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
0.8900
Slippage Sweep
0.2500
Arrival Price
5,352.5000
Average Total
5,353.3900
Destination Price
5,353.6250
Sweep to Fill
5,353.1400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:37:56.007 | SIM:ESM5 | Buy | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:38:00.269 | SIM:ESM5 | Buy | 1 | 5352.75 | Passive |
| 2025-04-17T01:38:00.269 | SIM:ESM5 | Buy | 1 | 5352.75 | Passive |
| 2025-04-17T01:38:00.269 | SIM:ESM5 | Buy | 2 | 5352.75 | Passive |
| 2025-04-17T01:38:00.269 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:38:00.269 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:38:00.269 | SIM:ESM5 | Buy | 1 | 5352.75 | Passive |
| 2025-04-17T01:38:01.224 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:38:03.248 | SIM:ESM5 | Buy | 4 | 5353.25 | Aggressive |
| 2025-04-17T01:38:03.248 | SIM:ESM5 | Buy | 4 | 5353.5 | Aggressive |
| 2025-04-17T01:38:04.291 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:38:05.266 | SIM:ESM5 | Buy | 6 | 5353.5 | Aggressive |
| 2025-04-17T01:38:05.266 | SIM:ESM5 | Buy | 2 | 5353.75 | Aggressive |
| 2025-04-17T01:38:06.322 | SIM:ESM5 | Buy | 7 | 5353.5 | Aggressive |
| 2025-04-17T01:38:06.322 | SIM:ESM5 | Buy | 3 | 5353.75 | Aggressive |
| 2025-04-17T01:38:07.367 | SIM:ESM5 | Buy | 7 | 5353.5 | Aggressive |
| 2025-04-17T01:38:07.367 | SIM:ESM5 | Buy | 1 | 5353.25 | Passive |
| 2025-04-17T01:38:09.708 | SIM:ESM5 | Buy | 1 | 5353.5 | Aggressive |
| 2025-04-17T01:38:10.444 | SIM:ESM5 | Buy | 5 | 5353.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.8800
Arrival Price
5,352.3750
Average Total
5,352.5100
Destination Price
5,352.6250
Sweep to Fill
5,351.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:36:02.192 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:36:03.229 | SIM:ESM5 | Sell | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:36:07.126 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:07.213 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:09.5 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:36:11.256 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:36:12.563 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:36:14.273 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:14.273 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:16.557 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:36:18.419 | SIM:ESM5 | Sell | 10 | 5352.75 | Aggressive |
| 2025-04-17T01:36:18.419 | SIM:ESM5 | Sell | 4 | 5352.75 | Aggressive |
| 2025-04-17T01:36:37.691 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:39.612 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:46.952 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:47.731 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:48.762 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:36:48.762 | SIM:ESM5 | Sell | 3 | 5352.25 | Aggressive |
| 2025-04-17T01:36:49.835 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:36:49.835 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:36:51.441 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:36:52.743 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:36:52.743 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:36:53.926 | SIM:ESM5 | Sell | 4 | 5352.5 | Aggressive |
| 2025-04-17T01:36:53.926 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:36:55.181 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:36:57.304 | SIM:ESM5 | Sell | 1 | 5352.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3650
Slippage Sweep
-1.1250
Arrival Price
5,354.5000
Average Total
5,354.1350
Destination Price
5,353.6250
Sweep to Fill
5,355.2600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:35:13.326 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:35:16.006 | SIM:ESM5 | Buy | 1 | 5354.5 | Passive |
