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
-0.1250
Slippage Sweep
-0.2500
Arrival Price
5,934.6250
Average Total
5,934.7500
Destination Price
5,934.8750
Sweep to Fill
5,934.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:34:42.357 | SIM:ESM5 | Sell | 1 | 5934.75 | Passive |
| 2025-06-02T13:34:42.357 | SIM:ESM5 | Sell | 17 | 5934.75 | Aggressive |
| 2025-06-02T13:34:42.357 | SIM:ESM5 | Sell | 31 | 5934.75 | Aggressive |
| 2025-06-02T13:34:41.354 | SIM:ESM5 | Sell | 1 | 5934.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2500
Arrival Price
5,934.8750
Average Total
5,934.7500
Destination Price
5,934.6250
Sweep to Fill
5,935.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:34:41.147 | SIM:ESM5 | Buy | 2 | 5934.75 | Aggressive |
| 2025-06-02T13:34:36.502 | SIM:ESM5 | Buy | 34 | 5934.75 | Aggressive |
| 2025-06-02T13:34:35.453 | SIM:ESM5 | Buy | 4 | 5934.75 | Aggressive |
| 2025-06-02T13:34:34.458 | SIM:ESM5 | Buy | 9 | 5934.75 | Aggressive |
| 2025-06-02T13:34:34.258 | SIM:ESM5 | Buy | 1 | 5934.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2150
Slippage Sweep
0.0900
Arrival Price
5,936.1250
Average Total
5,935.9100
Destination Price
5,935.8750
Sweep to Fill
5,936.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:33:59.212 | SIM:ESM5 | Sell | 12 | 5936 | Aggressive |
| 2025-06-02T13:34:03.197 | SIM:ESM5 | Sell | 18 | 5935.75 | Aggressive |
| 2025-06-02T13:33:50.121 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:33:53.152 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
| 2025-06-02T13:33:52.363 | SIM:ESM5 | Sell | 15 | 5936 | Aggressive |
| 2025-06-02T13:33:51.095 | SIM:ESM5 | Sell | 1 | 5936 | Aggressive |
| 2025-06-02T13:33:50.01 | SIM:ESM5 | Sell | 1 | 5936 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2450
Slippage Sweep
-0.0950
Arrival Price
5,935.8750
Average Total
5,936.1200
Destination Price
5,936.3750
Sweep to Fill
5,936.2150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:33:48.88 | SIM:ESM5 | Buy | 4 | 5936.5 | Aggressive |
| 2025-06-02T13:33:39.837 | SIM:ESM5 | Buy | 2 | 5936.25 | Aggressive |
| 2025-06-02T13:33:35.813 | SIM:ESM5 | Buy | 3 | 5936.25 | Aggressive |
| 2025-06-02T13:33:40.836 | SIM:ESM5 | Buy | 17 | 5936 | Aggressive |
| 2025-06-02T13:33:40.836 | SIM:ESM5 | Buy | 17 | 5936 | Aggressive |
| 2025-06-02T13:33:37.842 | SIM:ESM5 | Buy | 2 | 5936.25 | Aggressive |
| 2025-06-02T13:33:36.84 | SIM:ESM5 | Buy | 4 | 5936.5 | Aggressive |
| 2025-06-02T13:33:34.777 | 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
0.0150
Slippage Sweep
-0.1750
Arrival Price
5,936.3750
Average Total
5,936.3600
Destination Price
5,936.6250
Sweep to Fill
5,936.1850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:33:03.412 | SIM:ESM5 | Sell | 18 | 5936.25 | Aggressive |
| 2025-06-02T13:33:03.412 | SIM:ESM5 | Sell | 22 | 5936.5 | Aggressive |
| 2025-06-02T13:33:02.398 | SIM:ESM5 | Sell | 1 | 5936.25 | Aggressive |
| 2025-06-02T13:33:00.412 | SIM:ESM5 | Sell | 3 | 5936.25 | Aggressive |
| 2025-06-02T13:32:59.419 | SIM:ESM5 | Sell | 5 | 5936.25 | Passive |
| 2025-06-02T13:32:58.353 | 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
-0.0150
Slippage Sweep
-0.2350
Arrival Price
5,936.6250
