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
0.0450
Slippage Sweep
-0.0800
Arrival Price
5,936.1250
Average Total
5,936.0800
Destination Price
5,936.3750
Sweep to Fill
5,936.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:46:14.155 | SIM:ESM5 | Sell | 3 | 5936 | Aggressive |
| 2025-06-02T13:46:11.704 | SIM:ESM5 | Sell | 2 | 5935.75 | Aggressive |
| 2025-06-02T13:46:11.703 | SIM:ESM5 | Sell | 1 | 5936 | Aggressive |
| 2025-06-02T13:46:11.703 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
| 2025-06-02T13:46:11.703 | SIM:ESM5 | Sell | 4 | 5935.75 | Aggressive |
| 2025-06-02T13:46:15.168 | SIM:ESM5 | Sell | 7 | 5936 | Aggressive |
| 2025-06-02T13:46:15.168 | SIM:ESM5 | Sell | 21 | 5936.25 | Aggressive |
| 2025-06-02T13:46:08.144 | SIM:ESM5 | Sell | 10 | 5936 | Aggressive |
| 2025-06-02T13:46:07.143 | SIM:ESM5 | Sell | 1 | 5936.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0200
Slippage Sweep
-0.3050
Arrival Price
5,936.3750
Average Total
5,936.3950
Destination Price
5,936.1250
Sweep to Fill
5,936.7000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:46:06.812 | SIM:ESM5 | Buy | 16 | 5936.5 | Aggressive |
| 2025-06-02T13:46:06.812 | SIM:ESM5 | Buy | 21 | 5936.25 | Aggressive |
| 2025-06-02T13:46:05.968 | SIM:ESM5 | Buy | 6 | 5936.5 | Aggressive |
| 2025-06-02T13:46:04.849 | SIM:ESM5 | Buy | 5 | 5936.5 | Aggressive |
| 2025-06-02T13:46:03.8 | SIM:ESM5 | Buy | 2 | 5936.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0200
Slippage Sweep
-0.2000
Arrival Price
5,935.3750
Average Total
5,935.3550
Destination Price
5,935.6250
Sweep to Fill
5,935.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:45:33.034 | SIM:ESM5 | Sell | 5 | 5935.5 | Aggressive |
| 2025-06-02T13:45:28.058 | SIM:ESM5 | Sell | 2 | 5935.5 | Aggressive |
| 2025-06-02T13:45:32.349 | SIM:ESM5 | Sell | 14 | 5935.5 | Aggressive |
| 2025-06-02T13:45:29.03 | SIM:ESM5 | Sell | 16 | 5935.25 | Aggressive |
| 2025-06-02T13:45:27.034 | SIM:ESM5 | Sell | 12 | 5935.25 | Aggressive |
| 2025-06-02T13:45:25.963 | 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
-0.0350
Slippage Sweep
-0.3950
Arrival Price
5,935.6250
Average Total
5,935.5900
Destination Price
5,935.3750
Sweep to Fill
5,935.9850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:45:25.081 | SIM:ESM5 | Buy | 10 | 5935.75 | Aggressive |
| 2025-06-02T13:45:23.737 | SIM:ESM5 | Buy | 1 | 5935.75 | Aggressive |
| 2025-06-02T13:45:25.584 | SIM:ESM5 | Buy | 32 | 5935.5 | Aggressive |
| 2025-06-02T13:45:23.575 | SIM:ESM5 | Buy | 7 | 5935.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8950
Slippage Sweep
0.7300
Arrival Price
5,937.3750
Average Total
5,936.4800
Destination Price
5,935.8750
Sweep to Fill
5,937.2100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:44:48.267 | SIM:ESM5 | Sell | 14 | 5936.25 | Aggressive |
| 2025-06-02T13:44:45.396 | SIM:ESM5 | Sell | 6 | 5936.5 | Aggressive |
| 2025-06-02T13:44:45.396 | SIM:ESM5 | Sell | 2 | 5936.75 | Aggressive |
| 2025-06-02T13:44:45.395 | SIM:ESM5 | Sell | 2 | 5936.75 | Passive |
| 2025-06-02T13:44:45.395 | SIM:ESM5 | Sell | 1 | 5936.75 | Passive |
| 2025-06-02T13:44:45.395 | SIM:ESM5 | Sell | 1 | 5936.75 | Passive |
| 2025-06-02T13:44:45.395 | SIM:ESM5 | Sell | 1 | 5936.75 | Passive |
| 2025-06-02T13:44:52.287 | SIM:ESM5 | Sell | 9 | 5935.75 | Aggressive |
