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
-0.5150
Slippage Sweep
-0.9200
Arrival Price
5,356.3750
Average Total
5,356.8900
Destination Price
5,357.3750
Sweep to Fill
5,355.9700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:16:00.001 | SIM:ESM5 | Sell | 1 | 5356.5 | Aggressive |
| 2025-04-17T01:16:00.843 | SIM:ESM5 | Sell | 7 | 5357 | Aggressive |
| 2025-04-17T01:16:00.844 | SIM:ESM5 | Sell | 7 | 5356.75 | Aggressive |
| 2025-04-17T01:16:00.844 | SIM:ESM5 | Sell | 7 | 5356.5 | Aggressive |
| 2025-04-17T01:16:01.944 | SIM:ESM5 | Sell | 2 | 5357.25 | Aggressive |
| 2025-04-17T01:16:01.944 | SIM:ESM5 | Sell | 15 | 5357 | Aggressive |
| 2025-04-17T01:16:01.944 | SIM:ESM5 | Sell | 3 | 5356.75 | Aggressive |
| 2025-04-17T01:16:02.924 | SIM:ESM5 | Sell | 2 | 5357.25 | Aggressive |
| 2025-04-17T01:16:02.924 | SIM:ESM5 | Sell | 6 | 5357 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4650
Slippage Sweep
-1.0750
Arrival Price
5,354.1250
Average Total
5,353.6600
Destination Price
5,354.6250
Sweep to Fill
5,354.7350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:15:12.701 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:15:15.002 | SIM:ESM5 | Buy | 2 | 5354 | Aggressive |
| 2025-04-17T01:15:15.642 | SIM:ESM5 | Buy | 2 | 5354 | Passive |
| 2025-04-17T01:15:15.642 | SIM:ESM5 | Buy | 1 | 5354 | Passive |
| 2025-04-17T01:15:16.749 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T01:15:17.78 | SIM:ESM5 | Buy | 5 | 5353.5 | Aggressive |
| 2025-04-17T01:15:17.781 | SIM:ESM5 | Buy | 2 | 5353.75 | Aggressive |
| 2025-04-17T01:15:18.708 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T01:15:18.708 | SIM:ESM5 | Buy | 4 | 5353.75 | Aggressive |
| 2025-04-17T01:15:20.147 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T01:15:20.147 | SIM:ESM5 | Buy | 4 | 5353.75 | Aggressive |
| 2025-04-17T01:15:21.542 | SIM:ESM5 | Buy | 3 | 5353.5 | Aggressive |
| 2025-04-17T01:15:21.542 | SIM:ESM5 | Buy | 4 | 5353.75 | Aggressive |
| 2025-04-17T01:15:21.722 | SIM:ESM5 | Buy | 7 | 5353.5 | Aggressive |
| 2025-04-17T01:15:21.722 | SIM:ESM5 | Buy | 1 | 5353.5 | Aggressive |
| 2025-04-17T01:15:22.72 | SIM:ESM5 | Buy | 4 | 5353.5 | Aggressive |
| 2025-04-17T01:15:46.992 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.7150
Arrival Price
5,352.6250
Average Total
5,352.6000
Destination Price
5,353.3750
Sweep to Fill
5,351.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:12:53.449 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:12:54.517 | SIM:ESM5 | Sell | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:12:55.427 | SIM:ESM5 | Sell | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:12:57.295 | SIM:ESM5 | Sell | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:13:00.284 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:13:01.243 | SIM:ESM5 | Sell | 6 | 5353 | Aggressive |
| 2025-04-17T01:13:01.243 | SIM:ESM5 | Sell | 2 | 5353 | Passive |
| 2025-04-17T01:13:02.378 | SIM:ESM5 | Sell | 2 | 5353 | Aggressive |
| 2025-04-17T01:13:02.378 | SIM:ESM5 | Sell | 1 | 5353 | Aggressive |
| 2025-04-17T01:13:17.491 | SIM:ESM5 | Sell | 5 | 5352 | Aggressive |
| 2025-04-17T01:13:23.537 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T01:13:24.571 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T01:13:27.579 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T01:13:27.579 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:13:31.663 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T01:13:31.993 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:13:34.658 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T01:13:45.717 | SIM:ESM5 | Sell | 7 | 5353 | Aggressive |
| 2025-04-17T01:13:47.005 | SIM:ESM5 | Sell | 4 | 5353.25 | Aggressive |
| 2025-04-17T01:13:47.005 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:13:47.863 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:13:47.863 | SIM:ESM5 | Sell | 1 | 5353.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2850
Slippage Sweep
-0.3981
Arrival Price
5,352.8750
Average Total
5,353.1600
Destination Price
5,353.7500
Sweep to Fill
5,353.5581