| 2025-04-17T01:35:17.351 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:35:18.349 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:35:22.194 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:35:24.5 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:35:24.5 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:35:29.435 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:35:30.475 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:35:30.475 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:35:32.481 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:35:32.481 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:35:33.776 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:35:38.675 | SIM:ESM5 | Buy | 2 | 5354 | Aggressive |
| 2025-04-17T01:35:38.675 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:35:39.833 | SIM:ESM5 | Buy | 2 | 5354 | Aggressive |
| 2025-04-17T01:35:39.833 | SIM:ESM5 | Buy | 3 | 5354.25 | Aggressive |
| 2025-04-17T01:35:40.623 | SIM:ESM5 | Buy | 4 | 5354 | Aggressive |
| 2025-04-17T01:35:40.623 | SIM:ESM5 | Buy | 1 | 5354 | Passive |
| 2025-04-17T01:35:41.497 | SIM:ESM5 | Buy | 2 | 5354 | Aggressive |
| 2025-04-17T01:35:41.497 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:35:42.768 | SIM:ESM5 | Buy | 3 | 5354 | Aggressive |
| 2025-04-17T01:35:43.855 | SIM:ESM5 | Buy | 3 | 5354 | Passive |
| 2025-04-17T01:35:44.555 | SIM:ESM5 | Buy | 2 | 5353.5 | Aggressive |
| 2025-04-17T01:35:44.555 | SIM:ESM5 | Buy | 5 | 5353.75 | Aggressive |
| 2025-04-17T01:35:46.662 | SIM:ESM5 | Buy | 1 | 5353.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5250
Slippage Sweep
-0.2200
Arrival Price
5,354.5000
Average Total
5,353.9750
Destination Price
5,354.8750
Sweep to Fill
5,353.7550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:32:16.841 | SIM:ESM5 | Sell | 1 | 5354.5 | Passive |
| 2025-04-17T01:32:18.625 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:32:20.745 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:32:21.48 | SIM:ESM5 | Sell | 2 | 5354 | Aggressive |
| 2025-04-17T01:32:22.418 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:32:23.425 | SIM:ESM5 | Sell | 2 | 5353.75 | Aggressive |
| 2025-04-17T01:32:24.485 | SIM:ESM5 | Sell | 2 | 5353.75 | Aggressive |
| 2025-04-17T01:32:26.345 | SIM:ESM5 | Sell | 3 | 5353.5 | Aggressive |
| 2025-04-17T01:32:26.345 | SIM:ESM5 | Sell | 1 | 5353.5 | Passive |
| 2025-04-17T01:32:27.38 | SIM:ESM5 | Sell | 6 | 5353.5 | Aggressive |
| 2025-04-17T01:32:27.432 | SIM:ESM5 | Sell | 2 | 5353.75 | Passive |
| 2025-04-17T01:32:29.779 | SIM:ESM5 | Sell | 5 | 5353.5 | Aggressive |
| 2025-04-17T01:32:29.779 | SIM:ESM5 | Sell | 2 | 5353.5 | Passive |
| 2025-04-17T01:32:34.986 | SIM:ESM5 | Sell | 5 | 5353.75 | Aggressive |
| 2025-04-17T01:32:34.986 | SIM:ESM5 | Sell | 1 | 5353.75 | Aggressive |
| 2025-04-17T01:32:34.986 | SIM:ESM5 | Sell | 2 | 5353.75 | Aggressive |
| 2025-04-17T01:33:01.684 | SIM:ESM5 | Sell | 2 | 5354.75 | Aggressive |
| 2025-04-17T01:33:03.527 | SIM:ESM5 | Sell | 4 | 5354.75 | Aggressive |
| 2025-04-17T01:33:15.056 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:33:15.056 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:33:16.563 | SIM:ESM5 | Sell | 2 | 5354.75 | Aggressive |
| 2025-04-17T01:33:16.563 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:33:18.01 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:33:22.067 | 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
-0.4050
Slippage Sweep
-1.2050
Arrival Price
5,356.1250
Average Total
5,355.7200
Destination Price
5,355.0000
Sweep to Fill
