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
0.0650
Slippage Sweep
-0.5150
Arrival Price
6,040.5000
Average Total
6,040.4350
Destination Price
6,040.6250
Sweep to Fill
6,039.9200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T17:14:52.523 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:52.523 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:49.769 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:47.837 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:43.722 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:15:06.827 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:15:06.827 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:15:06.827 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:15:00.047 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:45.912 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:44.926 | SIM:ESM5 | Sell | 3 | 6040.25 | Passive |
| 2025-06-10T17:14:42.578 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:41.922 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:41.922 | SIM:ESM5 | Sell | 2 | 6040.5 | Passive |
| 2025-06-10T17:14:41.922 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:31.377 | SIM:ESM5 | Sell | 3 | 6040.5 | Aggressive |
| 2025-06-10T17:14:30.431 | SIM:ESM5 | Sell | 2 | 6040.5 | Passive |
| 2025-06-10T17:14:30.431 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:28.66 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:26.95 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:26.95 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:23.341 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:23.341 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:15:01.437 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:59.213 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:59.213 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:53.85 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:53.85 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:49.769 | SIM:ESM5 | Sell | 2 | 6040.25 | Aggressive |
| 2025-06-10T17:14:46.855 | SIM:ESM5 | Sell | 1 | 6040.25 | Aggressive |
| 2025-06-10T17:14:38.512 | SIM:ESM5 | Sell | 2 | 6040.5 | Aggressive |
| 2025-06-10T17:14:38.512 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:35.976 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:35.976 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:35.976 | SIM:ESM5 | Sell | 2 | 6040.5 | Aggressive |
| 2025-06-10T17:14:35.976 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
| 2025-06-10T17:14:30.432 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:30.432 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:30.431 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:28.661 | SIM:ESM5 | Sell | 1 | 6040.5 | Passive |
| 2025-06-10T17:14:20.57 | SIM:ESM5 | Sell | 1 | 6040.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0350
Slippage Sweep
-0.5950
Arrival Price
6,040.7500
Average Total
6,040.7850
Destination Price
6,040.5000
Sweep to Fill
6,041.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T17:14:06.636 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:55.463 | SIM:ESM5 | Buy | 1 | 6041 | Passive |
