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
-0.2050
Slippage Sweep
-1.0734
Arrival Price
5,293.5000
Average Total
5,293.2950
Destination Price
5,292.0000
Sweep to Fill
5,294.3684
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:03:19.57 | SIM:ESM5 | Buy | 1 | 5294 | Aggressive |
| 2025-04-20T17:03:20.475 | SIM:ESM5 | Buy | 1 | 5294.25 | Aggressive |
| 2025-04-20T17:03:21.413 | SIM:ESM5 | Buy | 4 | 5294.5 | Aggressive |
| 2025-04-20T17:03:21.413 | SIM:ESM5 | Buy | 2 | 5294.5 | Passive |
| 2025-04-20T17:03:22.412 | SIM:ESM5 | Buy | 4 | 5294.5 | Aggressive |
| 2025-04-20T17:03:23.112 | SIM:ESM5 | Buy | 1 | 5294.25 | Passive |
| 2025-04-20T17:03:23.37 | SIM:ESM5 | Buy | 6 | 5294.25 | Aggressive |
| 2025-04-20T17:03:23.37 | SIM:ESM5 | Buy | 2 | 5294.25 | Passive |
| 2025-04-20T17:03:34.456 | SIM:ESM5 | Buy | 1 | 5292.5 | Aggressive |
| 2025-04-20T17:03:34.456 | SIM:ESM5 | Buy | 3 | 5292.75 | Aggressive |
| 2025-04-20T17:03:34.456 | SIM:ESM5 | Buy | 1 | 5293 | Aggressive |
| 2025-04-20T17:03:35.744 | SIM:ESM5 | Buy | 2 | 5292.5 | Aggressive |
| 2025-04-20T17:03:35.744 | SIM:ESM5 | Buy | 1 | 5292.75 | Aggressive |
| 2025-04-20T17:03:36.512 | SIM:ESM5 | Buy | 2 | 5292.5 | Aggressive |
| 2025-04-20T17:03:36.512 | SIM:ESM5 | Buy | 1 | 5292.75 | Aggressive |
| 2025-04-20T17:03:37.52 | SIM:ESM5 | Buy | 1 | 5292 | Aggressive |
| 2025-04-20T17:03:38.521 | SIM:ESM5 | Buy | 4 | 5292.5 | Aggressive |
| 2025-04-20T17:03:38.613 | SIM:ESM5 | Buy | 1 | 5292 | Aggressive |
| 2025-04-20T17:03:39.556 | SIM:ESM5 | Buy | 2 | 5292.75 | Aggressive |
| 2025-04-20T17:03:39.557 | SIM:ESM5 | Buy | 1 | 5292.75 | Aggressive |
| 2025-04-20T17:03:40.517 | SIM:ESM5 | Buy | 2 | 5292.75 | Aggressive |
| 2025-04-20T17:03:40.518 | SIM:ESM5 | Buy | 1 | 5292.75 | Passive |
| 2025-04-20T17:03:43.544 | SIM:ESM5 | Buy | 2 | 5292.25 | Aggressive |
| 2025-04-20T17:03:43.544 | SIM:ESM5 | Buy | 1 | 5292.25 | Passive |
| 2025-04-20T17:03:44.612 | SIM:ESM5 | Buy | 2 | 5292.25 | Aggressive |
| 2025-04-20T17:03:44.612 | SIM:ESM5 | Buy | 1 | 5292.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.2400
Slippage Sweep
-2.1864
Arrival Price
5,298.1250
Average Total
5,296.8850
Destination Price
5,295.7500
Sweep to Fill
5,299.0714
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:01:30.079 | SIM:ESM5 | Buy | 1 | 5298.75 | Aggressive |
| 2025-04-20T17:01:35.282 | SIM:ESM5 | Buy | 2 | 5297.75 | Aggressive |
| 2025-04-20T17:01:36.249 | SIM:ESM5 | Buy | 1 | 5297.75 | Aggressive |
| 2025-04-20T17:01:37.337 | SIM:ESM5 | Buy | 1 | 5297.75 | Aggressive |
