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
0.1750
Slippage Sweep
-0.1450
Arrival Price
5,670.6250
Average Total
5,670.8000
Destination Price
5,670.8750
Sweep to Fill
5,670.9450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:48:13.195 | SIM:ESM5 | Buy | 1 | 5670.75 | Aggressive |
| 2025-03-18T15:48:14.906 | SIM:ESM5 | Buy | 2 | 5670.75 | Aggressive |
| 2025-03-18T15:48:18.508 | SIM:ESM5 | Buy | 2 | 5670.75 | Aggressive |
| 2025-03-18T15:48:18.508 | SIM:ESM5 | Buy | 2 | 5670.75 | Aggressive |
| 2025-03-18T15:48:18.508 | SIM:ESM5 | Buy | 3 | 5670.75 | Aggressive |
| 2025-03-18T15:48:18.508 | SIM:ESM5 | Buy | 3 | 5670.75 | Aggressive |
| 2025-03-18T15:48:19.531 | SIM:ESM5 | Buy | 1 | 5670.75 | Aggressive |
| 2025-03-18T15:48:21.433 | SIM:ESM5 | Buy | 10 | 5671 | Aggressive |
| 2025-03-18T15:48:24.586 | SIM:ESM5 | Buy | 5 | 5670.75 | Passive |
| 2025-03-18T15:48:24.586 | SIM:ESM5 | Buy | 5 | 5670.75 | Passive |
| 2025-03-18T15:48:24.586 | SIM:ESM5 | Buy | 9 | 5670.75 | Passive |
| 2025-03-18T15:48:24.587 | SIM:ESM5 | Buy | 7 | 5670.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2000
Slippage Sweep
-0.1300
Arrival Price
5,671.6250
Average Total
5,671.8250
Destination Price
5,671.8750
Sweep to Fill
5,671.9550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:40:34.615 | SIM:ESM5 | Buy | 15 | 5672 | Aggressive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 1 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 1 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 1 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 1 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 2 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 2 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 1 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 3 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 3 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 1 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 4 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 4 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 4 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 4 | 5671.75 | Passive |
| 2025-03-18T15:40:35.375 | SIM:ESM5 | Buy | 2 | 5671.75 | Passive |
| 2025-03-18T15:40:35.382 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0950
Slippage Sweep
-0.2500
Arrival Price
5,671.3750
Average Total
5,671.2800
Destination Price
5,671.1250
Sweep to Fill
5,671.0300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:39:13.985 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:39:13.985 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:39:13.985 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:39:13.985 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:39:13.985 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:39:13.985 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:39:15.001 | SIM:ESM5 | Sell | 16 | 5671.25 | Aggressive |
| 2025-03-18T15:39:34.017 | SIM:ESM5 | Sell | 1 | 5671.25 | Aggressive |
| 2025-03-18T15:39:34.017 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:39:38.034 | SIM:ESM5 | Sell | 1 | 5671.25 | Aggressive |
| 2025-03-18T15:39:40.676 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:39:40.676 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:39:40.676 | SIM:ESM5 | Sell | 3 | 5671.25 | Passive |
| 2025-03-18T15:39:42.079 | SIM:ESM5 | Sell | 3 | 5671.25 | Passive |
| 2025-03-18T15:39:42.079 | SIM:ESM5 | Sell | 3 | 5671.25 | Passive |