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:11:42.542 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:11:45.088 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:11:48.254 | SIM:ESM5 | Buy | 1 | 5352.75 | Passive |
| 2025-04-17T01:11:49.12 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T01:11:49.12 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:11:51.833 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:11:52.45 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:11:53.227 | SIM:ESM5 | Buy | 1 | 5352.5 | Aggressive |
| 2025-04-17T01:11:53.227 | SIM:ESM5 | Buy | 4 | 5352.75 | Aggressive |
| 2025-04-17T01:12:01.206 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:12:01.206 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T01:12:03.384 | SIM:ESM5 | Buy | 2 | 5352.75 | Aggressive |
| 2025-04-17T01:12:05.258 | SIM:ESM5 | Buy | 1 | 5352.75 | Aggressive |
| 2025-04-17T01:12:08.383 | SIM:ESM5 | Buy | 7 | 5353.25 | Aggressive |
| 2025-04-17T01:12:08.383 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:12:08.383 | SIM:ESM5 | Buy | 2 | 5353.25 | Passive |
| 2025-04-17T01:12:09.654 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:12:10.421 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:12:13.842 | SIM:ESM5 | Buy | 4 | 5353.25 | Aggressive |
| 2025-04-17T01:12:15.464 | SIM:ESM5 | Buy | 1 | 5353 | Passive |
| 2025-04-17T01:12:15.464 | SIM:ESM5 | Buy | 1 | 5353 | Aggressive |
| 2025-04-17T01:12:15.464 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:12:15.464 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T01:12:18.866 | SIM:ESM5 | Buy | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:12:20.458 | SIM:ESM5 | Buy | 3 | 5354 | Aggressive |
| 2025-04-17T01:12:20.458 | SIM:ESM5 | Buy | 1 | 5354 | Passive |
| 2025-04-17T01:12:22.005 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T01:12:23.432 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T01:12:30.347 | SIM:ESM5 | Buy | 1 | 5353.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7600
Slippage Sweep
0.0814
Arrival Price
5,354.6250
Average Total
5,353.8650
Destination Price
5,353.3750
Sweep to Fill
5,353.9464
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:10:08.142 | SIM:ESM5 | Sell | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:10:11.298 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:10:12.209 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:10:15.535 | SIM:ESM5 | Sell | 3 | 5354.25 | Aggressive |
| 2025-04-17T01:10:15.535 | SIM:ESM5 | Sell | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:10:17.519 | SIM:ESM5 | Sell | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:10:18.617 | SIM:ESM5 | Sell | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:10:19.836 | SIM:ESM5 | Sell | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:10:22.64 | SIM:ESM5 | Sell | 2 | 5354.25 | Aggressive |
| 2025-04-17T01:10:28.423 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:10:28.423 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:10:29.369 | SIM:ESM5 | Sell | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:10:30.37 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
| 2025-04-17T01:10:31.396 | SIM:ESM5 | Sell | 8 | 5354 | Aggressive |
| 2025-04-17T01:10:31.397 | SIM:ESM5 | Sell | 2 | 5354 | Aggressive |
| 2025-04-17T01:10:32.511 | SIM:ESM5 | Sell | 2 | 5354 | Aggressive |
| 2025-04-17T01:10:33.402 | SIM:ESM5 | Sell | 4 | 5353.75 | Aggressive |
| 2025-04-17T01:10:34.569 | SIM:ESM5 | Sell | 5 | 5353.75 | Aggressive |
| 2025-04-17T01:10:35.442 | SIM:ESM5 | Sell | 3 | 5353.5 | Aggressive |
| 2025-04-17T01:10:35.442 | SIM:ESM5 | Sell | 1 | 5353.5 | Aggressive |
| 2025-04-17T01:10:37.357 | SIM:ESM5 | Sell | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:10:37.413 | SIM:ESM5 | Sell | 3 | 5353.25 | Aggressive |
| 2025-04-17T01:10:37.493 | SIM:ESM5 | Sell | 2 | 5353.25 | Aggressive |
| 2025-04-17T01:10:51.862 | 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
-0.3600
Slippage Sweep
-0.9000
Arrival Price
5,354.6250
Average Total
5,354.2650
Destination Price
5,353.8750
Sweep to Fill
5,355.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T01:09:02.979 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T01:09:04.209 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:09:06.008 | SIM:ESM5 | Buy | 4 | 5354.25 | Aggressive |
