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:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0750
Slippage Sweep
-0.2950
Arrival Price
6,136.3750
Average Total
6,136.4500
Destination Price
6,136.1250
Sweep to Fill
6,136.7450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:28:45.48 | SIM:ESH5 | Buy | 1 | 6136.75 | Aggressive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.281 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 3 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 3 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 1 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 2 | 6136.5 | Passive |
| 2025-02-13T17:28:49.282 | SIM:ESH5 | Buy | 3 | 6136.5 | Passive |
| 2025-02-13T17:28:58.811 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T17:29:20.881 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:29:20.881 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:29:20.881 | SIM:ESH5 | Buy | 2 | 6136 | Passive |
| 2025-02-13T17:29:20.881 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3250
Slippage Sweep
-0.2050
Arrival Price
6,136.6250
Average Total
6,136.3000
Destination Price
6,136.3750
Sweep to Fill
6,136.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:27:00.088 | SIM:ESH5 | Sell | 1 | 6136.5 | Aggressive |
| 2025-02-13T17:27:00.088 | SIM:ESH5 | Sell | 1 | 6136.5 | Aggressive |
| 2025-02-13T17:27:00.088 | SIM:ESH5 | Sell | 1 | 6136.5 | Aggressive |
| 2025-02-13T17:27:03.099 | SIM:ESH5 | Sell | 2 | 6136.5 | Aggressive |
| 2025-02-13T17:27:03.099 | SIM:ESH5 | Sell | 3 | 6136.25 | Aggressive |
| 2025-02-13T17:27:03.099 | SIM:ESH5 | Sell | 1 | 6136.5 | Aggressive |
| 2025-02-13T17:27:03.099 | SIM:ESH5 | Sell | 1 | 6136.5 | Aggressive |
| 2025-02-13T17:27:03.184 | SIM:ESH5 | Sell | 1 | 6136.5 | Aggressive |
| 2025-02-13T17:27:08.28 | SIM:ESH5 | Sell | 11 | 6136.25 | Aggressive |
| 2025-02-13T17:27:08.783 | SIM:ESH5 | Sell | 2 | 6136.25 | Aggressive |
| 2025-02-13T17:27:10.304 | SIM:ESH5 | Sell | 7 | 6136.25 | Aggressive |
| 2025-02-13T17:27:12.212 | SIM:ESH5 | Sell | 9 | 6136.25 | Aggressive |
| 2025-02-13T17:27:12.212 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:13.064 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:13.064 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:14.6 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:14.6 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:14.6 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:14.6 | SIM:ESH5 | Sell | 1 | 6136.25 | Passive |
| 2025-02-13T17:27:23.585 | SIM:ESH5 | Sell | 1 | 6136.25 | Aggressive |
| 2025-02-13T17:27:25.615 | SIM:ESH5 | Sell | 1 | 6136.5 | Passive |
| 2025-02-13T17:27:25.616 | SIM:ESH5 | Sell | 1 | 6136.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.4400
Arrival Price
6,136.3750
Average Total
6,136.4000
Destination Price
6,136.6250
Sweep to Fill
6,136.8400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:25:53.781 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 3 | 6136.25 | Aggressive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T17:26:08.001 | SIM:ESH5 | Buy | 3 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 4 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 1 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 3 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T17:26:08.534 | SIM:ESH5 | Buy | 2 | 6136.25 | Passive |
| 2025-02-13T17:26:11.009 | SIM:ESH5 | Buy | 3 | 6136.25 | Aggressive |
| 2025-02-13T17:26:16.01 | SIM:ESH5 | Buy | 11 | 6136.75 | Aggressive |
| 2025-02-13T17:26:25.227 | SIM:ESH5 | Buy | 4 | 6136.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.5500
Arrival Price
6,136.6250
Average Total
6,136.7000
Destination Price
6,136.6250
Sweep to Fill
6,136.1500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:23:47.881 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:48.197 | SIM:ESH5 | Sell | 2 | 6136.75 | Aggressive |
| 2025-02-13T17:23:52.632 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:52.632 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:52.632 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:53.78 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:53.78 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:53.78 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:23:55.08 | SIM:ESH5 | Sell | 4 | 6136.75 | Aggressive |
