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
-0.0750
Slippage Sweep
-0.2900
Arrival Price
5,939.8750
Average Total
5,939.9500
Destination Price
5,940.1250
Sweep to Fill
5,939.6600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:09:45.614 | SIM:ESM5 | Sell | 40 | 5940 | Aggressive |
| 2025-06-02T14:09:44.559 | SIM:ESM5 | Sell | 9 | 5939.75 | Aggressive |
| 2025-06-02T14:09:43.578 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0300
Slippage Sweep
-0.0950
Arrival Price
5,940.1250
Average Total
5,940.1550
Destination Price
5,939.8750
Sweep to Fill
5,940.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:09:40.147 | SIM:ESM5 | Buy | 12 | 5940.25 | Aggressive |
| 2025-06-02T14:09:43.158 | SIM:ESM5 | Buy | 13 | 5940 | Aggressive |
| 2025-06-02T14:09:42.949 | SIM:ESM5 | Buy | 10 | 5940.25 | Aggressive |
| 2025-06-02T14:09:42.949 | SIM:ESM5 | Buy | 7 | 5940.25 | Aggressive |
| 2025-06-02T14:09:42.949 | SIM:ESM5 | Buy | 3 | 5940 | Aggressive |
| 2025-06-02T14:09:42.949 | SIM:ESM5 | Buy | 3 | 5940 | Passive |
| 2025-06-02T14:09:39.153 | SIM:ESM5 | Buy | 1 | 5940.25 | Aggressive |
| 2025-06-02T14:09:39.012 | 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
0.1200
Slippage Sweep
-0.0500
Arrival Price
5,938.6250
Average Total
5,938.5050
Destination Price
5,938.8750
Sweep to Fill
5,938.4550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:09:05.908 | SIM:ESM5 | Sell | 7 | 5938.5 | Aggressive |
| 2025-06-02T14:09:07.912 | SIM:ESM5 | Sell | 7 | 5938.75 | Aggressive |
| 2025-06-02T14:09:06.85 | SIM:ESM5 | Sell | 22 | 5938.5 | Aggressive |
| 2025-06-02T14:09:06.849 | SIM:ESM5 | Sell | 4 | 5938.5 | Aggressive |
| 2025-06-02T14:09:03.291 | SIM:ESM5 | Sell | 6 | 5938.25 | Aggressive |
| 2025-06-02T14:09:01.734 | SIM:ESM5 | Sell | 3 | 5938.5 | Aggressive |
| 2025-06-02T14:09:00.679 | SIM:ESM5 | Sell | 1 | 5938.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0950
Slippage Sweep
-0.2400
Arrival Price
5,939.1250
Average Total
5,939.0300
Destination Price
5,938.8750
Sweep to Fill
5,939.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:08:59.236 | SIM:ESM5 | Buy | 5 | 5939 | Aggressive |
| 2025-06-02T14:08:58.312 | SIM:ESM5 | Buy | 6 | 5939.25 | Aggressive |
| 2025-06-02T14:08:58.312 | SIM:ESM5 | Buy | 38 | 5939 | Aggressive |
| 2025-06-02T14:08:57.332 | SIM:ESM5 | Buy | 1 | 5939 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1950
Slippage Sweep
-0.3200
Arrival Price
5,938.1250
Average Total
5,938.3200
Destination Price
5,938.6250
Sweep to Fill
5,938.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:08:27.012 | SIM:ESM5 | Sell | 15 | 5938.5 | Aggressive |
| 2025-06-02T14:08:25.877 | SIM:ESM5 | Sell | 27 | 5938.25 | Aggressive |
| 2025-06-02T14:08:25.877 | SIM:ESM5 | Sell | 7 | 5938.25 | Aggressive |
| 2025-06-02T14:08:24.996 | SIM:ESM5 | Sell | 1 | 5938 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3150
Slippage Sweep
-0.4800
Arrival Price
5,938.6250
Average Total
5,938.3100
Destination Price
5,938.1250
Sweep to Fill
5,938.7900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:08:24.622 | SIM:ESM5 | Buy | 10 | 5938.5 | Aggressive |
| 2025-06-02T14:08:24.622 | SIM:ESM5 | Buy | 39 | 5938.25 | Aggressive |
