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:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1200
Slippage Sweep
-0.2000
Arrival Price
6,141.1250
Average Total
6,141.2450
Destination Price
6,141.3750
Sweep to Fill
6,141.4450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:49:30.346 | SIM:ESH5 | Buy | 1 | 6141 | Passive |
| 2025-02-13T19:49:30.347 | SIM:ESH5 | Buy | 1 | 6141 | Passive |
| 2025-02-13T19:49:30.347 | SIM:ESH5 | Buy | 1 | 6141 | Passive |
| 2025-02-13T19:49:30.347 | SIM:ESH5 | Buy | 1 | 6141 | Passive |
| 2025-02-13T19:49:30.347 | SIM:ESH5 | Buy | 2 | 6141 | Passive |
| 2025-02-13T19:49:35.223 | SIM:ESH5 | Buy | 16 | 6141.25 | Aggressive |
| 2025-02-13T19:49:35.223 | SIM:ESH5 | Buy | 9 | 6141.25 | Passive |
| 2025-02-13T19:49:42.381 | SIM:ESH5 | Buy | 5 | 6141.5 | Aggressive |
| 2025-02-13T19:49:44.98 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:44.98 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:44.981 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:44.981 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:45.78 | SIM:ESH5 | Buy | 2 | 6141.25 | Passive |
| 2025-02-13T19:49:45.781 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.106 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.107 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.107 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.107 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.107 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.107 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
| 2025-02-13T19:49:49.107 | SIM:ESH5 | Buy | 1 | 6141.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2200
Slippage Sweep
-0.0900
Arrival Price
6,138.6250
Average Total
6,138.8450
Destination Price
6,138.8750
Sweep to Fill
6,138.9350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:32:11.98 | SIM:ESH5 | Buy | 19 | 6139 | Aggressive |
| 2025-02-13T19:32:13.087 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.087 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.087 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.087 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.087 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.087 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 2 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 2 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 3 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 3 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 4 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 4 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 4 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 1 | 6138.75 | Passive |
| 2025-02-13T19:32:13.088 | SIM:ESH5 | Buy | 2 | 6138.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2350
Slippage Sweep
-0.3050
Arrival Price
6,136.8750
Average Total
6,137.1100
Destination Price
6,137.1250
Sweep to Fill
6,137.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:25:13.68 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:16.881 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:16.881 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:16.881 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:18.887 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:18.887 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:22.401 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:22.421 | SIM:ESH5 | Buy | 2 | 6137 | Aggressive |
| 2025-02-13T19:25:22.421 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
| 2025-02-13T19:25:23.681 | SIM:ESH5 | Buy | 14 | 6137.25 | Aggressive |
| 2025-02-13T19:25:28.706 | SIM:ESH5 | Buy | 3 | 6137.25 | Aggressive |
| 2025-02-13T19:25:31.08 | SIM:ESH5 | Buy | 5 | 6137.25 | Aggressive |
| 2025-02-13T19:26:15.244 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:15.244 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:15.244 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:15.244 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 2 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:16.595 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:20.138 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:20.138 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:20.138 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:20.138 | SIM:ESH5 | Buy | 1 | 6137 | Passive |
