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
-0.0350
Slippage Sweep
-0.7450
Arrival Price
5,349.7500
Average Total
5,349.7850
Destination Price
5,349.1250
Sweep to Fill
5,349.0400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:56:08.03 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:56:09.161 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:56:10.037 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:56:11.89 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:56:15.184 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:56:17.105 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:56:18.068 | SIM:ESM5 | Sell | 2 | 5350.25 | Aggressive |
| 2025-04-17T01:56:18.068 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:56:19.406 | SIM:ESM5 | Sell | 3 | 5350.25 | Aggressive |
| 2025-04-17T01:56:19.406 | SIM:ESM5 | Sell | 1 | 5350.25 | Passive |
| 2025-04-17T01:56:20.29 | SIM:ESM5 | Sell | 2 | 5350.25 | Aggressive |
| 2025-04-17T01:56:20.29 | SIM:ESM5 | Sell | 2 | 5350 | Aggressive |
| 2025-04-17T01:56:22.09 | SIM:ESM5 | Sell | 3 | 5350.25 | Aggressive |
| 2025-04-17T01:56:23.275 | SIM:ESM5 | Sell | 4 | 5350.25 | Aggressive |
| 2025-04-17T01:56:24.575 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T01:56:26.126 | SIM:ESM5 | Sell | 7 | 5350.25 | Aggressive |
| 2025-04-17T01:56:36.266 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:56:36.266 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:56:36.352 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:56:58.439 | SIM:ESM5 | Sell | 3 | 5349.25 | Aggressive |
| 2025-04-17T01:56:59.564 | SIM:ESM5 | Sell | 7 | 5349 | Aggressive |
| 2025-04-17T01:56:59.565 | SIM:ESM5 | Sell | 3 | 5349 | Passive |
| 2025-04-17T01:57:03.563 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5900
Slippage Sweep
-0.1750
Arrival Price
5,351.1250
Average Total
5,351.7150
Destination Price
5,351.5000
Sweep to Fill
5,351.8900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:55:17.963 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T01:55:19.088 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T01:55:20.012 | SIM:ESM5 | Buy | 3 | 5351.5 | Aggressive |
| 2025-04-17T01:55:21.25 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T01:55:24.012 | SIM:ESM5 | Buy | 4 | 5351.75 | Aggressive |
| 2025-04-17T01:55:26.089 | SIM:ESM5 | Buy | 4 | 5351.75 | Aggressive |
| 2025-04-17T01:55:26.089 | SIM:ESM5 | Buy | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:55:28.131 | SIM:ESM5 | Buy | 3 | 5351.75 | Aggressive |
| 2025-04-17T01:55:30.137 | SIM:ESM5 | Buy | 6 | 5351.75 | Aggressive |
| 2025-04-17T01:55:30.137 | SIM:ESM5 | Buy | 3 | 5351.75 | Passive |
| 2025-04-17T01:55:31.433 | SIM:ESM5 | Buy | 6 | 5351.75 | Aggressive |
| 2025-04-17T01:55:31.433 | SIM:ESM5 | Buy | 2 | 5351.75 | Passive |
| 2025-04-17T01:55:32.622 | SIM:ESM5 | Buy | 5 | 5351.75 | Aggressive |
| 2025-04-17T01:55:32.622 | SIM:ESM5 | Buy | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:55:48.623 | SIM:ESM5 | Buy | 2 | 5351.75 | Aggressive |
| 2025-04-17T01:55:48.623 | SIM:ESM5 | Buy | 6 | 5351.75 | Aggressive |
| 2025-04-17T01:55:49.275 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1650
Slippage Sweep
-0.5550
Arrival Price
5,349.6250
Average Total
5,349.4600
Destination Price
5,349.3750
Sweep to Fill
5,348.9050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:52:59.099 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:53:01.114 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:53:02.866 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:53:04.019 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:06.248 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:53:08.02 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:53:08.98 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:10.927 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:13.799 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:13.972 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:13.972 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:53:16.206 | SIM:ESM5 | Sell | 1 | 5349.25 | Aggressive |