| 2025-04-20T17:01:42.374 | SIM:ESM5 | Buy | 1 | 5298.75 | Aggressive |
| 2025-04-20T17:01:43.486 | SIM:ESM5 | Buy | 2 | 5299 | Aggressive |
| 2025-04-20T17:01:43.486 | SIM:ESM5 | Buy | 1 | 5299 | Aggressive |
| 2025-04-20T17:01:44.42 | SIM:ESM5 | Buy | 2 | 5299 | Aggressive |
| 2025-04-20T17:01:44.42 | SIM:ESM5 | Buy | 1 | 5299 | Passive |
| 2025-04-20T17:01:45.254 | SIM:ESM5 | Buy | 3 | 5296.75 | Aggressive |
| 2025-04-20T17:01:45.254 | SIM:ESM5 | Buy | 1 | 5296.75 | Aggressive |
| 2025-04-20T17:01:46.33 | SIM:ESM5 | Buy | 3 | 5295.5 | Aggressive |
| 2025-04-20T17:01:46.33 | SIM:ESM5 | Buy | 1 | 5295.75 | Aggressive |
| 2025-04-20T17:01:46.33 | SIM:ESM5 | Buy | 3 | 5296 | Aggressive |
| 2025-04-20T17:01:47.279 | SIM:ESM5 | Buy | 2 | 5295.5 | Aggressive |
| 2025-04-20T17:01:47.279 | SIM:ESM5 | Buy | 2 | 5295.75 | Aggressive |
| 2025-04-20T17:01:47.279 | SIM:ESM5 | Buy | 1 | 5295.5 | Aggressive |
| 2025-04-20T17:01:48.319 | SIM:ESM5 | Buy | 2 | 5295.5 | Aggressive |
| 2025-04-20T17:01:49.325 | SIM:ESM5 | Buy | 3 | 5295.75 | Aggressive |
| 2025-04-20T17:01:49.325 | SIM:ESM5 | Buy | 1 | 5295.75 | Passive |
| 2025-04-20T17:01:50.358 | SIM:ESM5 | Buy | 1 | 5297 | Aggressive |
| 2025-04-20T17:01:50.358 | SIM:ESM5 | Buy | 2 | 5297.25 | Aggressive |
| 2025-04-20T17:01:51.422 | SIM:ESM5 | Buy | 2 | 5297.5 | Aggressive |
| 2025-04-20T17:01:52.378 | SIM:ESM5 | Buy | 1 | 5297.5 | Aggressive |
| 2025-04-20T17:01:52.378 | SIM:ESM5 | Buy | 1 | 5297.75 | Aggressive |
| 2025-04-20T17:01:53.419 | SIM:ESM5 | Buy | 1 | 5297.5 | Aggressive |
| 2025-04-20T17:01:54.366 | SIM:ESM5 | Buy | 1 | 5297 | Aggressive |
| 2025-04-20T17:01:54.366 | SIM:ESM5 | Buy | 2 | 5297.25 | Aggressive |
| 2025-04-20T17:01:55.74 | SIM:ESM5 | Buy | 2 | 5296.5 | Aggressive |
| 2025-04-20T17:01:55.74 | SIM:ESM5 | Buy | 1 | 5296.5 | Passive |
| 2025-04-20T17:01:56.419 | SIM:ESM5 | Buy | 1 | 5296 | Aggressive |
| 2025-04-20T17:01:56.42 | SIM:ESM5 | Buy | 1 | 5296.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
6.4950
Slippage Sweep
5.6234
Arrival Price
5,305.5000
Average Total
5,299.0050
Destination Price
5,296.5000
Sweep to Fill
5,304.6284
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:00:31.112 | SIM:ESM5 | Sell | 1 | 5305.75 | Aggressive |
| 2025-04-20T17:00:34.917 | SIM:ESM5 | Sell | 1 | 5301.5 | Aggressive |
| 2025-04-20T17:00:35.165 | SIM:ESM5 | Sell | 4 | 5300.75 | Aggressive |
| 2025-04-20T17:00:35.268 | SIM:ESM5 | Sell | 2 | 5300.75 | Aggressive |