| 2025-02-13T19:26:20.139 | SIM:ESH5 | Buy | 2 | 6137 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3400
Slippage Sweep
-0.0500
Arrival Price
6,137.8750
Average Total
6,137.5350
Destination Price
6,137.6250
Sweep to Fill
6,137.4850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:23:36.08 | SIM:ESH5 | Sell | 1 | 6137.75 | Aggressive |
| 2025-02-13T19:23:36.08 | SIM:ESH5 | Sell | 2 | 6137.75 | Aggressive |
| 2025-02-13T19:23:36.08 | SIM:ESH5 | Sell | 2 | 6137.75 | Aggressive |
| 2025-02-13T19:23:36.08 | SIM:ESH5 | Sell | 2 | 6137.75 | Aggressive |
| 2025-02-13T19:23:40.08 | SIM:ESH5 | Sell | 15 | 6137.5 | Aggressive |
| 2025-02-13T19:23:41.48 | SIM:ESH5 | Sell | 11 | 6137.5 | Aggressive |
| 2025-02-13T19:23:49.084 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.084 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.084 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.084 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.085 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.086 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
| 2025-02-13T19:23:49.086 | SIM:ESH5 | Sell | 1 | 6137.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3700
Slippage Sweep
-0.1200
Arrival Price
6,137.3750
Average Total
6,137.7450
Destination Price
6,137.6250
Sweep to Fill
6,137.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:23:02.515 | SIM:ESH5 | Buy | 1 | 6137.5 | Aggressive |
| 2025-02-13T19:23:05.287 | SIM:ESH5 | Buy | 10 | 6137.75 | Aggressive |
| 2025-02-13T19:23:05.287 | SIM:ESH5 | Buy | 1 | 6137.75 | Aggressive |
| 2025-02-13T19:23:05.287 | SIM:ESH5 | Buy | 3 | 6137.75 | Passive |
| 2025-02-13T19:23:05.68 | SIM:ESH5 | Buy | 11 | 6137.75 | Aggressive |
| 2025-02-13T19:23:06.608 | SIM:ESH5 | Buy | 2 | 6137.75 | Aggressive |
| 2025-02-13T19:23:08.119 | SIM:ESH5 | Buy | 2 | 6137.75 | Aggressive |
| 2025-02-13T19:23:15.18 | SIM:ESH5 | Buy | 4 | 6137.75 | Passive |
| 2025-02-13T19:23:15.18 | SIM:ESH5 | Buy | 4 | 6137.75 | Passive |
| 2025-02-13T19:23:15.181 | SIM:ESH5 | Buy | 2 | 6137.75 | Passive |
| 2025-02-13T19:23:15.181 | SIM:ESH5 | Buy | 2 | 6137.75 | Passive |
| 2025-02-13T19:23:15.181 | SIM:ESH5 | Buy | 5 | 6137.75 | Passive |
| 2025-02-13T19:23:15.181 | SIM:ESH5 | Buy | 3 | 6137.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3000
Slippage Sweep
-0.1950
Arrival Price
6,136.1250
Average Total
6,136.4250
Destination Price
6,136.3750
Sweep to Fill
6,136.6200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:18:57.481 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T19:19:01.129 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T19:19:01.129 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:01.129 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:01.129 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T19:19:04.915 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:05.28 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:07.281 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:07.282 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:07.38 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:07.38 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:07.38 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:19:09.301 | SIM:ESH5 | Buy | 13 | 6136.5 | Aggressive |
| 2025-02-13T19:19:10.816 | SIM:ESH5 | Buy | 2 | 6136.5 | Aggressive |
| 2025-02-13T19:19:17.38 | SIM:ESH5 | Buy | 6 | 6136.5 | Aggressive |
| 2025-02-13T19:19:17.38 | SIM:ESH5 | Buy | 1 | 6136.5 | Aggressive |
| 2025-02-13T19:19:17.38 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T19:19:17.38 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T19:19:17.38 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T19:19:17.38 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T19:19:17.396 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T19:19:17.396 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T19:19:20.618 | SIM:ESH5 | Buy | 4 | 6136.5 | Aggressive |