| 2025-04-17T01:53:17.066 | SIM:ESM5 | Sell | 3 | 5349.25 | Aggressive |
| 2025-04-17T01:53:17.066 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T01:53:19.032 | SIM:ESM5 | Sell | 3 | 5349.25 | Aggressive |
| 2025-04-17T01:53:19.032 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T01:53:19.032 | SIM:ESM5 | Sell | 1 | 5349.25 | Passive |
| 2025-04-17T01:53:30.119 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:31.18 | SIM:ESM5 | Sell | 2 | 5349.75 | Aggressive |
| 2025-04-17T01:53:44.338 | SIM:ESM5 | Sell | 7 | 5349.75 | Aggressive |
| 2025-04-17T01:53:44.339 | SIM:ESM5 | Sell | 2 | 5349.75 | Aggressive |
| 2025-04-17T01:53:50.112 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:50.292 | SIM:ESM5 | Sell | 1 | 5349.75 | Aggressive |
| 2025-04-17T01:53:58.197 | SIM:ESM5 | Sell | 6 | 5349.25 | Aggressive |
| 2025-04-17T01:53:58.197 | SIM:ESM5 | Sell | 3 | 5349.25 | Passive |
| 2025-04-17T01:53:58.197 | SIM:ESM5 | Sell | 3 | 5349.25 | Passive |
| 2025-04-17T01:53:58.197 | SIM:ESM5 | Sell | 3 | 5349.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.7630
Arrival Price
5,349.3750
Average Total
5,349.3300
Destination Price
5,348.7500
Sweep to Fill
5,350.0930
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:52:14.698 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:52:16.972 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:52:18.721 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:52:20.845 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:52:21.995 | SIM:ESM5 | Buy | 1 | 5349.25 | Aggressive |
| 2025-04-17T01:52:21.996 | SIM:ESM5 | Buy | 1 | 5349.25 | Passive |
| 2025-04-17T01:52:22.939 | SIM:ESM5 | Buy | 1 | 5349.25 | Aggressive |
| 2025-04-17T01:52:24.817 | SIM:ESM5 | Buy | 7 | 5349 | Aggressive |
| 2025-04-17T01:52:24.817 | SIM:ESM5 | Buy | 2 | 5349.25 | Aggressive |
| 2025-04-17T01:52:28.839 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T01:52:28.839 | SIM:ESM5 | Buy | 1 | 5350 | Passive |
| 2025-04-17T01:52:29.919 | SIM:ESM5 | Buy | 2 | 5350 | Aggressive |
| 2025-04-17T01:52:30.266 | SIM:ESM5 | Buy | 1 | 5349.75 | Passive |
| 2025-04-17T01:52:37.963 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T01:52:41.917 | SIM:ESM5 | Buy | 4 | 5349.25 | Aggressive |
| 2025-04-17T01:52:41.918 | SIM:ESM5 | Buy | 2 | 5349 | Aggressive |
| 2025-04-17T01:52:41.918 | SIM:ESM5 | Buy | 5 | 5349.25 | Aggressive |
| 2025-04-17T01:52:43.019 | SIM:ESM5 | Buy | 7 | 5349 | Aggressive |
| 2025-04-17T01:52:43.019 | SIM:ESM5 | Buy | 5 | 5349.25 | Aggressive |
| 2025-04-17T01:52:44.226 | SIM:ESM5 | Buy | 1 | 5349 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5900
Slippage Sweep
-1.2850
Arrival Price
5,350.5000
Average Total
5,351.0900
Destination Price
5,351.5000
Sweep to Fill
5,349.8050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:51:04.615 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T01:51:07.143 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T01:51:09.617 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T01:51:10.835 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T01:51:11.537 | SIM:ESM5 | Sell | 1 | 5350.75 | Passive |
| 2025-04-17T01:51:11.537 | SIM:ESM5 | Sell | 1 | 5350.75 | Passive |
| 2025-04-17T01:51:12.177 | SIM:ESM5 | Sell | 2 | 5351 | Aggressive |
| 2025-04-17T01:51:12.177 | SIM:ESM5 | Sell | 2 | 5350.75 | Aggressive |
| 2025-04-17T01:51:12.177 | SIM:ESM5 | Sell | 2 | 5351 | Aggressive |
| 2025-04-17T01:51:13.194 | SIM:ESM5 | Sell | 6 | 5351 | Aggressive |
| 2025-04-17T01:51:13.194 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T01:51:14.319 | SIM:ESM5 | Sell | 4 | 5351.5 | Aggressive |
| 2025-04-17T01:51:14.319 | SIM:ESM5 | Sell | 7 | 5351.25 | Aggressive |
| 2025-04-17T01:51:15.216 | SIM:ESM5 | Sell | 5 | 5351.25 | Aggressive |
| 2025-04-17T01:51:16.197 | SIM:ESM5 | Sell | 5 | 5351.25 | Aggressive |
| 2025-04-17T01:51:17.237 | SIM:ESM5 | Sell | 8 | 5351.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6950
Slippage Sweep
-0.1118
Arrival Price
5,350.6250
Average Total
