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
-0.2100
Slippage Sweep
-0.4200
Arrival Price
5,919.1250
Average Total
5,919.3350
Destination Price
5,919.6250
Sweep to Fill
5,918.9150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:10:54.949 | SIM:ESM5 | Sell | 14 | 5919.5 | Aggressive |
| 2025-06-02T13:10:54.013 | SIM:ESM5 | Sell | 2 | 5919.5 | Passive |
| 2025-06-02T13:10:54.013 | SIM:ESM5 | Sell | 1 | 5919.5 | Passive |
| 2025-06-02T13:10:54.013 | SIM:ESM5 | Sell | 1 | 5919.5 | Passive |
| 2025-06-02T13:10:53.912 | SIM:ESM5 | Sell | 31 | 5919.25 | Aggressive |
| 2025-06-02T13:10:52.885 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4500
Slippage Sweep
0.2200
Arrival Price
5,919.1250
Average Total
5,919.5750
Destination Price
5,919.1250
Sweep to Fill
5,919.3550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:10:50.721 | SIM:ESM5 | Buy | 4 | 5919.25 | Aggressive |
| 2025-06-02T13:10:49.647 | SIM:ESM5 | Buy | 8 | 5919.25 | Aggressive |
| 2025-06-02T13:10:43.612 | SIM:ESM5 | Buy | 6 | 5920 | Aggressive |
| 2025-06-02T13:10:39.522 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:37.813 | SIM:ESM5 | Buy | 2 | 5919.75 | Passive |
| 2025-06-02T13:10:37.812 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:37.812 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:36.515 | SIM:ESM5 | Buy | 2 | 5919.75 | Aggressive |
| 2025-06-02T13:10:42.618 | SIM:ESM5 | Buy | 5 | 5920 | Aggressive |
| 2025-06-02T13:10:39.523 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:39.523 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:39.523 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:39.523 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:39.522 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T13:10:35.536 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T13:10:35.536 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T13:10:51.656 | SIM:ESM5 | Buy | 7 | 5919.25 | Aggressive |
| 2025-06-02T13:10:50.721 | SIM:ESM5 | Buy | 4 | 5919.25 | Aggressive |
| 2025-06-02T13:10:34.47 | SIM:ESM5 | Buy | 1 | 5919.5 | Aggressive |
| 2025-06-02T13:10:33.465 | SIM:ESM5 | Buy | 1 | 5919.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9000
Slippage Sweep
0.5550
Arrival Price
5,919.1250
Average Total
5,918.2250
Destination Price
5,919.1250
Sweep to Fill
5,918.7800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:09:54.062 | SIM:ESM5 | Sell | 1 | 5917.5 | Aggressive |
| 2025-06-02T13:09:54.062 | SIM:ESM5 | Sell | 1 | 5917.75 | Aggressive |
| 2025-06-02T13:09:54.062 | SIM:ESM5 | Sell | 1 | 5917.75 | Passive |
| 2025-06-02T13:09:53.034 | SIM:ESM5 | Sell | 1 | 5917.75 | Aggressive |
| 2025-06-02T13:09:51.988 | SIM:ESM5 | Sell | 1 | 5918 | Passive |
| 2025-06-02T13:09:46.771 | SIM:ESM5 | Sell | 10 | 5917.75 | Aggressive |
| 2025-06-02T13:10:02.929 | SIM:ESM5 | Sell | 3 | 5919 | Aggressive |
| 2025-06-02T13:10:02.929 | SIM:ESM5 | Sell | 3 | 5919 | Aggressive |
| 2025-06-02T13:10:00.101 | SIM:ESM5 | Sell | 6 | 5918.75 | Aggressive |
| 2025-06-02T13:09:43.913 | SIM:ESM5 | Sell | 7 | 5916.5 | Aggressive |
| 2025-06-02T13:09:43.913 | SIM:ESM5 | Sell | 1 | 5916.75 | Aggressive |
| 2025-06-02T13:09:43.913 | SIM:ESM5 | Sell | 1 | 5916.75 | Passive |
| 2025-06-02T13:09:36.668 | SIM:ESM5 | Sell | 13 | 5919.25 | Aggressive |
| 2025-06-02T13:09:35.673 | SIM:ESM5 | Sell | 1 | 5919.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8900
Slippage Sweep
0.6600
Arrival Price
5,919.6250
Average Total
5,920.5150
Destination Price
5,919.1250
Sweep to Fill
5,919.8550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:09:35.291 | SIM:ESM5 | Buy | 1 | 5919 | Aggressive |
| 2025-06-02T13:09:35.291 | SIM:ESM5 | Buy | 2 | 5919 | Passive |
| 2025-06-02T13:09:35.291 | SIM:ESM5 | Buy | 2 | 5919 | Passive |
