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
0.0400
Slippage Sweep
-0.0850
Arrival Price
5,937.3750
Average Total
5,937.4150
Destination Price
5,937.1250
Sweep to Fill
5,937.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:52:05.363 | SIM:ESM5 | Buy | 2 | 5937.5 | Aggressive |
| 2025-06-02T13:52:07.177 | SIM:ESM5 | Buy | 17 | 5937.25 | Aggressive |
| 2025-06-02T13:52:01.135 | SIM:ESM5 | Buy | 11 | 5937.5 | Aggressive |
| 2025-06-02T13:51:59.169 | SIM:ESM5 | Buy | 7 | 5937.5 | Aggressive |
| 2025-06-02T13:51:59.169 | SIM:ESM5 | Buy | 1 | 5937.5 | Aggressive |
| 2025-06-02T13:52:00.113 | SIM:ESM5 | Buy | 10 | 5937.5 | Aggressive |
| 2025-06-02T13:52:00.113 | SIM:ESM5 | Buy | 1 | 5937.5 | Aggressive |
| 2025-06-02T13:51:58.072 | 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
-0.1800
Slippage Sweep
-0.3950
Arrival Price
5,936.3750
Average Total
5,936.5550
Destination Price
5,936.8750
Sweep to Fill
5,936.1600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:51:26.774 | SIM:ESM5 | Sell | 12 | 5936.75 | Aggressive |
| 2025-06-02T13:51:25.73 | SIM:ESM5 | Sell | 35 | 5936.5 | Aggressive |
| 2025-06-02T13:51:26.774 | SIM:ESM5 | Sell | 1 | 5936.75 | Aggressive |
| 2025-06-02T13:51:25.063 | SIM:ESM5 | Sell | 2 | 5936.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2800
Arrival Price
5,936.6250
Average Total
5,936.5000
Destination Price
5,936.3750
Sweep to Fill
5,936.7800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:51:23.306 | SIM:ESM5 | Buy | 7 | 5936.5 | Aggressive |
| 2025-06-02T13:51:24.352 | SIM:ESM5 | Buy | 31 | 5936.5 | Aggressive |
| 2025-06-02T13:51:22.436 | SIM:ESM5 | Buy | 8 | 5936.5 | Aggressive |
| 2025-06-02T13:51:21.314 | SIM:ESM5 | Buy | 3 | 5936.5 | Aggressive |
| 2025-06-02T13:51:20.996 | SIM:ESM5 | Buy | 1 | 5936.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0400
Slippage Sweep
-0.1650
Arrival Price
5,935.3750
Average Total
5,935.4150
Destination Price
5,935.6250
Sweep to Fill
5,935.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:50:50.109 | SIM:ESM5 | Sell | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:50:50.109 | SIM:ESM5 | Sell | 33 | 5935.5 | Aggressive |
| 2025-06-02T13:50:47.201 | SIM:ESM5 | Sell | 10 | 5935.25 | Aggressive |
| 2025-06-02T13:50:49.099 | SIM:ESM5 | Sell | 4 | 5935.25 | Aggressive |
| 2025-06-02T13:50:46.073 | SIM:ESM5 | Sell | 1 | 5935.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2500
Slippage Sweep
-0.3750
Arrival Price
5,935.8750
Average Total
5,935.6250
Destination Price
5,935.3750
Sweep to Fill
5,936.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:50:45.824 | SIM:ESM5 | Buy | 11 | 5935.75 | Aggressive |
| 2025-06-02T13:50:45.824 | SIM:ESM5 | Buy | 23 | 5935.5 | Aggressive |
| 2025-06-02T13:50:45.562 | SIM:ESM5 | Buy | 7 | 5935.75 | Aggressive |
| 2025-06-02T13:50:45.562 | SIM:ESM5 | Buy | 1 | 5935.5 | Aggressive |
| 2025-06-02T13:50:45.561 | SIM:ESM5 | Buy | 1 | 5935.5 | Passive |
| 2025-06-02T13:50:43.813 | SIM:ESM5 | Buy | 3 | 5935.75 | Aggressive |
| 2025-06-02T13:50:42.793 | SIM:ESM5 | Buy | 4 | 5935.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8450
Slippage Sweep
0.7200
Arrival Price
5,935.6250
Average Total
5,934.7800
Destination Price
5,934.1250
Sweep to Fill
5,935.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:50:08.44 | SIM:ESM5 | Sell | 7 | 5934 | Aggressive |
| 2025-06-02T13:50:12.519 | SIM:ESM5 | Sell | 3 | 5934 | Aggressive |
| 2025-06-02T13:49:59.353 | SIM:ESM5 | Sell | 1 | 5935.5 | Passive |
| 2025-06-02T13:50:05.714 | SIM:ESM5 | Sell | 2 | 5934.5 | Passive |
