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
-0.1150
Slippage Sweep
-0.3600
Arrival Price
5,936.1250
Average Total
5,936.2400
Destination Price
5,936.3750
Sweep to Fill
5,935.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:23:00.038 | SIM:ESM5 | Sell | 2 | 5936 | Aggressive |
| 2025-06-02T13:22:59.018 | SIM:ESM5 | Sell | 3 | 5935.75 | Aggressive |
| 2025-06-02T13:23:01.998 | SIM:ESM5 | Sell | 5 | 5936.25 | Aggressive |
| 2025-06-02T13:23:01.998 | SIM:ESM5 | Sell | 11 | 5936.5 | Aggressive |
| 2025-06-02T13:23:01.012 | SIM:ESM5 | Sell | 26 | 5936.25 | Aggressive |
| 2025-06-02T13:22:57.952 | SIM:ESM5 | Sell | 2 | 5935.75 | Aggressive |
| 2025-06-02T13:22:57.073 | SIM:ESM5 | Sell | 1 | 5936 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2300
Arrival Price
5,936.3750
Average Total
5,936.2750
Destination Price
5,936.1250
Sweep to Fill
5,936.5050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:22:56.477 | SIM:ESM5 | Buy | 20 | 5936.25 | Aggressive |
| 2025-06-02T13:22:56.477 | SIM:ESM5 | Buy | 25 | 5936.25 | Aggressive |
| 2025-06-02T13:22:55.513 | SIM:ESM5 | Buy | 4 | 5936.5 | Aggressive |
| 2025-06-02T13:22:54.912 | SIM:ESM5 | Buy | 1 | 5936.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.2450
Arrival Price
5,936.6250
Average Total
5,936.7450
Destination Price
5,936.8750
Sweep to Fill
5,936.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:22:24.072 | SIM:ESM5 | Sell | 1 | 5936.5 | Aggressive |
| 2025-06-02T13:22:24.072 | SIM:ESM5 | Sell | 48 | 5936.75 | Aggressive |
| 2025-06-02T13:22:23.114 | SIM:ESM5 | Sell | 1 | 5936.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1450
Slippage Sweep
-0.3450
Arrival Price
5,937.1250
Average Total
5,936.9800
Destination Price
5,936.6250
Sweep to Fill
5,937.3250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:22:22.828 | SIM:ESM5 | Buy | 44 | 5937 | Aggressive |
| 2025-06-02T13:22:22.828 | SIM:ESM5 | Buy | 5 | 5936.75 | Aggressive |
| 2025-06-02T13:22:21.859 | SIM:ESM5 | Buy | 1 | 5937.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.6000
Slippage Sweep
-0.7950
Arrival Price
5,932.6250
Average Total
5,933.2250
Destination Price
5,933.3750
Sweep to Fill
5,932.4300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:21:50.719 | SIM:ESM5 | Sell | 8 | 5933.25 | Aggressive |
| 2025-06-02T13:21:50.719 | SIM:ESM5 | Sell | 2 | 5933 | Aggressive |
| 2025-06-02T13:21:50.719 | SIM:ESM5 | Sell | 39 | 5933.25 | Aggressive |
| 2025-06-02T13:21:49.7 | SIM:ESM5 | Sell | 1 | 5932.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5800
Slippage Sweep
0.4450
Arrival Price
5,932.6250
Average Total
5,933.2050
Destination Price
5,932.6250
Sweep to Fill
5,932.7600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:21:42.196 | SIM:ESM5 | Buy | 2 | 5933.5 | Passive |
| 2025-06-02T13:21:46.132 | SIM:ESM5 | Buy | 4 | 5933 | Aggressive |
| 2025-06-02T13:21:40.071 | SIM:ESM5 | Buy | 7 | 5934 | Aggressive |
| 2025-06-02T13:21:39.083 | SIM:ESM5 | Buy | 9 | 5933.25 | Aggressive |
| 2025-06-02T13:21:38.075 | SIM:ESM5 | Buy | 5 | 5933.25 | Aggressive |
| 2025-06-02T13:21:37.051 | SIM:ESM5 | Buy | 1 | 5933.25 | Aggressive |
| 2025-06-02T13:21:35.023 | SIM:ESM5 | Buy | 5 | 5933 | Aggressive |
| 2025-06-02T13:21:49.212 | SIM:ESM5 | Buy | 5 | 5932.75 | Aggressive |
| 2025-06-02T13:21:48.212 | SIM:ESM5 | Buy | 4 | 5933 | Aggressive |
| 2025-06-02T13:21:47.139 | SIM:ESM5 | Buy | 7 | 5933 | Aggressive |
| 2025-06-02T13:21:34.015 | SIM:ESM5 | Buy | 1 | 5932.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2250