| 2025-06-10T17:13:55.463 | SIM:ESM5 | Buy | 2 | 6041 | Passive |
| 2025-06-10T17:14:19.366 | SIM:ESM5 | Buy | 5 | 6040.75 | Aggressive |
| 2025-06-10T17:14:19.366 | SIM:ESM5 | Buy | 2 | 6040.75 | Aggressive |
| 2025-06-10T17:14:17.103 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:14:15.537 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:14:12.23 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:14:11.249 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:14:11.249 | SIM:ESM5 | Buy | 2 | 6040.75 | Aggressive |
| 2025-06-10T17:14:09.863 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:14:09.863 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:53.178 | SIM:ESM5 | Buy | 1 | 6041 | Aggressive |
| 2025-06-10T17:14:17.634 | SIM:ESM5 | Buy | 2 | 6040.75 | Passive |
| 2025-06-10T17:14:17.634 | SIM:ESM5 | Buy | 10 | 6040.75 | Aggressive |
| 2025-06-10T17:14:06.636 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:14:06.636 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:14:06.636 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:14:06.636 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:14:00.579 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:14:00.579 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:14:00.578 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
| 2025-06-10T17:13:51.464 | SIM:ESM5 | Buy | 1 | 6041 | Aggressive |
| 2025-06-10T17:13:50.885 | SIM:ESM5 | Buy | 1 | 6041 | Aggressive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Passive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6041 | Aggressive |
| 2025-06-10T17:13:46.402 | SIM:ESM5 | Buy | 1 | 6040.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.3700
Arrival Price
6,023.1250
Average Total
6,023.2300
Destination Price
6,023.3750
Sweep to Fill
6,022.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:29:36.038 | SIM:ESM5 | Sell | 13 | 6023.25 | Passive |
| 2025-06-10T13:29:36.038 | SIM:ESM5 | Sell | 1 | 6023.25 | Aggressive |
| 2025-06-10T13:29:36.038 | SIM:ESM5 | Sell | 29 | 6023.25 | Aggressive |
| 2025-06-10T13:29:35.029 | SIM:ESM5 | Sell | 3 | 6023.25 | Aggressive |
| 2025-06-10T13:29:34.123 | SIM:ESM5 | Sell | 3 | 6023 | Aggressive |
| 2025-06-10T13:29:33.022 | SIM:ESM5 | Sell | 1 | 6023 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2000
Slippage Sweep
-0.3900
Arrival Price
6,023.3750
Average Total
6,023.1750
Destination Price
6,023.1250
Sweep to Fill
6,023.5650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:29:31.191 | SIM:ESM5 | Buy | 13 | 6023.25 | Aggressive |
| 2025-06-10T13:29:31.191 | SIM:ESM5 | Buy | 16 | 6023 | Aggressive |
| 2025-06-10T13:29:32.18 | SIM:ESM5 | Buy | 4 | 6023.25 | Aggressive |
| 2025-06-10T13:29:30.206 | SIM:ESM5 | Buy | 16 | 6023.25 | Aggressive |
| 2025-06-10T13:29:29.193 | SIM:ESM5 | Buy | 1 | 6023.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3850
Slippage Sweep
0.1200
Arrival Price
6,022.1250
Average Total
6,021.7400
Destination Price
6,022.1250
Sweep to Fill
6,021.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:28:58.821 | SIM:ESM5 | Sell | 5 | 6022 | Aggressive |
