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
-0.1200
Slippage Sweep
-0.2450
Arrival Price
5,933.3750
Average Total
5,933.2550
Destination Price
5,933.1250
Sweep to Fill
5,933.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:41:09.812 | SIM:ESM5 | Buy | 20 | 5933.25 | Aggressive |
| 2025-06-02T13:41:09.812 | SIM:ESM5 | Buy | 29 | 5933.25 | Aggressive |
| 2025-06-02T13:41:08.739 | SIM:ESM5 | Buy | 1 | 5933.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4550
Slippage Sweep
0.1550
Arrival Price
5,933.6250
Average Total
5,933.1700
Destination Price
5,933.8750
Sweep to Fill
5,933.3250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:40:35.341 | SIM:ESM5 | Sell | 2 | 5933 | Aggressive |
| 2025-06-02T13:40:35.341 | SIM:ESM5 | Sell | 1 | 5933.25 | Aggressive |
| 2025-06-02T13:40:35.341 | SIM:ESM5 | Sell | 1 | 5933.25 | Passive |
| 2025-06-02T13:40:30.378 | SIM:ESM5 | Sell | 6 | 5933.25 | Aggressive |
| 2025-06-02T13:40:28.261 | SIM:ESM5 | Sell | 7 | 5933.5 | Aggressive |
| 2025-06-02T13:40:37.365 | SIM:ESM5 | Sell | 14 | 5933.75 | Aggressive |
| 2025-06-02T13:40:33.507 | SIM:ESM5 | Sell | 15 | 5932.5 | Aggressive |
| 2025-06-02T13:40:33.507 | SIM:ESM5 | Sell | 2 | 5932.75 | Aggressive |
| 2025-06-02T13:40:27.261 | SIM:ESM5 | Sell | 1 | 5933.25 | Aggressive |
| 2025-06-02T13:40:26.312 | SIM:ESM5 | Sell | 1 | 5933.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3200
Slippage Sweep
0.1450
Arrival Price
5,934.1250
Average Total
5,934.4450
Destination Price
5,933.8750
Sweep to Fill
5,934.3000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:40:17.343 | SIM:ESM5 | Buy | 2 | 5934.5 | Passive |
| 2025-06-02T13:40:16.018 | SIM:ESM5 | Buy | 7 | 5934.75 | Aggressive |
| 2025-06-02T13:40:24.012 | SIM:ESM5 | Buy | 9 | 5934 | Aggressive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 6 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 6 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 3 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 3 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 2 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 2 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 1 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 1 | 5934.5 | Passive |
| 2025-06-02T13:40:22.954 | SIM:ESM5 | Buy | 1 | 5934.75 | Aggressive |
| 2025-06-02T13:40:22.349 | SIM:ESM5 | Buy | 1 | 5934.5 | Aggressive |
| 2025-06-02T13:40:20.93 | SIM:ESM5 | Buy | 2 | 5934.5 | Aggressive |
| 2025-06-02T13:40:20.93 | SIM:ESM5 | Buy | 1 | 5934.5 | Aggressive |
| 2025-06-02T13:40:14.85 | SIM:ESM5 | Buy | 2 | 5934.5 | Aggressive |
| 2025-06-02T13:40:13.782 | SIM:ESM5 | Buy | 1 | 5934.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.3350
Arrival Price
5,935.3750
Average Total
5,935.4450
Destination Price
5,935.6250
Sweep to Fill
5,935.1100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:39:40.259 | SIM:ESM5 | Sell | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:39:43.151 | SIM:ESM5 | Sell | 5 | 5935.5 | Aggressive |
| 2025-06-02T13:39:43.151 | SIM:ESM5 | Sell | 19 | 5935.5 | Aggressive |
| 2025-06-02T13:39:42.225 | SIM:ESM5 | Sell | 15 | 5935.5 | Aggressive |