| 2025-04-20T17:00:36.174 | SIM:ESM5 | Sell | 3 | 5300 | Aggressive |
| 2025-04-20T17:00:36.174 | SIM:ESM5 | Sell | 2 | 5299.75 | Aggressive |
| 2025-04-20T17:00:37.212 | SIM:ESM5 | Sell | 3 | 5300.25 | Aggressive |
| 2025-04-20T17:00:37.212 | SIM:ESM5 | Sell | 1 | 5300.25 | Aggressive |
| 2025-04-20T17:00:38.265 | SIM:ESM5 | Sell | 2 | 5300.75 | Aggressive |
| 2025-04-20T17:00:38.265 | SIM:ESM5 | Sell | 1 | 5300.75 | Passive |
| 2025-04-20T17:00:39.248 | SIM:ESM5 | Sell | 2 | 5300.75 | Aggressive |
| 2025-04-20T17:00:39.248 | SIM:ESM5 | Sell | 1 | 5300.75 | Aggressive |
| 2025-04-20T17:00:40.197 | SIM:ESM5 | Sell | 1 | 5300.75 | Aggressive |
| 2025-04-20T17:00:40.197 | SIM:ESM5 | Sell | 3 | 5300.5 | Aggressive |
| 2025-04-20T17:00:41.247 | SIM:ESM5 | Sell | 3 | 5299.75 | Aggressive |
| 2025-04-20T17:00:41.247 | SIM:ESM5 | Sell | 1 | 5299.75 | Aggressive |
| 2025-04-20T17:00:42.366 | SIM:ESM5 | Sell | 7 | 5296.75 | Aggressive |
| 2025-04-20T17:00:42.366 | SIM:ESM5 | Sell | 3 | 5296.75 | Passive |
| 2025-04-20T17:00:43.31 | SIM:ESM5 | Sell | 2 | 5296.25 | Aggressive |
| 2025-04-20T17:00:43.31 | SIM:ESM5 | Sell | 6 | 5296 | Aggressive |
| 2025-04-20T17:00:44.653 | SIM:ESM5 | Sell | 1 | 5296.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
15.1650
Slippage Sweep
13.2186
Arrival Price
5,283.8750
Average Total
5,299.0400
Destination Price
5,299.1250
Sweep to Fill
5,285.8214
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-20T17:00:01.26 | SIM:ESM5 | Buy | 2 | 5293 | Aggressive |
| 2025-04-20T17:00:01.26 | SIM:ESM5 | Buy | 1 | 5293.25 | Aggressive |
| 2025-04-20T17:00:02.171 | SIM:ESM5 | Buy | 2 | 5292.5 | Aggressive |
| 2025-04-20T17:00:03.212 | SIM:ESM5 | Buy | 1 | 5294.75 | Aggressive |
| 2025-04-20T17:00:03.212 | SIM:ESM5 | Buy | 2 | 5295 | Aggressive |
| 2025-04-20T17:00:04.205 | SIM:ESM5 | Buy | 2 | 5298 | Aggressive |
| 2025-04-20T17:00:04.205 | SIM:ESM5 | Buy | 1 | 5299.25 | Aggressive |
| 2025-04-20T17:00:04.205 | SIM:ESM5 | Buy | 1 | 5299.5 | Aggressive |
| 2025-04-20T17:00:05.244 | SIM:ESM5 | Buy | 2 | 5299.75 | Aggressive |
| 2025-04-20T17:00:05.244 | SIM:ESM5 | Buy | 1 | 5300 | Aggressive |
| 2025-04-20T17:00:05.244 | SIM:ESM5 | Buy | 2 | 5301.5 | Aggressive |
| 2025-04-20T17:00:05.244 | SIM:ESM5 | Buy | 1 | 5301.75 | Aggressive |
| 2025-04-20T17:00:06.015 | SIM:ESM5 | Buy | 1 | 5299 | Passive |
| 2025-04-20T17:00:06.252 | SIM:ESM5 | Buy | 3 | 5301.5 | Aggressive |
| 2025-04-20T17:00:06.252 | SIM:ESM5 | Buy | 1 | 5301.5 | Aggressive |
| 2025-04-20T17:00:07.222 | SIM:ESM5 | Buy | 3 | 5301.5 | Aggressive |
