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
-0.4300
Slippage Sweep
-1.2050
Arrival Price
5,353.7500
Average Total
5,353.3200
Destination Price
5,352.6250
Sweep to Fill
5,354.5250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:14:35.036 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T02:14:36.969 | SIM:ESM5 | Buy | 1 | 5353.75 | Aggressive |
| 2025-04-17T02:14:38.183 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T02:14:39.332 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T02:14:43.621 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T02:14:44.356 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T02:14:45.209 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T02:14:48.012 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T02:14:48.012 | SIM:ESM5 | Buy | 1 | 5353.75 | Aggressive |
| 2025-04-17T02:14:49.032 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T02:14:49.032 | SIM:ESM5 | Buy | 1 | 5353.5 | Aggressive |
| 2025-04-17T02:14:50.293 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T02:14:50.293 | SIM:ESM5 | Buy | 2 | 5353.5 | Aggressive |
| 2025-04-17T02:14:51.138 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T02:14:51.138 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T02:14:51.138 | SIM:ESM5 | Buy | 1 | 5353.25 | Passive |
| 2025-04-17T02:14:52.285 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T02:14:52.285 | SIM:ESM5 | Buy | 4 | 5353.5 | Aggressive |
| 2025-04-17T02:14:53.409 | SIM:ESM5 | Buy | 4 | 5353.25 | Aggressive |
| 2025-04-17T02:14:53.409 | SIM:ESM5 | Buy | 1 | 5353.25 | Passive |
| 2025-04-17T02:14:54.071 | SIM:ESM5 | Buy | 5 | 5353 | Aggressive |
| 2025-04-17T02:14:54.071 | SIM:ESM5 | Buy | 2 | 5353 | Passive |
| 2025-04-17T02:14:55.446 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T02:14:55.446 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T02:14:56.14 | SIM:ESM5 | Buy | 4 | 5352.75 | Aggressive |
| 2025-04-17T02:14:56.14 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.7950
Slippage Sweep
-1.3750
Arrival Price
5,350.3750
Average Total
5,351.1700
Destination Price
5,352.3750
Sweep to Fill
5,349.7950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:13:09.39 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:13:10.088 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:13:12.166 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T02:13:14.137 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:13:15.989 | SIM:ESM5 | Sell | 2 | 5350.25 | Aggressive |
| 2025-04-17T02:13:17.61 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:13:18.492 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:13:20.057 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T02:13:21.018 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:13:22.331 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:13:23.186 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:13:25.133 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:13:25.133 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T02:13:27.174 | SIM:ESM5 | Sell | 4 | 5350.75 | Aggressive |
| 2025-04-17T02:13:27.174 | SIM:ESM5 | Sell | 2 | 5350.75 | Passive |
| 2025-04-17T02:13:28.123 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:13:28.123 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:13:29.079 | SIM:ESM5 | Sell | 3 | 5351.75 | Aggressive |
| 2025-04-17T02:13:29.079 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T02:13:30.294 | SIM:ESM5 | Sell | 6 | 5352 | Aggressive |
| 2025-04-17T02:13:31.122 | SIM:ESM5 | Sell | 6 | 5352 | Aggressive |
| 2025-04-17T02:13:31.193 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T02:13:32.126 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T02:13:32.126 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.2250
Slippage Sweep
-2.0728
Arrival Price
5,352.5000
Average Total
5,351.2750
Destination Price
5,351.2500
Sweep to Fill
5,353.3478
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:12:29.448 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:12:30.434 | SIM:ESM5 | Buy | 2 | 5351.5 | Aggressive |
| 2025-04-17T02:12:30.434 | SIM:ESM5 | Buy | 5 | 5351.75 | Aggressive |