| 2025-06-02T13:50:05.714 | SIM:ESM5 | Sell | 2 | 5934.5 | Passive |
| 2025-06-02T13:50:05.714 | SIM:ESM5 | Sell | 2 | 5934.5 | Passive |
| 2025-06-02T13:50:05.714 | SIM:ESM5 | Sell | 2 | 5934.5 | Passive |
| 2025-06-02T13:50:05.714 | SIM:ESM5 | Sell | 1 | 5934.5 | Passive |
| 2025-06-02T13:50:05.713 | SIM:ESM5 | Sell | 1 | 5934.5 | Passive |
| 2025-06-02T13:50:05.713 | SIM:ESM5 | Sell | 1 | 5934.5 | Passive |
| 2025-06-02T13:50:05.713 | SIM:ESM5 | Sell | 1 | 5934.5 | Passive |
| 2025-06-02T13:50:05.513 | SIM:ESM5 | Sell | 4 | 5934.25 | Aggressive |
| 2025-06-02T13:50:01.384 | SIM:ESM5 | Sell | 8 | 5935 | Aggressive |
| 2025-06-02T13:49:58.433 | SIM:ESM5 | Sell | 3 | 5935.5 | Aggressive |
| 2025-06-02T13:49:58.433 | SIM:ESM5 | Sell | 2 | 5935.5 | Aggressive |
| 2025-06-02T13:49:58.069 | SIM:ESM5 | Sell | 10 | 5935.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.4350
Arrival Price
5,936.1250
Average Total
5,935.9600
Destination Price
5,935.6250
Sweep to Fill
5,936.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:49:56.044 | SIM:ESM5 | Buy | 36 | 5936 | Aggressive |
| 2025-06-02T13:49:56.044 | SIM:ESM5 | Buy | 11 | 5935.75 | Aggressive |
| 2025-06-02T13:49:55.119 | SIM:ESM5 | Buy | 1 | 5936.25 | Aggressive |
| 2025-06-02T13:49:54.135 | SIM:ESM5 | Buy | 2 | 5936.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0150
Slippage Sweep
-0.1400
Arrival Price
5,935.8750
Average Total
5,935.8900
Destination Price
5,936.1250
Sweep to Fill
5,935.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:49:21.046 | SIM:ESM5 | Sell | 10 | 5935.75 | Aggressive |
| 2025-06-02T13:49:22.638 | SIM:ESM5 | Sell | 9 | 5936 | Aggressive |
| 2025-06-02T13:49:22.638 | SIM:ESM5 | Sell | 12 | 5936 | Aggressive |
| 2025-06-02T13:49:22.474 | SIM:ESM5 | Sell | 8 | 5935.75 | Aggressive |
| 2025-06-02T13:49:22.474 | SIM:ESM5 | Sell | 4 | 5935.75 | Aggressive |
| 2025-06-02T13:49:22.474 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:49:22.474 | SIM:ESM5 | Sell | 2 | 5936 | Passive |
| 2025-06-02T13:49:22.474 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
| 2025-06-02T13:49:22.474 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
| 2025-06-02T13:49:18.766 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0550
Slippage Sweep
-0.2050
Arrival Price
5,936.1250
Average Total
5,936.1800
Destination Price
5,935.8750
Sweep to Fill
5,936.3850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:49:18.371 | SIM:ESM5 | Buy | 14 | 5936 | Aggressive |
| 2025-06-02T13:49:14.331 | SIM:ESM5 | Buy | 14 | 5936.25 | Aggressive |
| 2025-06-02T13:49:13.688 | SIM:ESM5 | Buy | 13 | 5936.25 | Aggressive |
| 2025-06-02T13:49:12.379 | SIM:ESM5 | Buy | 2 | 5936.25 | Aggressive |
| 2025-06-02T13:49:13.379 | SIM:ESM5 | Buy | 3 | 5936.25 | Aggressive |
| 2025-06-02T13:49:11.42 | SIM:ESM5 | Buy | 3 | 5936.25 | Aggressive |
| 2025-06-02T13:49:09.422 | SIM:ESM5 | Buy | 1 | 5936.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0350
Arrival Price
5,936.3750
Average Total
5,936.2500
Destination Price
5,936.3750
Sweep to Fill
5,936.2150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:48:38.779 | SIM:ESM5 | Sell | 5 | 5936.25 | Aggressive |
| 2025-06-02T13:48:37.768 | SIM:ESM5 | Sell | 15 | 5936.25 | Aggressive |
| 2025-06-02T13:48:36.112 | SIM:ESM5 | Sell | 9 | 5936.25 | Aggressive |
| 2025-06-02T13:48:34.912 | SIM:ESM5 | Sell | 15 | 5936.25 | Aggressive |
| 2025-06-02T13:48:33.812 | SIM:ESM5 | Sell | 5 | 5936.25 | Aggressive |
| 2025-06-02T13:48:32.812 | 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
