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
-0.1150
Slippage Sweep
-0.3500
Arrival Price
5,928.8750
Average Total
5,928.7600
Destination Price
5,928.6250
Sweep to Fill
5,929.1100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:17:24.614 | SIM:ESM5 | Buy | 2 | 5928.75 | Aggressive |
| 2025-06-02T13:17:23.606 | SIM:ESM5 | Buy | 9 | 5928.75 | Aggressive |
| 2025-06-02T13:17:21.512 | SIM:ESM5 | Buy | 5 | 5928.75 | Aggressive |
| 2025-06-02T13:17:21.512 | SIM:ESM5 | Buy | 1 | 5929 | Aggressive |
| 2025-06-02T13:17:21.512 | SIM:ESM5 | Buy | 32 | 5928.75 | Aggressive |
| 2025-06-02T13:17:20.528 | SIM:ESM5 | Buy | 1 | 5929 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1100
Slippage Sweep
-0.4350
Arrival Price
5,928.3750
Average Total
5,928.4850
Destination Price
5,928.8750
Sweep to Fill
5,928.0500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:16:50.066 | SIM:ESM5 | Sell | 3 | 5928.75 | Aggressive |
| 2025-06-02T13:16:47.067 | SIM:ESM5 | Sell | 1 | 5928.5 | Aggressive |
| 2025-06-02T13:16:49.314 | SIM:ESM5 | Sell | 13 | 5928.5 | Aggressive |
| 2025-06-02T13:16:46.027 | SIM:ESM5 | Sell | 11 | 5928.5 | Passive |
| 2025-06-02T13:16:46.027 | SIM:ESM5 | Sell | 5 | 5928.25 | Aggressive |
| 2025-06-02T13:16:46.027 | SIM:ESM5 | Sell | 16 | 5928.5 | Aggressive |
| 2025-06-02T13:16:44.979 | 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
-0.1800
Slippage Sweep
-0.3300
Arrival Price
5,928.8750
Average Total
5,928.6950
Destination Price
5,928.3750
Sweep to Fill
5,929.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:16:43.445 | SIM:ESM5 | Buy | 14 | 5928.5 | Aggressive |
| 2025-06-02T13:16:43.445 | SIM:ESM5 | Buy | 3 | 5928.5 | Aggressive |
| 2025-06-02T13:16:41.426 | SIM:ESM5 | Buy | 6 | 5929 | Aggressive |
| 2025-06-02T13:16:41.426 | SIM:ESM5 | Buy | 26 | 5928.75 | Aggressive |
| 2025-06-02T13:16:40.891 | SIM:ESM5 | Buy | 1 | 5928.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.3100
Arrival Price
5,927.6250
Average Total
5,927.8100
Destination Price
5,927.6250
Sweep to Fill
5,927.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:16:01.912 | SIM:ESM5 | Sell | 3 | 5927.5 | Aggressive |
| 2025-06-02T13:16:09.92 | SIM:ESM5 | Sell | 1 | 5927.5 | Aggressive |
| 2025-06-02T13:16:09.919 | SIM:ESM5 | Sell | 2 | 5927.75 | Aggressive |
| 2025-06-02T13:16:02.849 | SIM:ESM5 | Sell | 26 | 5927.75 | Aggressive |
| 2025-06-02T13:16:02.849 | SIM:ESM5 | Sell | 17 | 5928 | Aggressive |
| 2025-06-02T13:16:00.912 | SIM:ESM5 | Sell | 1 | 5927.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1400
Slippage Sweep
-0.2650
Arrival Price
5,927.8750
Average Total
5,927.7350
Destination Price
5,927.8750
Sweep to Fill
5,928.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:16:00.427 | SIM:ESM5 | Buy | 1 | 5927.75 | Aggressive |