| 2025-06-02T13:44:51.372 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:44:45.395 | SIM:ESM5 | Sell | 1 | 5936.75 | Passive |
| 2025-06-02T13:44:40.254 | SIM:ESM5 | Sell | 10 | 5937.25 | Aggressive |
| 2025-06-02T13:44:39.904 | SIM:ESM5 | Sell | 1 | 5937.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0700
Arrival Price
5,937.3750
Average Total
5,937.5000
Destination Price
5,937.3750
Sweep to Fill
5,937.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:44:37.933 | SIM:ESM5 | Buy | 15 | 5937.5 | Aggressive |
| 2025-06-02T13:44:38.93 | SIM:ESM5 | Buy | 7 | 5937.5 | Aggressive |
| 2025-06-02T13:44:38.93 | SIM:ESM5 | Buy | 1 | 5937.5 | Aggressive |
| 2025-06-02T13:44:36.919 | SIM:ESM5 | Buy | 5 | 5937.5 | Aggressive |
| 2025-06-02T13:44:30.92 | SIM:ESM5 | Buy | 9 | 5937.5 | Aggressive |
| 2025-06-02T13:44:29.912 | SIM:ESM5 | Buy | 2 | 5937.5 | Aggressive |
| 2025-06-02T13:44:29.912 | SIM:ESM5 | Buy | 10 | 5937.5 | Aggressive |
| 2025-06-02T13:44:28.87 | 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
5,936.1250
Average Total
5,936.2150
Destination Price
5,936.3750
Sweep to Fill
5,936.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:43:58.403 | SIM:ESM5 | Sell | 6 | 5936 | Aggressive |
| 2025-06-02T13:43:58.403 | SIM:ESM5 | Sell | 43 | 5936.25 | Aggressive |
| 2025-06-02T13:43:57.412 | SIM:ESM5 | Sell | 1 | 5936 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3750
Slippage Sweep
0.2500
Arrival Price
5,935.3750
Average Total
5,935.7500
Destination Price
5,936.3750
Sweep to Fill
5,935.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 1 | 5935.5 | Passive |
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 3 | 5935.5 | Passive |
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 2 | 5935.5 | Passive |
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 2 | 5935.5 | Passive |
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 3 | 5935.5 | Passive |
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 3 | 5935.5 | Passive |
| 2025-06-02T13:43:51.292 | SIM:ESM5 | Buy | 3 | 5935.5 | Passive |
| 2025-06-02T13:43:46.114 | SIM:ESM5 | Buy | 10 | 5935.5 | Aggressive |
| 2025-06-02T13:43:57.025 | SIM:ESM5 | Buy | 3 | 5936.5 | Aggressive |
| 2025-06-02T13:43:56.844 | SIM:ESM5 | Buy | 4 | 5936 | Aggressive |
| 2025-06-02T13:43:56.844 | SIM:ESM5 | Buy | 4 | 5936 | Aggressive |
| 2025-06-02T13:43:56.844 | SIM:ESM5 | Buy | 3 | 5936 | Aggressive |
| 2025-06-02T13:43:56.844 | SIM:ESM5 | Buy | 4 | 5936 | Aggressive |
| 2025-06-02T13:43:56.844 | SIM:ESM5 | Buy | 4 | 5936 | Aggressive |
| 2025-06-02T13:43:44.913 | SIM:ESM5 | Buy | 1 | 5935.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.2450
Arrival Price
5,935.1250
Average Total
5,935.2450
Destination Price
5,935.3750
Sweep to Fill
5,935.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:43:13.981 | SIM:ESM5 | Sell | 14 | 5935.25 | Aggressive |
| 2025-06-02T13:43:13.049 | SIM:ESM5 | Sell | 23 | 5935.25 | Aggressive |
| 2025-06-02T13:43:13.049 | SIM:ESM5 | Sell | 12 | 5935.25 | Aggressive |
| 2025-06-02T13:43:12.013 | SIM:ESM5 | Sell | 1 | 5935 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0500
Slippage Sweep
-0.1750
Arrival Price
5,935.1250
Average Total
5,935.0750
Destination Price
5,934.8750
Sweep to Fill
5,935.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:43:11.729 | SIM:ESM5 | Buy | 10 | 5935 | Aggressive |