| 2025-04-20T17:00:07.222 | SIM:ESM5 | Buy | 1 | 5301.5 | Aggressive |
| 2025-04-20T17:00:08.231 | SIM:ESM5 | Buy | 2 | 5301.25 | Aggressive |
| 2025-04-20T17:00:08.231 | SIM:ESM5 | Buy | 1 | 5301.25 | Aggressive |
| 2025-04-20T17:00:09.387 | SIM:ESM5 | Buy | 1 | 5299.5 | Aggressive |
| 2025-04-20T17:00:09.387 | SIM:ESM5 | Buy | 3 | 5299.75 | Aggressive |
| 2025-04-20T17:00:09.387 | SIM:ESM5 | Buy | 3 | 5300 | Aggressive |
| 2025-04-20T17:00:10.314 | SIM:ESM5 | Buy | 7 | 5299.25 | Aggressive |
| 2025-04-20T17:00:10.315 | SIM:ESM5 | Buy | 1 | 5299 | Aggressive |
| 2025-04-20T17:00:10.315 | SIM:ESM5 | Buy | 1 | 5299.25 | Aggressive |
| 2025-04-20T17:00:11.334 | SIM:ESM5 | Buy | 1 | 5299 | Aggressive |
| 2025-04-20T17:00:12.33 | SIM:ESM5 | Buy | 3 | 5299.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2700
Slippage Sweep
-0.6467
Arrival Price
5,322.5000
Average Total
5,322.7700
Destination Price
5,322.0000
Sweep to Fill
5,323.4167
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T15:16:58.443 | SIM:ESM5 | Buy | 1 | 5322.75 | Aggressive |
| 2025-04-17T15:17:00.675 | SIM:ESM5 | Buy | 2 | 5322.75 | Aggressive |
| 2025-04-17T15:17:01.82 | SIM:ESM5 | Buy | 1 | 5323 | Aggressive |
| 2025-04-17T15:17:02.801 | SIM:ESM5 | Buy | 1 | 5323 | Aggressive |
| 2025-04-17T15:17:04.529 | SIM:ESM5 | Buy | 1 | 5323 | Aggressive |
| 2025-04-17T15:17:06.54 | SIM:ESM5 | Buy | 2 | 5322.5 | Aggressive |
| 2025-04-17T15:17:07.812 | SIM:ESM5 | Buy | 1 | 5322.5 | Aggressive |
| 2025-04-17T15:17:08.765 | SIM:ESM5 | Buy | 1 | 5322.5 | Aggressive |
| 2025-04-17T15:17:09.868 | SIM:ESM5 | Buy | 1 | 5322.5 | Aggressive |
| 2025-04-17T15:17:10.57 | SIM:ESM5 | Buy | 3 | 5322.25 | Aggressive |
| 2025-04-17T15:17:10.57 | SIM:ESM5 | Buy | 1 | 5322.5 | Aggressive |
| 2025-04-17T15:17:12.118 | SIM:ESM5 | Buy | 1 | 5322.25 | Aggressive |
| 2025-04-17T15:17:12.821 | SIM:ESM5 | Buy | 1 | 5322.25 | Aggressive |
| 2025-04-17T15:17:15.624 | SIM:ESM5 | Buy | 3 | 5322 | Aggressive |
| 2025-04-17T15:17:15.624 | SIM:ESM5 | Buy | 1 | 5322.25 | Aggressive |
| 2025-04-17T15:17:16.665 | SIM:ESM5 | Buy | 1 | 5322.25 | Aggressive |
| 2025-04-17T15:17:18.722 | SIM:ESM5 | Buy | 8 | 5323.75 | Aggressive |
| 2025-04-17T15:17:18.722 | SIM:ESM5 | Buy | 1 | 5323.75 | Passive |
| 2025-04-17T15:17:19.724 | SIM:ESM5 | Buy | 2 | 5323.5 | Aggressive |
| 2025-04-17T15:17:19.724 | SIM:ESM5 | Buy | 3 | 5323.75 | Aggressive |
| 2025-04-17T15:17:32.872 | SIM:ESM5 | Buy | 2 | 5322.25 | Aggressive |
| 2025-04-17T15:17:32.872 | SIM:ESM5 | Buy | 4 | 5322.5 | Aggressive |