5,351.3200
Destination Price
5,351.2500
Sweep to Fill
5,351.4318
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:50:15.155 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T01:50:17.381 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T01:50:19.262 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T01:50:20.647 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T01:50:21.564 | SIM:ESM5 | Buy | 5 | 5351.25 | Aggressive |
| 2025-04-17T01:50:21.637 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T01:50:23.055 | SIM:ESM5 | Buy | 4 | 5351.25 | Aggressive |
| 2025-04-17T01:50:23.055 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T01:50:24.102 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |
| 2025-04-17T01:50:24.102 | SIM:ESM5 | Buy | 1 | 5351 | Passive |
| 2025-04-17T01:50:28.518 | SIM:ESM5 | Buy | 7 | 5351.25 | Aggressive |
| 2025-04-17T01:50:28.885 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T01:50:36.361 | SIM:ESM5 | Buy | 4 | 5351.25 | Aggressive |
| 2025-04-17T01:50:36.361 | SIM:ESM5 | Buy | 2 | 5351.25 | Passive |
| 2025-04-17T01:50:37.652 | SIM:ESM5 | Buy | 11 | 5351.5 | Aggressive |
| 2025-04-17T01:50:37.652 | SIM:ESM5 | Buy | 1 | 5351.5 | Passive |
| 2025-04-17T01:50:37.652 | SIM:ESM5 | Buy | 3 | 5351.5 | Passive |
| 2025-04-17T01:50:40.343 | SIM:ESM5 | Buy | 3 | 5351.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0500
Slippage Sweep
-0.6738
Arrival Price
5,351.8750
Average Total
5,351.8250
Destination Price
5,351.5000
Sweep to Fill
5,351.1512
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:48:25.323 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T01:48:26.978 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:48:28.018 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:48:28.936 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:48:29.922 | SIM:ESM5 | Sell | 1 | 5352.25 | Passive |
| 2025-04-17T01:48:34.56 | SIM:ESM5 | Sell | 1 | 5352.25 | Passive |
| 2025-04-17T01:48:34.56 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:48:34.56 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:48:34.56 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:48:35.304 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:48:38.008 | SIM:ESM5 | Sell | 2 | 5352.25 | Passive |
| 2025-04-17T01:48:39.018 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:48:40.118 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:48:46.042 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:48:47.27 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:48:50.252 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:48:51.481 | SIM:ESM5 | Sell | 3 | 5351.75 | Aggressive |
| 2025-04-17T01:48:52.611 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:48:55.163 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:48:58.182 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:48:58.182 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T01:49:03.243 | SIM:ESM5 | Sell | 9 | 5352 | Aggressive |
| 2025-04-17T01:49:03.243 | SIM:ESM5 | Sell | 4 | 5351.75 | Aggressive |
| 2025-04-17T01:49:04.595 | SIM:ESM5 | Sell | 1 | 5351.5 | Passive |
| 2025-04-17T01:49:04.595 | SIM:ESM5 | Sell | 2 | 5351.5 | Passive |
| 2025-04-17T01:49:04.595 | SIM:ESM5 | Sell | 2 | 5351.5 | Passive |
| 2025-04-17T01:49:04.595 | SIM:ESM5 | Sell | 2 | 5351.5 | Passive |
| 2025-04-17T01:49:05.27 | SIM:ESM5 | Sell | 2 | 5351.5 | Passive |
| 2025-04-17T01:49:12.135 | 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
0.9750
Slippage Sweep
0.1950
Arrival Price
5,351.2500
Average Total
5,352.2250
Destination Price
5,350.5000
Sweep to Fill
5,352.0300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:47:13.967 | SIM:ESM5 | Buy | 1 | 5351.5 | Aggressive |
| 2025-04-17T01:47:13.968 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:47:14.977 | SIM:ESM5 | Buy | 6 | 5352.5 | Aggressive |
| 2025-04-17T01:47:14.977 | SIM:ESM5 | Buy | 1 | 5352.5 | Passive |
| 2025-04-17T01:47:15.962 | SIM:ESM5 | Buy | 4 | 5352.5 | Aggressive |
| 2025-04-17T01:47:15.962 | SIM:ESM5 | Buy | 5 | 5352.75 | Aggressive |