| 2025-03-18T15:39:42.079 | SIM:ESM5 | Sell | 5 | 5671.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0250
Slippage Sweep
-0.3800
Arrival Price
5,671.1250
Average Total
5,671.1000
Destination Price
5,671.1250
Sweep to Fill
5,671.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:38:24.499 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
| 2025-03-18T15:38:24.499 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
| 2025-03-18T15:38:26.034 | SIM:ESM5 | Buy | 2 | 5671 | Passive |
| 2025-03-18T15:38:26.034 | SIM:ESM5 | Buy | 2 | 5671 | Passive |
| 2025-03-18T15:38:29.491 | SIM:ESM5 | Buy | 6 | 5671 | Aggressive |
| 2025-03-18T15:38:29.492 | SIM:ESM5 | Buy | 1 | 5671 | Aggressive |
| 2025-03-18T15:38:29.492 | SIM:ESM5 | Buy | 2 | 5671 | Aggressive |
| 2025-03-18T15:38:30.668 | SIM:ESM5 | Buy | 3 | 5671 | Aggressive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 4 | 5671.5 | Aggressive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 1 | 5671.25 | Passive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 2 | 5671.25 | Passive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 3 | 5671.25 | Passive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 1 | 5671.25 | Passive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 2 | 5671.25 | Passive |
| 2025-03-18T15:38:42.481 | SIM:ESM5 | Buy | 3 | 5671.25 | Passive |
| 2025-03-18T15:38:47.145 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
| 2025-03-18T15:38:47.145 | SIM:ESM5 | Buy | 2 | 5671 | Passive |
| 2025-03-18T15:38:47.145 | SIM:ESM5 | Buy | 3 | 5671 | Passive |
| 2025-03-18T15:38:47.146 | SIM:ESM5 | Buy | 3 | 5671 | Passive |
| 2025-03-18T15:38:47.146 | SIM:ESM5 | Buy | 1 | 5671 | Passive |
| 2025-03-18T15:38:47.146 | SIM:ESM5 | Buy | 4 | 5671 | Passive |
| 2025-03-18T15:38:47.146 | SIM:ESM5 | Buy | 2 | 5671 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1800
Slippage Sweep
-0.2900
Arrival Price
5,671.6250
Average Total
5,671.4450
Destination Price
5,671.6250
Sweep to Fill
5,671.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:37:20.532 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:37:21.67 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:37:22.961 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:37:22.961 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:37:25.041 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:37:25.041 | SIM:ESM5 | Sell | 2 | 5671.25 | Aggressive |
| 2025-03-18T15:37:29.089 | SIM:ESM5 | Sell | 20 | 5671.25 | Aggressive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 2 | 5671.5 | Passive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 3 | 5671.5 | Passive |
| 2025-03-18T15:37:29.118 | SIM:ESM5 | Sell | 3 | 5671.5 | Passive |
| 2025-03-18T15:37:38.326 | SIM:ESM5 | Sell | 1 | 5671.75 | Passive |
| 2025-03-18T15:37:38.327 | SIM:ESM5 | Sell | 2 | 5671.75 | Passive |
| 2025-03-18T15:37:38.327 | SIM:ESM5 | Sell | 2 | 5671.75 | Passive |
| 2025-03-18T15:37:38.327 | SIM:ESM5 | Sell | 2 | 5671.75 | Passive |
| 2025-03-18T15:37:38.327 | SIM:ESM5 | Sell | 3 | 5671.75 | Passive |
| 2025-03-18T15:37:38.327 | SIM:ESM5 | Sell | 1 | 5671.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.5000
Arrival Price
5,671.6250
Average Total
5,671.5500
Destination Price
5,671.3750
Sweep to Fill
5,672.0500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:36:48.45 | SIM:ESM5 | Buy | 2 | 5671.5 | Passive |
| 2025-03-18T15:36:48.45 | SIM:ESM5 | Buy | 4 | 5671.5 | Passive |
| 2025-03-18T15:36:48.45 | SIM:ESM5 | Buy | 5 | 5671.5 | Passive |
| 2025-03-18T15:36:48.45 | SIM:ESM5 | Buy | 4 | 5671.5 | Passive |
| 2025-03-18T15:36:48.45 | SIM:ESM5 | Buy | 3 | 5671.5 | Passive |
| 2025-03-18T15:36:48.951 | SIM:ESM5 | Buy | 17 | 5671.5 | Aggressive |
| 2025-03-18T15:37:02.951 | SIM:ESM5 | Buy | 5 | 5671.5 | Aggressive |
| 2025-03-18T15:37:02.951 | SIM:ESM5 | Buy | 10 | 5671.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3550
Slippage Sweep
-0.0950
Arrival Price
5,671.6250
Average Total
5,671.2700
Destination Price
5,671.3750
Sweep to Fill
5,671.1750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:35:26.582 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:35:28.014 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:35:29.592 | SIM:ESM5 | Sell | 6 | 5671.25 | Aggressive |
| 2025-03-18T15:35:29.592 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:35:29.592 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:35:29.592 | SIM:ESM5 | Sell | 2 | 5671.5 | Passive |
| 2025-03-18T15:35:29.592 | SIM:ESM5 | Sell | 2 | 5671.5 | Passive |
| 2025-03-18T15:35:34.803 | SIM:ESM5 | Sell | 2 | 5671.25 | Aggressive |
| 2025-03-18T15:35:34.803 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:35:34.803 | SIM:ESM5 | Sell | 2 | 5671.25 | Aggressive |
| 2025-03-18T15:35:39.01 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:35:39.01 | SIM:ESM5 | Sell | 11 | 5671 | Aggressive |
| 2025-03-18T15:35:40.819 | SIM:ESM5 | Sell | 3 | 5671.25 | Aggressive |
| 2025-03-18T15:35:41.439 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:35:41.439 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:35:41.439 | SIM:ESM5 | Sell | 2 | 5671.5 | Passive |
| 2025-03-18T15:35:41.439 | SIM:ESM5 | Sell | 2 | 5671.5 | Passive |
| 2025-03-18T15:35:41.439 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:35:46.265 | SIM:ESM5 | Sell | 3 | 5671.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5200
Slippage Sweep
0.0650
Arrival Price
5,671.6250
Average Total
5,671.1050
Destination Price
5,671.1250
Sweep to Fill
5,671.1700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:34:17.715 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:34:19.313 | SIM:ESM5 | Sell | 6 | 5671.25 | Aggressive |
| 2025-03-18T15:34:20.072 | SIM:ESM5 | Sell | 19 | 5671 | Aggressive |
| 2025-03-18T15:34:21.517 | SIM:ESM5 | Sell | 8 | 5671 | Passive |
| 2025-03-18T15:34:21.537 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:21.537 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:21.538 | SIM:ESM5 | Sell | 3 | 5671 | Aggressive |
| 2025-03-18T15:34:35.148 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:34:35.149 | 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
0.1050
Slippage Sweep
-0.2300
Arrival Price
5,671.8750
Average Total
5,671.9800
Destination Price
5,671.6250
Sweep to Fill
5,672.2100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:33:32.395 | SIM:ESM5 | Buy | 1 | 5672 | Aggressive |
| 2025-03-18T15:33:33.233 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:35.134 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:35.134 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:37.348 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:38.614 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:39.203 | SIM:ESM5 | Buy | 9 | 5672 | Aggressive |
| 2025-03-18T15:33:40.512 | SIM:ESM5 | Buy | 3 | 5672 | Aggressive |
| 2025-03-18T15:33:41.105 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:43.133 | SIM:ESM5 | Buy | 4 | 5672 | Aggressive |
| 2025-03-18T15:33:44.474 | SIM:ESM5 | Buy | 1 | 5672 | Aggressive |
| 2025-03-18T15:33:45.563 | SIM:ESM5 | Buy | 1 | 5672 | Aggressive |
| 2025-03-18T15:33:46.403 | SIM:ESM5 | Buy | 4 | 5672 | Aggressive |
| 2025-03-18T15:33:49.565 | SIM:ESM5 | Buy | 2 | 5672 | Aggressive |
| 2025-03-18T15:33:50.483 | SIM:ESM5 | Buy | 1 | 5672 | Aggressive |
| 2025-03-18T15:33:52.228 | SIM:ESM5 | Buy | 4 | 5672 | Aggressive |
| 2025-03-18T15:33:52.228 | SIM:ESM5 | Buy | 4 | 5672 | Aggressive |
| 2025-03-18T15:33:54.425 | SIM:ESM5 | Buy | 4 | 5671.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3350
Slippage Sweep
-0.1350
Arrival Price
5,671.6250
Average Total
5,671.2900
Destination Price
5,671.3750
Sweep to Fill
5,671.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:32:32.327 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:32:32.58 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:32:34.708 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:32:36.983 | SIM:ESM5 | Sell | 3 | 5671.25 | Aggressive |
| 2025-03-18T15:32:38.779 | SIM:ESM5 | Sell | 19 | 5671.25 | Aggressive |
| 2025-03-18T15:32:45.425 | SIM:ESM5 | Sell | 1 | 5671.5 | Passive |
| 2025-03-18T15:32:45.425 | SIM:ESM5 | Sell | 2 | 5671.5 | Aggressive |
| 2025-03-18T15:32:45.425 | SIM:ESM5 | Sell | 2 | 5671.25 | Aggressive |
| 2025-03-18T15:32:45.425 | SIM:ESM5 | Sell | 2 | 5671.5 | Passive |
| 2025-03-18T15:32:45.426 | SIM:ESM5 | Sell | 2 | 5671.5 | Aggressive |
| 2025-03-18T15:32:45.426 | SIM:ESM5 | Sell | 5 | 5671.25 | Aggressive |
| 2025-03-18T15:32:45.426 | SIM:ESM5 | Sell | 4 | 5671.25 | Aggressive |
| 2025-03-18T15:32:45.426 | SIM:ESM5 | Sell | 1 | 5671.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3250
Slippage Sweep
-0.1150
Arrival Price
5,671.6250
Average Total
5,671.9500
Destination Price
5,671.8750
Sweep to Fill
5,672.0650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:31:58.011 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
| 2025-03-18T15:31:58.725 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
| 2025-03-18T15:32:00.382 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
| 2025-03-18T15:32:00.733 | SIM:ESM5 | Buy | 5 | 5671.75 | Aggressive |
| 2025-03-18T15:32:01.824 | SIM:ESM5 | Buy | 2 | 5671.75 | Aggressive |
| 2025-03-18T15:32:04.781 | SIM:ESM5 | Buy | 21 | 5672 | Aggressive |
| 2025-03-18T15:32:04.781 | SIM:ESM5 | Buy | 6 | 5672 | Passive |
| 2025-03-18T15:32:05.717 | SIM:ESM5 | Buy | 4 | 5672 | Aggressive |
| 2025-03-18T15:32:05.717 | SIM:ESM5 | Buy | 9 | 5672 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0700
Slippage Sweep
-0.4100
Arrival Price
5,671.1250
Average Total
5,671.0550
Destination Price
5,671.1250
Sweep to Fill
5,670.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:30:45.814 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:30:46.629 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:30:50.092 | SIM:ESM5 | Sell | 6 | 5671.25 | Passive |
| 2025-03-18T15:30:50.092 | SIM:ESM5 | Sell | 2 | 5671.25 | Passive |
| 2025-03-18T15:30:50.092 | SIM:ESM5 | Sell | 3 | 5671.25 | Passive |
| 2025-03-18T15:30:52.445 | SIM:ESM5 | Sell | 2 | 5671 | Aggressive |
| 2025-03-18T15:30:52.445 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:30:52.445 | SIM:ESM5 | Sell | 2 | 5671 | Aggressive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671.25 | Aggressive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671.25 | Passive |
| 2025-03-18T15:30:55.025 | SIM:ESM5 | Sell | 1 | 5671.25 | Aggressive |