Slippage Sweep
-0.5150
Arrival Price
5,931.3750
Average Total
5,931.6000
Destination Price
5,931.8750
Sweep to Fill
5,931.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:21:01.251 | SIM:ESM5 | Sell | 4 | 5931.5 | Aggressive |
| 2025-06-02T13:21:01.25 | SIM:ESM5 | Sell | 30 | 5931.75 | Aggressive |
| 2025-06-02T13:20:58.251 | SIM:ESM5 | Sell | 1 | 5931 | Aggressive |
| 2025-06-02T13:20:57.213 | SIM:ESM5 | Sell | 4 | 5931.5 | Passive |
| 2025-06-02T13:20:57.213 | SIM:ESM5 | Sell | 4 | 5931.5 | Aggressive |
| 2025-06-02T13:20:56.242 | SIM:ESM5 | Sell | 6 | 5931.25 | Aggressive |
| 2025-06-02T13:20:55.206 | SIM:ESM5 | Sell | 1 | 5931 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7500
Slippage Sweep
0.4850
Arrival Price
5,929.6250
Average Total
5,930.3750
Destination Price
5,931.6250
Sweep to Fill
5,929.8900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:20:53.212 | SIM:ESM5 | Buy | 3 | 5931.75 | Aggressive |
| 2025-06-02T13:20:48.258 | SIM:ESM5 | Buy | 14 | 5930.5 | Aggressive |
| 2025-06-02T13:20:43.037 | SIM:ESM5 | Buy | 6 | 5930.5 | Aggressive |
| 2025-06-02T13:20:43.037 | SIM:ESM5 | Buy | 1 | 5930.25 | Aggressive |
| 2025-06-02T13:20:44.226 | SIM:ESM5 | Buy | 4 | 5930.75 | Aggressive |
| 2025-06-02T13:20:43.037 | SIM:ESM5 | Buy | 1 | 5930.25 | Passive |
| 2025-06-02T13:20:41.391 | SIM:ESM5 | Buy | 7 | 5930.5 | Aggressive |
| 2025-06-02T13:20:38.01 | SIM:ESM5 | Buy | 13 | 5929.75 | Aggressive |
| 2025-06-02T13:20:37.05 | SIM:ESM5 | Buy | 1 | 5929.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0100
Slippage Sweep
-0.1950
Arrival Price
5,928.3750
Average Total
5,928.3650
Destination Price
5,928.6250
Sweep to Fill
5,928.1700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:20:06.391 | SIM:ESM5 | Sell | 14 | 5928.25 | Aggressive |
| 2025-06-02T13:20:06.391 | SIM:ESM5 | Sell | 23 | 5928.5 | Aggressive |
| 2025-06-02T13:20:04.412 | SIM:ESM5 | Sell | 12 | 5928.25 | Aggressive |
| 2025-06-02T13:20:03.376 | SIM:ESM5 | Sell | 1 | 5928.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4000
Slippage Sweep
-0.7200
Arrival Price
5,929.1250
Average Total
5,928.7250
Destination Price
5,928.3750
Sweep to Fill
5,929.4450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:20:02.858 | SIM:ESM5 | Buy | 43 | 5928.75 | Aggressive |
| 2025-06-02T13:20:02.857 | SIM:ESM5 | Buy | 6 | 5928.5 | Aggressive |
| 2025-06-02T13:20:01.538 | SIM:ESM5 | Buy | 1 | 5929 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2350
Slippage Sweep
0.9500
Arrival Price
5,932.8750
Average Total
5,931.6400
Destination Price
5,931.1250
Sweep to Fill
5,932.5900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:19:30.187 | SIM:ESM5 | Sell | 4 | 5931 | Aggressive |
| 2025-06-02T13:19:30.187 | SIM:ESM5 | Sell | 1 | 5931.25 | Aggressive |
| 2025-06-02T13:19:30.187 | SIM:ESM5 | Sell | 1 | 5931.25 | Passive |
| 2025-06-02T13:19:28.089 | SIM:ESM5 | Sell | 11 | 5931.25 | Aggressive |
| 2025-06-02T13:19:26.05 | SIM:ESM5 | Sell | 2 | 5931.5 | Aggressive |
| 2025-06-02T13:19:20.22 | SIM:ESM5 | Sell | 14 | 5931.75 | Aggressive |
| 2025-06-02T13:19:31.254 | SIM:ESM5 | Sell | 3 | 5931 | Aggressive |
| 2025-06-02T13:19:17.989 | SIM:ESM5 | Sell | 7 | 5931.5 | Aggressive |
| 2025-06-02T13:19:15.013 | SIM:ESM5 | Sell | 3 | 5933 | Passive |
| 2025-06-02T13:19:15.013 | SIM:ESM5 | Sell | 3 | 5933 | Passive |
| 2025-06-02T13:19:13.962 | SIM:ESM5 | Sell | 1 | 5932.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2450
Slippage Sweep
-0.3800
Arrival Price
