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
0.5800
Slippage Sweep
0.4300
Arrival Price
5,934.8750
Average Total
5,935.4550
Destination Price
5,935.8750
Sweep to Fill
5,935.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:29:18.516 | SIM:ESM5 | Buy | 4 | 5936 | Aggressive |
| 2025-06-02T13:29:18.031 | SIM:ESM5 | Buy | 4 | 5936 | Aggressive |
| 2025-06-02T13:29:16.54 | SIM:ESM5 | Buy | 3 | 5935.75 | Aggressive |
| 2025-06-02T13:29:15.512 | SIM:ESM5 | Buy | 8 | 5935.75 | Aggressive |
| 2025-06-02T13:29:09.478 | SIM:ESM5 | Buy | 16 | 5935 | Aggressive |
| 2025-06-02T13:29:13.512 | SIM:ESM5 | Buy | 7 | 5935.5 | Aggressive |
| 2025-06-02T13:29:08.57 | SIM:ESM5 | Buy | 4 | 5935 | Aggressive |
| 2025-06-02T13:29:20.541 | SIM:ESM5 | Buy | 3 | 5936 | Aggressive |
| 2025-06-02T13:29:07.392 | SIM:ESM5 | Buy | 1 | 5935 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.3800
Arrival Price
5,934.8750
Average Total
5,934.9200
Destination Price
5,935.1250
Sweep to Fill
5,934.5400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:28:37.139 | SIM:ESM5 | Sell | 22 | 5935 | Aggressive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 4 | 5934.75 | Aggressive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 2 | 5935 | Aggressive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 2 | 5935 | Passive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 2 | 5935 | Passive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 2 | 5935 | Passive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 2 | 5935 | Passive |
| 2025-06-02T13:28:36.555 | SIM:ESM5 | Sell | 2 | 5935 | Passive |
| 2025-06-02T13:28:35.124 | SIM:ESM5 | Sell | 1 | 5934.75 | Aggressive |
| 2025-06-02T13:28:34.059 | SIM:ESM5 | Sell | 3 | 5934.75 | Aggressive |
| 2025-06-02T13:28:34.059 | SIM:ESM5 | Sell | 7 | 5934.75 | Aggressive |
| 2025-06-02T13:28:33.112 | SIM:ESM5 | Sell | 1 | 5934.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4500
Slippage Sweep
0.3250
Arrival Price
5,934.1250
Average Total
5,934.5750
Destination Price
5,934.8750
Sweep to Fill
5,934.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:28:28.413 | SIM:ESM5 | Buy | 21 | 5934.75 | Aggressive |
| 2025-06-02T13:28:21.301 | SIM:ESM5 | Buy | 3 | 5934.75 | Aggressive |
| 2025-06-02T13:28:19.63 | SIM:ESM5 | Buy | 3 | 5934.5 | Aggressive |
| 2025-06-02T13:28:18.255 | SIM:ESM5 | Buy | 10 | 5934.25 | Aggressive |
| 2025-06-02T13:28:32.39 | SIM:ESM5 | Buy | 1 | 5934.75 | Aggressive |
| 2025-06-02T13:28:32.39 | SIM:ESM5 | Buy | 2 | 5934.75 | Passive |
| 2025-06-02T13:28:20.234 | SIM:ESM5 | Buy | 4 | 5934.75 | Aggressive |
| 2025-06-02T13:28:16.927 | SIM:ESM5 | Buy | 1 | 5934.25 | Aggressive |
| 2025-06-02T13:28:16.927 | SIM:ESM5 | Buy | 5 | 5934.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1800
Slippage Sweep
-0.0200
Arrival Price
5,934.3750
Average Total
5,934.1950
Destination Price
5,934.3750
Sweep to Fill