| 2025-06-02T13:16:00.427 | SIM:ESM5 | Buy | 1 | 5927.75 | Passive |
| 2025-06-02T13:15:59.437 | SIM:ESM5 | Buy | 7 | 5927.5 | Aggressive |
| 2025-06-02T13:15:55.399 | SIM:ESM5 | Buy | 4 | 5928 | Aggressive |
| 2025-06-02T13:15:55.399 | SIM:ESM5 | Buy | 36 | 5927.75 | Aggressive |
| 2025-06-02T13:15:54.688 | SIM:ESM5 | Buy | 1 | 5927.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.2500
Arrival Price
5,925.6250
Average Total
5,925.6550
Destination Price
5,925.8750
Sweep to Fill
5,925.4050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:15:24.177 | SIM:ESM5 | Sell | 33 | 5925.75 | Aggressive |
| 2025-06-02T13:15:21.414 | SIM:ESM5 | Sell | 3 | 5925.5 | Aggressive |
| 2025-06-02T13:15:21.414 | SIM:ESM5 | Sell | 4 | 5925.5 | Passive |
| 2025-06-02T13:15:23.185 | SIM:ESM5 | Sell | 7 | 5925.5 | Aggressive |
| 2025-06-02T13:15:20.14 | SIM:ESM5 | Sell | 2 | 5925.25 | Aggressive |
| 2025-06-02T13:15:19.814 | SIM:ESM5 | Sell | 1 | 5925.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7650
Slippage Sweep
0.6050
Arrival Price
5,923.6250
Average Total
5,924.3900
Destination Price
5,925.6250
Sweep to Fill
5,923.7850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:15:18.812 | SIM:ESM5 | Buy | 5 | 5925.75 | Aggressive |
| 2025-06-02T13:15:15.757 | SIM:ESM5 | Buy | 6 | 5925.25 | Aggressive |
| 2025-06-02T13:15:08.714 | SIM:ESM5 | Buy | 10 | 5924.5 | Aggressive |
| 2025-06-02T13:15:06.689 | SIM:ESM5 | Buy | 14 | 5924 | Aggressive |
| 2025-06-02T13:15:02.782 | SIM:ESM5 | Buy | 3 | 5924 | Aggressive |
| 2025-06-02T13:15:02.782 | SIM:ESM5 | Buy | 1 | 5923.75 | Aggressive |
| 2025-06-02T13:15:02.781 | SIM:ESM5 | Buy | 1 | 5923.75 | Passive |
| 2025-06-02T13:15:02.345 | SIM:ESM5 | Buy | 1 | 5923.75 | Aggressive |
| 2025-06-02T13:15:02.345 | SIM:ESM5 | Buy | 1 | 5923.75 | Passive |
| 2025-06-02T13:15:02.345 | SIM:ESM5 | Buy | 1 | 5923.75 | Passive |
| 2025-06-02T13:15:02.345 | SIM:ESM5 | Buy | 1 | 5923.75 | Passive |
| 2025-06-02T13:15:00.725 | SIM:ESM5 | Buy | 5 | 5924 | Aggressive |
| 2025-06-02T13:15:00.063 | SIM:ESM5 | Buy | 1 | 5923.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5350
Slippage Sweep
-0.8150
Arrival Price
5,923.6250
Average Total
5,924.1600
Destination Price
5,924.3750
Sweep to Fill
5,923.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:14:28.749 | SIM:ESM5 | Sell | 3 | 5924.25 | Aggressive |
| 2025-06-02T13:14:28.55 | SIM:ESM5 | Sell | 12 | 5924.25 | Aggressive |
| 2025-06-02T13:14:27.482 | SIM:ESM5 | Sell | 16 | 5924 | Aggressive |
| 2025-06-02T13:14:27.482 | SIM:ESM5 | Sell | 18 | 5924.25 | Aggressive |
| 2025-06-02T13:14:26.487 | SIM:ESM5 | Sell | 1 | 5923.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9900
Slippage Sweep
0.6950
Arrival Price
5,921.6250
Average Total