Average Total
5,936.6100
Destination Price
5,936.3750
Sweep to Fill
5,936.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:32:57.931 | SIM:ESM5 | Buy | 28 | 5936.5 | Aggressive |
| 2025-06-02T13:32:57.541 | SIM:ESM5 | Buy | 11 | 5936.75 | Aggressive |
| 2025-06-02T13:32:55.948 | SIM:ESM5 | Buy | 10 | 5936.75 | Aggressive |
| 2025-06-02T13:32:54.987 | 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
0.0300
Slippage Sweep
-0.1800
Arrival Price
5,937.1250
Average Total
5,937.0950
Destination Price
5,937.3750
Sweep to Fill
5,936.9150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:32:24.512 | SIM:ESM5 | Sell | 23 | 5937.25 | Aggressive |
| 2025-06-02T13:32:23.457 | SIM:ESM5 | Sell | 5 | 5937 | Aggressive |
| 2025-06-02T13:32:23.457 | SIM:ESM5 | Sell | 15 | 5937 | Aggressive |
| 2025-06-02T13:32:19.379 | SIM:ESM5 | Sell | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:32:22.438 | SIM:ESM5 | Sell | 3 | 5937 | Aggressive |
| 2025-06-02T13:32:18.44 | SIM:ESM5 | Sell | 1 | 5936.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1400
Slippage Sweep
-0.1650
Arrival Price
5,937.1250
Average Total
5,937.2650
Destination Price
5,937.1250
Sweep to Fill
5,937.4300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:32:16.832 | SIM:ESM5 | Buy | 20 | 5937.25 | Aggressive |
| 2025-06-02T13:32:15.929 | SIM:ESM5 | Buy | 5 | 5937 | Passive |
| 2025-06-02T13:32:15.929 | SIM:ESM5 | Buy | 5 | 5937 | Passive |
| 2025-06-02T13:32:15.012 | SIM:ESM5 | Buy | 11 | 5937.5 | Aggressive |
| 2025-06-02T13:32:17.912 | SIM:ESM5 | Buy | 5 | 5937.25 | Aggressive |
| 2025-06-02T13:32:13.743 | SIM:ESM5 | Buy | 2 | 5937.5 | Aggressive |
| 2025-06-02T13:32:12.812 | SIM:ESM5 | Buy | 1 | 5937.25 | Aggressive |
| 2025-06-02T13:32:11.828 | SIM:ESM5 | Buy | 1 | 5937.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2800
Slippage Sweep
0.1550
Arrival Price
5,936.1250
Average Total
5,935.8450
Destination Price
5,935.8750
Sweep to Fill
5,936.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:31:41.072 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:31:41.072 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:31:31.979 | SIM:ESM5 | Sell | 1 | 5935.75 | Aggressive |
| 2025-06-02T13:31:39.213 | SIM:ESM5 | Sell | 4 | 5935.75 | Aggressive |
| 2025-06-02T13:31:36.113 | SIM:ESM5 | Sell | 5 | 5936 | Aggressive |
| 2025-06-02T13:31:30.984 | SIM:ESM5 | Sell | 3 | 5936 | Aggressive |
| 2025-06-02T13:31:40.757 | SIM:ESM5 | Sell | 9 | 5935.75 | Aggressive |
| 2025-06-02T13:31:35.168 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
| 2025-06-02T13:31:35.168 | SIM:ESM5 | Sell | 13 | 5935.75 | Aggressive |
| 2025-06-02T13:31:35.168 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:31:35.168 | SIM:ESM5 | Sell | 2 | 5936 | Passive |
| 2025-06-02T13:31:34.05 | SIM:ESM5 | Sell | 5 | 5935.75 | Aggressive |
| 2025-06-02T13:31:29.928 | 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
0.1100
Slippage Sweep
-0.0150
Arrival Price
5,936.3750
Average Total
5,936.4850
Destination Price
5,936.3750
Sweep to Fill
5,936.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:31:27.86 | SIM:ESM5 | Buy | 11 | 5936.5 | Aggressive |
| 2025-06-02T13:31:27.86 | SIM:ESM5 | Buy | 1 | 5936.25 | Aggressive |
