938.6250
Sweep to Fill
5,939.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:16:31.137 | SIM:ESM5 | Buy | 34 | 5938.75 | Aggressive |
| 2025-06-02T14:16:29.747 | SIM:ESM5 | Buy | 4 | 5939 | Passive |
| 2025-06-02T14:16:29.747 | SIM:ESM5 | Buy | 2 | 5939 | Passive |
| 2025-06-02T14:16:29.747 | SIM:ESM5 | Buy | 2 | 5939 | Passive |
| 2025-06-02T14:16:28.112 | SIM:ESM5 | Buy | 3 | 5939 | Aggressive |
| 2025-06-02T14:16:27.124 | SIM:ESM5 | Buy | 4 | 5939 | Aggressive |
| 2025-06-02T14:16:26.126 | SIM:ESM5 | Buy | 1 | 5939 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3050
Slippage Sweep
0.1300
Arrival Price
5,940.1250
Average Total
5,939.8200
Destination Price
5,939.8750
Sweep to Fill
5,939.9500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:15:46.813 | SIM:ESM5 | Sell | 2 | 5939.75 | Aggressive |
| 2025-06-02T14:15:45.752 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:15:52.853 | SIM:ESM5 | Sell | 11 | 5940 | Aggressive |
| 2025-06-02T14:15:50.912 | SIM:ESM5 | Sell | 4 | 5939.75 | Aggressive |
| 2025-06-02T14:15:43.296 | SIM:ESM5 | Sell | 10 | 5939.75 | Aggressive |
| 2025-06-02T14:15:55.608 | SIM:ESM5 | Sell | 11 | 5939.75 | Aggressive |
| 2025-06-02T14:15:51.918 | SIM:ESM5 | Sell | 2 | 5939.75 | Aggressive |
| 2025-06-02T14:15:48.944 | SIM:ESM5 | Sell | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:15:47.894 | SIM:ESM5 | Sell | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:15:41.788 | SIM:ESM5 | Sell | 2 | 5940 | Aggressive |
| 2025-06-02T14:15:40.726 | SIM:ESM5 | Sell | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1550
Slippage Sweep
-0.1150
Arrival Price
5,940.1250
Average Total
5,940.2800
Destination Price
5,940.1250
Sweep to Fill
5,940.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:15:39.921 | SIM:ESM5 | Buy | 22 | 5940.25 | Aggressive |
| 2025-06-02T14:15:39.921 | SIM:ESM5 | Buy | 10 | 5940.25 | Aggressive |
| 2025-06-02T14:15:38.946 | SIM:ESM5 | Buy | 2 | 5940.5 | Aggressive |
| 2025-06-02T14:15:37.02 | SIM:ESM5 | Buy | 3 | 5940.5 | Aggressive |
| 2025-06-02T14:15:37.02 | SIM:ESM5 | Buy | 2 | 5940.25 | Aggressive |
| 2025-06-02T14:15:37.02 | SIM:ESM5 | Buy | 2 | 5940.25 | Passive |
| 2025-06-02T14:15:37.02 | SIM:ESM5 | Buy | 1 | 5940.25 | Passive |
| 2025-06-02T14:15:37.02 | SIM:ESM5 | Buy | 1 | 5940.25 | Passive |
| 2025-06-02T14:15:34.912 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:15:34.912 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:15:34.587 | SIM:ESM5 | Buy | 1 | 5940.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.2300
Arrival Price
5,939.1250
Average Total
5,939.2300
Destination Price
5,939.3750
Sweep to Fill
5,939.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:15:02.312 | SIM:ESM5 | Sell | 8 | 5939.25 | Aggressive |
| 2025-06-02T14:15:03.262 | SIM:ESM5 | Sell | 10 | 5939.25 | Aggressive |
| 2025-06-02T14:15:03.262 | SIM:ESM5 | Sell | 16 | 5939.25 | Aggressive |
| 2025-06-02T14:15:00.246 | SIM:ESM5 | Sell | 3 | 5939 | Aggressive |
| 2025-06-02T14:15:00.246 | SIM:ESM5 | Sell | 12 | 5939.25 | Aggressive |
| 2025-06-02T14:14:59.225 | SIM:ESM5 | Sell | 1 | 5939 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
-0.1800
Arrival Price
5,939.3750
Average Total