| 2025-04-17T15:17:33.919 | SIM:ESM5 | Buy | 4 | 5322.25 | Aggressive |
| 2025-04-17T15:17:33.919 | SIM:ESM5 | Buy | 3 | 5322.25 | Aggressive |
| 2025-04-17T15:17:34.928 | SIM:ESM5 | Buy | 1 | 5322.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
2.6750
Slippage Sweep
1.8995
Arrival Price
5,322.5000
Average Total
5,325.1750
Destination Price
5,324.5000
Sweep to Fill
5,323.2755
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T15:15:22.555 | SIM:ESM5 | Buy | 1 | 5322.5 | Aggressive |
| 2025-04-17T15:15:23.52 | SIM:ESM5 | Buy | 1 | 5324.25 | Aggressive |
| 2025-04-17T15:15:23.52 | SIM:ESM5 | Buy | 2 | 5324.5 | Aggressive |
| 2025-04-17T15:15:23.52 | SIM:ESM5 | Buy | 5 | 5324.75 | Aggressive |
| 2025-04-17T15:15:23.52 | SIM:ESM5 | Buy | 2 | 5325 | Aggressive |
| 2025-04-17T15:15:24.519 | SIM:ESM5 | Buy | 14 | 5325.5 | Aggressive |
| 2025-04-17T15:15:24.519 | SIM:ESM5 | Buy | 4 | 5325.5 | Passive |
| 2025-04-17T15:15:25.568 | SIM:ESM5 | Buy | 12 | 5325.5 | Aggressive |
| 2025-04-17T15:15:25.659 | SIM:ESM5 | Buy | 3 | 5325.25 | Aggressive |
| 2025-04-17T15:15:26.537 | SIM:ESM5 | Buy | 6 | 5324.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.0500
Slippage Sweep
0.5050
Arrival Price
5,318.5000
Average Total
5,319.5500
Destination Price
5,319.5000
Sweep to Fill
5,319.0450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T15:07:21.618 | SIM:ESM5 | Buy | 1 | 5318.75 | Aggressive |
| 2025-04-17T15:07:22.521 | SIM:ESM5 | Buy | 1 | 5319.25 | Aggressive |
| 2025-04-17T15:07:23.781 | SIM:ESM5 | Buy | 5 | 5319.25 | Aggressive |
| 2025-04-17T15:07:23.782 | SIM:ESM5 | Buy | 1 | 5319.5 | Aggressive |
| 2025-04-17T15:07:25.532 | SIM:ESM5 | Buy | 3 | 5319.5 | Aggressive |
| 2025-04-17T15:07:26.638 | SIM:ESM5 | Buy | 6 | 5319.5 | Aggressive |
| 2025-04-17T15:07:26.638 | SIM:ESM5 | Buy | 1 | 5319.75 | Aggressive |
| 2025-04-17T15:07:27.532 | SIM:ESM5 | Buy | 5 | 5319.5 | Aggressive |
| 2025-04-17T15:07:27.532 | SIM:ESM5 | Buy | 2 | 5319.75 | Aggressive |
| 2025-04-17T15:07:29.751 | SIM:ESM5 | Buy | 5 | 5319.25 | Aggressive |
| 2025-04-17T15:07:29.751 | SIM:ESM5 | Buy | 4 | 5319.5 | Aggressive |
| 2025-04-17T15:07:30.646 | SIM:ESM5 | Buy | 11 | 5319.75 | Aggressive |
| 2025-04-17T15:07:30.646 | SIM:ESM5 | Buy | 5 | 5320 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6850
Slippage Sweep
0.0350
Arrival Price
5,309.6250
Average Total
5,308.9400
Destination Price
5,308.3750
Sweep to Fill
5,308.9750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:52:54.03 | SIM:ESM5 | Sell | 1 | 5309.25 | Aggressive |