| 2025-04-17T01:47:16.999 | SIM:ESM5 | Buy | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:47:16.999 | SIM:ESM5 | Buy | 6 | 5352.75 | Aggressive |
| 2025-04-17T01:47:17.99 | SIM:ESM5 | Buy | 5 | 5352.5 | Aggressive |
| 2025-04-17T01:47:17.99 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T01:47:23.079 | SIM:ESM5 | Buy | 6 | 5352.25 | Aggressive |
| 2025-04-17T01:47:23.379 | SIM:ESM5 | Buy | 1 | 5352 | Aggressive |
| 2025-04-17T01:47:23.379 | SIM:ESM5 | Buy | 3 | 5352.25 | Aggressive |
| 2025-04-17T01:47:43.234 | SIM:ESM5 | Buy | 3 | 5350.75 | Aggressive |
| 2025-04-17T01:47:43.234 | SIM:ESM5 | Buy | 1 | 5351 | Aggressive |
| 2025-04-17T01:48:02.449 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
| 2025-04-17T01:48:02.449 | SIM:ESM5 | Buy | 1 | 5350.5 | Passive |
| 2025-04-17T01:48:03.823 | SIM:ESM5 | Buy | 2 | 5350.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5400
Slippage Sweep
-1.3987
Arrival Price
5,348.7500
Average Total
5,349.2900
Destination Price
5,349.5000
Sweep to Fill
5,347.8913
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:46:03.173 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T01:46:05.167 | SIM:ESM5 | Sell | 1 | 5348.5 | Aggressive |
| 2025-04-17T01:46:07.304 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T01:46:07.304 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T01:46:08.182 | SIM:ESM5 | Sell | 4 | 5349.25 | Aggressive |
| 2025-04-17T01:46:08.182 | SIM:ESM5 | Sell | 2 | 5349.25 | Aggressive |
| 2025-04-17T01:46:10.262 | SIM:ESM5 | Sell | 5 | 5349.5 | Aggressive |
| 2025-04-17T01:46:10.262 | SIM:ESM5 | Sell | 5 | 5349.5 | Passive |
| 2025-04-17T01:46:11.248 | SIM:ESM5 | Sell | 3 | 5349.5 | Aggressive |
| 2025-04-17T01:46:11.249 | SIM:ESM5 | Sell | 1 | 5349.5 | Aggressive |
| 2025-04-17T01:46:12.267 | SIM:ESM5 | Sell | 10 | 5349.25 | Aggressive |
| 2025-04-17T01:46:12.267 | SIM:ESM5 | Sell | 4 | 5349.25 | Passive |
| 2025-04-17T01:46:19.317 | SIM:ESM5 | Sell | 8 | 5349.25 | Aggressive |
| 2025-04-17T01:46:19.317 | SIM:ESM5 | Sell | 3 | 5349.25 | Aggressive |
| 2025-04-17T01:46:19.317 | SIM:ESM5 | Sell | 1 | 5349.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4600
Slippage Sweep
-0.3750
Arrival Price
5,346.5000
Average Total
5,346.9600
Destination Price
5,347.8750
Sweep to Fill
5,347.3350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:45:33.32 | SIM:ESM5 | Buy | 1 | 5347 | Aggressive |
| 2025-04-17T01:45:35.446 | SIM:ESM5 | Buy | 1 | 5347 | Passive |
| 2025-04-17T01:45:36.212 | SIM:ESM5 | Buy | 4 | 5347.25 | Aggressive |
| 2025-04-17T01:45:36.212 | SIM:ESM5 | Buy | 2 | 5347.25 | Aggressive |
| 2025-04-17T01:45:38.171 | SIM:ESM5 | Buy | 2 | 5345.75 | Aggressive |
| 2025-04-17T01:45:38.171 | SIM:ESM5 | Buy | 2 | 5346 | Aggressive |
| 2025-04-17T01:45:40.32 | SIM:ESM5 | Buy | 2 | 5346 | Aggressive |
| 2025-04-17T01:45:42.2 | SIM:ESM5 | Buy | 3 | 5345.75 | Aggressive |
| 2025-04-17T01:45:42.2 | SIM:ESM5 | Buy | 4 | 5346 | Aggressive |
| 2025-04-17T01:45:43.342 | SIM:ESM5 | Buy | 8 | 5346 | Aggressive |
| 2025-04-17T01:45:45.244 | SIM:ESM5 | Buy | 9 | 5347.75 | Aggressive |
| 2025-04-17T01:45:45.244 | SIM:ESM5 | Buy | 4 | 5347.75 | Aggressive |
| 2025-04-17T01:45:46.304 | SIM:ESM5 | Buy | 4 | 5348 | Aggressive |
| 2025-04-17T01:45:46.304 | SIM:ESM5 | Buy | 4 | 5348.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5200
Slippage Sweep
-0.2150
Arrival Price
5,352.5000
Average Total
5,351.9800
Destination Price
5,351.7500
Sweep to Fill
5,351.7650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:44:22.409 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:24.273 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:27.631 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:27.631 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:28.71 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:29.829 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:30.624 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:33.246 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:44:37.729 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:44:38.507 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:40.611 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:40.611 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:44:43.625 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:44:44.591 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:44:47.678 | SIM:ESM5 | Sell | 4 | 5352 | Aggressive |