| 2025-06-02T13:39:41.218 | SIM:ESM5 | Sell | 7 | 5935.25 | Aggressive |
| 2025-06-02T13:39:41.218 | SIM:ESM5 | Sell | 1 | 5935.25 | Aggressive |
| 2025-06-02T13:39:39.223 | 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
-0.0100
Slippage Sweep
-0.1400
Arrival Price
5,935.6250
Average Total
5,935.6150
Destination Price
5,935.3750
Sweep to Fill
5,935.7550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:39:35.256 | SIM:ESM5 | Buy | 2 | 5935.75 | Aggressive |
| 2025-06-02T13:39:35.256 | SIM:ESM5 | Buy | 3 | 5935.5 | Aggressive |
| 2025-06-02T13:39:35.256 | SIM:ESM5 | Buy | 3 | 5935.5 | Passive |
| 2025-06-02T13:39:34.26 | SIM:ESM5 | Buy | 4 | 5935.75 | Aggressive |
| 2025-06-02T13:39:37.601 | SIM:ESM5 | Buy | 1 | 5935.5 | Aggressive |
| 2025-06-02T13:39:37.601 | SIM:ESM5 | Buy | 3 | 5935.25 | Aggressive |
| 2025-06-02T13:39:37.601 | SIM:ESM5 | Buy | 3 | 5935.25 | Passive |
| 2025-06-02T13:39:36.276 | SIM:ESM5 | Buy | 3 | 5935.5 | Aggressive |
| 2025-06-02T13:39:30.552 | SIM:ESM5 | Buy | 16 | 5935.75 | Aggressive |
| 2025-06-02T13:39:29.416 | SIM:ESM5 | Buy | 2 | 5935.75 | Aggressive |
| 2025-06-02T13:39:29.416 | SIM:ESM5 | Buy | 2 | 5935.5 | Aggressive |
| 2025-06-02T13:39:29.416 | SIM:ESM5 | Buy | 2 | 5935.5 | Passive |
| 2025-06-02T13:39:29.225 | SIM:ESM5 | Buy | 5 | 5935.75 | Aggressive |
| 2025-06-02T13:39:27.339 | SIM:ESM5 | Buy | 1 | 5935.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3700
Slippage Sweep
0.1050
Arrival Price
5,935.8750
Average Total
5,935.5050
Destination Price
5,935.6250
Sweep to Fill
5,935.6100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:38:56.614 | SIM:ESM5 | Sell | 9 | 5935.5 | Aggressive |
| 2025-06-02T13:38:53.134 | SIM:ESM5 | Sell | 16 | 5935.5 | Aggressive |
| 2025-06-02T13:38:51.928 | SIM:ESM5 | Sell | 6 | 5935.5 | Aggressive |
| 2025-06-02T13:38:51.928 | SIM:ESM5 | Sell | 2 | 5935.5 | Aggressive |
| 2025-06-02T13:38:45.013 | SIM:ESM5 | Sell | 6 | 5935.5 | Aggressive |
| 2025-06-02T13:38:56.964 | SIM:ESM5 | Sell | 6 | 5935.5 | Aggressive |
| 2025-06-02T13:38:51.024 | SIM:ESM5 | Sell | 2 | 5935.5 | Aggressive |
| 2025-06-02T13:38:50.18 | SIM:ESM5 | Sell | 1 | 5935.5 | Aggressive |
| 2025-06-02T13:38:48.912 | SIM:ESM5 | Sell | 1 | 5935.5 | Aggressive |
| 2025-06-02T13:38:43.927 | SIM:ESM5 | Sell | 1 | 5935.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2100
Slippage Sweep
0.0300
Arrival Price
5,935.1250
Average Total
5,935.3350
Destination Price
5,935.6250
Sweep to Fill
5,935.3050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:38:40.915 | SIM:ESM5 | Buy | 5 | 5935.75 | Aggressive |
| 2025-06-02T13:38:38.416 | SIM:ESM5 | Buy | 5 | 5935.75 | Aggressive |
| 2025-06-02T13:38:34.912 | SIM:ESM5 | Buy | 10 | 5935.5 | Aggressive |
| 2025-06-02T13:38:29.169 | SIM:ESM5 | Buy | 13 | 5935.25 | Aggressive |
| 2025-06-02T13:38:27.286 | SIM:ESM5 | Buy | 11 | 5935 | Aggressive |
| 2025-06-02T13:38:26.764 | SIM:ESM5 | Buy | 3 | 5935.25 | Aggressive |
| 2025-06-02T13:38:26.764 | SIM:ESM5 | Buy | 1 | 5935 | Aggressive |
| 2025-06-02T13:38:26.764 | SIM:ESM5 | Buy | 1 | 5935 | Passive |
| 2025-06-02T13:38:25.278 | SIM:ESM5 | Buy | 1 | 5935.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0900