| 2025-03-18T15:30:57.591 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:31:00.117 | SIM:ESM5 | Sell | 3 | 5671 | Aggressive |
| 2025-03-18T15:31:03.69 | SIM:ESM5 | Sell | 6 | 5670.75 | Aggressive |
| 2025-03-18T15:31:07.096 | SIM:ESM5 | Sell | 4 | 5671 | Aggressive |
| 2025-03-18T15:31:10.642 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:31:12.57 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:31:12.57 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:31:15.135 | SIM:ESM5 | Sell | 3 | 5671 | Aggressive |
| 2025-03-18T15:31:16.039 | SIM:ESM5 | Sell | 2 | 5671 | Aggressive |
| 2025-03-18T15:31:18.618 | SIM:ESM5 | Sell | 3 | 5671 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3050
Slippage Sweep
0.0500
Arrival Price
5,671.3750
Average Total
5,671.6800
Destination Price
5,671.6250
Sweep to Fill
5,671.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:30:21.679 | SIM:ESM5 | Buy | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:30:22.079 | SIM:ESM5 | Buy | 3 | 5671.5 | Aggressive |
| 2025-03-18T15:30:23.125 | SIM:ESM5 | Buy | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:30:24.039 | SIM:ESM5 | Buy | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:30:25.013 | SIM:ESM5 | Buy | 3 | 5671.5 | Aggressive |
| 2025-03-18T15:30:26.284 | SIM:ESM5 | Buy | 5 | 5671.5 | Aggressive |
| 2025-03-18T15:30:27.101 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
| 2025-03-18T15:30:28.015 | SIM:ESM5 | Buy | 3 | 5671.75 | Aggressive |
| 2025-03-18T15:30:30.579 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
| 2025-03-18T15:30:30.579 | SIM:ESM5 | Buy | 2 | 5671.75 | Aggressive |
| 2025-03-18T15:30:31.293 | SIM:ESM5 | Buy | 6 | 5671.75 | Aggressive |
| 2025-03-18T15:30:31.634 | SIM:ESM5 | Buy | 3 | 5671.75 | Aggressive |
| 2025-03-18T15:30:35.836 | SIM:ESM5 | Buy | 2 | 5671.75 | Aggressive |
| 2025-03-18T15:30:35.836 | SIM:ESM5 | Buy | 8 | 5671.75 | Aggressive |
| 2025-03-18T15:30:35.836 | SIM:ESM5 | Buy | 8 | 5671.75 | Aggressive |
| 2025-03-18T15:30:36.821 | SIM:ESM5 | Buy | 2 | 5671.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3600
Slippage Sweep
0.0600
Arrival Price
5,671.6250
Average Total
5,671.2650
Destination Price
5,671.3750
Sweep to Fill
5,671.3250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:29:23.479 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:29:24.483 | SIM:ESM5 | Sell | 2 | 5671.5 | Aggressive |
| 2025-03-18T15:29:24.483 | SIM:ESM5 | Sell | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:29:25.315 | SIM:ESM5 | Sell | 17 | 5671.25 | Aggressive |
| 2025-03-18T15:29:25.315 | SIM:ESM5 | Sell | 1 | 5671 | Aggressive |
| 2025-03-18T15:29:26.323 | SIM:ESM5 | Sell | 25 | 5671.25 | Aggressive |
| 2025-03-18T15:29:26.323 | SIM:ESM5 | Sell | 1 | 5671.25 | Aggressive |
| 2025-03-18T15:29:26.323 | SIM:ESM5 | Sell | 2 | 5671.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0650
Slippage Sweep
-0.3100
Arrival Price
5,671.6250
Average Total
5,671.5600
Destination Price
5,671.3750
Sweep to Fill
5,671.8700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:29:11.885 | SIM:ESM5 | Buy | 1 | 5671.75 | Aggressive |
| 2025-03-18T15:29:12.799 | SIM:ESM5 | Buy | 1 | 5671.5 | Aggressive |
| 2025-03-18T15:29:13.825 | SIM:ESM5 | Buy | 20 | 5671.5 | Aggressive |
| 2025-03-18T15:29:13.825 | SIM:ESM5 | Buy | 11 | 5671.75 | Aggressive |
| 2025-03-18T15:29:13.825 | SIM:ESM5 | Buy | 6 | 5671.5 | Aggressive |
| 2025-03-18T15:29:15.815 | SIM:ESM5 | Buy | 11 | 5671.5 | Aggressive |