| 2025-06-02T14:08:23.662 | SIM:ESM5 | Buy | 1 | 5938.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6650
Slippage Sweep
0.5400
Arrival Price
5,940.1250
Average Total
5,939.4600
Destination Price
5,939.3750
Sweep to Fill
5,940.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:07:52.265 | SIM:ESM5 | Sell | 9 | 5939.25 | Aggressive |
| 2025-06-02T14:07:52.265 | SIM:ESM5 | Sell | 1 | 5939.5 | Aggressive |
| 2025-06-02T14:07:51.133 | SIM:ESM5 | Sell | 10 | 5939.25 | Aggressive |
| 2025-06-02T14:07:44.045 | SIM:ESM5 | Sell | 8 | 5939.5 | Aggressive |
| 2025-06-02T14:07:41.012 | SIM:ESM5 | Sell | 6 | 5939.5 | Aggressive |
| 2025-06-02T14:07:46.131 | SIM:ESM5 | Sell | 6 | 5939.75 | Aggressive |
| 2025-06-02T14:07:39.575 | SIM:ESM5 | Sell | 6 | 5939.5 | Aggressive |
| 2025-06-02T14:07:39.575 | SIM:ESM5 | Sell | 2 | 5939.75 | Aggressive |
| 2025-06-02T14:07:38.021 | SIM:ESM5 | Sell | 1 | 5939.75 | Aggressive |
| 2025-06-02T14:07:37.23 | SIM:ESM5 | Sell | 1 | 5940 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.1100
Arrival Price
5,940.3750
Average Total
5,940.3900
Destination Price
5,940.1250
Sweep to Fill
5,940.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:07:33.7 | SIM:ESM5 | Buy | 10 | 5940.5 | Aggressive |
| 2025-06-02T14:07:36.726 | SIM:ESM5 | Buy | 21 | 5940.25 | Aggressive |
| 2025-06-02T14:07:35.74 | SIM:ESM5 | Buy | 18 | 5940.5 | Aggressive |
| 2025-06-02T14:07:32.782 | SIM:ESM5 | Buy | 1 | 5940.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.2900
Arrival Price
5,939.6250
Average Total
5,939.7900
Destination Price
5,940.1250
Sweep to Fill
5,939.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:07:02.43 | SIM:ESM5 | Sell | 3 | 5939.75 | Aggressive |
| 2025-06-02T14:07:02.43 | SIM:ESM5 | Sell | 10 | 5940 | Aggressive |
| 2025-06-02T14:07:01.412 | SIM:ESM5 | Sell | 2 | 5939.5 | Aggressive |
| 2025-06-02T14:07:01.412 | SIM:ESM5 | Sell | 35 | 5939.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2700
Slippage Sweep
-0.3950
Arrival Price
5,940.3750
Average Total
5,940.1050
Destination Price
5,939.8750
Sweep to Fill
5,940.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:07:00.16 | SIM:ESM5 | Buy | 20 | 5940.25 | Aggressive |
| 2025-06-02T14:07:00.16 | SIM:ESM5 | Buy | 29 | 5940 | Aggressive |
| 2025-06-02T14:06:59.275 | SIM:ESM5 | Buy | 1 | 5940.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4400
Slippage Sweep
0.2300
Arrival Price
5,941.3750
Average Total
5,940.9350
Destination Price
5,940.3750
Sweep to Fill
5,941.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:06:28.912 | SIM:ESM5 | Sell | 12 | 5940.25 | Aggressive |
| 2025-06-02T14:06:26.01 | SIM:ESM5 | Sell | 14 | 5940.75 | Aggressive |
| 2025-06-02T14:06:18.82 | SIM:ESM5 | Sell | 2 | 5941.5 | Aggressive |
| 2025-06-02T14:06:18.82 | SIM:ESM5 | Sell | 5 | 5941.5 | Passive |
| 2025-06-02T14:06:18.82 | SIM:ESM5 | Sell | 5 | 5941.5 | Passive |
| 2025-06-02T14:06:18.82 | SIM:ESM5 | Sell | 5 | 5941.5 | Passive |
| 2025-06-02T14:06:17.769 | SIM:ESM5 | Sell | 4 | 5941.25 | Aggressive |
| 2025-06-02T14:06:21.827 | SIM:ESM5 | Sell | 2 | 5940.75 | Aggressive |
