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
0.5550
Slippage Sweep
0.3450
Arrival Price
5,938.8750
Average Total
5,938.3200
Destination Price
5,938.6250
Sweep to Fill
5,938.6650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:57:51.385 | SIM:ESM5 | Sell | 12 | 5938.25 | Aggressive |
| 2025-06-02T13:57:51.385 | SIM:ESM5 | Sell | 9 | 5938.25 | Aggressive |
| 2025-06-02T13:57:51.385 | SIM:ESM5 | Sell | 1 | 5938.5 | Aggressive |
| 2025-06-02T13:57:51.385 | SIM:ESM5 | Sell | 1 | 5938.5 | Passive |
| 2025-06-02T13:57:47.25 | SIM:ESM5 | Sell | 2 | 5938.5 | Aggressive |
| 2025-06-02T13:57:46.569 | SIM:ESM5 | Sell | 1 | 5938.5 | Aggressive |
| 2025-06-02T13:57:46.569 | SIM:ESM5 | Sell | 1 | 5938.5 | Passive |
| 2025-06-02T13:57:46.569 | SIM:ESM5 | Sell | 1 | 5938.5 | Passive |
| 2025-06-02T13:57:46.569 | SIM:ESM5 | Sell | 1 | 5938.5 | Passive |
| 2025-06-02T13:57:59.455 | SIM:ESM5 | Sell | 3 | 5938.5 | Aggressive |
| 2025-06-02T13:57:55.413 | SIM:ESM5 | Sell | 3 | 5938.25 | Aggressive |
| 2025-06-02T13:57:55.413 | SIM:ESM5 | Sell | 4 | 5938.25 | Aggressive |
| 2025-06-02T13:57:55.413 | SIM:ESM5 | Sell | 4 | 5938.25 | Aggressive |
| 2025-06-02T13:57:55.413 | SIM:ESM5 | Sell | 5 | 5938.25 | Aggressive |
| 2025-06-02T13:57:45.264 | SIM:ESM5 | Sell | 1 | 5938.5 | Aggressive |
| 2025-06-02T13:57:44.265 | SIM:ESM5 | Sell | 1 | 5938.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
0.0000
Arrival Price
5,938.8750
Average Total
5,939.0000
Destination Price
5,938.8750
Sweep to Fill
5,939.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:57:43.85 | SIM:ESM5 | Buy | 14 | 5939 | Aggressive |
| 2025-06-02T13:57:43.849 | SIM:ESM5 | Buy | 3 | 5939 | Aggressive |
| 2025-06-02T13:57:35.814 | SIM:ESM5 | Buy | 10 | 5939 | Aggressive |
| 2025-06-02T13:57:41.795 | SIM:ESM5 | Buy | 4 | 5939 | Aggressive |
| 2025-06-02T13:57:37.812 | SIM:ESM5 | Buy | 8 | 5939 | Aggressive |
| 2025-06-02T13:57:34.817 | SIM:ESM5 | Buy | 10 | 5939 | Aggressive |
| 2025-06-02T13:57:33.863 | SIM:ESM5 | Buy | 1 | 5939 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2650
Slippage Sweep
-0.0700
Arrival Price
5,939.1250
Average Total
5,938.8600
Destination Price
5,938.6250
Sweep to Fill
5,938.7900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:57:01.166 | SIM:ESM5 | Sell | 3 | 5938.5 | Aggressive |
| 2025-06-02T13:57:00.159 | SIM:ESM5 | Sell | 8 | 5938.75 | Aggressive |
| 2025-06-02T13:56:53.148 | SIM:ESM5 | Sell | 7 | 5939 | Aggressive |
| 2025-06-02T13:56:53.148 | SIM:ESM5 | Sell | 6 | 5939 | Aggressive |
| 2025-06-02T13:56:57.149 | SIM:ESM5 | Sell | 4 | 5939 | Aggressive |
| 2025-06-02T13:56:56.168 | SIM:ESM5 | Sell | 5 | 5939 | Aggressive |
| 2025-06-02T13:56:52.112 | SIM:ESM5 | Sell | 1 | 5939 | Aggressive |
| 2025-06-02T13:57:03.525 | SIM:ESM5 | Sell | 3 | 5938.5 | Aggressive |
| 2025-06-02T13:57:02.273 | SIM:ESM5 | Sell | 4 | 5938.5 | Aggressive |
| 2025-06-02T13:56:58.366 | SIM:ESM5 | Sell | 1 | 5939 | Passive |
| 2025-06-02T13:56:58.366 | SIM:ESM5 | Sell | 3 | 5939 | Passive |