| 2025-04-17T01:09:09.117 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:09:09.117 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:09:10.073 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:09:10.337 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:09:15.122 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:09:16.54 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:09:18.142 | SIM:ESM5 | Buy | 1 | 5354.75 | Aggressive |
| 2025-04-17T01:09:19.197 | SIM:ESM5 | Buy | 1 | 5354.5 | Aggressive |
| 2025-04-17T01:09:20.402 | SIM:ESM5 | Buy | 5 | 5354.25 | Aggressive |
| 2025-04-17T01:09:20.984 | SIM:ESM5 | Buy | 1 | 5354 | Passive |
| 2025-04-17T01:09:21.165 | SIM:ESM5 | Buy | 6 | 5354.25 | Aggressive |
| 2025-04-17T01:09:21.165 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:09:29.221 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:09:29.221 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:09:30.287 | SIM:ESM5 | Buy | 2 | 5354.5 | Aggressive |
| 2025-04-17T01:09:34.268 | SIM:ESM5 | Buy | 3 | 5354 | Aggressive |
| 2025-04-17T01:09:35.621 | SIM:ESM5 | Buy | 5 | 5354.25 | Aggressive |
| 2025-04-17T01:09:35.621 | SIM:ESM5 | Buy | 2 | 5354.25 | Passive |
| 2025-04-17T01:09:42.582 | SIM:ESM5 | Buy | 1 | 5354.25 | Aggressive |
| 2025-04-17T01:09:42.582 | SIM:ESM5 | Buy | 1 | 5354 | Passive |
| 2025-04-17T01:09:42.582 | SIM:ESM5 | Buy | 1 | 5354 | Passive |
| 2025-04-17T01:09:43.575 | SIM:ESM5 | Buy | 3 | 5354 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.3700
Arrival Price
5,669.8750
Average Total
5,669.9350
Destination Price
5,669.8750
Sweep to Fill
5,669.5650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:59:24.52 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:36.555 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:36.555 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:36.556 | SIM:ESM5 | Sell | 2 | 5669.75 | Passive |
| 2025-03-18T15:59:36.556 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:36.556 | SIM:ESM5 | Sell | 2 | 5669.75 | Passive |
| 2025-03-18T15:59:36.556 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:36.556 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:36.556 | SIM:ESM5 | Sell | 2 | 5669.75 | Passive |
| 2025-03-18T15:59:36.558 | SIM:ESM5 | Sell | 1 | 5669.75 | Passive |
| 2025-03-18T15:59:46.923 | SIM:ESM5 | Sell | 1 | 5670 | Passive |
| 2025-03-18T15:59:46.923 | SIM:ESM5 | Sell | 5 | 5670 | Passive |
| 2025-03-18T15:59:51.641 | SIM:ESM5 | Sell | 2 | 5670 | Passive |
| 2025-03-18T15:59:51.641 | SIM:ESM5 | Sell | 2 | 5670 | Passive |
| 2025-03-18T15:59:51.641 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.642 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.642 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 2 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 1 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 3 | 5670 | Passive |
| 2025-03-18T15:59:51.643 | SIM:ESM5 | Sell | 3 | 5670 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0400
Slippage Sweep
-0.5050
Arrival Price
5,669.8750
Average Total
5,669.9150
Destination Price
5,669.6250
Sweep to Fill
5,669.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 1 | 5669.75 | Aggressive |
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 2 | 5669.75 | Aggressive |
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 1 | 5669.75 | Aggressive |
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 1 | 5669.75 | Aggressive |
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 2 | 5669.75 | Aggressive |
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 1 | 5669.75 | Aggressive |
| 2025-03-18T15:58:09.113 | SIM:ESM5 | Sell | 2 | 5669.75 | Aggressive |
| 2025-03-18T15:58:13.725 | SIM:ESM5 | Sell | 1 | 5670 | Passive |
| 2025-03-18T15:58:14.872 | SIM:ESM5 | Sell | 10 | 5670 | Aggressive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Aggressive |
| 2025-03-18T15:58:16.434 | SIM:ESM5 | Sell | 1 | 5670.25 | Aggressive |
| 2025-03-18T15:58:16.435 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:58:16.435 | SIM:ESM5 | Sell | 3 | 5670.25 | Passive |