Slippage Sweep
-0.2300
Arrival Price
5,934.1250
Average Total
5,934.2150
Destination Price
5,934.3750
Sweep to Fill
5,933.9850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:37:53.948 | SIM:ESM5 | Sell | 6 | 5934 | Aggressive |
| 2025-06-02T13:37:53.948 | SIM:ESM5 | Sell | 29 | 5934.25 | Aggressive |
| 2025-06-02T13:37:54.942 | SIM:ESM5 | Sell | 7 | 5934.25 | Aggressive |
| 2025-06-02T13:37:52.939 | SIM:ESM5 | Sell | 7 | 5934.25 | Aggressive |
| 2025-06-02T13:37:51.888 | SIM:ESM5 | Sell | 1 | 5934 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
-0.0900
Arrival Price
5,934.3750
Average Total
5,934.5200
Destination Price
5,934.3750
Sweep to Fill
5,934.6100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:37:51.593 | SIM:ESM5 | Buy | 16 | 5934.25 | Aggressive |
| 2025-06-02T13:37:49.562 | SIM:ESM5 | Buy | 4 | 5934.5 | Aggressive |
| 2025-06-02T13:37:48.545 | SIM:ESM5 | Buy | 6 | 5934.75 | Aggressive |
| 2025-06-02T13:37:47.557 | SIM:ESM5 | Buy | 5 | 5934.75 | Aggressive |
| 2025-06-02T13:37:50.567 | SIM:ESM5 | Buy | 4 | 5934.5 | Aggressive |
| 2025-06-02T13:37:50.567 | SIM:ESM5 | Buy | 4 | 5934.5 | Aggressive |
| 2025-06-02T13:37:44.591 | SIM:ESM5 | Buy | 5 | 5934.75 | Aggressive |
| 2025-06-02T13:37:42.512 | SIM:ESM5 | Buy | 1 | 5934.5 | Aggressive |
| 2025-06-02T13:37:43.512 | SIM:ESM5 | Buy | 4 | 5934.75 | Aggressive |
| 2025-06-02T13:37:41.518 | SIM:ESM5 | Buy | 1 | 5934.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1650
Slippage Sweep
0.0400
Arrival Price
5,935.3750
Average Total
5,935.2100
Destination Price
5,935.3750
Sweep to Fill
5,935.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:37:10.437 | SIM:ESM5 | Sell | 1 | 5935 | Aggressive |
| 2025-06-02T13:37:02.937 | SIM:ESM5 | Sell | 6 | 5935.25 | Aggressive |
| 2025-06-02T13:37:00.812 | SIM:ESM5 | Sell | 2 | 5935 | Aggressive |
| 2025-06-02T13:37:11.019 | SIM:ESM5 | Sell | 3 | 5935.25 | Aggressive |
| 2025-06-02T13:37:04.864 | SIM:ESM5 | Sell | 20 | 5935.25 | Aggressive |
| 2025-06-02T13:37:04.017 | SIM:ESM5 | Sell | 11 | 5935.25 | Aggressive |
| 2025-06-02T13:37:01.812 | SIM:ESM5 | Sell | 4 | 5935.25 | Aggressive |
| 2025-06-02T13:36:59.814 | SIM:ESM5 | Sell | 1 | 5935 | Passive |
| 2025-06-02T13:36:59.812 | SIM:ESM5 | Sell | 2 | 5934.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3600
Slippage Sweep
0.0800
Arrival Price
5,935.3750
Average Total
5,935.7350
Destination Price
5,935.6250
Sweep to Fill
5,935.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:36:58.402 | SIM:ESM5 | Buy | 5 | 5935.5 | Passive |
| 2025-06-02T13:36:58.402 | SIM:ESM5 | Buy | 2 | 5935.5 | Passive |
| 2025-06-02T13:36:58.401 | SIM:ESM5 | Buy | 2 | 5935.5 | Passive |
| 2025-06-02T13:36:58.401 | SIM:ESM5 | Buy | 1 | 5935.5 | Passive |
| 2025-06-02T13:36:58.401 | SIM:ESM5 | Buy | 1 | 5935.5 | Passive |
| 2025-06-02T13:36:48.571 | SIM:ESM5 | Buy | 12 | 5936 | Aggressive |
| 2025-06-02T13:36:48.571 | SIM:ESM5 | Buy | 1 | 5935.75 | Aggressive |
| 2025-06-02T13:36:48.571 | SIM:ESM5 | Buy | 1 | 5935.75 | Passive |
| 2025-06-02T13:36:54.679 | SIM:ESM5 | Buy | 3 | 5935.75 | Aggressive |