| 2025-06-02T13:43:10.758 | SIM:ESM5 | Buy | 5 | 5935.25 | Aggressive |
| 2025-06-02T13:43:10.758 | SIM:ESM5 | Buy | 16 | 5935 | Aggressive |
| 2025-06-02T13:43:08.815 | SIM:ESM5 | Buy | 3 | 5935 | Passive |
| 2025-06-02T13:43:08.815 | SIM:ESM5 | Buy | 5 | 5935 | Aggressive |
| 2025-06-02T13:43:07.25 | SIM:ESM5 | Buy | 10 | 5935.25 | Aggressive |
| 2025-06-02T13:43:06.055 | SIM:ESM5 | Buy | 1 | 5935 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0200
Slippage Sweep
-0.1450
Arrival Price
5,934.6250
Average Total
5,934.6450
Destination Price
5,934.8750
Sweep to Fill
5,934.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:42:34.25 | SIM:ESM5 | Sell | 10 | 5934.5 | Aggressive |
| 2025-06-02T13:42:35.442 | SIM:ESM5 | Sell | 29 | 5934.75 | Aggressive |
| 2025-06-02T13:42:33.312 | SIM:ESM5 | Sell | 10 | 5934.5 | Aggressive |
| 2025-06-02T13:42:32.212 | SIM:ESM5 | Sell | 1 | 5934.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.3050
Arrival Price
5,934.8750
Average Total
5,934.8450
Destination Price
5,934.6250
Sweep to Fill
5,935.1500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:42:31.854 | SIM:ESM5 | Buy | 19 | 5935 | Aggressive |
| 2025-06-02T13:42:31.854 | SIM:ESM5 | Buy | 31 | 5934.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0200
Slippage Sweep
-0.1450
Arrival Price
5,935.1250
Average Total
5,935.1450
Destination Price
5,935.3750
Sweep to Fill
5,935.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:42:00.673 | SIM:ESM5 | Sell | 13 | 5935.25 | Aggressive |
| 2025-06-02T13:42:00.673 | SIM:ESM5 | Sell | 16 | 5935.25 | Aggressive |
| 2025-06-02T13:41:58.734 | SIM:ESM5 | Sell | 3 | 5935 | Aggressive |
| 2025-06-02T13:41:58.734 | SIM:ESM5 | Sell | 13 | 5935 | Aggressive |
| 2025-06-02T13:41:57.665 | SIM:ESM5 | Sell | 4 | 5935 | Aggressive |
| 2025-06-02T13:41:56.651 | SIM:ESM5 | Sell | 1 | 5935 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4350
Slippage Sweep
0.2500
Arrival Price
5,934.3750
Average Total
5,934.8100
Destination Price
5,935.1250
Sweep to Fill
5,934.5600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:41:54.873 | SIM:ESM5 | Buy | 1 | 5935.25 | Aggressive |
| 2025-06-02T13:41:52.15 | SIM:ESM5 | Buy | 3 | 5934.75 | Aggressive |
| 2025-06-02T13:41:52.15 | SIM:ESM5 | Buy | 4 | 5934.75 | Aggressive |
| 2025-06-02T13:41:52.149 | SIM:ESM5 | Buy | 1 | 5934.75 | Aggressive |
| 2025-06-02T13:41:52.149 | SIM:ESM5 | Buy | 3 | 5934.75 | Aggressive |
| 2025-06-02T13:41:56.382 | SIM:ESM5 | Buy | 5 | 5935.25 | Aggressive |
| 2025-06-02T13:41:49.84 | SIM:ESM5 | Buy | 8 | 5934.75 | Aggressive |
| 2025-06-02T13:41:49.21 | SIM:ESM5 | Buy | 8 | 5934.75 | Aggressive |
| 2025-06-02T13:41:46.686 | SIM:ESM5 | Buy | 5 | 5934.75 | Aggressive |
| 2025-06-02T13:41:43.829 | SIM:ESM5 | Buy | 6 | 5934.75 | Aggressive |
| 2025-06-02T13:41:42.814 | SIM:ESM5 | Buy | 4 | 5934.75 | Aggressive |
| 2025-06-02T13:41:41.829 | SIM:ESM5 | Buy | 2 | 5934.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0400
Slippage Sweep
-0.1900
Arrival Price
5,933.1250
Average Total
5,933.1650
Destination Price
5,933.3750
Sweep to Fill
5,932.9750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:41:11.122 | SIM:ESM5 | Sell | 16 | 5933 | Aggressive |
| 2025-06-02T13:41:11.121 | SIM:ESM5 | Sell | 33 | 5933.25 | Aggressive |
| 2025-06-02T13:41:10.112 | SIM:ESM5 | Sell | 1 | 5933 | Aggressive |