5,934.1750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:27:43.98 | SIM:ESM5 | Sell | 17 | 5934.25 | Aggressive |
| 2025-06-02T13:27:40.885 | SIM:ESM5 | Sell | 4 | 5934 | Aggressive |
| 2025-06-02T13:27:35.975 | SIM:ESM5 | Sell | 3 | 5934.25 | Aggressive |
| 2025-06-02T13:27:38.012 | SIM:ESM5 | Sell | 5 | 5934.25 | Aggressive |
| 2025-06-02T13:27:34.828 | SIM:ESM5 | Sell | 12 | 5934.25 | Aggressive |
| 2025-06-02T13:27:44.916 | SIM:ESM5 | Sell | 1 | 5934.25 | Aggressive |
| 2025-06-02T13:27:40.016 | SIM:ESM5 | Sell | 7 | 5934 | Aggressive |
| 2025-06-02T13:27:33.879 | 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
0.2900
Slippage Sweep
0.1550
Arrival Price
5,934.3750
Average Total
5,934.6650
Destination Price
5,934.6250
Sweep to Fill
5,934.5100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:27:32.727 | SIM:ESM5 | Buy | 1 | 5934.75 | Aggressive |
| 2025-06-02T13:27:32.727 | SIM:ESM5 | Buy | 1 | 5934.5 | Aggressive |
| 2025-06-02T13:27:32.727 | SIM:ESM5 | Buy | 1 | 5934.5 | Passive |
| 2025-06-02T13:27:28.722 | SIM:ESM5 | Buy | 8 | 5934.75 | Aggressive |
| 2025-06-02T13:27:28.722 | SIM:ESM5 | Buy | 9 | 5934.75 | Aggressive |
| 2025-06-02T13:27:17.586 | SIM:ESM5 | Buy | 17 | 5934.5 | Aggressive |
| 2025-06-02T13:27:26.638 | SIM:ESM5 | Buy | 2 | 5934.75 | Aggressive |
| 2025-06-02T13:27:25.662 | SIM:ESM5 | Buy | 5 | 5935 | Aggressive |
| 2025-06-02T13:27:24.535 | SIM:ESM5 | Buy | 2 | 5935 | Aggressive |
| 2025-06-02T13:27:16.565 | SIM:ESM5 | Buy | 3 | 5934.5 | Aggressive |
| 2025-06-02T13:27:15.891 | SIM:ESM5 | Buy | 1 | 5934.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4300
Slippage Sweep
0.2500
Arrival Price
5,935.6250
Average Total
5,935.1950
Destination Price
5,935.6250
Sweep to Fill
5,935.4450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:26:45.222 | SIM:ESM5 | Sell | 7 | 5935.25 | Aggressive |
| 2025-06-02T13:26:45.325 | SIM:ESM5 | Sell | 3 | 5935.5 | Aggressive |
| 2025-06-02T13:26:40.639 | SIM:ESM5 | Sell | 4 | 5935.25 | Aggressive |
| 2025-06-02T13:26:38.182 | SIM:ESM5 | Sell | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:26:35.17 | SIM:ESM5 | Sell | 8 | 5935.25 | Aggressive |
| 2025-06-02T13:26:42.231 | SIM:ESM5 | Sell | 8 | 5935.25 | Aggressive |
| 2025-06-02T13:26:39.313 | SIM:ESM5 | Sell | 15 | 5935 | Aggressive |
| 2025-06-02T13:26:34.254 | SIM:ESM5 | Sell | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:26:33.281 | SIM:ESM5 | Sell | 1 | 5935.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2200
Slippage Sweep
0.0950
Arrival Price
5,934.8750
Average Total
5,935.0950
Destination Price
5,935.6250
Sweep to Fill
5,935.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:26:30.887 | SIM:ESM5 | Buy | 3 | 5935.25 | Aggressive |
| 2025-06-02T13:26:24.759 | SIM:ESM5 | Buy | 10 | 5935 | Aggressive |
| 2025-06-02T13:26:21.76 | SIM:ESM5 | Buy | 10 | 5935 | Aggressive |