| 2025-04-17T14:52:54.985 | SIM:ESM5 | Sell | 4 | 5309.25 | Aggressive |
| 2025-04-17T14:52:54.985 | SIM:ESM5 | Sell | 1 | 5309.25 | Aggressive |
| 2025-04-17T14:52:55.987 | SIM:ESM5 | Sell | 9 | 5309 | Aggressive |
| 2025-04-17T14:52:55.987 | SIM:ESM5 | Sell | 3 | 5309 | Passive |
| 2025-04-17T14:52:59.018 | SIM:ESM5 | Sell | 10 | 5309.5 | Aggressive |
| 2025-04-17T14:53:00.03 | SIM:ESM5 | Sell | 6 | 5308.75 | Aggressive |
| 2025-04-17T14:53:00.065 | SIM:ESM5 | Sell | 1 | 5309 | Passive |
| 2025-04-17T14:53:00.065 | SIM:ESM5 | Sell | 1 | 5309 | Passive |
| 2025-04-17T14:53:00.065 | SIM:ESM5 | Sell | 1 | 5309 | Passive |
| 2025-04-17T14:53:01.043 | SIM:ESM5 | Sell | 6 | 5308.25 | Aggressive |
| 2025-04-17T14:53:02.113 | SIM:ESM5 | Sell | 1 | 5308.5 | Passive |
| 2025-04-17T14:53:02.113 | SIM:ESM5 | Sell | 1 | 5308.5 | Passive |
| 2025-04-17T14:53:02.113 | SIM:ESM5 | Sell | 2 | 5308.5 | Passive |
| 2025-04-17T14:53:02.113 | SIM:ESM5 | Sell | 2 | 5308.5 | Passive |
| 2025-04-17T14:53:02.113 | SIM:ESM5 | Sell | 1 | 5308.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.2100
Slippage Sweep
-1.5600
Arrival Price
5,310.6250
Average Total
5,309.4150
Destination Price
5,308.3750
Sweep to Fill
5,310.9750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:52:45.365 | SIM:ESM5 | Buy | 1 | 5310.5 | Aggressive |
| 2025-04-17T14:52:46.412 | SIM:ESM5 | Buy | 1 | 5310.25 | Aggressive |
| 2025-04-17T14:52:46.412 | SIM:ESM5 | Buy | 8 | 5310.5 | Aggressive |
| 2025-04-17T14:52:47.412 | SIM:ESM5 | Buy | 1 | 5309.25 | Aggressive |
| 2025-04-17T14:52:47.412 | SIM:ESM5 | Buy | 14 | 5309.5 | Aggressive |
| 2025-04-17T14:52:47.412 | SIM:ESM5 | Buy | 1 | 5309.75 | Aggressive |
| 2025-04-17T14:52:48.412 | SIM:ESM5 | Buy | 2 | 5308.75 | Aggressive |
| 2025-04-17T14:52:48.412 | SIM:ESM5 | Buy | 14 | 5309 | Aggressive |
| 2025-04-17T14:52:48.412 | SIM:ESM5 | Buy | 3 | 5309.25 | Aggressive |
| 2025-04-17T14:52:49.425 | SIM:ESM5 | Buy | 4 | 5308.5 | Aggressive |
| 2025-04-17T14:52:49.425 | SIM:ESM5 | Buy | 1 | 5308.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.0500
Slippage Sweep
0.4800
Arrival Price
5,309.6250
Average Total
5,310.6750
Destination Price
5,310.2500
Sweep to Fill
5,310.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:50:09.531 | SIM:ESM5 | Buy | 1 | 5310 | Aggressive |
| 2025-04-17T14:50:10.512 | SIM:ESM5 | Buy | 1 | 5309.5 | Aggressive |
| 2025-04-17T14:50:11.501 | SIM:ESM5 | Buy | 12 | 5311 | Aggressive |