| 2025-06-02T13:56:58.366 | SIM:ESM5 | Sell | 2 | 5939 | Passive |
| 2025-06-02T13:56:58.366 | SIM:ESM5 | Sell | 2 | 5939 | Passive |
| 2025-06-02T13:56:51.112 | SIM:ESM5 | Sell | 1 | 5939 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.1350
Arrival Price
5,939.1250
Average Total
5,939.1900
Destination Price
5,939.1250
Sweep to Fill
5,939.3250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:56:46.069 | SIM:ESM5 | Buy | 6 | 5939.25 | Aggressive |
| 2025-06-02T13:56:50.452 | SIM:ESM5 | Buy | 3 | 5939.25 | Aggressive |
| 2025-06-02T13:56:50.452 | SIM:ESM5 | Buy | 3 | 5939 | Aggressive |
| 2025-06-02T13:56:50.452 | SIM:ESM5 | Buy | 2 | 5939 | Aggressive |
| 2025-06-02T13:56:50.452 | SIM:ESM5 | Buy | 5 | 5939 | Passive |
| 2025-06-02T13:56:50.452 | SIM:ESM5 | Buy | 2 | 5939 | Passive |
| 2025-06-02T13:56:50.452 | SIM:ESM5 | Buy | 2 | 5939 | Passive |
| 2025-06-02T13:56:47.112 | SIM:ESM5 | Buy | 20 | 5939.25 | Aggressive |
| 2025-06-02T13:56:43.038 | SIM:ESM5 | Buy | 2 | 5939.5 | Aggressive |
| 2025-06-02T13:56:42.071 | SIM:ESM5 | Buy | 4 | 5939.25 | Aggressive |
| 2025-06-02T13:56:41.067 | SIM:ESM5 | Buy | 1 | 5939.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2550
Slippage Sweep
-0.4000
Arrival Price
5,939.6250
Average Total
5,939.8800
Destination Price
5,940.1250
Sweep to Fill
5,939.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:56:10.677 | SIM:ESM5 | Sell | 6 | 5940 | Aggressive |
| 2025-06-02T13:56:10.328 | SIM:ESM5 | Sell | 32 | 5940 | Aggressive |
| 2025-06-02T13:56:08.325 | SIM:ESM5 | Sell | 11 | 5939.5 | Aggressive |
| 2025-06-02T13:56:07.658 | SIM:ESM5 | Sell | 1 | 5939.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6350
Slippage Sweep
0.5100
Arrival Price
5,938.1250
Average Total
5,938.7600
Destination Price
5,939.6250
Sweep to Fill
5,938.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:56:06.974 | SIM:ESM5 | Buy | 1 | 5939.5 | Passive |
| 2025-06-02T13:56:06.974 | SIM:ESM5 | Buy | 1 | 5939.5 | Passive |
| 2025-06-02T13:56:06.973 | SIM:ESM5 | Buy | 1 | 5939.5 | Passive |
| 2025-06-02T13:56:06.973 | SIM:ESM5 | Buy | 1 | 5939.5 | Passive |
| 2025-06-02T13:56:06.973 | SIM:ESM5 | Buy | 1 | 5939.5 | Passive |
| 2025-06-02T13:56:06.452 | SIM:ESM5 | Buy | 2 | 5939.75 | Aggressive |
| 2025-06-02T13:56:04.441 | SIM:ESM5 | Buy | 6 | 5939 | Aggressive |
| 2025-06-02T13:56:03.467 | SIM:ESM5 | Buy | 4 | 5939 | Aggressive |
| 2025-06-02T13:56:03.467 | SIM:ESM5 | Buy | 8 | 5939 | Aggressive |
| 2025-06-02T13:55:54.449 | SIM:ESM5 | Buy | 7 | 5938.25 | Aggressive |
| 2025-06-02T13:55:57.352 | SIM:ESM5 | Buy | 5 | 5938.75 | Aggressive |
| 2025-06-02T13:55:55.332 | SIM:ESM5 | Buy | 1 | 5938.5 | Aggressive |
| 2025-06-02T13:55:54.449 | SIM:ESM5 | Buy | 1 | 5938.25 | Aggressive |
| 2025-06-02T13:55:52.344 | SIM:ESM5 | Buy | 10 | 5938.25 | Aggressive |
| 2025-06-02T13:55:51.829 | SIM:ESM5 | Buy | 1 | 5938.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2700
Arrival Price
5,936.3750
Average Total
5,936.5000
Destination Price
5,936.6250
Sweep to Fill