| 2025-06-02T13:26:32.835 | SIM:ESM5 | Buy | 4 | 5935.75 | Aggressive |
| 2025-06-02T13:26:29.769 | SIM:ESM5 | Buy | 4 | 5935.25 | Aggressive |
| 2025-06-02T13:26:22.756 | SIM:ESM5 | Buy | 8 | 5935 | Aggressive |
| 2025-06-02T13:26:20.754 | SIM:ESM5 | Buy | 10 | 5935 | Aggressive |
| 2025-06-02T13:26:19.812 | SIM:ESM5 | Buy | 1 | 5935 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0500
Slippage Sweep
-0.3300
Arrival Price
5,934.8750
Average Total
5,934.9250
Destination Price
5,935.1250
Sweep to Fill
5,934.5950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:25:48.427 | SIM:ESM5 | Sell | 14 | 5934.75 | Aggressive |
| 2025-06-02T13:25:48.427 | SIM:ESM5 | Sell | 35 | 5935 | Aggressive |
| 2025-06-02T13:25:47.452 | SIM:ESM5 | Sell | 1 | 5934.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.0800
Arrival Price
5,935.1250
Average Total
5,935.1900
Destination Price
5,934.8750
Sweep to Fill
5,935.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:25:46.712 | SIM:ESM5 | Buy | 13 | 5935 | Aggressive |
| 2025-06-02T13:25:45.713 | SIM:ESM5 | Buy | 12 | 5935 | Aggressive |
| 2025-06-02T13:25:44.713 | SIM:ESM5 | Buy | 3 | 5935.5 | Aggressive |
| 2025-06-02T13:25:44.713 | SIM:ESM5 | Buy | 1 | 5935.25 | Aggressive |
| 2025-06-02T13:25:44.712 | SIM:ESM5 | Buy | 1 | 5935.25 | Passive |
| 2025-06-02T13:25:42.146 | SIM:ESM5 | Buy | 5 | 5935.5 | Aggressive |
| 2025-06-02T13:25:41.814 | SIM:ESM5 | Buy | 5 | 5935.5 | Aggressive |
| 2025-06-02T13:25:39.557 | SIM:ESM5 | Buy | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:25:39.557 | SIM:ESM5 | Buy | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:25:38.535 | SIM:ESM5 | Buy | 5 | 5935.25 | Aggressive |
| 2025-06-02T13:25:37.614 | 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
-0.2150
Arrival Price
5,933.1250
Average Total
5,933.2150
Destination Price
5,933.3750
Sweep to Fill
5,933.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:25:07.125 | SIM:ESM5 | Sell | 6 | 5933 | Aggressive |
| 2025-06-02T13:25:07.125 | SIM:ESM5 | Sell | 43 | 5933.25 | Aggressive |
| 2025-06-02T13:25:06.131 | SIM:ESM5 | Sell | 1 | 5933 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0500
Slippage Sweep
-0.1400
Arrival Price
5,933.3750
Average Total
5,933.4250
Destination Price
5,933.1250
Sweep to Fill
5,933.5650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:25:05.837 | SIM:ESM5 | Buy | 14 | 5933.25 | Aggressive |
| 2025-06-02T13:25:03.815 | SIM:ESM5 | Buy | 6 | 5933.75 | Aggressive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 15 | 5933.5 | Aggressive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 2 | 5933.25 | Aggressive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 2 | 5933.25 | Passive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 2 | 5933.25 | Passive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 2 | 5933.25 | Passive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 1 | 5933.25 | Passive |