| 2025-04-17T02:12:31.47 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T02:12:31.471 | SIM:ESM5 | Buy | 3 | 5351.25 | Aggressive |
| 2025-04-17T02:12:32.539 | SIM:ESM5 | Buy | 4 | 5351 | Aggressive |
| 2025-04-17T02:12:32.539 | SIM:ESM5 | Buy | 1 | 5351 | Passive |
| 2025-04-17T02:12:34.824 | SIM:ESM5 | Buy | 5 | 5351 | Aggressive |
| 2025-04-17T02:12:34.825 | SIM:ESM5 | Buy | 1 | 5351 | Passive |
| 2025-04-17T02:12:34.825 | SIM:ESM5 | Buy | 3 | 5351 | Passive |
| 2025-04-17T02:12:34.825 | SIM:ESM5 | Buy | 2 | 5351 | Aggressive |
| 2025-04-17T02:12:34.825 | SIM:ESM5 | Buy | 1 | 5351 | Passive |
| 2025-04-17T02:12:35.57 | SIM:ESM5 | Buy | 4 | 5351.25 | Aggressive |
| 2025-04-17T02:12:35.571 | SIM:ESM5 | Buy | 3 | 5351.5 | Aggressive |
| 2025-04-17T02:12:36.494 | SIM:ESM5 | Buy | 3 | 5351 | Aggressive |
| 2025-04-17T02:12:36.494 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T02:12:37.599 | SIM:ESM5 | Buy | 6 | 5351.5 | Aggressive |
| 2025-04-17T02:12:37.599 | SIM:ESM5 | Buy | 2 | 5351.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.2600
Slippage Sweep
0.5100
Arrival Price
5,350.3750
Average Total
5,351.6350
Destination Price
5,351.8750
Sweep to Fill
5,351.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:11:11.151 | SIM:ESM5 | Buy | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:11:12.804 | SIM:ESM5 | Buy | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:11:13.82 | SIM:ESM5 | Buy | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:11:14.944 | SIM:ESM5 | Buy | 8 | 5352 | Aggressive |
| 2025-04-17T02:11:14.944 | SIM:ESM5 | Buy | 3 | 5352 | Aggressive |
| 2025-04-17T02:11:15.97 | SIM:ESM5 | Buy | 8 | 5352 | Aggressive |
| 2025-04-17T02:11:16.991 | SIM:ESM5 | Buy | 9 | 5351.5 | Aggressive |
| 2025-04-17T02:11:16.991 | SIM:ESM5 | Buy | 3 | 5351.75 | Aggressive |
| 2025-04-17T02:11:17.965 | SIM:ESM5 | Buy | 4 | 5351.25 | Aggressive |
| 2025-04-17T02:11:17.965 | SIM:ESM5 | Buy | 7 | 5351.5 | Aggressive |
| 2025-04-17T02:11:19.201 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T02:11:20.127 | SIM:ESM5 | Buy | 1 | 5351.5 | Passive |
| 2025-04-17T02:11:20.868 | SIM:ESM5 | Buy | 2 | 5352 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4650
Slippage Sweep
-1.2800
Arrival Price
5,351.2500
Average Total
5,351.7150
Destination Price
5,353.0000
Sweep to Fill
5,350.4350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:09:56.73 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:09:57.809 | SIM:ESM5 | Sell | 4 | 5350.25 | Aggressive |
| 2025-04-17T02:09:57.809 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T02:10:00.688 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T02:10:02.17 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T02:10:02.876 | SIM:ESM5 | Sell | 2 | 5351.75 | Aggressive |
| 2025-04-17T02:10:07.769 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T02:10:07.769 | SIM:ESM5 | Sell | 4 | 5351.5 | Aggressive |
| 2025-04-17T02:10:12.859 | SIM:ESM5 | Sell | 2 | 5351.75 | Aggressive |
| 2025-04-17T02:10:12.859 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T02:10:12.859 | SIM:ESM5 | Sell | 3 | 5351.5 | Aggressive |
| 2025-04-17T02:10:13.816 | SIM:ESM5 | Sell | 3 | 5351.75 | Aggressive |
| 2025-04-17T02:10:13.816 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T02:10:15.135 | SIM:ESM5 | Sell | 3 | 5351.75 | Aggressive |
| 2025-04-17T02:10:15.838 | SIM:ESM5 | Sell | 3 | 5351.75 | Aggressive |
| 2025-04-17T02:10:16.87 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T02:10:18.008 | SIM:ESM5 | Sell | 4 | 5352.25 | Aggressive |
| 2025-04-17T02:10:18.008 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T02:10:18.918 | SIM:ESM5 | Sell | 4 | 5352.25 | Aggressive |
| 2025-04-17T02:10:18.918 | SIM:ESM5 | Sell | 1 | 5352.25 | Passive |
| 2025-04-17T02:10:19.868 | SIM:ESM5 | Sell | 2 | 5352.75 | Aggressive |
| 2025-04-17T02:10:19.868 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T02:10:20.92 | SIM:ESM5 | Sell | 1 | 5352.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.1500
Slippage Sweep
0.3821
Arrival Price
5,351.3750
Average Total
5,350.2250
Destination Price
5,350.1250
Sweep to Fill
5,350.6071