| 2025-06-10T13:28:58.821 | SIM:ESM5 | Sell | 1 | 6022.25 | Aggressive |
| 2025-06-10T13:28:58.821 | SIM:ESM5 | Sell | 1 | 6022.25 | Passive |
| 2025-06-10T13:28:56.596 | SIM:ESM5 | Sell | 3 | 6022.25 | Aggressive |
| 2025-06-10T13:28:55.614 | SIM:ESM5 | Sell | 3 | 6022 | Aggressive |
| 2025-06-10T13:28:43.493 | SIM:ESM5 | Sell | 1 | 6021.5 | Aggressive |
| 2025-06-10T13:28:40.544 | SIM:ESM5 | Sell | 3 | 6022.25 | Passive |
| 2025-06-10T13:28:55.614 | SIM:ESM5 | Sell | 5 | 6022 | Aggressive |
| 2025-06-10T13:28:52.563 | SIM:ESM5 | Sell | 7 | 6021.5 | Aggressive |
| 2025-06-10T13:28:51.547 | SIM:ESM5 | Sell | 3 | 6021.5 | Aggressive |
| 2025-06-10T13:28:49.541 | SIM:ESM5 | Sell | 11 | 6021.25 | Aggressive |
| 2025-06-10T13:28:44.542 | SIM:ESM5 | Sell | 5 | 6021.75 | Aggressive |
| 2025-06-10T13:28:42.488 | SIM:ESM5 | Sell | 1 | 6022 | Aggressive |
| 2025-06-10T13:28:39.462 | SIM:ESM5 | Sell | 1 | 6022 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4700
Slippage Sweep
-0.7000
Arrival Price
6,022.8750
Average Total
6,022.4050
Destination Price
6,022.1250
Sweep to Fill
6,023.1050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:28:38.936 | SIM:ESM5 | Buy | 4 | 6022.5 | Aggressive |
| 2025-06-10T13:28:38.936 | SIM:ESM5 | Buy | 35 | 6022.25 | Aggressive |
| 2025-06-10T13:28:36.938 | SIM:ESM5 | Buy | 2 | 6023 | Aggressive |
| 2025-06-10T13:28:37.929 | SIM:ESM5 | Buy | 1 | 6023 | Aggressive |
| 2025-06-10T13:28:37.929 | SIM:ESM5 | Buy | 6 | 6022.75 | Aggressive |
| 2025-06-10T13:28:35.994 | SIM:ESM5 | Buy | 1 | 6023 | Aggressive |
| 2025-06-10T13:28:35.232 | SIM:ESM5 | Buy | 1 | 6023 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9250
Slippage Sweep
0.6800
Arrival Price
6,024.3750
Average Total
6,023.4500
Destination Price
6,023.1250
Sweep to Fill
6,024.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:28:04.528 | SIM:ESM5 | Sell | 1 | 6023.25 | Passive |
| 2025-06-10T13:27:54.05 | SIM:ESM5 | Sell | 1 | 6023.25 | Aggressive |
| 2025-06-10T13:27:53.017 | SIM:ESM5 | Sell | 2 | 6023.5 | Aggressive |
| 2025-06-10T13:27:56.015 | SIM:ESM5 | Sell | 8 | 6023 | Aggressive |
| 2025-06-10T13:27:55.017 | SIM:ESM5 | Sell | 4 | 6022.75 | Aggressive |
| 2025-06-10T13:27:43.923 | SIM:ESM5 | Sell | 2 | 6024.25 | Aggressive |
| 2025-06-10T13:28:04.528 | SIM:ESM5 | Sell | 4 | 6023.25 | Passive |
| 2025-06-10T13:28:04.528 | SIM:ESM5 | Sell | 12 | 6023 | Aggressive |
| 2025-06-10T13:28:04.528 | SIM:ESM5 | Sell | 1 | 6023.25 | Aggressive |
| 2025-06-10T13:27:50.121 | SIM:ESM5 | Sell | 2 | 6024 | Aggressive |
| 2025-06-10T13:27:48.954 | SIM:ESM5 | Sell | 8 | 6024.25 | Aggressive |
| 2025-06-10T13:27:44.934 | SIM:ESM5 | Sell | 4 | 6024.25 | Aggressive |
| 2025-06-10T13:27:42.981 | SIM:ESM5 | Sell | 1 | 6024.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.3100
Arrival Price
6,024.8750
Average Total
6,024.8150
Destination Price
6,024.6250
Sweep to Fill
6,025.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:27:42.563 | SIM:ESM5 | Buy | 11 | 6024.75 | Aggressive |
| 2025-06-10T13:27:40.533 | SIM:ESM5 | Buy | 12 | 6025 | Aggressive |