5,939.5200
Destination Price
5,939.1250
Sweep to Fill
5,939.7000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:14:59.001 | SIM:ESM5 | Buy | 4 | 5939.25 | Aggressive |
| 2025-06-02T14:14:57.995 | SIM:ESM5 | Buy | 4 | 5939.5 | Aggressive |
| 2025-06-02T14:14:57.995 | SIM:ESM5 | Buy | 21 | 5939.5 | Aggressive |
| 2025-06-02T14:14:53.569 | SIM:ESM5 | Buy | 8 | 5939.75 | Aggressive |
| 2025-06-02T14:14:55.968 | SIM:ESM5 | Buy | 5 | 5939.5 | Aggressive |
| 2025-06-02T14:14:49.925 | SIM:ESM5 | Buy | 7 | 5939.5 | Aggressive |
| 2025-06-02T14:14:48.941 | SIM:ESM5 | Buy | 1 | 5939.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4100
Slippage Sweep
0.2850
Arrival Price
5,940.8750
Average Total
5,940.4650
Destination Price
5,940.1250
Sweep to Fill
5,940.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:14:17.145 | SIM:ESM5 | Sell | 1 | 5940.25 | Aggressive |
| 2025-06-02T14:14:14.231 | SIM:ESM5 | Sell | 5 | 5940.5 | Aggressive |
| 2025-06-02T14:14:14.231 | SIM:ESM5 | Sell | 5 | 5940.5 | Aggressive |
| 2025-06-02T14:14:13.941 | SIM:ESM5 | Sell | 8 | 5940.5 | Aggressive |
| 2025-06-02T14:14:13.912 | SIM:ESM5 | Sell | 3 | 5940.5 | Aggressive |
| 2025-06-02T14:14:13.912 | SIM:ESM5 | Sell | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:14:18.613 | SIM:ESM5 | Sell | 2 | 5940.25 | Passive |
| 2025-06-02T14:14:17.145 | SIM:ESM5 | Sell | 8 | 5940.25 | Aggressive |
| 2025-06-02T14:14:05.071 | SIM:ESM5 | Sell | 3 | 5940.75 | Aggressive |
| 2025-06-02T14:14:09.255 | SIM:ESM5 | Sell | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:14:06.285 | SIM:ESM5 | Sell | 6 | 5940.5 | Aggressive |
| 2025-06-02T14:14:04.06 | SIM:ESM5 | Sell | 1 | 5940.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6100
Slippage Sweep
0.4050
Arrival Price
5,939.6250
Average Total
5,940.2350
Destination Price
5,940.8750
Sweep to Fill
5,939.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:14:00.333 | SIM:ESM5 | Buy | 19 | 5940.25 | Aggressive |
| 2025-06-02T14:14:00.332 | SIM:ESM5 | Buy | 1 | 5940.25 | Aggressive |
| 2025-06-02T14:13:58.313 | SIM:ESM5 | Buy | 5 | 5940 | Aggressive |
| 2025-06-02T14:13:53.644 | SIM:ESM5 | Buy | 9 | 5940 | Aggressive |
| 2025-06-02T14:13:52.261 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
| 2025-06-02T14:14:03.772 | SIM:ESM5 | Buy | 3 | 5941 | Aggressive |
| 2025-06-02T14:14:03.772 | SIM:ESM5 | Buy | 3 | 5941 | Aggressive |
| 2025-06-02T14:14:01.356 | SIM:ESM5 | Buy | 4 | 5940.25 | Aggressive |
| 2025-06-02T14:13:58.313 | SIM:ESM5 | Buy | 4 | 5940 | Aggressive |
| 2025-06-02T14:13:51.251 | SIM:ESM5 | Buy | 1 | 5939.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5100
Slippage Sweep
0.3350
Arrival Price
5,939.8750
Average Total
5,939.3650
Destination Price
5,939.8750
Sweep to Fill
5,939.7000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:13:07.247 | SIM:ESM5 | Sell | 4 | 5939.25 | Aggressive |
| 2025-06-02T14:13:07.247 | SIM:ESM5 | Sell | 2 | 5939.5 | Aggressive |
| 2025-06-02T14:13:07.246 | SIM:ESM5 | Sell | 2 | 5939.5 | Passive |
| 2025-06-02T14:13:06.187 | SIM:ESM5 | Sell | 5 | 5939.25 | Passive |
| 2025-06-02T14:13:06.187 | SIM:ESM5 | Sell | 3 | 5939.25 | Passive |
| 2025-06-02T14:13:06.187 | SIM:ESM5 | Sell | 3 | 5939.25 | Passive |