| 2025-02-13T17:23:55.08 | SIM:ESH5 | Sell | 10 | 6136.5 | Aggressive |
| 2025-02-13T17:24:04.58 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:07.596 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:07.596 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:07.596 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:07.596 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:07.596 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
| 2025-02-13T17:24:11.494 | SIM:ESH5 | Sell | 2 | 6136.75 | Passive |
| 2025-02-13T17:24:24.242 | SIM:ESH5 | Sell | 1 | 6136.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.4200
Arrival Price
6,136.1250
Average Total
6,136.0200
Destination Price
6,135.8750
Sweep to Fill
6,136.4400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:23:03.005 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:03.006 | SIM:ESH5 | Buy | 2 | 6136 | Passive |
| 2025-02-13T17:23:03.006 | SIM:ESH5 | Buy | 2 | 6136 | Passive |
| 2025-02-13T17:23:03.006 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:03.919 | SIM:ESH5 | Buy | 8 | 6136 | Aggressive |
| 2025-02-13T17:23:03.919 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T17:23:09.307 | SIM:ESH5 | Buy | 4 | 6136 | Aggressive |
| 2025-02-13T17:23:09.307 | SIM:ESH5 | Buy | 1 | 6136.25 | Aggressive |
| 2025-02-13T17:23:09.929 | SIM:ESH5 | Buy | 2 | 6136.25 | Aggressive |
| 2025-02-13T17:23:12.78 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:12.781 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:12.781 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:12.781 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:12.781 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:12.781 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:12.781 | SIM:ESH5 | Buy | 1 | 6136 | Passive |
| 2025-02-13T17:23:13.78 | SIM:ESH5 | Buy | 5 | 6136 | Aggressive |
| 2025-02-13T17:23:15.328 | SIM:ESH5 | Buy | 3 | 6136 | Aggressive |
| 2025-02-13T17:23:16.002 | SIM:ESH5 | Buy | 3 | 6136 | Aggressive |
| 2025-02-13T17:23:17.203 | SIM:ESH5 | Buy | 10 | 6136 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.5650
Arrival Price
6,135.1250
Average Total
6,135.2250
Destination Price
6,135.3750
Sweep to Fill
6,134.6600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:21:40.394 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:40.394 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:40.394 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:40.394 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:40.394 | SIM:ESH5 | Sell | 2 | 6135.25 | Passive |
| 2025-02-13T17:21:45.705 | SIM:ESH5 | Sell | 2 | 6135 | Aggressive |
| 2025-02-13T17:21:45.705 | SIM:ESH5 | Sell | 2 | 6135 | Aggressive |
| 2025-02-13T17:21:47.938 | SIM:ESH5 | Sell | 1 | 6135 | Aggressive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 2 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 2 | 6135.25 | Passive |
| 2025-02-13T17:21:54.597 | SIM:ESH5 | Sell | 2 | 6135.25 | Passive |
| 2025-02-13T17:21:56.593 | SIM:ESH5 | Sell | 10 | 6135.25 | Aggressive |
| 2025-02-13T17:22:00.615 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:22:00.615 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:22:00.615 | SIM:ESH5 | Sell | 2 | 6135.25 | Passive |
| 2025-02-13T17:22:00.615 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:22:03.698 | SIM:ESH5 | Sell | 7 | 6135.25 | Aggressive |
| 2025-02-13T17:22:08.994 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
| 2025-02-13T17:22:08.994 | SIM:ESH5 | Sell | 1 | 6135.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4450
Slippage Sweep
-0.0400
Arrival Price
6,134.3750
Average Total
6,134.8200
Destination Price
6,134.8750
Sweep to Fill
6,134.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:20:14.48 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:20:14.481 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:20:15.606 | SIM:ESH5 | Buy | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:20:17.88 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:20:17.88 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:20:17.88 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 3 | 6134.5 | Aggressive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 1 | 6134.5 | Passive |