5,922.6150
Destination Price
5,923.3750
Sweep to Fill
5,921.9200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:14:23.39 | SIM:ESM5 | Buy | 3 | 5923.5 | Aggressive |
| 2025-06-02T13:14:19.341 | SIM:ESM5 | Buy | 3 | 5923 | Aggressive |
| 2025-06-02T13:14:19.341 | SIM:ESM5 | Buy | 8 | 5923 | Aggressive |
| 2025-06-02T13:14:13.313 | SIM:ESM5 | Buy | 12 | 5922.5 | Aggressive |
| 2025-06-02T13:14:08.26 | SIM:ESM5 | Buy | 1 | 5922.5 | Aggressive |
| 2025-06-02T13:14:01.224 | SIM:ESM5 | Buy | 10 | 5922.25 | Aggressive |
| 2025-06-02T13:14:00.172 | SIM:ESM5 | Buy | 2 | 5921.75 | Aggressive |
| 2025-06-02T13:14:26.148 | SIM:ESM5 | Buy | 3 | 5923.5 | Aggressive |
| 2025-06-02T13:14:04.65 | SIM:ESM5 | Buy | 3 | 5922.5 | Aggressive |
| 2025-06-02T13:14:04.65 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T13:14:04.65 | SIM:ESM5 | Buy | 1 | 5922.25 | Passive |
| 2025-06-02T13:14:04.65 | SIM:ESM5 | Buy | 1 | 5922.25 | Passive |
| 2025-06-02T13:14:04.65 | SIM:ESM5 | Buy | 1 | 5922.25 | Passive |
| 2025-06-02T13:13:59.138 | SIM:ESM5 | Buy | 1 | 5921.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.4000
Arrival Price
5,920.3750
Average Total
5,920.4950
Destination Price
5,920.6250
Sweep to Fill
5,920.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:13:27.974 | SIM:ESM5 | Sell | 9 | 5920.5 | Aggressive |
| 2025-06-02T13:13:25.938 | SIM:ESM5 | Sell | 10 | 5920.5 | Passive |
| 2025-06-02T13:13:25.938 | SIM:ESM5 | Sell | 30 | 5920.5 | Aggressive |
| 2025-06-02T13:13:24.899 | SIM:ESM5 | Sell | 1 | 5920.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0150
Slippage Sweep
-0.3500
Arrival Price
5,920.6250
Average Total
5,920.6100
Destination Price
5,920.3750
Sweep to Fill
5,920.9600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:13:24.47 | SIM:ESM5 | Buy | 14 | 5920.5 | Aggressive |
| 2025-06-02T13:13:23.52 | SIM:ESM5 | Buy | 6 | 5920.5 | Aggressive |
| 2025-06-02T13:13:21.445 | SIM:ESM5 | Buy | 15 | 5920.75 | Aggressive |
| 2025-06-02T13:13:21.445 | SIM:ESM5 | Buy | 11 | 5920.5 | Aggressive |
| 2025-06-02T13:13:19.44 | SIM:ESM5 | Buy | 3 | 5921 | Aggressive |
| 2025-06-02T13:13:18.449 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2550
Slippage Sweep
0.0750
Arrival Price
5,918.8750
Average Total
5,918.6200
Destination Price
5,918.8750
Sweep to Fill
5,918.6950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:12:46.822 | SIM:ESM5 | Sell | 2 | 5918.75 | Aggressive |
| 2025-06-02T13:12:37.452 | SIM:ESM5 | Sell | 3 | 5918.5 | Aggressive |
| 2025-06-02T13:12:37.452 | SIM:ESM5 | Sell | 1 | 5918.75 | Aggressive |
| 2025-06-02T13:12:37.452 | SIM:ESM5 | Sell | 1 | 5918.75 | Passive |
| 2025-06-02T13:12:35.923 | SIM:ESM5 | Sell | 5 | 5918.5 | Aggressive |
| 2025-06-02T13:12:32.673 | SIM:ESM5 | Sell | 1 | 5918.5 | Aggressive |