| 2025-06-02T13:09:35.291 | SIM:ESM5 | Buy | 2 | 5919 | Passive |
| 2025-06-02T13:09:26.279 | SIM:ESM5 | Buy | 6 | 5921.25 | Aggressive |
| 2025-06-02T13:09:25.218 | SIM:ESM5 | Buy | 6 | 5921.25 | Aggressive |
| 2025-06-02T13:09:23.171 | SIM:ESM5 | Buy | 6 | 5920.75 | Aggressive |
| 2025-06-02T13:09:20.655 | SIM:ESM5 | Buy | 2 | 5920.75 | Passive |
| 2025-06-02T13:09:20.655 | SIM:ESM5 | Buy | 3 | 5920.75 | Passive |
| 2025-06-02T13:09:20.655 | SIM:ESM5 | Buy | 3 | 5920.75 | Passive |
| 2025-06-02T13:09:16.342 | SIM:ESM5 | Buy | 8 | 5920.25 | Aggressive |
| 2025-06-02T13:09:17.298 | SIM:ESM5 | Buy | 6 | 5920.75 | Aggressive |
| 2025-06-02T13:09:14.209 | SIM:ESM5 | Buy | 3 | 5920.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3650
Arrival Price
5,921.8750
Average Total
5,922.0000
Destination Price
5,922.1250
Sweep to Fill
5,921.6350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:08:40.648 | SIM:ESM5 | Sell | 12 | 5922 | Aggressive |
| 2025-06-02T13:08:43.236 | SIM:ESM5 | Sell | 3 | 5922 | Aggressive |
| 2025-06-02T13:08:36.759 | SIM:ESM5 | Sell | 16 | 5922 | Aggressive |
| 2025-06-02T13:08:36.759 | SIM:ESM5 | Sell | 19 | 5922 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3650
Slippage Sweep
-0.6350
Arrival Price
5,922.3750
Average Total
5,922.0100
Destination Price
5,921.8750
Sweep to Fill
5,922.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:08:36.536 | SIM:ESM5 | Buy | 4 | 5922 | Aggressive |
| 2025-06-02T13:08:36.481 | SIM:ESM5 | Buy | 15 | 5922 | Aggressive |
| 2025-06-02T13:08:36.481 | SIM:ESM5 | Buy | 30 | 5922 | Aggressive |
| 2025-06-02T13:08:35.512 | SIM:ESM5 | Buy | 1 | 5922.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.4300
Arrival Price
5,922.3750
Average Total
5,922.4950
Destination Price
5,922.6250
Sweep to Fill
5,922.0650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:08:04.847 | SIM:ESM5 | Sell | 6 | 5922.5 | Aggressive |
| 2025-06-02T13:08:04.835 | SIM:ESM5 | Sell | 14 | 5922.5 | Aggressive |
| 2025-06-02T13:08:04.054 | SIM:ESM5 | Sell | 22 | 5922.5 | Aggressive |
| 2025-06-02T13:08:03.736 | SIM:ESM5 | Sell | 7 | 5922.5 | Aggressive |
| 2025-06-02T13:08:02.819 | SIM:ESM5 | Sell | 1 | 5922.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1700
Slippage Sweep
0.0350
Arrival Price
5,922.1250
Average Total
5,922.2950
Destination Price
5,922.3750
Sweep to Fill
5,922.2600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:07:57.971 | SIM:ESM5 | Buy | 5 | 5922.25 | Aggressive |
| 2025-06-02T13:07:57.971 | SIM:ESM5 | Buy | 6 | 5922.25 | Aggressive |
| 2025-06-02T13:07:54.954 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T13:07:59.975 | SIM:ESM5 | Buy | 3 | 5922.25 | Aggressive |
| 2025-06-02T13:07:56.971 | SIM:ESM5 | Buy | 6 | 5922.25 | Aggressive |
| 2025-06-02T13:07:52.965 | SIM:ESM5 | Buy | 9 | 5922.25 | Aggressive |
| 2025-06-02T13:07:50.11 | SIM:ESM5 | Buy | 10 | 5922.25 | Aggressive |
| 2025-06-02T13:08:02.091 | SIM:ESM5 | Buy | 9 | 5922.5 | Aggressive |
| 2025-06-02T13:07:48.996 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0550
Slippage Sweep
-0.3450
Arrival Price
5,922.1250
Average Total
5,922.1800
Destination Price
5,922.3750
Sweep to Fill
5,921.8350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:07:18.626 | SIM:ESM5 | Sell | 37 | 5922.25 | Aggressive |
| 2025-06-02T13:07:17.833 | SIM:ESM5 | Sell | 4 | 5921.75 | Aggressive |
| 2025-06-02T13:07:16.613 | SIM:ESM5 | Sell | 2 | 5921.75 | Aggressive |
| 2025-06-02T13:07:18.626 | SIM:ESM5 | Sell | 6 | 5922.25 | Aggressive |
| 2025-06-02T13:07:15.657 | SIM:ESM5 | Sell | 1 | 5921.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.2600
Arrival Price
5,922.3750
Average Total
5,922.3300
Destination Price
5,922.1250
Sweep to Fill
5,922.5900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:07:15.148 | SIM:ESM5 | Buy | 17 | 5922.25 | Aggressive |