| 2025-02-13T17:20:28.688 | SIM:ESH5 | Buy | 1 | 6134.5 | Passive |
| 2025-02-13T17:20:28.689 | SIM:ESH5 | Buy | 1 | 6134.5 | Passive |
| 2025-02-13T17:20:32.48 | SIM:ESH5 | Buy | 2 | 6134.5 | Passive |
| 2025-02-13T17:20:33.727 | SIM:ESH5 | Buy | 14 | 6134.75 | Aggressive |
| 2025-02-13T17:20:36.617 | SIM:ESH5 | Buy | 6 | 6135 | Aggressive |
| 2025-02-13T17:20:44.334 | SIM:ESH5 | Buy | 2 | 6135.5 | Passive |
| 2025-02-13T17:20:44.334 | SIM:ESH5 | Buy | 2 | 6135.5 | Passive |
| 2025-02-13T17:20:44.334 | SIM:ESH5 | Buy | 1 | 6135.5 | Passive |
| 2025-02-13T17:20:44.334 | SIM:ESH5 | Buy | 1 | 6135.5 | Passive |
| 2025-02-13T17:20:44.334 | SIM:ESH5 | Buy | 1 | 6135.5 | Passive |
| 2025-02-13T17:20:44.334 | SIM:ESH5 | Buy | 1 | 6135.5 | Passive |
| 2025-02-13T17:20:49.133 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:20:49.133 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:20:49.133 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0650
Slippage Sweep
-0.4900
Arrival Price
6,134.3750
Average Total
6,134.4400
Destination Price
6,134.8750
Sweep to Fill
6,133.9500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 2 | 6134.25 | Aggressive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Passive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 2 | 6134.25 | Passive |
| 2025-02-13T17:18:28.201 | SIM:ESH5 | Sell | 1 | 6134.25 | Passive |
| 2025-02-13T17:18:29.58 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:30.48 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:31.38 | SIM:ESH5 | Sell | 1 | 6134.25 | Aggressive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 2 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 2 | 6134.5 | Passive |
| 2025-02-13T17:18:39.893 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:18:40.58 | SIM:ESH5 | Sell | 4 | 6134.5 | Aggressive |
| 2025-02-13T17:18:40.58 | SIM:ESH5 | Sell | 8 | 6134.25 | Aggressive |
| 2025-02-13T17:18:42.142 | SIM:ESH5 | Sell | 3 | 6134.5 | Aggressive |
| 2025-02-13T17:18:42.489 | SIM:ESH5 | Sell | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:18:42.49 | SIM:ESH5 | Sell | 1 | 6134.75 | Passive |
| 2025-02-13T17:18:42.49 | SIM:ESH5 | Sell | 1 | 6134.75 | Passive |
| 2025-02-13T17:18:42.49 | SIM:ESH5 | Sell | 2 | 6134.75 | Passive |
| 2025-02-13T17:18:42.49 | SIM:ESH5 | Sell | 2 | 6134.75 | Passive |
| 2025-02-13T17:18:42.49 | SIM:ESH5 | Sell | 1 | 6134.75 | Passive |
| 2025-02-13T17:18:43.826 | SIM:ESH5 | Sell | 3 | 6134.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5650
Slippage Sweep
0.2250
Arrival Price
6,134.3750
Average Total
6,134.9400
Destination Price
6,134.6250
Sweep to Fill
6,134.7150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:17:27.98 | SIM:ESH5 | Buy | 21 | 6134.75 | Aggressive |
| 2025-02-13T17:17:33.504 | SIM:ESH5 | Buy | 1 | 6134.75 | Aggressive |
| 2025-02-13T17:17:33.504 | SIM:ESH5 | Buy | 5 | 6135 | Aggressive |
| 2025-02-13T17:17:33.505 | SIM:ESH5 | Buy | 1 | 6134.75 | Aggressive |
| 2025-02-13T17:17:33.505 | SIM:ESH5 | Buy | 11 | 6135 | Aggressive |
| 2025-02-13T17:17:33.505 | SIM:ESH5 | Buy | 11 | 6135.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2250
Slippage Sweep
-0.3650
Arrival Price
6,134.6250
Average Total
6,134.4000
Destination Price
6,134.3750
Sweep to Fill
6,134.0350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:16:21.228 | SIM:ESH5 | Sell | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:16:22.239 | SIM:ESH5 | Sell | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:16:22.743 | SIM:ESH5 | Sell | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:16:24.982 | SIM:ESH5 | Sell | 3 | 6134.5 | Aggressive |
| 2025-02-13T17:16:24.982 | SIM:ESH5 | Sell | 1 | 6134.5 | Aggressive |
| 2025-02-13T17:16:25.781 | SIM:ESH5 | Sell | 1 | 6134.75 | Aggressive |
| 2025-02-13T17:16:31.833 | SIM:ESH5 | Sell | 12 | 6134.25 | Aggressive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 2 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 2 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 2 | 6134.5 | Passive |