| 2025-06-10T13:27:40.533 | SIM:ESM5 | Buy | 23 | 6024.75 | Aggressive |
| 2025-06-10T13:27:40.02 | SIM:ESM5 | Buy | 1 | 6024.75 | Passive |
| 2025-06-10T13:27:40.02 | SIM:ESM5 | Buy | 2 | 6024.75 | Passive |
| 2025-06-10T13:27:38.649 | SIM:ESM5 | Buy | 1 | 6025 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0950
Arrival Price
6,024.8750
Average Total
6,024.7500
Destination Price
6,024.8750
Sweep to Fill
6,024.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:26:55.896 | SIM:ESM5 | Sell | 9 | 6024.75 | Aggressive |
| 2025-06-10T13:26:55.896 | SIM:ESM5 | Sell | 2 | 6024.75 | Aggressive |
| 2025-06-10T13:26:54.892 | SIM:ESM5 | Sell | 2 | 6024.75 | Aggressive |
| 2025-06-10T13:26:51.978 | SIM:ESM5 | Sell | 3 | 6024.75 | Aggressive |
| 2025-06-10T13:26:50.862 | SIM:ESM5 | Sell | 3 | 6024.75 | Aggressive |
| 2025-06-10T13:27:08.104 | SIM:ESM5 | Sell | 3 | 6024.75 | Aggressive |
| 2025-06-10T13:27:03.935 | SIM:ESM5 | Sell | 20 | 6024.75 | Aggressive |
| 2025-06-10T13:27:03.935 | SIM:ESM5 | Sell | 7 | 6024.75 | Aggressive |
| 2025-06-10T13:26:49.921 | SIM:ESM5 | Sell | 1 | 6024.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5800
Slippage Sweep
0.3000
Arrival Price
6,023.8750
Average Total
6,024.4550
Destination Price
6,024.8750
Sweep to Fill
6,024.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:26:49.429 | SIM:ESM5 | Buy | 4 | 6025 | Aggressive |
| 2025-06-10T13:26:40.727 | SIM:ESM5 | Buy | 15 | 6024.5 | Aggressive |
| 2025-06-10T13:26:34.884 | SIM:ESM5 | Buy | 6 | 6024 | Aggressive |
| 2025-06-10T13:26:33.717 | SIM:ESM5 | Buy | 1 | 6024 | Aggressive |
| 2025-06-10T13:26:32.908 | SIM:ESM5 | Buy | 2 | 6024 | Aggressive |
| 2025-06-10T13:26:45.998 | SIM:ESM5 | Buy | 9 | 6025 | Aggressive |
| 2025-06-10T13:26:45.998 | SIM:ESM5 | Buy | 1 | 6024.75 | Aggressive |
| 2025-06-10T13:26:45.998 | SIM:ESM5 | Buy | 1 | 6024.75 | Passive |
| 2025-06-10T13:26:36.696 | SIM:ESM5 | Buy | 3 | 6024.25 | Aggressive |
| 2025-06-10T13:26:35.673 | SIM:ESM5 | Buy | 2 | 6024 | Aggressive |
| 2025-06-10T13:26:30.691 | SIM:ESM5 | Buy | 3 | 6024 | Aggressive |
| 2025-06-10T13:26:29.622 | SIM:ESM5 | Buy | 2 | 6024 | Aggressive |
| 2025-06-10T13:26:28.612 | SIM:ESM5 | Buy | 1 | 6024 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7100
Slippage Sweep
0.4400
Arrival Price
6,024.8750
Average Total
6,024.1650
Destination Price
6,023.8750
Sweep to Fill
6,024.6050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:25:58.116 | SIM:ESM5 | Sell | 16 | 6023.75 | Aggressive |
| 2025-06-10T13:25:47.071 | SIM:ESM5 | Sell | 3 | 6024.5 | Aggressive |
| 2025-06-10T13:25:39.937 | SIM:ESM5 | Sell | 1 | 6024.75 | Aggressive |
| 2025-06-10T13:25:37.94 | SIM:ESM5 | Sell | 1 | 6024.5 | Aggressive |
| 2025-06-10T13:25:36.963 | SIM:ESM5 | Sell | 3 | 6024.5 | Aggressive |
| 2025-06-10T13:25:54.483 | SIM:ESM5 | Sell | 1 | 6024 | Passive |
| 2025-06-10T13:25:49.025 | SIM:ESM5 | Sell | 12 | 6024 | Aggressive |
| 2025-06-10T13:25:34.023 | SIM:ESM5 | Sell | 1 | 6024.5 | Aggressive |
| 2025-06-10T13:25:44.091 | SIM:ESM5 | Sell | 1 | 6024.5 | Aggressive |
| 2025-06-10T13:25:41 | SIM:ESM5 | Sell | 5 | 6024.75 | Aggressive |