| 2025-06-02T13:07:14.141 | SIM:ESM5 | Buy | 11 | 5922.5 | Aggressive |
| 2025-06-02T13:07:15.148 | SIM:ESM5 | Buy | 17 | 5922.25 | Aggressive |
| 2025-06-02T13:07:12.356 | SIM:ESM5 | Buy | 4 | 5922.5 | Aggressive |
| 2025-06-02T13:07:11.119 | SIM:ESM5 | Buy | 1 | 5922.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2850
Slippage Sweep
-0.5300
Arrival Price
5,921.3750
Average Total
5,921.6600
Destination Price
5,921.8750
Sweep to Fill
5,921.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:06:39.612 | SIM:ESM5 | Sell | 17 | 5921.5 | Aggressive |
| 2025-06-02T13:06:40.639 | SIM:ESM5 | Sell | 32 | 5921.75 | Aggressive |
| 2025-06-02T13:06:39.362 | SIM:ESM5 | Sell | 1 | 5921.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3350
Slippage Sweep
0.1100
Arrival Price
5,921.3750
Average Total
5,921.7100
Destination Price
5,921.3750
Sweep to Fill
5,921.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:06:29.225 | SIM:ESM5 | Buy | 5 | 5921.75 | Aggressive |
| 2025-06-02T13:06:36.305 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
| 2025-06-02T13:06:33.333 | SIM:ESM5 | Buy | 7 | 5921.5 | Aggressive |
| 2025-06-02T13:06:24.212 | SIM:ESM5 | Buy | 2 | 5921.75 | Aggressive |
| 2025-06-02T13:06:13.147 | SIM:ESM5 | Buy | 2 | 5921.5 | Aggressive |
| 2025-06-02T13:06:38.312 | SIM:ESM5 | Buy | 3 | 5921.5 | Aggressive |
| 2025-06-02T13:06:25.259 | SIM:ESM5 | Buy | 10 | 5922 | Aggressive |
| 2025-06-02T13:06:25.259 | SIM:ESM5 | Buy | 1 | 5921.75 | Aggressive |
| 2025-06-02T13:06:25.259 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T13:06:16.451 | SIM:ESM5 | Buy | 5 | 5921.75 | Aggressive |
| 2025-06-02T13:06:16.451 | SIM:ESM5 | Buy | 6 | 5921.75 | Passive |
| 2025-06-02T13:06:16.451 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T13:06:16.45 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T13:06:14.225 | SIM:ESM5 | Buy | 4 | 5921.5 | Aggressive |
| 2025-06-02T13:06:12.113 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1300
Slippage Sweep
-0.2900
Arrival Price
5,920.6250
Average Total
5,920.7550
Destination Price
5,921.1250
Sweep to Fill
5,920.4650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:05:40.823 | SIM:ESM5 | Sell | 2 | 5920.75 | Aggressive |
| 2025-06-02T13:05:41.758 | SIM:ESM5 | Sell | 15 | 5921 | Aggressive |
| 2025-06-02T13:05:33.712 | SIM:ESM5 | Sell | 14 | 5920.5 | Aggressive |
| 2025-06-02T13:05:33.712 | SIM:ESM5 | Sell | 19 | 5920.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0650
Slippage Sweep
-0.3550
Arrival Price
5,920.8750
Average Total
5,920.8100
Destination Price
5,920.6250
Sweep to Fill
5,921.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:05:33.367 | SIM:ESM5 | Buy | 4 | 5921 | Aggressive |
| 2025-06-02T13:05:33.367 | SIM:ESM5 | Buy | 25 | 5920.75 | Aggressive |
| 2025-06-02T13:05:32.467 | SIM:ESM5 | Buy | 2 | 5920.75 | Passive |
| 2025-06-02T13:05:31.333 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T13:05:31.333 | SIM:ESM5 | Buy | 11 | 5920.75 | Aggressive |
| 2025-06-02T13:05:29.27 | SIM:ESM5 | Buy | 5 | 5921 | Aggressive |
| 2025-06-02T13:05:28.274 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2550
Slippage Sweep
-0.4400
Arrival Price
5,919.8750
Average Total
5,920.1300
Destination Price
5,920.1250
Sweep to Fill
5,919.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:04:56.812 | SIM:ESM5 | Sell | 3 | 5920.25 | Passive |
| 2025-06-02T13:04:52.333 | SIM:ESM5 | Sell | 16 | 5920.25 | Aggressive |
| 2025-06-02T13:04:52.436 | SIM:ESM5 | Sell | 19 | 5920.25 | Aggressive |
| 2025-06-02T13:04:52.218 | SIM:ESM5 | Sell | 6 | 5919.75 | Aggressive |
| 2025-06-02T13:04:50.418 | SIM:ESM5 | Sell | 5 | 5919.75 | Aggressive |
| 2025-06-02T13:04:49.312 | SIM:ESM5 | Sell | 1 | 5919.75 | Aggressive |