| 2025-06-02T13:25:05.252 | SIM:ESM5 | Buy | 1 | 5933.25 | Passive |
| 2025-06-02T13:25:02.79 | SIM:ESM5 | Buy | 3 | 5933.75 | Aggressive |
| 2025-06-02T13:25:01.016 | SIM:ESM5 | Buy | 2 | 5933.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2250
Arrival Price
5,933.6250
Average Total
5,933.7250
Destination Price
5,933.8750
Sweep to Fill
5,933.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:24:30.149 | SIM:ESM5 | Sell | 3 | 5934 | Aggressive |
| 2025-06-02T13:24:29.146 | SIM:ESM5 | Sell | 8 | 5933.5 | Aggressive |
| 2025-06-02T13:24:29.146 | SIM:ESM5 | Sell | 38 | 5933.75 | Aggressive |
| 2025-06-02T13:24:28.143 | SIM:ESM5 | Sell | 1 | 5933.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0750
Slippage Sweep
-0.1100
Arrival Price
5,933.8750
Average Total
5,933.9500
Destination Price
5,933.6250
Sweep to Fill
5,934.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:24:27.925 | SIM:ESM5 | Buy | 24 | 5933.75 | Aggressive |
| 2025-06-02T13:24:26.912 | SIM:ESM5 | Buy | 2 | 5934 | Aggressive |
| 2025-06-02T13:24:23.917 | SIM:ESM5 | Buy | 9 | 5934.25 | Aggressive |
| 2025-06-02T13:24:22.327 | SIM:ESM5 | Buy | 5 | 5934.25 | Aggressive |
| 2025-06-02T13:24:25.912 | SIM:ESM5 | Buy | 9 | 5934 | Aggressive |
| 2025-06-02T13:24:20.867 | SIM:ESM5 | Buy | 1 | 5934 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4100
Slippage Sweep
0.2450
Arrival Price
5,934.6250
Average Total
5,934.2150
Destination Price
5,934.6250
Sweep to Fill
5,934.4600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:23:46.981 | SIM:ESM5 | Sell | 4 | 5934.25 | Aggressive |
| 2025-06-02T13:23:44.968 | SIM:ESM5 | Sell | 8 | 5934 | Aggressive |
| 2025-06-02T13:23:41.549 | SIM:ESM5 | Sell | 5 | 5934.25 | Aggressive |
| 2025-06-02T13:23:37.93 | SIM:ESM5 | Sell | 7 | 5934.5 | Aggressive |
| 2025-06-02T13:23:50.586 | SIM:ESM5 | Sell | 7 | 5934.5 | Aggressive |
| 2025-06-02T13:23:45.964 | SIM:ESM5 | Sell | 3 | 5934.25 | Aggressive |
| 2025-06-02T13:23:43.272 | SIM:ESM5 | Sell | 4 | 5934 | Aggressive |
| 2025-06-02T13:23:41.931 | SIM:ESM5 | Sell | 11 | 5934 | Aggressive |
| 2025-06-02T13:23:37.013 | 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
-0.0300
Slippage Sweep
-0.2450
Arrival Price
5,935.1250
Average Total
5,935.0950
Destination Price
5,934.8750
Sweep to Fill
5,935.3400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:23:36.442 | SIM:ESM5 | Buy | 19 | 5935 | Aggressive |
| 2025-06-02T13:23:36.442 | SIM:ESM5 | Buy | 19 | 5935 | Aggressive |
| 2025-06-02T13:23:35.515 | SIM:ESM5 | Buy | 1 | 5935.5 | Aggressive |
| 2025-06-02T13:23:35.515 | SIM:ESM5 | Buy | 5 | 5935.5 | Aggressive |
| 2025-06-02T13:23:33.687 | SIM:ESM5 | Buy | 1 | 5935.5 | Aggressive |
| 2025-06-02T13:23:33.687 | SIM:ESM5 | Buy | 2 | 5935.25 | Aggressive |
| 2025-06-02T13:23:33.687 | SIM:ESM5 | Buy | 2 | 5935.25 | Passive |
| 2025-06-02T13:23:32.431 | SIM:ESM5 | Buy | 1 | 5935.25 | Aggressive |