5,356.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:31:07.897 | SIM:ESM5 | Buy | 1 | 5356.25 | Aggressive |
| 2025-04-17T01:31:11.234 | SIM:ESM5 | Buy | 1 | 5356.25 | Aggressive |
| 2025-04-17T01:31:12.848 | SIM:ESM5 | Buy | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:31:12.848 | SIM:ESM5 | Buy | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:31:14.637 | SIM:ESM5 | Buy | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:31:15.691 | SIM:ESM5 | Buy | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:31:19.07 | SIM:ESM5 | Buy | 1 | 5356 | Aggressive |
| 2025-04-17T01:31:19.07 | SIM:ESM5 | Buy | 1 | 5356 | Aggressive |
| 2025-04-17T01:31:19.691 | SIM:ESM5 | Buy | 1 | 5355.75 | Aggressive |
| 2025-04-17T01:31:19.691 | SIM:ESM5 | Buy | 3 | 5356 | Aggressive |
| 2025-04-17T01:31:23.852 | SIM:ESM5 | Buy | 4 | 5355.75 | Aggressive |
| 2025-04-17T01:31:23.852 | SIM:ESM5 | Buy | 1 | 5356 | Aggressive |
| 2025-04-17T01:31:25.777 | SIM:ESM5 | Buy | 3 | 5355.75 | Aggressive |
| 2025-04-17T01:31:25.777 | SIM:ESM5 | Buy | 1 | 5355.75 | Passive |
| 2025-04-17T01:31:28.882 | SIM:ESM5 | Buy | 4 | 5355.5 | Aggressive |
| 2025-04-17T01:31:28.883 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:31:30.295 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:31:30.295 | SIM:ESM5 | Buy | 3 | 5355.75 | Aggressive |
| 2025-04-17T01:31:31.108 | SIM:ESM5 | Buy | 2 | 5355.5 | Aggressive |
| 2025-04-17T01:31:31.108 | SIM:ESM5 | Buy | 2 | 5355.75 | Aggressive |
| 2025-04-17T01:31:32.364 | SIM:ESM5 | Buy | 3 | 5355.5 | Aggressive |
| 2025-04-17T01:31:32.364 | SIM:ESM5 | Buy | 4 | 5355.75 | Aggressive |
| 2025-04-17T01:31:32.81 | SIM:ESM5 | Buy | 3 | 5355.25 | Aggressive |
| 2025-04-17T01:31:33.174 | SIM:ESM5 | Buy | 1 | 5355.25 | Passive |
| 2025-04-17T01:31:33.825 | SIM:ESM5 | Buy | 2 | 5355.25 | Aggressive |
| 2025-04-17T01:31:33.825 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:31:35.085 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:31:35.085 | 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
-0.2250
Slippage Sweep
-0.9494
Arrival Price
5,356.5000
Average Total
5,356.7250
Destination Price
5,355.8750
Sweep to Fill
5,355.7756
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:29:16.766 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T01:29:16.766 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T01:29:21.289 | SIM:ESM5 | Sell | 1 | 5356.25 | Aggressive |
| 2025-04-17T01:29:21.609 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:29:21.609 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:29:22.784 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:29:23.836 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:29:23.836 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:29:24.747 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:29:25.752 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:29:26.71 | SIM:ESM5 | Sell | 3 | 5356.75 | Aggressive |
| 2025-04-17T01:29:28.771 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T01:29:28.771 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:29:30.02 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T01:29:30.02 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:29:31.883 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:29:31.883 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T01:29:32.928 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:29:34.197 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T01:29:34.197 | SIM:ESM5 | Sell | 3 | 5356.75 | Aggressive |
| 2025-04-17T01:29:35.73 | SIM:ESM5 | Sell | 4 | 5356.75 | Aggressive |
| 2025-04-17T01:29:47.944 | SIM:ESM5 | Sell | 2 | 5357 | Aggressive |
| 2025-04-17T01:29:47.944 | SIM:ESM5 | Sell | 4 | 5356.75 | Aggressive |