| 2025-06-02T14:06:17.197 | SIM:ESM5 | Sell | 1 | 5941.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3100
Slippage Sweep
0.1850
Arrival Price
5,942.1250
Average Total
5,942.4350
Destination Price
5,941.8750
Sweep to Fill
5,942.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:06:16.434 | SIM:ESM5 | Buy | 14 | 5941.75 | Aggressive |
| 2025-06-02T14:06:13.431 | SIM:ESM5 | Buy | 3 | 5942.5 | Aggressive |
| 2025-06-02T14:06:15.428 | SIM:ESM5 | Buy | 7 | 5943 | Aggressive |
| 2025-06-02T14:06:15.428 | SIM:ESM5 | Buy | 12 | 5942.75 | Aggressive |
| 2025-06-02T14:06:15.428 | SIM:ESM5 | Buy | 2 | 5942.75 | Aggressive |
| 2025-06-02T14:06:11.446 | SIM:ESM5 | Buy | 6 | 5942.75 | Aggressive |
| 2025-06-02T14:06:09.498 | SIM:ESM5 | Buy | 1 | 5942.5 | Aggressive |
| 2025-06-02T14:06:08.459 | SIM:ESM5 | Buy | 1 | 5942.25 | Aggressive |
| 2025-06-02T14:06:08.38 | SIM:ESM5 | Buy | 4 | 5942.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0000
Slippage Sweep
-0.2500
Arrival Price
5,941.7500
Average Total
5,941.7500
Destination Price
5,941.8750
Sweep to Fill
5,941.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:05:37.055 | SIM:ESM5 | Sell | 18 | 5941.75 | Aggressive |
| 2025-06-02T14:05:37.055 | SIM:ESM5 | Sell | 31 | 5941.75 | Aggressive |
| 2025-06-02T14:05:36.048 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5750
Slippage Sweep
0.4300
Arrival Price
5,941.1250
Average Total
5,941.7000
Destination Price
5,941.8750
Sweep to Fill
5,941.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:05:34.493 | SIM:ESM5 | Buy | 1 | 5941.75 | Passive |
| 2025-06-02T14:05:34.493 | SIM:ESM5 | Buy | 2 | 5941.75 | Passive |
| 2025-06-02T14:05:34.493 | SIM:ESM5 | Buy | 2 | 5941.75 | Passive |
| 2025-06-02T14:05:30.463 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:05:28.43 | SIM:ESM5 | Buy | 8 | 5941.5 | Aggressive |
| 2025-06-02T14:05:28.43 | SIM:ESM5 | Buy | 1 | 5941.25 | Aggressive |
| 2025-06-02T14:05:27.383 | SIM:ESM5 | Buy | 1 | 5941.5 | Aggressive |
| 2025-06-02T14:05:25.538 | SIM:ESM5 | Buy | 9 | 5941.5 | Aggressive |
| 2025-06-02T14:05:23.361 | SIM:ESM5 | Buy | 1 | 5941.5 | Aggressive |
| 2025-06-02T14:05:35.531 | SIM:ESM5 | Buy | 1 | 5942 | Aggressive |
| 2025-06-02T14:05:35.531 | SIM:ESM5 | Buy | 18 | 5942 | Aggressive |
| 2025-06-02T14:05:24.354 | SIM:ESM5 | Buy | 2 | 5941.5 | Aggressive |
| 2025-06-02T14:05:24.354 | SIM:ESM5 | Buy | 2 | 5941.5 | Aggressive |
| 2025-06-02T14:05:22.337 | 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
0.1100
Slippage Sweep
-0.0650
Arrival Price
5,941.8750
Average Total
5,941.7650
Destination Price
5,941.8750
Sweep to Fill
5,941.7000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T14:04:46.112 | SIM:ESM5 | Sell | 5 | 5941.75 | Aggressive |
| 2025-06-02T14:04:52.097 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |
| 2025-06-02T14:04:48.112 | SIM:ESM5 | Sell | 21 | 5941.75 | Aggressive |
| 2025-06-02T14:04:45.013 | SIM:ESM5 | Sell | 6 | 5941.75 | Aggressive |
| 2025-06-02T14:04:50.05 | SIM:ESM5 | Sell | 3 | 5942 | Aggressive |
| 2025-06-02T14:04:49.076 | SIM:ESM5 | Sell | 13 | 5941.75 | Aggressive |
| 2025-06-02T14:04:44.012 | SIM:ESM5 | Sell | 1 | 5941.75 | Aggressive |