| 2025-04-17T14:50:11.513 | SIM:ESM5 | Buy | 5 | 5311.25 | Aggressive |
| 2025-04-17T14:50:13.524 | SIM:ESM5 | Buy | 7 | 5310.5 | Aggressive |
| 2025-04-17T14:50:13.525 | SIM:ESM5 | Buy | 5 | 5310.75 | Aggressive |
| 2025-04-17T14:50:13.525 | SIM:ESM5 | Buy | 4 | 5310.5 | Aggressive |
| 2025-04-17T14:50:14.522 | SIM:ESM5 | Buy | 3 | 5310.25 | Aggressive |
| 2025-04-17T14:50:14.522 | SIM:ESM5 | Buy | 12 | 5310.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5000
Slippage Sweep
-0.8950
Arrival Price
5,318.3750
Average Total
5,317.8750
Destination Price
5,316.8750
Sweep to Fill
5,318.7700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:47:39.431 | SIM:ESM5 | Buy | 1 | 5318.5 | Aggressive |
| 2025-04-17T14:47:40.458 | SIM:ESM5 | Buy | 1 | 5318.5 | Aggressive |
| 2025-04-17T14:47:41.469 | SIM:ESM5 | Buy | 3 | 5318 | Aggressive |
| 2025-04-17T14:47:41.469 | SIM:ESM5 | Buy | 9 | 5318.25 | Aggressive |
| 2025-04-17T14:47:42.512 | SIM:ESM5 | Buy | 9 | 5318 | Aggressive |
| 2025-04-17T14:47:42.512 | SIM:ESM5 | Buy | 3 | 5318 | Aggressive |
| 2025-04-17T14:47:43.512 | SIM:ESM5 | Buy | 12 | 5318 | Aggressive |
| 2025-04-17T14:47:43.512 | SIM:ESM5 | Buy | 2 | 5318.25 | Aggressive |
| 2025-04-17T14:47:44.523 | SIM:ESM5 | Buy | 10 | 5317 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7450
Slippage Sweep
0.1400
Arrival Price
5,320.8750
Average Total
5,320.1300
Destination Price
5,320.3750
Sweep to Fill
5,320.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:46:47.312 | SIM:ESM5 | Sell | 1 | 5320.5 | Aggressive |
| 2025-04-17T14:46:48.247 | SIM:ESM5 | Sell | 4 | 5320.25 | Aggressive |
| 2025-04-17T14:46:48.247 | SIM:ESM5 | Sell | 10 | 5320 | Aggressive |
| 2025-04-17T14:46:48.247 | SIM:ESM5 | Sell | 4 | 5320.25 | Passive |
| 2025-04-17T14:46:49.269 | SIM:ESM5 | Sell | 19 | 5320.25 | Aggressive |
| 2025-04-17T14:46:54.322 | SIM:ESM5 | Sell | 5 | 5320 | Aggressive |
| 2025-04-17T14:46:54.322 | SIM:ESM5 | Sell | 5 | 5319.75 | Aggressive |
| 2025-04-17T14:46:55.343 | SIM:ESM5 | Sell | 2 | 5320.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3400
Slippage Sweep
-0.9000
Arrival Price
5,326.5000
Average Total
5,326.1600
Destination Price
5,325.3750
Sweep to Fill
5,327.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:45:13.958 | SIM:ESM5 | Buy | 2 | 5326.75 | Aggressive |
| 2025-04-17T14:45:14.02 | SIM:ESM5 | Buy | 1 | 5326.5 | Passive |
| 2025-04-17T14:45:14.976 | SIM:ESM5 | Buy | 3 | 5326.75 | Aggressive |
| 2025-04-17T14:45:15.985 | SIM:ESM5 | Buy | 4 | 5327 | Aggressive |