| 2025-06-02T13:36:54.679 | SIM:ESM5 | Buy | 2 | 5935.5 | Aggressive |
| 2025-06-02T13:36:54.679 | SIM:ESM5 | Buy | 2 | 5935.5 | Passive |
| 2025-06-02T13:36:53.663 | SIM:ESM5 | Buy | 5 | 5935.75 | Aggressive |
| 2025-06-02T13:36:52.687 | SIM:ESM5 | Buy | 3 | 5935.75 | Aggressive |
| 2025-06-02T13:36:51.57 | SIM:ESM5 | Buy | 4 | 5935.75 | Aggressive |
| 2025-06-02T13:36:45.531 | SIM:ESM5 | Buy | 5 | 5935.75 | Aggressive |
| 2025-06-02T13:36:45.336 | SIM:ESM5 | Buy | 1 | 5935.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2300
Slippage Sweep
0.0650
Arrival Price
5,934.3750
Average Total
5,934.1450
Destination Price
5,934.3750
Sweep to Fill
5,934.2100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:36:03.883 | SIM:ESM5 | Sell | 3 | 5934 | Aggressive |
| 2025-06-02T13:36:14.037 | SIM:ESM5 | Sell | 18 | 5934.25 | Aggressive |
| 2025-06-02T13:36:14.037 | SIM:ESM5 | Sell | 2 | 5934.25 | Aggressive |
| 2025-06-02T13:36:12.989 | SIM:ESM5 | Sell | 7 | 5934 | Aggressive |
| 2025-06-02T13:36:07.912 | SIM:ESM5 | Sell | 10 | 5934 | Aggressive |
| 2025-06-02T13:36:06.902 | SIM:ESM5 | Sell | 8 | 5934.25 | Aggressive |
| 2025-06-02T13:36:02.864 | SIM:ESM5 | Sell | 1 | 5934 | Aggressive |
| 2025-06-02T13:36:01.865 | SIM:ESM5 | Sell | 1 | 5934.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0450
Slippage Sweep
-0.0800
Arrival Price
5,934.6250
Average Total
5,934.6700
Destination Price
5,934.3750
Sweep to Fill
5,934.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:36:01.55 | SIM:ESM5 | Buy | 15 | 5934.75 | Aggressive |
| 2025-06-02T13:36:01.55 | SIM:ESM5 | Buy | 16 | 5934.5 | Aggressive |
| 2025-06-02T13:35:57.531 | SIM:ESM5 | Buy | 2 | 5934.75 | Aggressive |
| 2025-06-02T13:35:57.531 | SIM:ESM5 | Buy | 3 | 5934.75 | Aggressive |
| 2025-06-02T13:35:56.534 | SIM:ESM5 | Buy | 1 | 5934.75 | Aggressive |
| 2025-06-02T13:35:56.534 | SIM:ESM5 | Buy | 2 | 5934.75 | Aggressive |
| 2025-06-02T13:35:54.519 | SIM:ESM5 | Buy | 10 | 5934.75 | Aggressive |
| 2025-06-02T13:35:53.484 | SIM:ESM5 | Buy | 1 | 5934.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1150
Slippage Sweep
-0.0100
Arrival Price
5,933.1250
Average Total
5,933.0100
Destination Price
5,933.1250
Sweep to Fill
5,933.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:35:22.149 | SIM:ESM5 | Sell | 6 | 5933.25 | Aggressive |
| 2025-06-02T13:35:20.111 | SIM:ESM5 | Sell | 12 | 5933 | Aggressive |
| 2025-06-02T13:35:17.381 | SIM:ESM5 | Sell | 4 | 5932.75 | Passive |
| 2025-06-02T13:35:15.051 | SIM:ESM5 | Sell | 10 | 5933 | Aggressive |
| 2025-06-02T13:35:23.252 | SIM:ESM5 | Sell | 6 | 5933 | Aggressive |
| 2025-06-02T13:35:18.08 | SIM:ESM5 | Sell | 11 | 5933 | Aggressive |
| 2025-06-02T13:35:14.041 | SIM:ESM5 | Sell | 1 | 5933 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.3350
Arrival Price
5,933.3750
Average Total
5,933.3150
Destination Price
5,933.1250
Sweep to Fill
5,933.6500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:35:13.748 | SIM:ESM5 | Buy | 13 | 5933.5 | Aggressive |
| 2025-06-02T13:35:13.748 | SIM:ESM5 | Buy | 36 | 5933.25 | Aggressive |
| 2025-06-02T13:35:12.724 | SIM:ESM5 | Buy | 1 | 5933.25 | Aggressive |