| 2025-04-17T01:44:47.678 | SIM:ESM5 | Sell | 1 | 5352 | Passive |
| 2025-04-17T01:44:48.579 | SIM:ESM5 | Sell | 5 | 5352 | Aggressive |
| 2025-04-17T01:44:48.579 | SIM:ESM5 | Sell | 2 | 5352 | Aggressive |
| 2025-04-17T01:44:50.677 | SIM:ESM5 | Sell | 5 | 5352 | Aggressive |
| 2025-04-17T01:44:50.677 | SIM:ESM5 | Sell | 2 | 5352 | Passive |
| 2025-04-17T01:44:50.678 | SIM:ESM5 | Sell | 2 | 5352 | Passive |
| 2025-04-17T01:44:51.477 | SIM:ESM5 | Sell | 7 | 5351.5 | Aggressive |
| 2025-04-17T01:44:51.477 | 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
0.0350
Slippage Sweep
-0.7350
Arrival Price
5,352.6250
Average Total
5,352.6600
Destination Price
5,352.0000
Sweep to Fill
5,353.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:43:08.037 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:08.038 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:10.2 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:10.2 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:11.51 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:12.498 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:20.425 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:43:22.724 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:43:23.351 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:43:24.208 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:26.51 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:28.639 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:28.64 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:29.594 | SIM:ESM5 | Buy | 2 | 5353 | Aggressive |
| 2025-04-17T01:43:29.594 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:43:31.934 | SIM:ESM5 | Buy | 5 | 5353 | Aggressive |
| 2025-04-17T01:43:31.934 | SIM:ESM5 | Buy | 1 | 5353 | Passive |
| 2025-04-17T01:43:32.284 | SIM:ESM5 | Buy | 1 | 5353 | Passive |
| 2025-04-17T01:43:36.293 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:43:48.478 | SIM:ESM5 | Buy | 1 | 5352.5 | Passive |
| 2025-04-17T01:43:49.551 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T01:43:51.454 | SIM:ESM5 | Buy | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:43:51.454 | SIM:ESM5 | Buy | 3 | 5352.5 | Aggressive |
| 2025-04-17T01:43:52.444 | SIM:ESM5 | Buy | 11 | 5352.25 | Aggressive |
| 2025-04-17T01:43:53.524 | SIM:ESM5 | Buy | 4 | 5352.25 | Aggressive |
| 2025-04-17T01:43:53.524 | SIM:ESM5 | Buy | 2 | 5352.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8200
Slippage Sweep
0.0908
Arrival Price
5,355.8750
Average Total
5,355.0550
Destination Price
5,355.0000
Sweep to Fill
5,355.1458
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:41:21.907 | SIM:ESM5 | Sell | 1 | 5355.75 | Aggressive |
| 2025-04-17T01:41:24.109 | SIM:ESM5 | Sell | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:41:25.947 | SIM:ESM5 | Sell | 2 | 5355.5 | Aggressive |
| 2025-04-17T01:41:26.958 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:41:26.958 | SIM:ESM5 | Sell | 2 | 5355 | Aggressive |
| 2025-04-17T01:41:28.16 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:41:29.04 | SIM:ESM5 | Sell | 7 | 5355 | Aggressive |
| 2025-04-17T01:41:29.143 | SIM:ESM5 | Sell | 1 | 5355.25 | Passive |
| 2025-04-17T01:41:29.143 | SIM:ESM5 | Sell | 1 | 5355.25 | Passive |
| 2025-04-17T01:41:34.578 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:41:34.578 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:41:34.578 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:41:38.139 | SIM:ESM5 | Sell | 7 | 5355 | Aggressive |
| 2025-04-17T01:41:38.602 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T01:41:39.32 | SIM:ESM5 | Sell | 4 | 5355 | Aggressive |