| 2025-02-13T19:19:22.489 | SIM:ESH5 | Buy | 1 | 6136.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1600
Slippage Sweep
-0.3300
Arrival Price
6,136.1250
Average Total
6,136.2850
Destination Price
6,136.3750
Sweep to Fill
6,136.6150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:16:28.48 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:29.687 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:31.38 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T19:16:32.419 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:34.094 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:34.781 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T19:16:35.98 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:38.696 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T19:16:38.696 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T19:16:38.696 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T19:16:38.696 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T19:16:38.696 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T19:16:43.194 | SIM:ESH5 | Buy | 4 | 6136.25 | Aggressive |
| 2025-02-13T19:16:43.194 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:43.194 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T19:16:43.194 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T19:16:43.194 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T19:16:51.68 | SIM:ESH5 | Buy | 12 | 6136.5 | Aggressive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 3 | 6136.25 | Passive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T19:17:07.681 | SIM:ESH5 | Buy | 5 | 6136.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2650
Slippage Sweep
-0.0850
Arrival Price
6,137.1250
Average Total
6,136.8600
Destination Price
6,136.8750
Sweep to Fill
6,136.7750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:11:53.48 | SIM:ESH5 | Sell | 16 | 6136.75 | Aggressive |
| 2025-02-13T19:11:55.056 | SIM:ESH5 | Sell | 3 | 6136.75 | Aggressive |
| 2025-02-13T19:11:58.603 | SIM:ESH5 | Sell | 5 | 6136.75 | Aggressive |
| 2025-02-13T19:11:58.603 | SIM:ESH5 | Sell | 4 | 6136.75 | Aggressive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 3 | 6137 | Passive |
| 2025-02-13T19:12:00.342 | SIM:ESH5 | Sell | 2 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 3 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 3 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:12:00.343 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2200
Slippage Sweep
-0.2750
Arrival Price
6,137.1250
Average Total
6,137.3450
Destination Price
6,136.8750
Sweep to Fill
6,137.6200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:10:06.68 | SIM:ESH5 | Buy | 1 | 6137.25 | Aggressive |
| 2025-02-13T19:10:09.51 | SIM:ESH5 | Buy | 1 | 6137.25 | Aggressive |
| 2025-02-13T19:10:09.51 | SIM:ESH5 | Buy | 1 | 6137.25 | Aggressive |
| 2025-02-13T19:10:09.51 | SIM:ESH5 | Buy | 1 | 6137.25 | Aggressive |
| 2025-02-13T19:10:11.591 | SIM:ESH5 | Buy | 5 | 6137.25 | Aggressive |
| 2025-02-13T19:10:18.014 | SIM:ESH5 | Buy | 4 | 6137.25 | Aggressive |
| 2025-02-13T19:10:18.014 | SIM:ESH5 | Buy | 2 | 6137.25 | Aggressive |
| 2025-02-13T19:10:20.203 | SIM:ESH5 | Buy | 1 | 6137.25 | Aggressive |
| 2025-02-13T19:10:21.789 | SIM:ESH5 | Buy | 12 | 6137.5 | Aggressive |
| 2025-02-13T19:10:21.789 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:10:26.18 | SIM:ESH5 | Buy | 7 | 6137.5 | Aggressive |
| 2025-02-13T19:10:26.781 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:10:26.781 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:10:32.003 | SIM:ESH5 | Buy | 2 | 6137.25 | Passive |
| 2025-02-13T19:10:32.003 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:10:32.003 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:10:32.003 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:11:05.044 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:11:05.045 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:11:05.045 | SIM:ESH5 | Buy | 2 | 6137.25 | Passive |