| 2025-04-17T01:29:48.902 | SIM:ESM5 | Sell | 3 | 5357 | Aggressive |
| 2025-04-17T01:29:48.902 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:29:49.999 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T01:29:50.009 | SIM:ESM5 | Sell | 1 | 5357 | Aggressive |
| 2025-04-17T01:29:51.018 | SIM:ESM5 | Sell | 3 | 5357 | Aggressive |
| 2025-04-17T01:29:51.018 | SIM:ESM5 | Sell | 2 | 5357 | Aggressive |
| 2025-04-17T01:30:07.161 | SIM:ESM5 | Sell | 1 | 5355.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1600
Slippage Sweep
-0.6650
Arrival Price
5,355.0000
Average Total
5,355.1600
Destination Price
5,355.3750
Sweep to Fill
5,355.8250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:28:03.611 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:06.97 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:28:07.635 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:08.761 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:12.648 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:13.645 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:14.861 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:15.785 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:28:16.628 | SIM:ESM5 | Buy | 3 | 5355.5 | Aggressive |
| 2025-04-17T01:28:16.628 | SIM:ESM5 | Buy | 3 | 5355.75 | Aggressive |
| 2025-04-17T01:28:16.628 | SIM:ESM5 | Buy | 2 | 5355.5 | Passive |
| 2025-04-17T01:28:24.802 | SIM:ESM5 | Buy | 6 | 5354.5 | Aggressive |
| 2025-04-17T01:28:25.748 | SIM:ESM5 | Buy | 6 | 5354.5 | Aggressive |
| 2025-04-17T01:28:25.749 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:28:25.749 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:28:56.026 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:28:58.079 | SIM:ESM5 | Buy | 6 | 5355.5 | Aggressive |
| 2025-04-17T01:28:58.359 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:28:59.436 | SIM:ESM5 | Buy | 6 | 5355.5 | Aggressive |
| 2025-04-17T01:28:59.436 | SIM:ESM5 | Buy | 3 | 5355.5 | Passive |
| 2025-04-17T01:29:01.118 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:29:01.118 | SIM:ESM5 | Buy | 2 | 5355.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7050
Slippage Sweep
0.0100
Arrival Price
5,354.0000
Average Total
5,353.2950
Destination Price
5,353.3750
Sweep to Fill
5,353.3050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:26:44.201 | SIM:ESM5 | Sell | 1 | 5353.75 | Aggressive |
| 2025-04-17T01:26:46.619 | SIM:ESM5 | Sell | 1 | 5353.75 | Aggressive |
| 2025-04-17T01:26:48.324 | SIM:ESM5 | Sell | 1 | 5353.75 | Aggressive |
| 2025-04-17T01:26:50.145 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:26:50.272 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:26:51.27 | SIM:ESM5 | Sell | 3 | 5354.25 | Aggressive |
| 2025-04-17T01:26:52.692 | SIM:ESM5 | Sell | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:26:53.307 | SIM:ESM5 | Sell | 4 | 5353.25 | Aggressive |
| 2025-04-17T01:26:53.307 | SIM:ESM5 | Sell | 1 | 5353.25 | Passive |
| 2025-04-17T01:26:54.347 | SIM:ESM5 | Sell | 5 | 5353.25 | Aggressive |
| 2025-04-17T01:26:54.347 | SIM:ESM5 | Sell | 3 | 5353 | Aggressive |
| 2025-04-17T01:26:57.767 | SIM:ESM5 | Sell | 5 | 5353.25 | Aggressive |
| 2025-04-17T01:26:57.767 | SIM:ESM5 | Sell | 1 | 5353 | Aggressive |
| 2025-04-17T01:27:05.417 | SIM:ESM5 | Sell | 8 | 5353 | Aggressive |
| 2025-04-17T01:27:05.741 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:27:05.741 | SIM:ESM5 | Sell | 6 | 5353 | Aggressive |
| 2025-04-17T01:27:06.784 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:27:06.784 | SIM:ESM5 | Sell | 5 | 5353 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0200
Slippage Sweep
-0.7000
Arrival Price
5,354.6250
Average Total
5,354.6050
Destination Price
5,354.8750
Sweep to Fill