-0.0100
Slippage Sweep
-0.2100
Arrival Price
5,936.6250
Average Total
5,936.6150
Destination Price
5,936.3750
Sweep to Fill
5,936.8250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:48:29.672 | SIM:ESM5 | Buy | 2 | 5936.75 | Aggressive |
| 2025-06-02T13:48:30.749 | SIM:ESM5 | Buy | 18 | 5936.5 | Aggressive |
| 2025-06-02T13:48:30.749 | SIM:ESM5 | Buy | 9 | 5936.5 | Aggressive |
| 2025-06-02T13:48:27.65 | SIM:ESM5 | Buy | 10 | 5936.75 | Aggressive |
| 2025-06-02T13:48:25.725 | SIM:ESM5 | Buy | 6 | 5936.75 | Aggressive |
| 2025-06-02T13:48:24.631 | SIM:ESM5 | Buy | 4 | 5936.75 | Aggressive |
| 2025-06-02T13:48:23.631 | 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
0.1850
Slippage Sweep
0.0100
Arrival Price
5,936.3750
Average Total
5,936.1900
Destination Price
5,936.1250
Sweep to Fill
5,936.2000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:47:52.312 | SIM:ESM5 | Sell | 3 | 5936 | Aggressive |
| 2025-06-02T13:47:53.344 | SIM:ESM5 | Sell | 3 | 5936 | Aggressive |
| 2025-06-02T13:47:51.26 | SIM:ESM5 | Sell | 4 | 5936 | Aggressive |
| 2025-06-02T13:47:50.255 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:47:45.167 | SIM:ESM5 | Sell | 23 | 5936.25 | Aggressive |
| 2025-06-02T13:47:44.212 | SIM:ESM5 | Sell | 5 | 5936.25 | Aggressive |
| 2025-06-02T13:47:43.242 | SIM:ESM5 | Sell | 3 | 5936.25 | Aggressive |
| 2025-06-02T13:47:43.242 | SIM:ESM5 | Sell | 2 | 5936.25 | Aggressive |
| 2025-06-02T13:47:42.213 | SIM:ESM5 | Sell | 4 | 5936.25 | Aggressive |
| 2025-06-02T13:47:41.131 | 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
-0.1050
Slippage Sweep
-0.2700
Arrival Price
5,936.6250
Average Total
5,936.5200
Destination Price
5,936.3750
Sweep to Fill
5,936.7900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:47:39.765 | SIM:ESM5 | Buy | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:47:40.666 | SIM:ESM5 | Buy | 4 | 5936.5 | Passive |
| 2025-06-02T13:47:40.666 | SIM:ESM5 | Buy | 7 | 5936.5 | Aggressive |
| 2025-06-02T13:47:40.666 | SIM:ESM5 | Buy | 35 | 5936.5 | Aggressive |
| 2025-06-02T13:47:38.664 | 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
-0.0650
Slippage Sweep
-0.2900
Arrival Price
5,935.8750
Average Total
5,935.9400
Destination Price
5,936.1250
Sweep to Fill
5,935.6500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:47:04.812 | SIM:ESM5 | Sell | 10 | 5936 | Aggressive |
| 2025-06-02T13:47:02.812 | SIM:ESM5 | Sell | 1 | 5935.75 | Aggressive |
| 2025-06-02T13:47:02.812 | SIM:ESM5 | Sell | 18 | 5936 | Aggressive |
| 2025-06-02T13:47:00.657 | SIM:ESM5 | Sell | 10 | 5936 | Aggressive |
| 2025-06-02T13:46:59.749 | SIM:ESM5 | Sell | 10 | 5935.75 | Aggressive |
| 2025-06-02T13:46:58.649 | SIM:ESM5 | Sell | 1 | 5935.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.0650
Arrival Price
5,936.1250
Average Total
5,936.1900
Destination Price
5,935.8750
Sweep to Fill
5,936.2550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:46:58.14 | SIM:ESM5 | Buy | 10 | 5936 | Aggressive |
| 2025-06-02T13:46:58.14 | SIM:ESM5 | Buy | 1 | 5936 | Aggressive |
| 2025-06-02T13:46:58.14 | SIM:ESM5 | Buy | 5 | 5936 | Aggressive |
| 2025-06-02T13:46:55.834 | SIM:ESM5 | Buy | 3 | 5936.25 | Aggressive |
| 2025-06-02T13:46:54.753 | SIM:ESM5 | Buy | 7 | 5936.25 | Aggressive |
| 2025-06-02T13:46:50.592 | SIM:ESM5 | Buy | 4 | 5936.5 | Aggressive |
| 2025-06-02T13:46:47.914 | SIM:ESM5 | Buy | 8 | 5936.25 | Aggressive |
| 2025-06-02T13:46:46.877 | SIM:ESM5 | Buy | 11 | 5936.25 | Aggressive |
| 2025-06-02T13:46:45.512 | SIM:ESM5 | Buy | 1 | 5936.25 | Aggressive |