| 2025-04-17T01:41:39.321 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T01:41:40.152 | SIM:ESM5 | Sell | 3 | 5355 | Aggressive |
| 2025-04-17T01:41:40.152 | SIM:ESM5 | Sell | 4 | 5354.75 | Aggressive |
| 2025-04-17T01:41:41.124 | SIM:ESM5 | Sell | 5 | 5355 | Aggressive |
| 2025-04-17T01:41:41.124 | SIM:ESM5 | Sell | 2 | 5355 | Aggressive |
| 2025-04-17T01:41:42.129 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T01:41:42.129 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T01:41:43.143 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5000
Slippage Sweep
-0.2700
Arrival Price
5,354.6250
Average Total
5,355.1250
Destination Price
5,355.1250
Sweep to Fill
5,355.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:40:20.209 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:40:21.704 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:40:22.587 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:40:23.294 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:40:23.294 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:40:30.241 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:40:34.396 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:40:36.639 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:40:37.461 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T01:40:37.461 | SIM:ESM5 | Buy | 4 | 5355.25 | Aggressive |
| 2025-04-17T01:40:39.057 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:40:44.575 | SIM:ESM5 | Buy | 5 | 5355 | Aggressive |
| 2025-04-17T01:40:44.576 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T01:40:44.576 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T01:40:45.5 | SIM:ESM5 | Buy | 4 | 5355.25 | Aggressive |
| 2025-04-17T01:40:45.5 | SIM:ESM5 | Buy | 2 | 5355.25 | Aggressive |
| 2025-04-17T01:40:46.696 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:40:56.58 | SIM:ESM5 | Buy | 8 | 5355.25 | Aggressive |
| 2025-04-17T01:40:57.504 | SIM:ESM5 | Buy | 1 | 5355 | Passive |
| 2025-04-17T01:40:59.036 | SIM:ESM5 | Buy | 2 | 5355.25 | Aggressive |
| 2025-04-17T01:40:59.036 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:40:59.831 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:41:00.724 | SIM:ESM5 | Buy | 2 | 5355.25 | Aggressive |
| 2025-04-17T01:41:00.724 | SIM:ESM5 | Buy | 3 | 5355.25 | Aggressive |
| 2025-04-17T01:41:01.624 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4450
Slippage Sweep
-1.1551
Arrival Price
5,354.3750
Average Total
5,354.8200
Destination Price
5,355.3750
Sweep to Fill
5,353.6649
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:38:40.154 | SIM:ESM5 | Sell | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:38:43.204 | SIM:ESM5 | Sell | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:38:45.215 | SIM:ESM5 | Sell | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:38:46.215 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:38:46.215 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:38:50.412 | SIM:ESM5 | Sell | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:38:51.292 | SIM:ESM5 | Sell | 4 | 5354.75 | Aggressive |
| 2025-04-17T01:38:51.292 | SIM:ESM5 | Sell | 3 | 5354.5 | Aggressive |
| 2025-04-17T01:38:52.315 | SIM:ESM5 | Sell | 4 | 5355 | Aggressive |
| 2025-04-17T01:38:52.315 | SIM:ESM5 | Sell | 5 | 5354.75 | Aggressive |
| 2025-04-17T01:38:59.758 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:39:00.701 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:39:01.471 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:39:02.715 | SIM:ESM5 | Sell | 4 | 5355 | Aggressive |
| 2025-04-17T01:39:02.715 | SIM:ESM5 | Sell | 2 | 5354.75 | Aggressive |
| 2025-04-17T01:39:03.488 | SIM:ESM5 | Sell | 4 | 5355 | Aggressive |
| 2025-04-17T01:39:04.715 | SIM:ESM5 | Sell | 7 | 5355 | Aggressive |
| 2025-04-17T01:39:05.093 | SIM:ESM5 | Sell | 2 | 5355 | Aggressive |
| 2025-04-17T01:39:05.783 | SIM:ESM5 | Sell | 2 | 5355 | Aggressive |
| 2025-04-17T01:39:07.002 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:39:09.451 | SIM:ESM5 | Sell | 1 | 5355.25 | Aggressive |