5,936.2300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:55:21.112 | SIM:ESM5 | Sell | 25 | 5936.75 | Aggressive |
| 2025-06-02T13:55:18.112 | SIM:ESM5 | Sell | 13 | 5936.25 | Aggressive |
| 2025-06-02T13:55:15.015 | SIM:ESM5 | Sell | 11 | 5936.25 | Aggressive |
| 2025-06-02T13:55:14.112 | SIM:ESM5 | Sell | 1 | 5936.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0550
Slippage Sweep
-0.1800
Arrival Price
5,936.6250
Average Total
5,936.5700
Destination Price
5,936.3750
Sweep to Fill
5,936.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:55:13.76 | SIM:ESM5 | Buy | 5 | 5936.75 | Aggressive |
| 2025-06-02T13:55:13.76 | SIM:ESM5 | Buy | 34 | 5936.5 | Aggressive |
| 2025-06-02T13:55:12.758 | SIM:ESM5 | Buy | 9 | 5936.75 | Aggressive |
| 2025-06-02T13:55:12.758 | SIM:ESM5 | Buy | 1 | 5936.5 | Aggressive |
| 2025-06-02T13:55:12.758 | SIM:ESM5 | Buy | 1 | 5936.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1500
Arrival Price
5,936.8750
Average Total
5,936.7500
Destination Price
5,936.8750
Sweep to Fill
5,936.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:54:41.443 | SIM:ESM5 | Sell | 12 | 5936.75 | Aggressive |
| 2025-06-02T13:54:38.565 | SIM:ESM5 | Sell | 14 | 5936.75 | Aggressive |
| 2025-06-02T13:54:36.357 | SIM:ESM5 | Sell | 2 | 5936.75 | Aggressive |
| 2025-06-02T13:54:35.384 | SIM:ESM5 | Sell | 1 | 5936.75 | Aggressive |
| 2025-06-02T13:54:33.471 | SIM:ESM5 | Sell | 9 | 5936.75 | Aggressive |
| 2025-06-02T13:54:32.373 | SIM:ESM5 | Sell | 1 | 5936.75 | Aggressive |
| 2025-06-02T13:54:38.565 | SIM:ESM5 | Sell | 10 | 5936.75 | Aggressive |
| 2025-06-02T13:54:31.316 | SIM:ESM5 | Sell | 1 | 5936.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1900
Slippage Sweep
-0.0300
Arrival Price
5,936.6250
Average Total
5,936.8150
Destination Price
5,936.8750
Sweep to Fill
5,936.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:54:30.72 | SIM:ESM5 | Buy | 13 | 5937 | Aggressive |
| 2025-06-02T13:54:20.714 | SIM:ESM5 | Buy | 5 | 5936.75 | Aggressive |
| 2025-06-02T13:54:19.656 | SIM:ESM5 | Buy | 2 | 5936.75 | Aggressive |
| 2025-06-02T13:54:18.808 | SIM:ESM5 | Buy | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:54:17.735 | SIM:ESM5 | Buy | 1 | 5936.75 | Aggressive |
| 2025-06-02T13:54:16.612 | SIM:ESM5 | Buy | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:54:22.908 | SIM:ESM5 | Buy | 15 | 5936.75 | Aggressive |
| 2025-06-02T13:54:17.735 | SIM:ESM5 | Buy | 4 | 5936.75 | Aggressive |
| 2025-06-02T13:54:16.612 | SIM:ESM5 | Buy | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:54:15.606 | SIM:ESM5 | Buy | 1 | 5936.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2750
Slippage Sweep
0.0450
Arrival Price
5,937.3750
Average Total
5,937.1000
Destination Price
5,937.1250
Sweep to Fill
5,937.1450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:53:45.119 | SIM:ESM5 | Sell | 3 | 5937 | Aggressive |
| 2025-06-02T13:53:38.917 | SIM:ESM5 | Sell | 6 | 5937.25 | Aggressive |
| 2025-06-02T13:53:38.917 | SIM:ESM5 | Sell | 2 | 5937.25 | Aggressive |
| 2025-06-02T13:53:40.875 | SIM:ESM5 | Sell | 4 | 5937.25 | Aggressive |