| 2025-06-02T14:13:03.371 | SIM:ESM5 | Sell | 1 | 5938.75 | Aggressive |
| 2025-06-02T14:13:10.171 | SIM:ESM5 | Sell | 10 | 5939.75 | Aggressive |
| 2025-06-02T14:13:02.258 | SIM:ESM5 | Sell | 5 | 5939 | Passive |
| 2025-06-02T14:13:00.015 | SIM:ESM5 | Sell | 1 | 5939.25 | Aggressive |
| 2025-06-02T14:13:00.015 | SIM:ESM5 | Sell | 1 | 5939.5 | Aggressive |
| 2025-06-02T14:13:00.015 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
| 2025-06-02T14:13:00.015 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
| 2025-06-02T14:13:01.027 | SIM:ESM5 | Sell | 4 | 5939 | Aggressive |
| 2025-06-02T14:13:00.015 | SIM:ESM5 | Sell | 1 | 5939.5 | Passive |
| 2025-06-02T14:12:59.12 | SIM:ESM5 | Sell | 5 | 5939.5 | Aggressive |
| 2025-06-02T14:12:58.33 | SIM:ESM5 | Sell | 1 | 5939.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
-0.0750
Arrival Price
5,939.8750
Average Total
5,940.0200
Destination Price
5,939.6250
Sweep to Fill
5,940.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:12:57.641 | SIM:ESM5 | Buy | 19 | 5939.75 | Aggressive |
| 2025-06-02T14:12:56.612 | SIM:ESM5 | Buy | 10 | 5940.25 | Aggressive |
| 2025-06-02T14:12:56.612 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
| 2025-06-02T14:12:56.612 | SIM:ESM5 | Buy | 1 | 5940 | Passive |
| 2025-06-02T14:12:51.596 | SIM:ESM5 | Buy | 10 | 5940.25 | Aggressive |
| 2025-06-02T14:12:53.612 | SIM:ESM5 | Buy | 3 | 5940 | Aggressive |
| 2025-06-02T14:12:50.381 | SIM:ESM5 | Buy | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:12:50.381 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
| 2025-06-02T14:12:50.381 | SIM:ESM5 | Buy | 1 | 5940 | Passive |
| 2025-06-02T14:12:48.75 | SIM:ESM5 | Buy | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
-0.1650
Arrival Price
5,940.8750
Average Total
5,940.7300
Destination Price
5,940.8750
Sweep to Fill
5,940.5650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:12:16.747 | SIM:ESM5 | Sell | 6 | 5940.75 | Aggressive |
| 2025-06-02T14:12:12.375 | SIM:ESM5 | Sell | 6 | 5940.75 | Aggressive |
| 2025-06-02T14:12:18.164 | SIM:ESM5 | Sell | 4 | 5940.75 | Aggressive |
| 2025-06-02T14:12:16.747 | SIM:ESM5 | Sell | 23 | 5940.75 | Aggressive |
| 2025-06-02T14:12:14.736 | SIM:ESM5 | Sell | 1 | 5940.75 | Aggressive |
| 2025-06-02T14:12:14.658 | SIM:ESM5 | Sell | 4 | 5940.5 | Aggressive |
| 2025-06-02T14:12:12.894 | SIM:ESM5 | Sell | 5 | 5940.75 | Aggressive |
| 2025-06-02T14:12:10.701 | SIM:ESM5 | Sell | 1 | 5940.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0100
Slippage Sweep
-0.1150
Arrival Price
5,940.8750
Average Total
5,940.8850
Destination Price
5,940.8750
Sweep to Fill
5,941.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:12:03.628 | SIM:ESM5 | Buy | 8 | 5941 | Aggressive |
| 2025-06-02T14:12:01.687 | SIM:ESM5 | Buy | 13 | 5940.75 | Aggressive |
| 2025-06-02T14:12:00.761 | SIM:ESM5 | Buy | 1 | 5940.75 | Aggressive |
| 2025-06-02T14:12:00.761 | SIM:ESM5 | Buy | 3 | 5940.75 | Passive |
| 2025-06-02T14:12:00.76 | SIM:ESM5 | Buy | 3 | 5940.75 | Passive |
| 2025-06-02T14:12:00.76 | SIM:ESM5 | Buy | 3 | 5940.75 | Passive |
| 2025-06-02T14:12:10.355 | SIM:ESM5 | Buy | 13 | 5941 | Aggressive |
| 2025-06-02T14:12:02.737 | SIM:ESM5 | Buy | 5 | 5941 | Aggressive |