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:08:15.759 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T02:08:19.003 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:08:20.31 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:08:20.654 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T02:08:21.885 | SIM:ESM5 | Sell | 4 | 5350.75 | Aggressive |
| 2025-04-17T02:08:22.63 | SIM:ESM5 | Sell | 4 | 5350.5 | Aggressive |
| 2025-04-17T02:08:22.63 | SIM:ESM5 | Sell | 1 | 5350.5 | Passive |
| 2025-04-17T02:08:23.669 | SIM:ESM5 | Sell | 4 | 5350.5 | Aggressive |
| 2025-04-17T02:08:23.669 | SIM:ESM5 | Sell | 2 | 5350.5 | Passive |
| 2025-04-17T02:08:24.887 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T02:08:24.887 | SIM:ESM5 | Sell | 2 | 5350.25 | Aggressive |
| 2025-04-17T02:08:25.666 | SIM:ESM5 | Sell | 4 | 5349.75 | Aggressive |
| 2025-04-17T02:08:26.703 | SIM:ESM5 | Sell | 3 | 5349.75 | Aggressive |
| 2025-04-17T02:08:26.703 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T02:08:27.788 | SIM:ESM5 | Sell | 3 | 5350 | Aggressive |
| 2025-04-17T02:08:27.797 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T02:08:28.662 | SIM:ESM5 | Sell | 3 | 5350.25 | Aggressive |
| 2025-04-17T02:08:28.951 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:08:29.684 | SIM:ESM5 | Sell | 5 | 5350 | Aggressive |
| 2025-04-17T02:08:30.055 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T02:08:30.752 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T02:08:30.752 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T02:08:43.585 | SIM:ESM5 | Sell | 1 | 5348.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2650
Slippage Sweep
-0.5100
Arrival Price
5,349.5000
Average Total
5,349.7650
Destination Price
5,348.7500
Sweep to Fill
5,350.2750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:07:00.09 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T02:07:01.012 | SIM:ESM5 | Buy | 1 | 5349.25 | Passive |
| 2025-04-17T02:07:01.987 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T02:07:03.071 | SIM:ESM5 | Buy | 2 | 5350.25 | Aggressive |
| 2025-04-17T02:07:04.023 | SIM:ESM5 | Buy | 5 | 5350.5 | Aggressive |
| 2025-04-17T02:07:04.023 | SIM:ESM5 | Buy | 2 | 5350.5 | Aggressive |
| 2025-04-17T02:07:05.032 | SIM:ESM5 | Buy | 2 | 5350.25 | Aggressive |
| 2025-04-17T02:07:05.032 | SIM:ESM5 | Buy | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:07:16.347 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T02:07:21.184 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T02:07:21.184 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T02:07:23.208 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T02:07:23.209 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T02:07:34.385 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T02:07:35.347 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T02:07:35.347 | SIM:ESM5 | Buy | 1 | 5350.25 | Aggressive |
| 2025-04-17T02:07:36.336 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T02:07:36.336 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T02:07:42.691 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T02:07:42.691 | SIM:ESM5 | Buy | 2 | 5349.5 | Aggressive |
| 2025-04-17T02:07:43.374 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T02:07:43.374 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T02:07:46.369 | SIM:ESM5 | Buy | 5 | 5349 | Aggressive |
| 2025-04-17T02:07:46.369 | SIM:ESM5 | Buy | 5 | 5349.25 | Aggressive |
| 2025-04-17T02:07:47.38 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4650
Slippage Sweep
-1.0900
Arrival Price
5,350.5000
Average Total
5,350.9650
Destination Price
5,351.7500
Sweep to Fill
5,349.8750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:05:37.649 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:05:40.037 | SIM:ESM5 | Sell | 1 | 5350.5 | Passive |
| 2025-04-17T02:05:40.037 | SIM:ESM5 | Sell | 1 | 5350.5 | Passive |
| 2025-04-17T02:05:41.552 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:05:43.862 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:05:44.617 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:05:44.617 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T02:05:45.782 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T02:05:46.576 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:05:47.587 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T02:05:48.552 | SIM:ESM5 | Sell | 4 | 5351.25 | Aggressive |