| 2025-06-02T13:12:47.851 | SIM:ESM5 | Sell | 6 | 5918.75 | Aggressive |
| 2025-06-02T13:12:34.713 | SIM:ESM5 | Sell | 16 | 5918.75 | Aggressive |
| 2025-06-02T13:12:34.713 | SIM:ESM5 | Sell | 2 | 5918.75 | Aggressive |
| 2025-06-02T13:12:31.068 | SIM:ESM5 | Sell | 4 | 5918.25 | Aggressive |
| 2025-06-02T13:12:41.694 | SIM:ESM5 | Sell | 1 | 5918.75 | Passive |
| 2025-06-02T13:12:41.694 | SIM:ESM5 | Sell | 1 | 5918.75 | Passive |
| 2025-06-02T13:12:29.585 | SIM:ESM5 | Sell | 4 | 5918.25 | Aggressive |
| 2025-06-02T13:12:29.585 | SIM:ESM5 | Sell | 1 | 5918.5 | Aggressive |
| 2025-06-02T13:12:29.585 | SIM:ESM5 | Sell | 1 | 5918.5 | Passive |
| 2025-06-02T13:12:26.639 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.3450
Arrival Price
5,919.3750
Average Total
5,919.2400
Destination Price
5,919.1250
Sweep to Fill
5,919.5850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:12:24.492 | SIM:ESM5 | Buy | 4 | 5919.25 | Aggressive |
| 2025-06-02T13:12:24.492 | SIM:ESM5 | Buy | 29 | 5919.25 | Aggressive |
| 2025-06-02T13:12:23.523 | SIM:ESM5 | Buy | 14 | 5919.25 | Aggressive |
| 2025-06-02T13:12:26.326 | SIM:ESM5 | Buy | 2 | 5919 | Passive |
| 2025-06-02T13:12:22.519 | SIM:ESM5 | Buy | 1 | 5919.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3300
Arrival Price
5,919.3750
Average Total
5,919.4950
Destination Price
5,919.7500
Sweep to Fill
5,919.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:11:52.086 | SIM:ESM5 | Sell | 6 | 5919.5 | Aggressive |
| 2025-06-02T13:11:50.112 | SIM:ESM5 | Sell | 10 | 5919.5 | Aggressive |
| 2025-06-02T13:11:51.176 | SIM:ESM5 | Sell | 27 | 5919.5 | Aggressive |
| 2025-06-02T13:11:50.112 | SIM:ESM5 | Sell | 1 | 5919.25 | Aggressive |
| 2025-06-02T13:11:49.342 | SIM:ESM5 | Sell | 1 | 5919.5 | Passive |
| 2025-06-02T13:11:49.341 | SIM:ESM5 | Sell | 4 | 5919.5 | Passive |
| 2025-06-02T13:11:47.297 | SIM:ESM5 | Sell | 1 | 5919.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2500
Slippage Sweep
0.0550
Arrival Price
5,919.3750
Average Total
5,919.6250
Destination Price
5,919.3750
Sweep to Fill
5,919.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:11:42.543 | SIM:ESM5 | Buy | 2 | 5919.75 | Aggressive |
| 2025-06-02T13:11:36.558 | SIM:ESM5 | Buy | 7 | 5920 | Aggressive |
| 2025-06-02T13:11:28.212 | SIM:ESM5 | Buy | 7 | 5919.75 | Aggressive |
| 2025-06-02T13:11:46.688 | SIM:ESM5 | Buy | 6 | 5919.5 | Aggressive |
| 2025-06-02T13:11:43.545 | SIM:ESM5 | Buy | 5 | 5919.5 | Aggressive |
| 2025-06-02T13:11:43.545 | SIM:ESM5 | Buy | 6 | 5919.5 | Aggressive |
| 2025-06-02T13:11:29.466 | SIM:ESM5 | Buy | 14 | 5919.5 | Aggressive |
| 2025-06-02T13:11:26.454 | SIM:ESM5 | Buy | 2 | 5919.75 | Aggressive |
| 2025-06-02T13:11:25.434 | SIM:ESM5 | Buy | 1 | 5919.5 | Aggressive |