| 2025-02-13T17:16:32.777 | SIM:ESH5 | Sell | 1 | 6134.5 | Passive |
| 2025-02-13T17:16:38.934 | SIM:ESH5 | Sell | 9 | 6134.25 | Aggressive |
| 2025-02-13T17:16:43.405 | SIM:ESH5 | Sell | 5 | 6134.5 | Passive |
| 2025-02-13T17:16:43.405 | SIM:ESH5 | Sell | 5 | 6134.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.6800
Arrival Price
6,134.6250
Average Total
6,134.4400
Destination Price
6,134.1250
Sweep to Fill
6,135.1200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:15:14.623 | SIM:ESH5 | Buy | 1 | 6134.75 | Aggressive |
| 2025-02-13T17:15:14.623 | SIM:ESH5 | Buy | 1 | 6134.75 | Aggressive |
| 2025-02-13T17:15:15.382 | SIM:ESH5 | Buy | 2 | 6134.5 | Aggressive |
| 2025-02-13T17:15:16.68 | SIM:ESH5 | Buy | 4 | 6134.5 | Aggressive |
| 2025-02-13T17:15:16.683 | SIM:ESH5 | Buy | 3 | 6134.5 | Aggressive |
| 2025-02-13T17:15:20.023 | SIM:ESH5 | Buy | 3 | 6134.5 | Aggressive |
| 2025-02-13T17:15:20.118 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:20.118 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:20.118 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:20.118 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:20.118 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:20.118 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:21.706 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:21.706 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:21.706 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:21.707 | SIM:ESH5 | Buy | 1 | 6134.25 | Passive |
| 2025-02-13T17:15:21.707 | SIM:ESH5 | Buy | 2 | 6134.25 | Passive |
| 2025-02-13T17:15:21.707 | SIM:ESH5 | Buy | 2 | 6134.25 | Passive |
| 2025-02-13T17:15:23.136 | SIM:ESH5 | Buy | 2 | 6134.25 | Passive |
| 2025-02-13T17:15:26.68 | SIM:ESH5 | Buy | 14 | 6134.25 | Aggressive |
| 2025-02-13T17:15:48.406 | SIM:ESH5 | Buy | 4 | 6135.25 | Aggressive |
| 2025-02-13T17:16:04.149 | SIM:ESH5 | Buy | 2 | 6135 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3800
Slippage Sweep
-0.0400
Arrival Price
6,135.2500
Average Total
6,134.8700
Destination Price
6,134.8750
Sweep to Fill
6,134.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:14:13.78 | SIM:ESH5 | Sell | 3 | 6135 | Aggressive |
| 2025-02-13T17:14:14.539 | SIM:ESH5 | Sell | 4 | 6135 | Aggressive |
| 2025-02-13T17:14:14.539 | SIM:ESH5 | Sell | 2 | 6134.75 | Aggressive |
| 2025-02-13T17:14:16.424 | SIM:ESH5 | Sell | 15 | 6134.75 | Aggressive |
| 2025-02-13T17:14:22.988 | SIM:ESH5 | Sell | 9 | 6134.75 | Aggressive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 3 | 6135 | Passive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 3 | 6135 | Passive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 3 | 6135 | Passive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 2 | 6135 | Passive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 2 | 6135 | Passive |
| 2025-02-13T17:14:23.407 | SIM:ESH5 | Sell | 1 | 6135 | Passive |
| 2025-02-13T17:14:23.522 | SIM:ESH5 | Sell | 1 | 6135 | Aggressive |
| 2025-02-13T17:14:23.522 | SIM:ESH5 | Sell | 1 | 6135 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0050
Slippage Sweep
-0.4250
Arrival Price
6,135.2500
Average Total
6,135.2550
Destination Price
6,134.8750
Sweep to Fill
6,135.6800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:13:39.526 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.526 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.526 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T17:13:39.526 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.526 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.526 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.527 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.527 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T17:13:39.527 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T17:13:39.527 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.527 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:39.527 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T17:13:39.58 | SIM:ESH5 | Buy | 1 | 6135.25 | Aggressive |
| 2025-02-13T17:13:41.387 | SIM:ESH5 | Buy | 3 | 6135.25 | Passive |