| 2025-04-17T02:05:49.556 | SIM:ESM5 | Sell | 2 | 5351 | Aggressive |
| 2025-04-17T02:05:49.556 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:05:51.064 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:05:51.064 | SIM:ESM5 | Sell | 5 | 5350.75 | Aggressive |
| 2025-04-17T02:05:51.724 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T02:05:52.567 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T02:05:52.567 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T02:05:55.635 | SIM:ESM5 | Sell | 3 | 5351.25 | Aggressive |
| 2025-04-17T02:05:55.635 | SIM:ESM5 | Sell | 1 | 5351.25 | Passive |
| 2025-04-17T02:05:56.64 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T02:05:57.832 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T02:05:57.832 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T02:05:58.637 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T02:05:58.637 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:06:02.781 | SIM:ESM5 | Sell | 4 | 5351.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.9000
Slippage Sweep
1.2000
Arrival Price
5,348.7500
Average Total
5,350.6500
Destination Price
5,350.8750
Sweep to Fill
5,349.4500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:04:45.395 | SIM:ESM5 | Buy | 1 | 5349 | Aggressive |
| 2025-04-17T02:04:48.857 | SIM:ESM5 | Buy | 2 | 5349 | Aggressive |
| 2025-04-17T02:04:50.289 | SIM:ESM5 | Buy | 1 | 5348.75 | Aggressive |
| 2025-04-17T02:04:52.246 | SIM:ESM5 | Buy | 1 | 5348.75 | Passive |
| 2025-04-17T02:04:53.312 | SIM:ESM5 | Buy | 6 | 5349.75 | Aggressive |
| 2025-04-17T02:04:53.316 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T02:04:54.124 | SIM:ESM5 | Buy | 7 | 5350.75 | Aggressive |
| 2025-04-17T02:04:54.738 | SIM:ESM5 | Buy | 1 | 5350.75 | Passive |
| 2025-04-17T02:04:54.738 | SIM:ESM5 | Buy | 1 | 5350.75 | Passive |
| 2025-04-17T02:04:55.183 | SIM:ESM5 | Buy | 5 | 5351 | Aggressive |
| 2025-04-17T02:04:55.183 | SIM:ESM5 | Buy | 2 | 5351 | Passive |
| 2025-04-17T02:04:56.27 | SIM:ESM5 | Buy | 4 | 5351 | Aggressive |
| 2025-04-17T02:04:56.27 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T02:04:57.167 | SIM:ESM5 | Buy | 5 | 5351.25 | Aggressive |
| 2025-04-17T02:04:57.167 | SIM:ESM5 | Buy | 2 | 5351.25 | Passive |
| 2025-04-17T02:04:58.168 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T02:04:58.168 | SIM:ESM5 | Buy | 5 | 5351.25 | Aggressive |
| 2025-04-17T02:04:58.168 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T02:04:59.361 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T02:04:59.361 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0300
Slippage Sweep
0.2850
Arrival Price
5,352.2500
Average Total
5,351.2200
Destination Price
5,351.5000
Sweep to Fill
5,351.5050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:03:28.873 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T02:03:29.782 | SIM:ESM5 | Sell | 2 | 5351.75 | Aggressive |
| 2025-04-17T02:03:30.82 | SIM:ESM5 | Sell | 3 | 5351.5 | Aggressive |
| 2025-04-17T02:03:30.82 | SIM:ESM5 | Sell | 1 | 5351.5 | Passive |
| 2025-04-17T02:03:32.853 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T02:03:34.032 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T02:03:34.033 | SIM:ESM5 | Sell | 6 | 5351.25 | Aggressive |
| 2025-04-17T02:03:34.94 | SIM:ESM5 | Sell | 3 | 5351.5 | Aggressive |
| 2025-04-17T02:03:37.863 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T02:03:37.863 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T02:03:37.887 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T02:03:37.887 | SIM:ESM5 | Sell | 2 | 5351.25 | Passive |
| 2025-04-17T02:03:39.018 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T02:03:39.018 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T02:03:39.877 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T02:03:39.877 | SIM:ESM5 | Sell | 1 | 5351 | Passive |
| 2025-04-17T02:03:41.107 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T02:03:41.158 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:03:41.886 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T02:03:41.886 | SIM:ESM5 | Sell | 5 | 5350.75 | Aggressive |