| 2025-03-18T15:58:16.435 | SIM:ESM5 | Sell | 4 | 5670.25 | Passive |
| 2025-03-18T15:58:16.435 | SIM:ESM5 | Sell | 2 | 5670.25 | Passive |
| 2025-03-18T15:58:38.309 | SIM:ESM5 | Sell | 3 | 5669.5 | Passive |
| 2025-03-18T15:58:38.309 | SIM:ESM5 | Sell | 5 | 5669.5 | Passive |
| 2025-03-18T15:58:38.309 | SIM:ESM5 | Sell | 4 | 5669.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9600
Slippage Sweep
0.4950
Arrival Price
5,670.1250
Average Total
5,669.1650
Destination Price
5,669.8750
Sweep to Fill
5,669.6600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:56:09.624 | SIM:ESM5 | Sell | 1 | 5670 | Passive |
| 2025-03-18T15:56:12.899 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:56:12.899 | SIM:ESM5 | Sell | 1 | 5670.25 | Passive |
| 2025-03-18T15:56:12.899 | SIM:ESM5 | Sell | 2 | 5670.25 | Passive |
| 2025-03-18T15:56:12.9 | SIM:ESM5 | Sell | 2 | 5670.25 | Passive |
| 2025-03-18T15:56:12.9 | SIM:ESM5 | Sell | 2 | 5670.25 | Passive |
| 2025-03-18T15:56:19.477 | SIM:ESM5 | Sell | 3 | 5670 | Aggressive |
| 2025-03-18T15:56:20.557 | SIM:ESM5 | Sell | 1 | 5670 | Aggressive |
| 2025-03-18T15:56:23.332 | SIM:ESM5 | Sell | 1 | 5670 | Passive |
| 2025-03-18T15:56:23.332 | SIM:ESM5 | Sell | 1 | 5670 | Passive |
| 2025-03-18T15:56:23.332 | SIM:ESM5 | Sell | 2 | 5670 | Passive |
| 2025-03-18T15:56:23.332 | SIM:ESM5 | Sell | 2 | 5670 | Passive |
| 2025-03-18T15:56:38.851 | SIM:ESM5 | Sell | 17 | 5668.5 | Aggressive |
| 2025-03-18T15:56:38.851 | SIM:ESM5 | Sell | 3 | 5668.5 | Passive |
| 2025-03-18T15:56:40.053 | SIM:ESM5 | Sell | 7 | 5668.75 | Passive |
| 2025-03-18T15:56:49.074 | SIM:ESM5 | Sell | 2 | 5668.75 | Passive |
| 2025-03-18T15:56:49.074 | SIM:ESM5 | Sell | 2 | 5668.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2850
Slippage Sweep
-0.1800
Arrival Price
5,671.0000
Average Total
5,670.7150
Destination Price
5,670.6250
Sweep to Fill
5,670.5350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:54:51.627 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:54:51.627 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:54:53.028 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:54:53.028 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:54:59.488 | SIM:ESM5 | Sell | 3 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 2 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 1 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 1 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 2 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 3 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 2 | 5670.75 | Passive |
| 2025-03-18T15:54:59.489 | SIM:ESM5 | Sell | 2 | 5670.75 | Passive |
| 2025-03-18T15:55:03.92 | SIM:ESM5 | Sell | 8 | 5670.75 | Aggressive |
| 2025-03-18T15:55:09.574 | SIM:ESM5 | Sell | 4 | 5670.75 | Aggressive |
| 2025-03-18T15:55:09.574 | SIM:ESM5 | Sell | 3 | 5670.75 | Passive |
| 2025-03-18T15:55:09.574 | SIM:ESM5 | Sell | 1 | 5670.75 | Passive |
| 2025-03-18T15:55:09.575 | SIM:ESM5 | Sell | 3 | 5670.75 | Passive |
| 2025-03-18T15:55:10.046 | SIM:ESM5 | Sell | 8 | 5670.5 | Aggressive |
| 2025-03-18T15:55:10.221 | SIM:ESM5 | Sell | 3 | 5670.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.3600
Arrival Price
5,671.1250
Average Total
5,671.0000
Destination Price
5,671.1250
Sweep to Fill
5,670.6400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:52:57.298 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:52:57.298 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:52:57.479 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:52:57.479 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:52:57.523 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:04.992 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:53:44.317 | SIM:ESM5 | Sell | 3 | 5671 | Passive |
| 2025-03-18T15:53:44.317 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 4 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 3 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 5 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:53:44.318 | SIM:ESM5 | Sell | 7 | 5671 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.3000
Arrival Price
5,670.3750
Average Total
5,670.5000
Destination Price
5,670.3750
Sweep to Fill