5,355.3050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:24:54.356 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:24:56.546 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T01:24:56.546 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:24:57.514 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:25:01.653 | SIM:ESM5 | Buy | 7 | 5354.25 | Aggressive |
| 2025-04-17T01:25:01.653 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:25:09.056 | SIM:ESM5 | Buy | 4 | 5354.25 | Aggressive |
| 2025-04-17T01:25:09.056 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:25:09.056 | SIM:ESM5 | Buy | 1 | 5354.25 | Passive |
| 2025-04-17T01:25:09.663 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:25:10.908 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:25:18.76 | SIM:ESM5 | Buy | 3 | 5354.25 | Aggressive |
| 2025-04-17T01:25:20.11 | SIM:ESM5 | Buy | 4 | 5354.25 | Aggressive |
| 2025-04-17T01:25:52.946 | SIM:ESM5 | Buy | 6 | 5355 | Aggressive |
| 2025-04-17T01:25:52.946 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:25:55.306 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:25:59.046 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T01:26:01.049 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:26:02.569 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:26:07.7 | SIM:ESM5 | Buy | 3 | 5354.5 | Aggressive |
| 2025-04-17T01:26:13.498 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T01:26:14.27 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:26:14.538 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5300
Slippage Sweep
-1.3350
Arrival Price
5,356.3750
Average Total
5,356.9050
Destination Price
5,357.3750
Sweep to Fill
5,355.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:23:49.421 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:23:49.421 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T01:23:50.335 | SIM:ESM5 | Sell | 2 | 5357 | Aggressive |
| 2025-04-17T01:23:50.335 | SIM:ESM5 | Sell | 10 | 5356.75 | Aggressive |
| 2025-04-17T01:23:53.708 | SIM:ESM5 | Sell | 3 | 5356.75 | Aggressive |
| 2025-04-17T01:23:53.712 | SIM:ESM5 | Sell | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:23:54.507 | SIM:ESM5 | Sell | 8 | 5356.75 | Aggressive |
| 2025-04-17T01:23:54.507 | SIM:ESM5 | Sell | 2 | 5356.75 | Aggressive |
| 2025-04-17T01:23:57.874 | SIM:ESM5 | Sell | 1 | 5357.25 | Passive |
| 2025-04-17T01:23:57.874 | SIM:ESM5 | Sell | 1 | 5357.25 | Passive |
| 2025-04-17T01:23:57.875 | SIM:ESM5 | Sell | 1 | 5357.25 | Passive |
| 2025-04-17T01:23:57.875 | SIM:ESM5 | Sell | 1 | 5357.25 | Passive |
| 2025-04-17T01:23:57.875 | SIM:ESM5 | Sell | 1 | 5357.25 | Passive |
| 2025-04-17T01:23:57.875 | SIM:ESM5 | Sell | 1 | 5357.25 | Aggressive |
| 2025-04-17T01:23:57.875 | SIM:ESM5 | Sell | 6 | 5357 | Aggressive |
| 2025-04-17T01:23:57.875 | SIM:ESM5 | Sell | 7 | 5357 | Aggressive |
| 2025-04-17T01:23:58.873 | SIM:ESM5 | Sell | 1 | 5357.25 | Passive |
| 2025-04-17T01:23:59.461 | SIM:ESM5 | Sell | 1 | 5357.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.4850
Slippage Sweep
0.7950
Arrival Price
5,355.1250
Average Total
5,356.6100
Destination Price
5,356.6250
Sweep to Fill
5,355.8150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:23:20.515 | SIM:ESM5 | Buy | 1 | 5355.5 | Aggressive |
| 2025-04-17T01:23:21.3 | SIM:ESM5 | Buy | 3 | 5356 | Aggressive |
| 2025-04-17T01:23:21.3 | SIM:ESM5 | Buy | 1 | 5356 | Aggressive |
| 2025-04-17T01:23:22.323 | SIM:ESM5 | Buy | 3 | 5356.25 | Aggressive |
| 2025-04-17T01:23:22.323 | SIM:ESM5 | Buy | 3 | 5356.5 | Aggressive |
| 2025-04-17T01:23:23.374 | SIM:ESM5 | Buy | 4 | 5356.5 | Aggressive |
| 2025-04-17T01:23:24.57 | SIM:ESM5 | Buy | 7 | 5356.75 | Aggressive |