| 2025-06-02T14:11:59.958 | SIM:ESM5 | Buy | 1 | 5941 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0000
Slippage Sweep
-0.2800
Arrival Price
5,941.1250
Average Total
5,941.1250
Destination Price
5,941.3750
Sweep to Fill
5,940.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:11:29.363 | SIM:ESM5 | Sell | 25 | 5941.25 | Aggressive |
| 2025-06-02T14:11:27.419 | SIM:ESM5 | Sell | 5 | 5941 | Aggressive |
| 2025-06-02T14:11:26.434 | SIM:ESM5 | Sell | 5 | 5941 | Aggressive |
| 2025-06-02T14:11:25.319 | SIM:ESM5 | Sell | 3 | 5941 | Aggressive |
| 2025-06-02T14:11:28.326 | SIM:ESM5 | Sell | 9 | 5941 | Aggressive |
| 2025-06-02T14:11:24.355 | SIM:ESM5 | Sell | 2 | 5941 | Aggressive |
| 2025-06-02T14:11:23.36 | SIM:ESM5 | Sell | 1 | 5941 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2400
Slippage Sweep
0.1150
Arrival Price
5,941.1250
Average Total
5,941.3650
Destination Price
5,941.1250
Sweep to Fill
5,941.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:11:22.837 | SIM:ESM5 | Buy | 18 | 5941.25 | Aggressive |
| 2025-06-02T14:11:21.814 | SIM:ESM5 | Buy | 8 | 5941.25 | Aggressive |
| 2025-06-02T14:11:18.778 | SIM:ESM5 | Buy | 6 | 5941.5 | Aggressive |
| 2025-06-02T14:11:19.793 | SIM:ESM5 | Buy | 8 | 5941.5 | Aggressive |
| 2025-06-02T14:11:15.767 | SIM:ESM5 | Buy | 4 | 5941.5 | Aggressive |
| 2025-06-02T14:11:15.128 | SIM:ESM5 | Buy | 1 | 5941.5 | Passive |
| 2025-06-02T14:11:15.127 | SIM:ESM5 | Buy | 2 | 5941.5 | Passive |
| 2025-06-02T14:11:15.127 | SIM:ESM5 | Buy | 2 | 5941.5 | Passive |
| 2025-06-02T14:11:12.724 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1900
Slippage Sweep
0.0150
Arrival Price
5,941.1250
Average Total
5,940.9350
Destination Price
5,940.3750
Sweep to Fill
5,940.9500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:10:42.318 | SIM:ESM5 | Sell | 3 | 5940.25 | Aggressive |
| 2025-06-02T14:10:39.804 | SIM:ESM5 | Sell | 2 | 5940.5 | Passive |
| 2025-06-02T14:10:34.119 | SIM:ESM5 | Sell | 9 | 5941 | Aggressive |
| 2025-06-02T14:10:34.119 | SIM:ESM5 | Sell | 11 | 5941 | Aggressive |
| 2025-06-02T14:10:34.013 | SIM:ESM5 | Sell | 8 | 5941 | Aggressive |
| 2025-06-02T14:10:34.013 | SIM:ESM5 | Sell | 7 | 5941 | Aggressive |
| 2025-06-02T14:10:31.391 | SIM:ESM5 | Sell | 9 | 5941 | Aggressive |
| 2025-06-02T14:10:28.36 | SIM:ESM5 | Sell | 1 | 5941 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7150
Slippage Sweep
0.5050
Arrival Price
5,940.3750
Average Total
5,941.0900
Destination Price
5,941.1250
Sweep to Fill
5,940.5850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:10:28.067 | SIM:ESM5 | Buy | 12 | 5941.25 | Aggressive |
| 2025-06-02T14:10:27.125 | SIM:ESM5 | Buy | 2 | 5941.25 | Aggressive |
| 2025-06-02T14:10:24.063 | SIM:ESM5 | Buy | 4 | 5941.25 | Aggressive |
| 2025-06-02T14:10:21.012 | SIM:ESM5 | Buy | 4 | 5941 | Passive |
| 2025-06-02T14:10:20.241 | SIM:ESM5 | Buy | 4 | 5941 | Aggressive |
| 2025-06-02T14:10:17.026 | SIM:ESM5 | Buy | 3 | 5940.5 | Aggressive |
| 2025-06-02T14:10:23.017 | SIM:ESM5 | Buy | 8 | 5941.25 | Aggressive |
| 2025-06-02T14:10:19.012 | SIM:ESM5 | Buy | 12 | 5941 | Aggressive |
| 2025-06-02T14:10:15.963 | SIM:ESM5 | Buy | 1 | 5940.5 | Aggressive |