| 2025-06-02T13:53:40.875 | SIM:ESM5 | Sell | 10 | 5937.25 | Aggressive |
| 2025-06-02T13:53:37.125 | SIM:ESM5 | Sell | 5 | 5937 | Aggressive |
| 2025-06-02T13:53:36.303 | SIM:ESM5 | Sell | 3 | 5937 | Aggressive |
| 2025-06-02T13:53:36.303 | SIM:ESM5 | Sell | 1 | 5937.25 | Aggressive |
| 2025-06-02T13:53:34.87 | SIM:ESM5 | Sell | 5 | 5937 | Aggressive |
| 2025-06-02T13:53:34.87 | SIM:ESM5 | Sell | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:53:34.87 | SIM:ESM5 | Sell | 3 | 5937 | Aggressive |
| 2025-06-02T13:53:34.87 | SIM:ESM5 | Sell | 2 | 5937 | Passive |
| 2025-06-02T13:53:32.812 | SIM:ESM5 | Sell | 2 | 5937 | Aggressive |
| 2025-06-02T13:53:31.747 | SIM:ESM5 | Sell | 1 | 5937 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1600
Slippage Sweep
-0.0250
Arrival Price
5,937.3750
Average Total
5,937.5350
Destination Price
5,937.3750
Sweep to Fill
5,937.5600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:53:30.009 | SIM:ESM5 | Buy | 18 | 5937.5 | Aggressive |
| 2025-06-02T13:53:27.995 | SIM:ESM5 | Buy | 1 | 5937.5 | Passive |
| 2025-06-02T13:53:27.995 | SIM:ESM5 | Buy | 5 | 5937.5 | Passive |
| 2025-06-02T13:53:27.995 | SIM:ESM5 | Buy | 5 | 5937.5 | Passive |
| 2025-06-02T13:53:27.995 | SIM:ESM5 | Buy | 5 | 5937.5 | Passive |
| 2025-06-02T13:53:27.995 | SIM:ESM5 | Buy | 5 | 5937.5 | Passive |
| 2025-06-02T13:53:22.831 | SIM:ESM5 | Buy | 7 | 5937.75 | Aggressive |
| 2025-06-02T13:53:21.964 | SIM:ESM5 | Buy | 3 | 5937.5 | Aggressive |
| 2025-06-02T13:53:21.778 | SIM:ESM5 | Buy | 1 | 5937.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0900
Slippage Sweep
-0.2150
Arrival Price
5,936.6250
Average Total
5,936.7150
Destination Price
5,936.8750
Sweep to Fill
5,936.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:52:50.519 | SIM:ESM5 | Sell | 30 | 5936.75 | Aggressive |
| 2025-06-02T13:52:49.852 | SIM:ESM5 | Sell | 13 | 5936.75 | Aggressive |
| 2025-06-02T13:52:48.521 | SIM:ESM5 | Sell | 4 | 5936.5 | Aggressive |
| 2025-06-02T13:52:48.521 | SIM:ESM5 | Sell | 2 | 5936.5 | Aggressive |
| 2025-06-02T13:52:47.631 | SIM:ESM5 | Sell | 1 | 5936.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.2700
Arrival Price
5,936.8750
Average Total
5,936.7550
Destination Price
5,936.6250
Sweep to Fill
5,937.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:52:47.168 | SIM:ESM5 | Buy | 7 | 5936.75 | Passive |
| 2025-06-02T13:52:47.168 | SIM:ESM5 | Buy | 11 | 5936.75 | Aggressive |
| 2025-06-02T13:52:47.168 | SIM:ESM5 | Buy | 31 | 5936.75 | Aggressive |
| 2025-06-02T13:52:46.175 | SIM:ESM5 | Buy | 1 | 5937 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0650
Arrival Price
5,937.1250
Average Total
5,937.0000
Destination Price
5,937.3750
Sweep to Fill
5,936.9350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:52:15.862 | SIM:ESM5 | Sell | 29 | 5937 | Aggressive |
| 2025-06-02T13:52:09.429 | SIM:ESM5 | Sell | 9 | 5937 | Aggressive |
| 2025-06-02T13:52:08.814 | SIM:ESM5 | Sell | 11 | 5937 | Aggressive |
| 2025-06-02T13:52:07.481 | SIM:ESM5 | Sell | 1 | 5937 | Aggressive |