| 2025-04-17T01:23:24.57 | SIM:ESM5 | Buy | 3 | 5356.75 | Passive |
| 2025-04-17T01:23:25.374 | SIM:ESM5 | Buy | 4 | 5356.75 | Aggressive |
| 2025-04-17T01:23:25.375 | SIM:ESM5 | Buy | 2 | 5357 | Aggressive |
| 2025-04-17T01:23:26.383 | SIM:ESM5 | Buy | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:23:26.383 | SIM:ESM5 | Buy | 6 | 5356.75 | Aggressive |
| 2025-04-17T01:23:27.35 | SIM:ESM5 | Buy | 9 | 5356.75 | Aggressive |
| 2025-04-17T01:23:27.35 | SIM:ESM5 | Buy | 1 | 5356.75 | Passive |
| 2025-04-17T01:23:28.376 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T01:23:28.376 | SIM:ESM5 | Buy | 1 | 5357 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.8250
Slippage Sweep
-1.5150
Arrival Price
5,352.3750
Average Total
5,353.2000
Destination Price
5,353.8750
Sweep to Fill
5,351.6850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:22:02.187 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:22:03.662 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:22:05.057 | SIM:ESM5 | Sell | 1 | 5352.5 | Passive |
| 2025-04-17T01:22:05.722 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:07.866 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:08.666 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:12.439 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:22:15.941 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:22:15.941 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:22:19.549 | SIM:ESM5 | Sell | 1 | 5352.25 | Aggressive |
| 2025-04-17T01:22:21.822 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:22:23.273 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:24.083 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:24.083 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:25.265 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:28.645 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:22:28.786 | SIM:ESM5 | Sell | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:22:28.786 | SIM:ESM5 | Sell | 2 | 5353 | Aggressive |
| 2025-04-17T01:22:29.832 | SIM:ESM5 | Sell | 1 | 5353.5 | Aggressive |
| 2025-04-17T01:22:29.832 | SIM:ESM5 | Sell | 3 | 5353.25 | Aggressive |
| 2025-04-17T01:22:30.943 | SIM:ESM5 | Sell | 3 | 5353.75 | Aggressive |
| 2025-04-17T01:22:30.943 | SIM:ESM5 | Sell | 1 | 5353.5 | Aggressive |
| 2025-04-17T01:22:31.845 | SIM:ESM5 | Sell | 7 | 5353.75 | Aggressive |
| 2025-04-17T01:22:32.584 | SIM:ESM5 | Sell | 1 | 5353.75 | Aggressive |
| 2025-04-17T01:22:32.945 | SIM:ESM5 | Sell | 7 | 5353.75 | Aggressive |
| 2025-04-17T01:22:33.023 | SIM:ESM5 | Sell | 2 | 5353.75 | Aggressive |
| 2025-04-17T01:22:33.854 | SIM:ESM5 | Sell | 3 | 5353.75 | Aggressive |
| 2025-04-17T01:22:33.854 | 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
0.3800
Slippage Sweep
-0.1400
Arrival Price
5,352.0000
Average Total
5,352.3800
Destination Price
5,352.6250
Sweep to Fill
5,352.5200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:20:14.144 | SIM:ESM5 | Buy | 5 | 5351.75 | Aggressive |
| 2025-04-17T01:20:14.148 | SIM:ESM5 | Buy | 1 | 5351.75 | Passive |
| 2025-04-17T01:20:17.071 | SIM:ESM5 | Buy | 2 | 5351.75 | Aggressive |
| 2025-04-17T01:20:20.008 | SIM:ESM5 | Buy | 2 | 5352 | Aggressive |
| 2025-04-17T01:20:20.089 | SIM:ESM5 | Buy | 1 | 5352 | Aggressive |
| 2025-04-17T01:20:23.022 | SIM:ESM5 | Buy | 2 | 5351.75 | Aggressive |
| 2025-04-17T01:20:23.023 | SIM:ESM5 | Buy | 2 | 5351.75 | Aggressive |
| 2025-04-17T01:20:25.046 | SIM:ESM5 | Buy | 1 | 5352 | Aggressive |
| 2025-04-17T01:20:28.707 | SIM:ESM5 | Buy | 3 | 5352.25 | Aggressive |
| 2025-04-17T01:20:31.107 | SIM:ESM5 | Buy | 6 | 5352.5 | Aggressive |