| 2025-04-17T02:03:43 | SIM:ESM5 | Sell | 6 | 5351.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.3000
Slippage Sweep
0.6050
Arrival Price
5,352.6250
Average Total
5,353.9250
Destination Price
5,353.5000
Sweep to Fill
5,353.3200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:02:33.732 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T02:02:35.757 | SIM:ESM5 | Buy | 3 | 5353.75 | Aggressive |
| 2025-04-17T02:02:37.101 | SIM:ESM5 | Buy | 4 | 5353.75 | Aggressive |
| 2025-04-17T02:02:37.101 | SIM:ESM5 | Buy | 2 | 5353.75 | Passive |
| 2025-04-17T02:02:37.938 | SIM:ESM5 | Buy | 5 | 5353.75 | Aggressive |
| 2025-04-17T02:02:38.318 | SIM:ESM5 | Buy | 1 | 5353.5 | Passive |
| 2025-04-17T02:02:38.812 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T02:02:39.313 | SIM:ESM5 | Buy | 1 | 5353.5 | Aggressive |
| 2025-04-17T02:02:39.859 | SIM:ESM5 | Buy | 2 | 5353.5 | Aggressive |
| 2025-04-17T02:02:47.089 | SIM:ESM5 | Buy | 5 | 5353.75 | Aggressive |
| 2025-04-17T02:02:47.089 | SIM:ESM5 | Buy | 7 | 5354 | Aggressive |
| 2025-04-17T02:02:47.089 | SIM:ESM5 | Buy | 10 | 5354.25 | Aggressive |
| 2025-04-17T02:02:47.089 | SIM:ESM5 | Buy | 6 | 5354.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.7000
Slippage Sweep
-1.4964
Arrival Price
5,352.1250
Average Total
5,352.8250
Destination Price
5,353.6250
Sweep to Fill
5,351.3286
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:01:12.876 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T02:01:14.702 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T02:01:15.8 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T02:01:15.8 | SIM:ESM5 | Sell | 3 | 5352.5 | Aggressive |
| 2025-04-17T02:01:16.836 | SIM:ESM5 | Sell | 2 | 5352.75 | Aggressive |
| 2025-04-17T02:01:16.836 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T02:01:17.812 | SIM:ESM5 | Sell | 3 | 5352.75 | Aggressive |
| 2025-04-17T02:01:18.97 | SIM:ESM5 | Sell | 2 | 5352.75 | Aggressive |
| 2025-04-17T02:01:18.97 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T02:01:20.157 | SIM:ESM5 | Sell | 4 | 5352.75 | Aggressive |
| 2025-04-17T02:01:20.157 | SIM:ESM5 | Sell | 2 | 5352.75 | Passive |
| 2025-04-17T02:01:21.005 | SIM:ESM5 | Sell | 7 | 5353 | Aggressive |
| 2025-04-17T02:01:21.005 | SIM:ESM5 | Sell | 1 | 5353 | Passive |
| 2025-04-17T02:01:22.091 | SIM:ESM5 | Sell | 3 | 5353 | Aggressive |
| 2025-04-17T02:01:22.091 | SIM:ESM5 | Sell | 5 | 5352.75 | Aggressive |
| 2025-04-17T02:01:22.858 | SIM:ESM5 | Sell | 4 | 5353 | Aggressive |
| 2025-04-17T02:01:22.86 | SIM:ESM5 | Sell | 1 | 5353 | Aggressive |
| 2025-04-17T02:01:23.847 | SIM:ESM5 | Sell | 2 | 5353.25 | Aggressive |
| 2025-04-17T02:01:23.847 | SIM:ESM5 | Sell | 4 | 5353 | Aggressive |
| 2025-04-17T02:01:24.782 | SIM:ESM5 | Sell | 1 | 5353.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9250
Slippage Sweep
0.1953
Arrival Price
5,352.1250
Average Total
5,353.0500
Destination Price
5,353.1250
Sweep to Fill
5,352.8547
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T02:00:29.84 | SIM:ESM5 | Buy | 1 | 5352.5 | Aggressive |
| 2025-04-17T02:00:31.803 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T02:00:31.803 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T02:00:32.481 | SIM:ESM5 | Buy | 1 | 5352.5 | Passive |
| 2025-04-17T02:00:35.985 | SIM:ESM5 | Buy | 8 | 5353 | Aggressive |
| 2025-04-17T02:00:35.985 | SIM:ESM5 | Buy | 1 | 5353 | Passive |
| 2025-04-17T02:00:38.012 | SIM:ESM5 | Buy | 2 | 5353 | Aggressive |
| 2025-04-17T02:00:38.012 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T02:00:42.263 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T02:00:43.954 | SIM:ESM5 | Buy | 2 | 5353 | Aggressive |
| 2025-04-17T02:00:43.954 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T02:00:44.929 | SIM:ESM5 | Buy | 2 | 5352.5 | Aggressive |
| 2025-04-17T02:00:44.929 | SIM:ESM5 | Buy | 4 | 5352.75 | Aggressive |
| 2025-04-17T02:00:48.02 | SIM:ESM5 | Buy | 3 | 5353 | Aggressive |
| 2025-04-17T02:00:48.989 | SIM:ESM5 | Buy | 5 | 5353.25 | Aggressive |
| 2025-04-17T02:00:50.056 | SIM:ESM5 | Buy | 5 | 5353.25 | Aggressive |