| 2025-06-10T13:25:39.009 | SIM:ESM5 | Sell | 3 | 6024.5 | Aggressive |
| 2025-06-10T13:25:35.949 | SIM:ESM5 | Sell | 1 | 6024.5 | Aggressive |
| 2025-06-10T13:25:34.948 | SIM:ESM5 | Sell | 1 | 6024.5 | Aggressive |
| 2025-06-10T13:25:32.91 | SIM:ESM5 | Sell | 1 | 6024.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1200
Slippage Sweep
-0.1050
Arrival Price
6,024.8750
Average Total
6,024.9950
Destination Price
6,024.8750
Sweep to Fill
6,025.1000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T13:25:29.192 | SIM:ESM5 | Buy | 7 | 6025 | Aggressive |
| 2025-06-10T13:25:18.094 | SIM:ESM5 | Buy | 7 | 6025.25 | Aggressive |
| 2025-06-10T13:25:32.32 | SIM:ESM5 | Buy | 4 | 6025 | Aggressive |
| 2025-06-10T13:25:27.563 | SIM:ESM5 | Buy | 1 | 6025 | Aggressive |
| 2025-06-10T13:25:21.104 | SIM:ESM5 | Buy | 4 | 6025 | Aggressive |
| 2025-06-10T13:25:21.104 | SIM:ESM5 | Buy | 7 | 6024.75 | Aggressive |
| 2025-06-10T13:25:12.038 | SIM:ESM5 | Buy | 3 | 6025 | Aggressive |
| 2025-06-10T13:25:11.047 | SIM:ESM5 | Buy | 2 | 6025 | Aggressive |
| 2025-06-10T13:25:10.336 | SIM:ESM5 | Buy | 1 | 6024.75 | Passive |
| 2025-06-10T13:25:28.17 | SIM:ESM5 | Buy | 1 | 6025 | Aggressive |
| 2025-06-10T13:25:20.092 | SIM:ESM5 | Buy | 1 | 6025 | Aggressive |
| 2025-06-10T13:25:14.061 | SIM:ESM5 | Buy | 6 | 6025 | Aggressive |
| 2025-06-10T13:25:13.061 | SIM:ESM5 | Buy | 5 | 6025 | Aggressive |
| 2025-06-10T13:25:09.012 | SIM:ESM5 | Buy | 1 | 6025 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1400
Slippage Sweep
-0.3650
Arrival Price
6,018.3750
Average Total
6,018.5150
Destination Price
6,018.6250
Sweep to Fill
6,018.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-10T06:59:55.793 | SIM:ESM5 | Buy | 4 | 6018.75 | Aggressive |
| 2025-06-10T06:59:48.543 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:43.687 | SIM:ESM5 | Buy | 1 | 6018.25 | Passive |
| 2025-06-10T06:59:49.599 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:34.921 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:29.535 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:29.535 | SIM:ESM5 | Buy | 7 | 6018.75 | Aggressive |
| 2025-06-10T06:58:58.778 | SIM:ESM5 | Buy | 1 | 6018.5 | Aggressive |
| 2025-06-10T06:58:57.206 | SIM:ESM5 | Buy | 2 | 6018.5 | Aggressive |
| 2025-06-10T06:58:56.443 | SIM:ESM5 | Buy | 1 | 6018.5 | Aggressive |
| 2025-06-10T06:59:52.842 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:52.485 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:33.458 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:33.458 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:33.458 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:27.189 | SIM:ESM5 | Buy | 1 | 6018.75 | Aggressive |
| 2025-06-10T06:59:02.139 | SIM:ESM5 | Buy | 1 | 6018.25 | Aggressive |
| 2025-06-10T06:59:02.139 | SIM:ESM5 | Buy | 9 | 6018.25 | Aggressive |
| 2025-06-10T06:58:50.098 | SIM:ESM5 | Buy | 1 | 6018.5 | Aggressive |
| 2025-06-10T06:59:01.132 | SIM:ESM5 | Buy | 2 | 6018.5 | Aggressive |
| 2025-06-10T06:59:01.132 | SIM:ESM5 | Buy | 7 | 6018.25 | Aggressive |
| 2025-06-10T06:59:00.141 | SIM:ESM5 | Buy | 1 | 6018.5 | Aggressive |