| 2025-02-13T17:13:46.114 | SIM:ESH5 | Buy | 4 | 6135.25 | Passive |
| 2025-02-13T17:13:46.114 | SIM:ESH5 | Buy | 4 | 6135.25 | Passive |
| 2025-02-13T17:13:46.114 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:46.114 | SIM:ESH5 | Buy | 2 | 6135.25 | Passive |
| 2025-02-13T17:13:47.083 | SIM:ESH5 | Buy | 3 | 6135.5 | Aggressive |
| 2025-02-13T17:13:48.533 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:48.533 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:48.533 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:48.533 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:48.533 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:48.533 | SIM:ESH5 | Buy | 1 | 6135.25 | Passive |
| 2025-02-13T17:13:53.129 | SIM:ESH5 | Buy | 6 | 6135.25 | Aggressive |
| 2025-02-13T17:14:00.002 | SIM:ESH5 | Buy | 2 | 6135 | Aggressive |
| 2025-02-13T17:14:00.002 | SIM:ESH5 | Buy | 2 | 6135.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
-0.6300
Arrival Price
6,134.1250
Average Total
6,133.9800
Destination Price
6,133.8750
Sweep to Fill
6,133.3500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:12:24.382 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:24.382 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:25.093 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:25.093 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:31.18 | SIM:ESH5 | Sell | 5 | 6133.75 | Aggressive |
| 2025-02-13T17:12:35.434 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:35.435 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:35.435 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:35.48 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:35.48 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
| 2025-02-13T17:12:35.48 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
| 2025-02-13T17:12:35.48 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:35.48 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
| 2025-02-13T17:12:35.48 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
| 2025-02-13T17:12:35.828 | SIM:ESH5 | Sell | 1 | 6134.25 | Passive |
| 2025-02-13T17:12:37.214 | SIM:ESH5 | Sell | 6 | 6134 | Aggressive |
| 2025-02-13T17:12:39.08 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
| 2025-02-13T17:12:39.08 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:39.08 | SIM:ESH5 | Sell | 3 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.292 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.293 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.293 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.293 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
| 2025-02-13T17:12:41.293 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.293 | SIM:ESH5 | Sell | 1 | 6134 | Passive |
| 2025-02-13T17:12:41.293 | SIM:ESH5 | Sell | 2 | 6134 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESH5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5800
Slippage Sweep
-0.0550
Arrival Price
6,133.1250
Average Total
6,133.7050
Destination Price
6,133.7500
Sweep to Fill
6,133.7600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-02-13T17:11:33.484 | SIM:ESH5 | Buy | 3 | 6133.5 | Aggressive |
| 2025-02-13T17:11:34.506 | SIM:ESH5 | Buy | 15 | 6133.75 | Aggressive |
| 2025-02-13T17:11:35.008 | SIM:ESH5 | Buy | 1 | 6133.5 | Passive |
| 2025-02-13T17:11:35.008 | SIM:ESH5 | Buy | 1 | 6133.5 | Passive |
| 2025-02-13T17:11:35.008 | SIM:ESH5 | Buy | 3 | 6133.5 | Passive |
| 2025-02-13T17:11:48.016 | SIM:ESH5 | Buy | 10 | 6133.75 | Aggressive |
| 2025-02-13T17:11:50.592 | SIM:ESH5 | Buy | 1 | 6133.75 | Passive |
| 2025-02-13T17:11:50.592 | SIM:ESH5 | Buy | 2 | 6133.75 | Passive |
| 2025-02-13T17:11:50.592 | SIM:ESH5 | Buy | 3 | 6133.75 | Passive |
| 2025-02-13T17:11:50.6 | SIM:ESH5 | Buy | 2 | 6133.75 | Passive |
| 2025-02-13T17:11:50.6 | SIM:ESH5 | Buy | 1 | 6133.75 | Passive |
| 2025-02-13T17:11:50.601 | SIM:ESH5 | Buy | 3 | 6133.75 | Passive |
| 2025-02-13T17:11:50.601 | SIM:ESH5 | Buy | 3 | 6133.75 | Passive |
| 2025-02-13T17:11:50.606 | SIM:ESH5 | Buy | 1 | 6133.75 | Passive |
| 2025-02-13T17:12:04.08 | SIM:ESH5 | Buy | 1 | 6133.5 | Passive |