5,933.1250
Average Total
5,932.8800
Destination Price
5,932.6250
Sweep to Fill
5,933.2600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:19:13.516 | SIM:ESM5 | Buy | 2 | 5933 | Aggressive |
| 2025-06-02T13:19:13.516 | SIM:ESM5 | Buy | 33 | 5932.75 | Aggressive |
| 2025-06-02T13:19:12.518 | SIM:ESM5 | Buy | 9 | 5933.25 | Aggressive |
| 2025-06-02T13:19:12.518 | SIM:ESM5 | Buy | 5 | 5933 | Aggressive |
| 2025-06-02T13:19:11.773 | SIM:ESM5 | Buy | 1 | 5933 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1500
Slippage Sweep
-0.5000
Arrival Price
5,929.1250
Average Total
5,929.2750
Destination Price
5,929.6250
Sweep to Fill
5,928.7750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:18:40.538 | SIM:ESM5 | Sell | 20 | 5929.5 | Aggressive |
| 2025-06-02T13:18:40.418 | SIM:ESM5 | Sell | 2 | 5929.25 | Passive |
| 2025-06-02T13:18:40.418 | SIM:ESM5 | Sell | 4 | 5929.25 | Passive |
| 2025-06-02T13:18:40.417 | SIM:ESM5 | Sell | 4 | 5929.25 | Passive |
| 2025-06-02T13:18:39.029 | SIM:ESM5 | Sell | 3 | 5929 | Aggressive |
| 2025-06-02T13:18:39.029 | SIM:ESM5 | Sell | 3 | 5929.25 | Aggressive |
| 2025-06-02T13:18:39.029 | SIM:ESM5 | Sell | 3 | 5929.25 | Passive |
| 2025-06-02T13:18:36.67 | SIM:ESM5 | Sell | 2 | 5929 | Aggressive |
| 2025-06-02T13:18:36.67 | SIM:ESM5 | Sell | 3 | 5929 | Passive |
| 2025-06-02T13:18:36.67 | SIM:ESM5 | Sell | 2 | 5929 | Passive |
| 2025-06-02T13:18:36.669 | SIM:ESM5 | Sell | 2 | 5929 | Passive |
| 2025-06-02T13:18:35.535 | SIM:ESM5 | Sell | 1 | 5928.75 | Aggressive |
| 2025-06-02T13:18:34.569 | SIM:ESM5 | Sell | 1 | 5929 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9050
Slippage Sweep
0.6000
Arrival Price
5,928.3750
Average Total
5,929.2800
Destination Price
5,929.1250
Sweep to Fill
5,928.6800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:18:31.031 | SIM:ESM5 | Buy | 10 | 5929.75 | Aggressive |
| 2025-06-02T13:18:21.925 | SIM:ESM5 | Buy | 14 | 5929.25 | Aggressive |
| 2025-06-02T13:18:33.13 | SIM:ESM5 | Buy | 4 | 5929.25 | Aggressive |
| 2025-06-02T13:18:19.912 | SIM:ESM5 | Buy | 2 | 5928.75 | Aggressive |
| 2025-06-02T13:18:29.13 | SIM:ESM5 | Buy | 1 | 5929.5 | Passive |
| 2025-06-02T13:18:18.889 | SIM:ESM5 | Buy | 4 | 5929 | Aggressive |
| 2025-06-02T13:18:18.012 | SIM:ESM5 | Buy | 4 | 5928.75 | Aggressive |
| 2025-06-02T13:18:26.188 | SIM:ESM5 | Buy | 9 | 5929.5 | Aggressive |
| 2025-06-02T13:18:15.834 | SIM:ESM5 | Buy | 2 | 5928.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3700
Slippage Sweep
0.1100
Arrival Price
5,928.6250
Average Total
5,928.2550
Destination Price
5,927.8750
Sweep to Fill
5,928.3650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:17:32.112 | SIM:ESM5 | Sell | 6 | 5928.25 | Aggressive |
| 2025-06-02T13:17:30.521 | SIM:ESM5 | Sell | 2 | 5928.25 | Aggressive |
| 2025-06-02T13:17:30.521 | SIM:ESM5 | Sell | 1 | 5928.5 | Aggressive |
| 2025-06-02T13:17:30.521 | SIM:ESM5 | Sell | 1 | 5928.5 | Passive |
| 2025-06-02T13:17:45.121 | SIM:ESM5 | Sell | 8 | 5927.75 | Aggressive |
| 2025-06-02T13:17:42.154 | SIM:ESM5 | Sell | 12 | 5928.25 | Aggressive |
| 2025-06-02T13:17:27.017 | SIM:ESM5 | Sell | 7 | 5928.5 | Aggressive |
| 2025-06-02T13:17:29.113 | SIM:ESM5 | Sell | 5 | 5928.25 | Aggressive |
| 2025-06-02T13:17:29.113 | SIM:ESM5 | Sell | 1 | 5928.5 | Aggressive |
| 2025-06-02T13:17:29.113 | SIM:ESM5 | Sell | 1 | 5928.5 | Passive |
| 2025-06-02T13:17:26.066 | SIM:ESM5 | Sell | 5 | 5928.5 | Aggressive |
| 2025-06-02T13:17:25.058 | SIM:ESM5 | Sell | 1 | 5928.5 | Aggressive |