| 2025-06-10T06:58:53.195 | SIM:ESM5 | Buy | 1 | 6018.5 | Aggressive |
| 2025-06-10T06:58:52.364 | SIM:ESM5 | Buy | 1 | 6018.5 | Aggressive |
| 2025-06-10T06:58:48.413 | SIM:ESM5 | Buy | 1 | 6018.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.5950
Arrival Price
6,031.1250
Average Total
6,031.0200
Destination Price
6,030.8750
Sweep to Fill
6,031.6150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T23:59:04.576 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:58:19.079 | SIM:ESM5 | Buy | 4 | 6031 | Aggressive |
| 2025-06-09T23:58:12.46 | SIM:ESM5 | Buy | 4 | 6031 | Aggressive |
| 2025-06-09T23:58:09.503 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:58:06.003 | SIM:ESM5 | Buy | 6 | 6031 | Aggressive |
| 2025-06-09T23:58:05.619 | SIM:ESM5 | Buy | 1 | 6031.25 | Aggressive |
| 2025-06-09T23:58:38.744 | SIM:ESM5 | Buy | 4 | 6031 | Aggressive |
| 2025-06-09T23:58:10.533 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:58:10.533 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:58:02.004 | SIM:ESM5 | Buy | 1 | 6031.25 | Aggressive |
| 2025-06-09T23:57:58.021 | SIM:ESM5 | Buy | 1 | 6031.25 | Aggressive |
| 2025-06-09T23:59:15.107 | SIM:ESM5 | Buy | 3 | 6031 | Aggressive |
| 2025-06-09T23:59:13.805 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:59:11.672 | SIM:ESM5 | Buy | 4 | 6031 | Aggressive |
| 2025-06-09T23:59:03.3 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:59:01.484 | SIM:ESM5 | Buy | 3 | 6031 | Aggressive |
| 2025-06-09T23:58:31.541 | SIM:ESM5 | Buy | 4 | 6031 | Aggressive |
| 2025-06-09T23:58:31.541 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:58:31.541 | SIM:ESM5 | Buy | 2 | 6031 | Aggressive |
| 2025-06-09T23:58:19.057 | SIM:ESM5 | Buy | 1 | 6030.75 | Passive |
| 2025-06-09T23:58:19.057 | SIM:ESM5 | Buy | 1 | 6030.75 | Passive |
| 2025-06-09T23:58:07.352 | SIM:ESM5 | Buy | 1 | 6031 | Aggressive |
| 2025-06-09T23:58:01.058 | SIM:ESM5 | Buy | 1 | 6031.25 | Aggressive |
| 2025-06-09T23:57:55.327 | SIM:ESM5 | Buy | 1 | 6031.25 | Passive |
| 2025-06-09T23:57:55.327 | SIM:ESM5 | Buy | 1 | 6031.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.4550
Arrival Price
6,030.6250
Average Total
6,030.8100
Destination Price
6,031.1250
Sweep to Fill
6,030.3550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T23:57:14.901 | SIM:ESM5 | Sell | 2 | 6030.5 | Aggressive |
| 2025-06-09T23:57:14.901 | SIM:ESM5 | Sell | 18 | 6030.75 | Aggressive |
| 2025-06-09T23:57:14.901 | SIM:ESM5 | Sell | 7 | 6031 | Aggressive |
| 2025-06-09T23:57:12.976 | SIM:ESM5 | Sell | 1 | 6030.75 | Aggressive |
| 2025-06-09T23:57:12.976 | SIM:ESM5 | Sell | 1 | 6030.75 | Aggressive |
| 2025-06-09T23:57:16.404 | SIM:ESM5 | Sell | 6 | 6030.75 | Aggressive |
| 2025-06-09T23:57:16.404 | SIM:ESM5 | Sell | 7 | 6031 | Aggressive |
| 2025-06-09T23:57:06.91 | SIM:ESM5 | Sell | 2 | 6030.75 | Aggressive |
| 2025-06-09T23:57:12.109 | SIM:ESM5 | Sell | 1 | 6030.75 | Aggressive |
| 2025-06-09T23:57:12.109 | SIM:ESM5 | Sell | 2 | 6030.75 | Aggressive |
| 2025-06-09T23:57:07.798 | SIM:ESM5 | Sell | 2 | 6030.75 | Aggressive |
| 2025-06-09T23:57:05.5 | SIM:ESM5 | Sell | 1 | 6030.75 | Passive |