| 2025-04-17T02:00:50.056 | SIM:ESM5 | Buy | 2 | 5353.5 | Aggressive |
| 2025-04-17T02:00:51.001 | SIM:ESM5 | Buy | 3 | 5353.25 | Aggressive |
| 2025-04-17T02:00:51.165 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T02:00:52.012 | SIM:ESM5 | Buy | 3 | 5353.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3500
Slippage Sweep
-1.1320
Arrival Price
5,349.6250
Average Total
5,349.9750
Destination Price
5,350.1250
Sweep to Fill
5,348.8430
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:59:14.427 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:59:15.194 | SIM:ESM5 | Sell | 1 | 5350 | Passive |
| 2025-04-17T01:59:16.136 | SIM:ESM5 | Sell | 2 | 5349.75 | Aggressive |
| 2025-04-17T01:59:17.325 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:59:18.125 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:19.603 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:19.603 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:20.17 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:21.217 | SIM:ESM5 | Sell | 4 | 5350 | Aggressive |
| 2025-04-17T01:59:21.217 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:26.218 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:27.901 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:59:29.32 | SIM:ESM5 | Sell | 1 | 5350 | Passive |
| 2025-04-17T01:59:29.32 | SIM:ESM5 | Sell | 1 | 5350 | Passive |
| 2025-04-17T01:59:29.32 | SIM:ESM5 | Sell | 1 | 5350 | Passive |
| 2025-04-17T01:59:30.994 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:32.129 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:33.375 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:34.393 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:35.9 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:35.9 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:36.398 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:36.399 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:42.329 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:43.365 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:59:45.149 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:45.37 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:46.729 | SIM:ESM5 | Sell | 3 | 5350 | Aggressive |
| 2025-04-17T01:59:46.729 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:59:47.444 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T01:59:47.444 | SIM:ESM5 | Sell | 5 | 5350 | Aggressive |
| 2025-04-17T01:59:48.437 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3800
Slippage Sweep
-1.1181
Arrival Price
5,350.1250
Average Total
5,349.7450
Destination Price
5,348.5000
Sweep to Fill
5,350.8631
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:58:09.765 | SIM:ESM5 | Buy | 1 | 5350.25 | Aggressive |
| 2025-04-17T01:58:10.765 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T01:58:13.017 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T01:58:14.85 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T01:58:16.853 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T01:58:16.853 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T01:58:22.925 | SIM:ESM5 | Buy | 2 | 5350.5 | Aggressive |
| 2025-04-17T01:58:22.925 | SIM:ESM5 | Buy | 2 | 5350.75 | Aggressive |
| 2025-04-17T01:58:24.361 | SIM:ESM5 | Buy | 2 | 5350.5 | Aggressive |
| 2025-04-17T01:58:25.92 | SIM:ESM5 | Buy | 1 | 5350 | Aggressive |
| 2025-04-17T01:58:25.92 | SIM:ESM5 | Buy | 2 | 5350.25 | Aggressive |
| 2025-04-17T01:58:31.098 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T01:58:36.586 | SIM:ESM5 | Buy | 3 | 5350.5 | Aggressive |
| 2025-04-17T01:58:36.586 | SIM:ESM5 | Buy | 1 | 5350.5 | Passive |
| 2025-04-17T01:58:40.2 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T01:58:43.5 | SIM:ESM5 | Buy | 8 | 5349.75 | Aggressive |
| 2025-04-17T01:58:43.5 | SIM:ESM5 | Buy | 2 | 5349.75 | Passive |
| 2025-04-17T01:58:44.277 | SIM:ESM5 | Buy | 3 | 5349.25 | Aggressive |
| 2025-04-17T01:58:45.799 | SIM:ESM5 | Buy | 3 | 5349.25 | Aggressive |
| 2025-04-17T01:58:46.073 | SIM:ESM5 | Buy | 5 | 5348.75 | Aggressive |
| 2025-04-17T01:58:46.073 | SIM:ESM5 | Buy | 2 | 5349 | Aggressive |
| 2025-04-17T01:58:47.12 | SIM:ESM5 | Buy | 3 | 5348.75 | Aggressive |