5,670.8000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:51:58.123 | SIM:ESM5 | Buy | 1 | 5670.5 | Aggressive |
| 2025-03-18T15:51:58.123 | SIM:ESM5 | Buy | 1 | 5670.5 | Aggressive |
| 2025-03-18T15:51:58.123 | SIM:ESM5 | Buy | 2 | 5670.5 | Aggressive |
| 2025-03-18T15:52:31.971 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.971 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 3 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.972 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 3 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 3 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.973 | SIM:ESM5 | Buy | 4 | 5670.5 | Passive |
| 2025-03-18T15:52:31.974 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.974 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.974 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:52:31.974 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
| 2025-03-18T15:52:31.974 | SIM:ESM5 | Buy | 2 | 5670.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2600
Slippage Sweep
-0.6750
Arrival Price
5,670.8750
Average Total
5,671.1350
Destination Price
5,671.1250
Sweep to Fill
5,670.4600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:50:57.839 | SIM:ESM5 | Sell | 4 | 5670.75 | Aggressive |
| 2025-03-18T15:50:57.979 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.979 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.98 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.98 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.98 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.981 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.981 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.981 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:50:57.981 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:50:57.981 | SIM:ESM5 | Sell | 5 | 5671 | Passive |
| 2025-03-18T15:51:03.168 | SIM:ESM5 | Sell | 3 | 5671.25 | Passive |
| 2025-03-18T15:51:03.168 | SIM:ESM5 | Sell | 3 | 5671.25 | Passive |
| 2025-03-18T15:51:03.168 | SIM:ESM5 | Sell | 12 | 5671.25 | Passive |
| 2025-03-18T15:51:03.168 | SIM:ESM5 | Sell | 4 | 5671.25 | Passive |
| 2025-03-18T15:51:03.168 | SIM:ESM5 | Sell | 8 | 5671.25 | Passive |
| 2025-03-18T15:51:03.168 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4200
Slippage Sweep
0.1350
Arrival Price
5,670.3750
Average Total
5,670.7950
Destination Price
5,670.6250
Sweep to Fill
5,670.6600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:50:01.252 | SIM:ESM5 | Buy | 1 | 5670.5 | Passive |
| 2025-03-18T15:50:03.097 | SIM:ESM5 | Buy | 27 | 5670.75 | Aggressive |
| 2025-03-18T15:50:05.202 | SIM:ESM5 | Buy | 4 | 5670.75 | Aggressive |
| 2025-03-18T15:50:22.078 | SIM:ESM5 | Buy | 1 | 5670.75 | Passive |
| 2025-03-18T15:50:22.078 | SIM:ESM5 | Buy | 1 | 5670.75 | Passive |
| 2025-03-18T15:50:22.078 | SIM:ESM5 | Buy | 2 | 5670.75 | Passive |
| 2025-03-18T15:50:22.079 | SIM:ESM5 | Buy | 2 | 5670.75 | Passive |
| 2025-03-18T15:50:22.079 | SIM:ESM5 | Buy | 1 | 5670.75 | Passive |
| 2025-03-18T15:50:22.079 | SIM:ESM5 | Buy | 1 | 5670.75 | Passive |
| 2025-03-18T15:50:41.543 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
| 2025-03-18T15:50:41.543 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
| 2025-03-18T15:50:41.543 | SIM:ESM5 | Buy | 2 | 5671 | Passive |
| 2025-03-18T15:50:41.543 | SIM:ESM5 | Buy | 2 | 5671 | Passive |
| 2025-03-18T15:50:41.543 | SIM:ESM5 | Buy | 3 | 5671 | Passive |
| 2025-03-18T15:50:41.543 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0850
Slippage Sweep
-0.4800
Arrival Price
5,670.8750
Average Total
5,670.9600
Destination Price
5,671.1250
Sweep to Fill
5,670.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 3 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 4 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 6 | 5671 | Passive |
| 2025-03-18T15:49:06.463 | SIM:ESM5 | Sell | 3 | 5671 | Passive |
| 2025-03-18T15:49:06.464 | SIM:ESM5 | Sell | 2 | 5671 | Passive |
| 2025-03-18T15:49:06.464 | SIM:ESM5 | Sell | 1 | 5671 | Passive |
| 2025-03-18T15:49:07.199 | SIM:ESM5 | Sell | 8 | 5671 | Aggressive |
| 2025-03-18T15:49:07.199 | SIM:ESM5 | Sell | 8 | 5670.75 | Aggressive |