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
-0.1050
Slippage Sweep
-0.3650
Arrival Price
5,670.1250
Average Total
5,670.2300
Destination Price
5,670.6250
Sweep to Fill
5,669.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:28:28.243 | SIM:ESM5 | Sell | 1 | 5670 | Aggressive |
| 2025-03-18T15:28:28.956 | SIM:ESM5 | Sell | 5 | 5670 | Aggressive |
| 2025-03-18T15:28:30.983 | SIM:ESM5 | Sell | 4 | 5670 | Aggressive |
| 2025-03-18T15:28:33.024 | SIM:ESM5 | Sell | 12 | 5670 | Aggressive |
| 2025-03-18T15:28:33.024 | SIM:ESM5 | Sell | 5 | 5670 | Aggressive |
| 2025-03-18T15:28:34.086 | SIM:ESM5 | Sell | 9 | 5670.5 | Aggressive |
| 2025-03-18T15:28:34.086 | SIM:ESM5 | Sell | 14 | 5670.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0900
Slippage Sweep
-0.2350
Arrival Price
5,669.8750
Average Total
5,669.7850
Destination Price
5,669.6250
Sweep to Fill
5,670.0200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:28:21.195 | SIM:ESM5 | Buy | 1 | 5670 | Aggressive |
| 2025-03-18T15:28:21.679 | SIM:ESM5 | Buy | 6 | 5670 | Aggressive |
| 2025-03-18T15:28:23.545 | SIM:ESM5 | Buy | 39 | 5669.75 | Aggressive |
| 2025-03-18T15:28:23.545 | SIM:ESM5 | Buy | 2 | 5669.75 | Passive |
| 2025-03-18T15:28:23.81 | SIM:ESM5 | Buy | 2 | 5669.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0150
Slippage Sweep
-0.2150
Arrival Price
5,675.8750
Average Total
5,675.8900
Destination Price
5,676.1250
Sweep to Fill
5,675.6750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:10:29.397 | SIM:ESM5 | Sell | 1 | 5675.75 | Aggressive |
| 2025-03-18T15:10:30.335 | SIM:ESM5 | Sell | 12 | 5675.75 | Aggressive |
| 2025-03-18T15:10:31.218 | SIM:ESM5 | Sell | 9 | 5675.75 | Aggressive |
| 2025-03-18T15:10:33.62 | SIM:ESM5 | Sell | 15 | 5676 | Passive |
| 2025-03-18T15:10:33.62 | SIM:ESM5 | Sell | 1 | 5676 | Passive |
| 2025-03-18T15:10:33.62 | SIM:ESM5 | Sell | 10 | 5676 | Passive |
| 2025-03-18T15:10:34.397 | SIM:ESM5 | Sell | 2 | 5676 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1150
Slippage Sweep
-0.0100
Arrival Price
5,676.1250
Average Total
5,676.2400
Destination Price
5,676.1250
Sweep to Fill
5,676.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:10:17.909 | SIM:ESM5 | Buy | 1 | 5676 | Passive |
| 2025-03-18T15:10:17.909 | SIM:ESM5 | Buy | 1 | 5676 | Aggressive |
| 2025-03-18T15:10:18.641 | SIM:ESM5 | Buy | 6 | 5676.25 | Aggressive |
| 2025-03-18T15:10:19.447 | SIM:ESM5 | Buy | 3 | 5676.25 | Aggressive |
| 2025-03-18T15:10:20.397 | SIM:ESM5 | Buy | 5 | 5676.25 | Aggressive |
| 2025-03-18T15:10:21.483 | SIM:ESM5 | Buy | 10 | 5676.25 | Aggressive |
| 2025-03-18T15:10:22.785 | SIM:ESM5 | Buy | 11 | 5676.25 | Aggressive |
| 2025-03-18T15:10:22.785 | SIM:ESM5 | Buy | 10 | 5676.25 | Aggressive |
| 2025-03-18T15:10:23.501 | SIM:ESM5 | Buy | 3 | 5676.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3400