| 2025-06-02T13:31:27.859 | SIM:ESM5 | Buy | 1 | 5936.25 | Passive |
| 2025-06-02T13:31:21.612 | SIM:ESM5 | Buy | 6 | 5936.5 | Aggressive |
| 2025-06-02T13:31:22.626 | SIM:ESM5 | Buy | 13 | 5936.5 | Aggressive |
| 2025-06-02T13:31:22.568 | SIM:ESM5 | Buy | 10 | 5936.5 | Aggressive |
| 2025-06-02T13:31:20.18 | SIM:ESM5 | Buy | 1 | 5936.25 | Passive |
| 2025-06-02T13:31:19.725 | SIM:ESM5 | Buy | 7 | 5936.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2050
Slippage Sweep
-0.0400
Arrival Price
5,936.3750
Average Total
5,936.1700
Destination Price
5,936.1250
Sweep to Fill
5,936.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:30:44.736 | SIM:ESM5 | Sell | 3 | 5936 | Aggressive |
| 2025-06-02T13:30:40.726 | SIM:ESM5 | Sell | 1 | 5936.25 | Passive |
| 2025-06-02T13:30:34.656 | SIM:ESM5 | Sell | 14 | 5936.25 | Aggressive |
| 2025-06-02T13:30:47.616 | SIM:ESM5 | Sell | 1 | 5936 | Passive |
| 2025-06-02T13:30:47.613 | SIM:ESM5 | Sell | 1 | 5936 | Aggressive |
| 2025-06-02T13:30:43.725 | SIM:ESM5 | Sell | 11 | 5936 | Aggressive |
| 2025-06-02T13:30:36.656 | SIM:ESM5 | Sell | 8 | 5936.25 | Aggressive |
| 2025-06-02T13:30:35.664 | SIM:ESM5 | Sell | 10 | 5936.25 | Aggressive |
| 2025-06-02T13:30:33.623 | 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
-0.2300
Arrival Price
5,936.6250
Average Total
5,936.5200
Destination Price
5,936.3750
Sweep to Fill
5,936.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:30:32.937 | SIM:ESM5 | Buy | 37 | 5936.5 | Aggressive |
| 2025-06-02T13:30:30.912 | SIM:ESM5 | Buy | 3 | 5936.75 | Aggressive |
| 2025-06-02T13:30:31.912 | SIM:ESM5 | Buy | 9 | 5936.5 | Aggressive |
| 2025-06-02T13:30:30.542 | 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
-0.2150
Slippage Sweep
-0.4050
Arrival Price
5,935.3750
Average Total
5,935.5900
Destination Price
5,935.8750
Sweep to Fill
5,935.1850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:29:59.612 | SIM:ESM5 | Sell | 20 | 5935.5 | Aggressive |
| 2025-06-02T13:29:59.612 | SIM:ESM5 | Sell | 24 | 5935.75 | Aggressive |
| 2025-06-02T13:29:58.661 | SIM:ESM5 | Sell | 5 | 5935.25 | Aggressive |
| 2025-06-02T13:29:57.656 | 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
-0.1100
Slippage Sweep
-0.3100
Arrival Price
5,935.6250
Average Total
5,935.5150
Destination Price
5,935.3750
Sweep to Fill
5,935.8250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:29:57.159 | SIM:ESM5 | Buy | 34 | 5935.5 | Aggressive |
| 2025-06-02T13:29:56.141 | SIM:ESM5 | Buy | 3 | 5935.5 | Aggressive |
| 2025-06-02T13:29:54.339 | SIM:ESM5 | Buy | 2 | 5935.75 | Aggressive |
| 2025-06-02T13:29:54.339 | SIM:ESM5 | Buy | 5 | 5935.5 | Aggressive |
| 2025-06-02T13:29:54.338 | SIM:ESM5 | Buy | 5 | 5935.5 | Passive |
| 2025-06-02T13:29:53.156 | 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
-0.1200
Slippage Sweep
-0.3150
Arrival Price
5,935.8750
Average Total
5,935.9950
Destination Price
5,936.1250
Sweep to Fill
5,935.6800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:29:21.812 | SIM:ESM5 | Sell | 14 | 5936 | Aggressive |
| 2025-06-02T13:29:21.812 | SIM:ESM5 | Sell | 35 | 5936 | Aggressive |
| 2025-06-02T13:29:20.792 | SIM:ESM5 | Sell | 1 | 5935.75 | Aggressive |