| 2025-02-13T19:11:05.045 | SIM:ESH5 | Buy | 2 | 6137.25 | Passive |
| 2025-02-13T19:11:05.045 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.2950
Arrival Price
6,137.2500
Average Total
6,137.3750
Destination Price
6,137.3750
Sweep to Fill
6,137.6700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:08:13.048 | SIM:ESH5 | Buy | 4 | 6137.5 | Aggressive |
| 2025-02-13T19:08:13.048 | SIM:ESH5 | Buy | 4 | 6137.5 | Aggressive |
| 2025-02-13T19:08:14.439 | SIM:ESH5 | Buy | 1 | 6137.5 | Aggressive |
| 2025-02-13T19:08:17.105 | SIM:ESH5 | Buy | 1 | 6137.5 | Aggressive |
| 2025-02-13T19:08:17.105 | SIM:ESH5 | Buy | 2 | 6137.5 | Aggressive |
| 2025-02-13T19:08:17.503 | SIM:ESH5 | Buy | 1 | 6137.5 | Aggressive |
| 2025-02-13T19:08:19.28 | SIM:ESH5 | Buy | 3 | 6137.5 | Aggressive |
| 2025-02-13T19:08:20.615 | SIM:ESH5 | Buy | 1 | 6137.5 | Aggressive |
| 2025-02-13T19:08:21.589 | SIM:ESH5 | Buy | 6 | 6137.5 | Aggressive |
| 2025-02-13T19:08:22.146 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:22.146 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:23.139 | SIM:ESH5 | Buy | 2 | 6137.5 | Aggressive |
| 2025-02-13T19:08:28.607 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:28.607 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:28.607 | SIM:ESH5 | Buy | 2 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 3 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 2 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 3 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 4 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 2 | 6137.25 | Passive |
| 2025-02-13T19:08:28.608 | SIM:ESH5 | Buy | 1 | 6137.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2100
Slippage Sweep
-0.2050
Arrival Price
6,136.6250
Average Total
6,136.8350
Destination Price
6,136.7500
Sweep to Fill
6,137.0400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:06:23.015 | SIM:ESH5 | Buy | 2 | 6136.75 | Aggressive |
| 2025-02-13T19:06:27.307 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:27.521 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:27.521 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:27.522 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:27.522 | SIM:ESH5 | Buy | 2 | 6136.75 | Aggressive |
| 2025-02-13T19:06:28.622 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:31.506 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:45.721 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:45.722 | SIM:ESH5 | Buy | 2 | 6136.75 | Aggressive |
| 2025-02-13T19:06:45.722 | SIM:ESH5 | Buy | 2 | 6136.75 | Passive |
| 2025-02-13T19:06:45.722 | SIM:ESH5 | Buy | 3 | 6136.75 | Aggressive |
| 2025-02-13T19:06:45.723 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:45.723 | SIM:ESH5 | Buy | 1 | 6136.75 | Passive |
| 2025-02-13T19:06:45.723 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T19:06:45.723 | SIM:ESH5 | Buy | 1 | 6136.75 | Passive |
| 2025-02-13T19:06:46.402 | SIM:ESH5 | Buy | 16 | 6137 | Aggressive |
| 2025-02-13T19:06:46.402 | SIM:ESH5 | Buy | 1 | 6136.75 | Passive |
| 2025-02-13T19:06:46.402 | SIM:ESH5 | Buy | 1 | 6136.75 | Passive |
| 2025-02-13T19:06:46.402 | SIM:ESH5 | Buy | 2 | 6136.75 | Passive |
| 2025-02-13T19:06:46.403 | SIM:ESH5 | Buy | 2 | 6136.75 | Passive |
| 2025-02-13T19:06:46.403 | SIM:ESH5 | Buy | 2 | 6136.75 | Passive |
| 2025-02-13T19:06:46.403 | SIM:ESH5 | Buy | 1 | 6136.75 | Passive |
| 2025-02-13T19:06:46.804 | SIM:ESH5 | Buy | 2 | 6136.75 | Aggressive |
| 2025-02-13T19:06:46.804 | SIM:ESH5 | Buy | 1 | 6137 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1800
Slippage Sweep
-0.5950
Arrival Price
6,136.6250
Average Total
6,136.8050
Destination Price
6,137.1250
Sweep to Fill
6,136.2100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 3 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 3 | 6136.75 | Passive |
| 2025-02-13T19:05:12.682 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T19:05:13.581 | SIM:ESH5 | Sell | 20 | 6136.75 | Aggressive |