Slippage Sweep
0.1050
Arrival Price
5,673.8750
Average Total
5,673.5350
Destination Price
5,673.6250
Sweep to Fill
5,673.6400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-03-18T15:07:03.197 | SIM:ESM5 | Sell | 1 | 5673.75 | Aggressive |
| 2025-03-18T15:07:04.197 | SIM:ESM5 | Sell | 6 | 5673.75 | Aggressive |
| 2025-03-18T15:07:05.197 | SIM:ESM5 | Sell | 16 | 5673.5 | Aggressive |
| 2025-03-18T15:07:05.198 | SIM:ESM5 | Sell | 16 | 5673.5 | Aggressive |
| 2025-03-18T15:07:07.276 | SIM:ESM5 | Sell | 11 | 5673.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.4250
Arrival Price
6,139.1250
Average Total
6,138.9900
Destination Price
6,138.6250
Sweep to Fill
6,139.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T02:11:06.68 | SIM:ESH5 | Buy | 1 | 6139.25 | Passive |
| 2025-02-14T02:11:15.088 | SIM:ESH5 | Buy | 1 | 6139 | Passive |
| 2025-02-14T02:11:15.673 | SIM:ESH5 | Buy | 2 | 6139 | Aggressive |
| 2025-02-14T02:11:18.443 | SIM:ESH5 | Buy | 1 | 6139 | Passive |
| 2025-02-14T02:11:18.443 | SIM:ESH5 | Buy | 1 | 6139 | Passive |
| 2025-02-14T02:11:18.443 | SIM:ESH5 | Buy | 2 | 6139 | Passive |
| 2025-02-14T02:11:18.443 | SIM:ESH5 | Buy | 2 | 6139 | Passive |
| 2025-02-14T02:11:27.986 | SIM:ESH5 | Buy | 4 | 6139 | Aggressive |
| 2025-02-14T02:11:29.077 | SIM:ESH5 | Buy | 2 | 6138.75 | Aggressive |
| 2025-02-14T02:11:29.077 | SIM:ESH5 | Buy | 7 | 6139 | Aggressive |
| 2025-02-14T02:11:29.723 | SIM:ESH5 | Buy | 19 | 6139 | Aggressive |
| 2025-02-14T02:11:29.723 | SIM:ESH5 | Buy | 7 | 6139 | Aggressive |
| 2025-02-14T02:11:31.697 | SIM:ESH5 | Buy | 1 | 6138.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.4100
Arrival Price
6,139.3750
Average Total
6,139.2100
Destination Price
6,139.0000
Sweep to Fill
6,139.6200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T02:08:55.807 | SIM:ESH5 | Buy | 1 | 6139 | Passive |
| 2025-02-14T02:08:55.807 | SIM:ESH5 | Buy | 1 | 6139 | Passive |
| 2025-02-14T02:08:55.885 | SIM:ESH5 | Buy | 20 | 6139.25 | Aggressive |
| 2025-02-14T02:08:56.185 | SIM:ESH5 | Buy | 3 | 6139 | Passive |
| 2025-02-14T02:08:56.185 | SIM:ESH5 | Buy | 1 | 6139 | Passive |
| 2025-02-14T02:08:56.933 | SIM:ESH5 | Buy | 22 | 6139.25 | Aggressive |
| 2025-02-14T02:08:56.934 | SIM:ESH5 | Buy | 2 | 6139 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4650
Slippage Sweep
-0.0350
Arrival Price
6,141.0000
Average Total
6,140.5350
Destination Price
6,140.5000
Sweep to Fill
6,140.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T02:01:10.118 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:10.118 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:10.118 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:10.118 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:10.118 | SIM:ESH5 | Sell | 2 | 6140.75 | Passive |
| 2025-02-14T02:01:10.118 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:10.78 | SIM:ESH5 | Sell | 14 | 6140.5 | Aggressive |
| 2025-02-14T02:01:11.181 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:11.181 | SIM:ESH5 | Sell | 1 | 6140.75 | Passive |
| 2025-02-14T02:01:11.223 | SIM:ESH5 | Sell | 13 | 6140.5 | Aggressive |
| 2025-02-14T02:01:11.83 | SIM:ESH5 | Sell | 1 | 6140.5 | Aggressive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Aggressive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:11.831 | SIM:ESH5 | Sell | 1 | 6140.5 | Passive |
| 2025-02-14T02:01:15.298 | SIM:ESH5 | Sell | 2 | 6140.25 | Aggressive |
| 2025-02-14T02:01:15.684 | SIM:ESH5 | Sell | 2 | 6140.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1600
Slippage Sweep
-0.4750
Arrival Price
6,141.6250
Average Total
6,141.4650
Destination Price
6,141.1250
Sweep to Fill
6,141.9400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T02:00:37.253 | SIM:ESH5 | Buy | 1 | 6141.5 | Aggressive |
| 2025-02-14T02:00:41.086 | SIM:ESH5 | Buy | 1 | 6141.5 | Aggressive |
| 2025-02-14T02:00:41.086 | SIM:ESH5 | Buy | 1 | 6141.5 | Aggressive |
| 2025-02-14T02:00:44.88 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-14T02:00:44.88 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-14T02:00:44.88 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-14T02:00:44.88 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-14T02:00:44.88 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-14T02:00:45.692 | SIM:ESH5 | Buy | 1 | 6141.25 | Aggressive |
| 2025-02-14T02:00:45.692 | SIM:ESH5 | Buy | 18 | 6141.5 | Aggressive |
| 2025-02-14T02:00:45.692 | SIM:ESH5 | Buy | 7 | 6141.75 | Aggressive |
| 2025-02-14T02:00:51.087 | SIM:ESH5 | Buy | 8 | 6141.25 | Aggressive |
| 2025-02-14T02:00:51.087 | SIM:ESH5 | Buy | 6 | 6141.5 | Aggressive |
| 2025-02-14T02:00:52.409 | SIM:ESH5 | Buy | 2 | 6141.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5350
Slippage Sweep
0.1700
Arrival Price
6,142.6250
Average Total
6,143.1600
Destination Price
6,143.1250
Sweep to Fill
6,142.9900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T01:59:28.584 | SIM:ESH5 | Buy | 1 | 6142.75 | Passive |
| 2025-02-14T01:59:33.31 | SIM:ESH5 | Buy | 1 | 6142.75 | Passive |
| 2025-02-14T01:59:33.31 | SIM:ESH5 | Buy | 1 | 6142.75 | Passive |
| 2025-02-14T01:59:34.438 | SIM:ESH5 | Buy | 1 | 6143 | Aggressive |
| 2025-02-14T01:59:34.438 | SIM:ESH5 | Buy | 2 | 6143.25 | Aggressive |
| 2025-02-14T01:59:38.48 | SIM:ESH5 | Buy | 14 | 6143.25 | Aggressive |
| 2025-02-14T01:59:39.6 | SIM:ESH5 | Buy | 13 | 6143.25 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 2 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.18 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:40.182 | SIM:ESH5 | Buy | 6 | 6143.25 | Aggressive |
| 2025-02-14T01:59:45.58 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
| 2025-02-14T01:59:45.58 | SIM:ESH5 | Buy | 1 | 6143 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5800
Slippage Sweep
0.2550
Arrival Price
6,145.8750
Average Total
6,146.4550
Destination Price
6,146.3750
Sweep to Fill
6,146.2000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T01:15:21.606 | SIM:ESH5 | Buy | 1 | 6146 | Aggressive |
| 2025-02-14T01:15:36.616 | SIM:ESH5 | Buy | 1 | 6145.75 | Passive |
| 2025-02-14T01:15:37.515 | SIM:ESH5 | Buy | 1 | 6146 | Aggressive |
| 2025-02-14T01:15:50.782 | SIM:ESH5 | Buy | 1 | 6146 | Aggressive |
| 2025-02-14T01:15:53.695 | SIM:ESH5 | Buy | 1 | 6146 | Passive |
| 2025-02-14T01:15:53.695 | SIM:ESH5 | Buy | 1 | 6146 | Passive |
| 2025-02-14T01:15:53.695 | SIM:ESH5 | Buy | 1 | 6146 | Passive |
| 2025-02-14T01:15:53.695 | SIM:ESH5 | Buy | 1 | 6146 | Passive |
| 2025-02-14T01:16:01.396 | SIM:ESH5 | Buy | 3 | 6146.25 | Aggressive |
| 2025-02-14T01:16:01.396 | SIM:ESH5 | Buy | 1 | 6146.25 | Aggressive |
| 2025-02-14T01:16:01.396 | SIM:ESH5 | Buy | 1 | 6146.25 | Aggressive |
| 2025-02-14T01:16:03.002 | SIM:ESH5 | Buy | 7 | 6146.5 | Aggressive |
| 2025-02-14T01:16:03.002 | SIM:ESH5 | Buy | 7 | 6146.75 | Aggressive |
| 2025-02-14T01:16:05.011 | SIM:ESH5 | Buy | 6 | 6146.5 | Aggressive |
| 2025-02-14T01:16:05.294 | SIM:ESH5 | Buy | 8 | 6146.5 | Aggressive |
| 2025-02-14T01:16:05.294 | SIM:ESH5 | Buy | 6 | 6146.75 | Aggressive |
| 2025-02-14T01:16:05.294 | SIM:ESH5 | Buy | 3 | 6146.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5650
Slippage Sweep
0.2150
Arrival Price
6,145.3750
Average Total
6,144.8100
Destination Price
6,144.8750
Sweep to Fill
6,145.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T01:10:01.883 | SIM:ESH5 | Sell | 2 | 6145.25 | Passive |
| 2025-02-14T01:10:16.818 | SIM:ESH5 | Sell | 2 | 6145 | Aggressive |
| 2025-02-14T01:10:16.818 | SIM:ESH5 | Sell | 1 | 6144.75 | Aggressive |
| 2025-02-14T01:10:16.818 | SIM:ESH5 | Sell | 1 | 6145 | Passive |
| 2025-02-14T01:10:34.68 | SIM:ESH5 | Sell | 5 | 6144.75 | Aggressive |
| 2025-02-14T01:10:37.28 | SIM:ESH5 | Sell | 5 | 6145 | Aggressive |
| 2025-02-14T01:10:37.28 | SIM:ESH5 | Sell | 1 | 6144.75 | Aggressive |
| 2025-02-14T01:10:45.584 | SIM:ESH5 | Sell | 1 | 6144.75 | Passive |
| 2025-02-14T01:10:45.584 | SIM:ESH5 | Sell | 1 | 6144.75 | Passive |
| 2025-02-14T01:10:45.584 | SIM:ESH5 | Sell | 2 | 6144.75 | Passive |
| 2025-02-14T01:10:45.584 | SIM:ESH5 | Sell | 2 | 6144.75 | Passive |
| 2025-02-14T01:10:45.584 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 2 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 1 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
| 2025-02-14T01:10:45.585 | SIM:ESH5 | Sell | 3 | 6144.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3050
Slippage Sweep
-0.5900
Arrival Price
6,144.1250
Average Total
6,143.8200
Destination Price
6,143.6250
Sweep to Fill
6,144.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T01:06:15.384 | SIM:ESH5 | Buy | 1 | 6144 | Aggressive |
| 2025-02-14T01:06:23.88 | SIM:ESH5 | Buy | 1 | 6144 | Aggressive |
| 2025-02-14T01:06:31.681 | SIM:ESH5 | Buy | 1 | 6143.75 | Passive |
| 2025-02-14T01:06:31.8 | SIM:ESH5 | Buy | 1 | 6143.75 | Aggressive |
| 2025-02-14T01:06:35.008 | SIM:ESH5 | Buy | 7 | 6143.75 | Aggressive |
| 2025-02-14T01:06:35.008 | SIM:ESH5 | Buy | 9 | 6144 | Aggressive |
| 2025-02-14T01:06:36.18 | SIM:ESH5 | Buy | 11 | 6143.75 | Aggressive |
| 2025-02-14T01:06:36.18 | SIM:ESH5 | Buy | 1 | 6143.75 | Passive |
| 2025-02-14T01:06:37.101 | SIM:ESH5 | Buy | 10 | 6143.75 | Aggressive |
| 2025-02-14T01:06:37.101 | SIM:ESH5 | Buy | 3 | 6144 | Aggressive |
| 2025-02-14T01:06:38.481 | SIM:ESH5 | Buy | 5 | 6143.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.4950
Arrival Price
6,143.8750
Average Total
6,143.6900
Destination Price
6,143.5000
Sweep to Fill
6,144.1850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T01:05:12.68 | SIM:ESH5 | Buy | 1 | 6143.75 | Passive |
| 2025-02-14T01:05:16.654 | SIM:ESH5 | Buy | 2 | 6143.75 | Aggressive |
| 2025-02-14T01:05:19.539 | SIM:ESH5 | Buy | 1 | 6143.75 | Aggressive |
| 2025-02-14T01:05:23.388 | SIM:ESH5 | Buy | 1 | 6143.75 | Aggressive |
| 2025-02-14T01:05:25.519 | SIM:ESH5 | Buy | 5 | 6143.5 | Aggressive |
| 2025-02-14T01:05:25.52 | SIM:ESH5 | Buy | 15 | 6143.75 | Aggressive |
| 2025-02-14T01:05:26.498 | SIM:ESH5 | Buy | 7 | 6143.5 | Aggressive |
| 2025-02-14T01:05:26.498 | SIM:ESH5 | Buy | 10 | 6143.75 | Aggressive |
| 2025-02-14T01:05:26.498 | SIM:ESH5 | Buy | 8 | 6143.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1050
Slippage Sweep
-0.0600
Arrival Price
6,142.8750
Average Total
6,142.7700
Destination Price
6,143.3750
Sweep to Fill
6,142.7100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-14T01:01:55.38 | SIM:ESH5 | Sell | 4 | 6142.5 | Aggressive |
| 2025-02-14T01:02:03.983 | SIM:ESH5 | Sell | 1 | 6142.5 | Aggressive |
| 2025-02-14T01:02:03.983 | SIM:ESH5 | Sell | 1 | 6142.5 | Aggressive |
| 2025-02-14T01:02:05.48 | SIM:ESH5 | Sell | 17 | 6142.25 | Aggressive |
| 2025-02-14T01:02:06.28 | SIM:ESH5 | Sell | 1 | 6142.5 | Passive |
| 2025-02-14T01:02:06.28 | SIM:ESH5 | Sell | 1 | 6142.5 | Aggressive |
| 2025-02-14T01:03:21.416 | SIM:ESH5 | Sell | 4 | 6143 | Aggressive |
| 2025-02-14T01:03:22.933 | SIM:ESH5 | Sell | 1 | 6143.25 | Passive |
| 2025-02-14T01:03:22.934 | SIM:ESH5 | Sell | 1 | 6143.25 | Passive |
| 2025-02-14T01:03:22.934 | SIM:ESH5 | Sell | 4 | 6143.25 | Passive |
| 2025-02-14T01:03:22.934 | SIM:ESH5 | Sell | 4 | 6143.25 | Passive |
| 2025-02-14T01:03:22.934 | SIM:ESH5 | Sell | 1 | 6143.25 | Passive |
| 2025-02-14T01:03:23.58 | SIM:ESH5 | Sell | 5 | 6143.25 | Aggressive |
| 2025-02-14T01:03:23.58 | SIM:ESH5 | Sell | 5 | 6143.25 | Aggressive |