| 2025-04-17T14:45:15.985 | SIM:ESM5 | Buy | 4 | 5327.25 | Aggressive |
| 2025-04-17T14:45:17.989 | SIM:ESM5 | Buy | 3 | 5326 | Aggressive |
| 2025-04-17T14:45:17.989 | SIM:ESM5 | Buy | 10 | 5326.25 | Aggressive |
| 2025-04-17T14:45:23.031 | SIM:ESM5 | Buy | 11 | 5325.75 | Aggressive |
| 2025-04-17T14:45:23.032 | SIM:ESM5 | Buy | 1 | 5325.75 | Aggressive |
| 2025-04-17T14:45:24.041 | SIM:ESM5 | Buy | 8 | 5325.5 | Aggressive |
| 2025-04-17T14:45:24.041 | SIM:ESM5 | Buy | 3 | 5325.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7300
Slippage Sweep
0.1000
Arrival Price
5,325.6250
Average Total
5,324.8950
Destination Price
5,324.8750
Sweep to Fill
5,324.9950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:38:39.375 | SIM:ESM5 | Sell | 1 | 5325.5 | Aggressive |
| 2025-04-17T14:38:40.144 | SIM:ESM5 | Sell | 6 | 5325 | Aggressive |
| 2025-04-17T14:38:40.144 | SIM:ESM5 | Sell | 4 | 5324.75 | Aggressive |
| 2025-04-17T14:38:42.137 | SIM:ESM5 | Sell | 1 | 5325.25 | Aggressive |
| 2025-04-17T14:38:42.612 | SIM:ESM5 | Sell | 2 | 5325.25 | Aggressive |
| 2025-04-17T14:38:43.15 | SIM:ESM5 | Sell | 6 | 5325 | Aggressive |
| 2025-04-17T14:38:43.15 | SIM:ESM5 | Sell | 5 | 5324.75 | Aggressive |
| 2025-04-17T14:38:44.168 | SIM:ESM5 | Sell | 5 | 5325 | Aggressive |
| 2025-04-17T14:38:44.168 | SIM:ESM5 | Sell | 4 | 5324.75 | Aggressive |
| 2025-04-17T14:38:44.168 | SIM:ESM5 | Sell | 3 | 5325 | Passive |
| 2025-04-17T14:38:45.212 | SIM:ESM5 | Sell | 9 | 5324.75 | Aggressive |
| 2025-04-17T14:38:45.212 | SIM:ESM5 | Sell | 4 | 5324.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2450
Slippage Sweep
-0.5550
Arrival Price
5,328.1250
Average Total
5,327.8800
Destination Price
5,327.3750
Sweep to Fill
5,328.4350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:35:02.856 | SIM:ESM5 | Buy | 1 | 5328 | Passive |
| 2025-04-17T14:35:03.856 | SIM:ESM5 | Buy | 4 | 5328 | Aggressive |
| 2025-04-17T14:35:04.87 | SIM:ESM5 | Buy | 2 | 5328 | Aggressive |
| 2025-04-17T14:35:04.962 | SIM:ESM5 | Buy | 2 | 5328 | Aggressive |
| 2025-04-17T14:35:05.919 | SIM:ESM5 | Buy | 2 | 5327.75 | Aggressive |
| 2025-04-17T14:35:05.919 | SIM:ESM5 | Buy | 9 | 5328 | Aggressive |
| 2025-04-17T14:35:08.912 | SIM:ESM5 | Buy | 13 | 5328 | Aggressive |
| 2025-04-17T14:35:08.912 | SIM:ESM5 | Buy | 1 | 5328.25 | Aggressive |
| 2025-04-17T14:35:09.926 | SIM:ESM5 | Buy | 7 | 5327.75 | Aggressive |
| 2025-04-17T14:35:09.926 | SIM:ESM5 | Buy | 2 | 5327.75 | Aggressive |
| 2025-04-17T14:35:10.936 | SIM:ESM5 | Buy | 7 | 5327.5 | Aggressive |