| 2025-04-17T01:20:31.221 | SIM:ESM5 | Buy | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:20:32.173 | SIM:ESM5 | Buy | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:20:32.173 | SIM:ESM5 | Buy | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:20:32.357 | SIM:ESM5 | Buy | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:20:33.4 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:20:33.4 | SIM:ESM5 | Buy | 3 | 5353 | Aggressive |
| 2025-04-17T01:20:34.379 | SIM:ESM5 | Buy | 3 | 5352.75 | Aggressive |
| 2025-04-17T01:20:34.379 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:20:35.145 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:20:35.145 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:20:36.633 | SIM:ESM5 | Buy | 6 | 5352.75 | Aggressive |
| 2025-04-17T01:20:36.634 | 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
0.9700
Slippage Sweep
0.2037
Arrival Price
5,353.1250
Average Total
5,352.1550
Destination Price
5,351.8750
Sweep to Fill
5,352.3587
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:18:29.816 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:18:32.948 | SIM:ESM5 | Sell | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:18:34.793 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:18:40.908 | SIM:ESM5 | Sell | 3 | 5353.25 | Aggressive |
| 2025-04-17T01:18:40.908 | SIM:ESM5 | Sell | 1 | 5353 | Aggressive |
| 2025-04-17T01:18:40.908 | SIM:ESM5 | Sell | 1 | 5353.25 | Passive |
| 2025-04-17T01:18:41.863 | SIM:ESM5 | Sell | 2 | 5352.5 | Aggressive |
| 2025-04-17T01:18:41.863 | SIM:ESM5 | Sell | 2 | 5352.25 | Aggressive |
| 2025-04-17T01:18:42.921 | SIM:ESM5 | Sell | 11 | 5352.25 | Aggressive |
| 2025-04-17T01:18:42.921 | SIM:ESM5 | Sell | 3 | 5352.25 | Passive |
| 2025-04-17T01:19:07.314 | SIM:ESM5 | Sell | 2 | 5352.75 | Aggressive |
| 2025-04-17T01:19:10.226 | SIM:ESM5 | Sell | 14 | 5351.5 | Aggressive |
| 2025-04-17T01:19:10.226 | SIM:ESM5 | Sell | 4 | 5351.5 | Passive |
| 2025-04-17T01:19:11.688 | SIM:ESM5 | Sell | 3 | 5351.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1300
Slippage Sweep
-0.8650
Arrival Price
5,354.6250
Average Total
5,354.4950
Destination Price
5,354.0000
Sweep to Fill
5,355.3600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:16:49.12 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:16:51.427 | SIM:ESM5 | Buy | 1 | 5354.5 | Passive |
| 2025-04-17T01:16:52.425 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:16:53.216 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:16:53.216 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:16:54.261 | SIM:ESM5 | Buy | 5 | 5354.25 | Aggressive |
| 2025-04-17T01:16:56.27 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:17:04.347 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:17:05.308 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:17:07.219 | SIM:ESM5 | Buy | 1 | 5355 | Aggressive |
| 2025-04-17T01:17:11.688 | SIM:ESM5 | Buy | 4 | 5355.25 | Aggressive |
| 2025-04-17T01:17:11.688 | SIM:ESM5 | Buy | 1 | 5355.25 | Aggressive |
| 2025-04-17T01:17:22.391 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:17:22.391 | SIM:ESM5 | Buy | 3 | 5354.5 | Aggressive |
| 2025-04-17T01:17:22.524 | SIM:ESM5 | Buy | 1 | 5354.25 | Passive |
| 2025-04-17T01:17:22.524 | SIM:ESM5 | Buy | 1 | 5354.25 | Passive |
| 2025-04-17T01:17:28.47 | SIM:ESM5 | Buy | 3 | 5354.25 | Aggressive |
| 2025-04-17T01:17:28.47 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:17:29.508 | SIM:ESM5 | Buy | 7 | 5354.25 | Aggressive |
| 2025-04-17T01:17:29.991 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:17:35.572 | SIM:ESM5 | Buy | 3 | 5354.5 | Aggressive |
| 2025-04-17T01:17:35.773 | SIM:ESM5 | Buy | 3 | 5354.5 | Aggressive |
| 2025-04-17T01:17:36.303 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:17:39.669 | SIM:ESM5 | Buy | 3 | 5354.25 | Aggressive |