| 2025-02-13T19:05:13.595 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:05:13.595 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
| 2025-02-13T19:05:13.595 | SIM:ESH5 | Sell | 3 | 6137 | Passive |
| 2025-02-13T19:05:13.595 | SIM:ESH5 | Sell | 3 | 6137 | Passive |
| 2025-02-13T19:05:14.504 | SIM:ESH5 | Sell | 6 | 6136.75 | Aggressive |
| 2025-02-13T19:05:14.681 | SIM:ESH5 | Sell | 2 | 6137 | Passive |
| 2025-02-13T19:05:14.681 | SIM:ESH5 | Sell | 1 | 6137 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4550
Slippage Sweep
0.0450
Arrival Price
6,135.3750
Average Total
6,135.8300
Destination Price
6,135.6250
Sweep to Fill
6,135.7850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:04:48.18 | SIM:ESH5 | Buy | 9 | 6135.75 | Aggressive |
| 2025-02-13T19:04:48.18 | SIM:ESH5 | Buy | 4 | 6136 | Aggressive |
| 2025-02-13T19:04:50.843 | SIM:ESH5 | Buy | 12 | 6135.75 | Aggressive |
| 2025-02-13T19:04:53.923 | SIM:ESH5 | Buy | 2 | 6135.75 | Aggressive |
| 2025-02-13T19:04:53.923 | SIM:ESH5 | Buy | 2 | 6136 | Aggressive |
| 2025-02-13T19:04:53.924 | SIM:ESH5 | Buy | 5 | 6136 | Aggressive |
| 2025-02-13T19:04:53.924 | SIM:ESH5 | Buy | 5 | 6136 | Aggressive |
| 2025-02-13T19:05:01.399 | SIM:ESH5 | Buy | 1 | 6135.75 | Aggressive |
| 2025-02-13T19:05:01.581 | SIM:ESH5 | Buy | 1 | 6135.75 | Aggressive |
| 2025-02-13T19:05:01.68 | SIM:ESH5 | Buy | 1 | 6135.75 | Aggressive |
| 2025-02-13T19:05:01.68 | SIM:ESH5 | Buy | 2 | 6135.75 | Aggressive |
| 2025-02-13T19:05:01.68 | SIM:ESH5 | Buy | 1 | 6135.75 | Aggressive |
| 2025-02-13T19:05:01.68 | SIM:ESH5 | Buy | 3 | 6135.75 | Aggressive |
| 2025-02-13T19:05:01.68 | SIM:ESH5 | Buy | 2 | 6135.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.3600
Arrival Price
6,135.1250
Average Total
6,135.2500
Destination Price
6,135.3750
Sweep to Fill
6,135.6100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:02:18.68 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.681 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.682 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:18.682 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.682 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T19:02:18.682 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:18.682 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:18.901 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:33.081 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:33.081 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:33.081 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:33.081 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T19:02:33.081 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T19:02:33.081 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1450
Slippage Sweep
-0.4900
Arrival Price
6,134.8750
Average Total
6,135.0200
Destination Price
6,135.1250
Sweep to Fill
6,134.5300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T19:00:43.18 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:43.18 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:43.181 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:43.181 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:43.181 | SIM:ESH5 | Sell | 3 | 6135 | Passive |
| 2025-02-13T19:00:43.181 | SIM:ESH5 | Sell | 3 | 6135 | Passive |
| 2025-02-13T19:00:43.181 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.7 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.7 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.7 | SIM:ESH5 | Sell | 2 | 6135 | Passive |
| 2025-02-13T19:00:50.7 | SIM:ESH5 | Sell | 2 | 6135 | Passive |
| 2025-02-13T19:00:50.7 | SIM:ESH5 | Sell | 2 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T19:00:50.701 | SIM:ESH5 | Sell | 2 | 6135 | Passive |
| 2025-02-13T19:00:52.899 | SIM:ESH5 | Sell | 12 | 6135 | Aggressive |
| 2025-02-13T19:00:52.899 | SIM:ESH5 | Sell | 4 | 6135 | Passive |
| 2025-02-13T19:00:54.382 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T19:00:54.382 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T19:00:54.382 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T19:00:54.382 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |