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
0.4900
Slippage Sweep
0.2750
Arrival Price
5,919.1250
Average Total
5,919.6150
Destination Price
5,919.3750
Sweep to Fill
5,919.3400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:04:47.988 | SIM:ESM5 | Buy | 3 | 5919.5 | Aggressive |
| 2025-06-02T13:04:40.904 | SIM:ESM5 | Buy | 8 | 5919.5 | Aggressive |
| 2025-06-02T13:04:39.03 | SIM:ESM5 | Buy | 8 | 5919.75 | Aggressive |
| 2025-06-02T13:04:33.975 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |
| 2025-06-02T13:04:31.975 | SIM:ESM5 | Buy | 6 | 5919.75 | Aggressive |
| 2025-06-02T13:04:27.846 | SIM:ESM5 | Buy | 2 | 5919.5 | Aggressive |
| 2025-06-02T13:04:27.846 | SIM:ESM5 | Buy | 3 | 5919.5 | Aggressive |
| 2025-06-02T13:04:24.821 | SIM:ESM5 | Buy | 1 | 5919.5 | Aggressive |
| 2025-06-02T13:04:39.978 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |
| 2025-06-02T13:04:39.03 | SIM:ESM5 | Buy | 9 | 5919.75 | Aggressive |
| 2025-06-02T13:04:34.973 | SIM:ESM5 | Buy | 3 | 5919.75 | Aggressive |
| 2025-06-02T13:04:25.837 | SIM:ESM5 | Buy | 4 | 5919.25 | Aggressive |
| 2025-06-02T13:04:23.817 | SIM:ESM5 | Buy | 1 | 5919.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1100
Slippage Sweep
-0.3400
Arrival Price
5,920.1250
Average Total
5,920.2350
Destination Price
5,920.5000
Sweep to Fill
5,919.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:03:53.333 | SIM:ESM5 | Sell | 2 | 5920.25 | Aggressive |
| 2025-06-02T13:03:53.333 | SIM:ESM5 | Sell | 45 | 5920.25 | Aggressive |
| 2025-06-02T13:03:52.346 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
| 2025-06-02T13:03:51.412 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
| 2025-06-02T13:03:50.816 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2400
Slippage Sweep
-0.4250
Arrival Price
5,920.6250
Average Total
5,920.3850
Destination Price
5,920.1250
Sweep to Fill
5,920.8100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:03:49.967 | SIM:ESM5 | Buy | 24 | 5920.25 | Aggressive |
| 2025-06-02T13:03:49.012 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |
| 2025-06-02T13:03:49.012 | SIM:ESM5 | Buy | 24 | 5920.5 | Aggressive |
| 2025-06-02T13:03:48.012 | SIM:ESM5 | Buy | 1 | 5920.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0300
Slippage Sweep
-0.1650
Arrival Price
5,921.3750
Average Total
5,921.3450
Destination Price
5,921.6250
Sweep to Fill
5,921.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:03:17.552 | SIM:ESM5 | Sell | 14 | 5921.25 | Aggressive |
| 2025-06-02T13:03:17.552 | SIM:ESM5 | Sell | 22 | 5921.5 | Aggressive |
| 2025-06-02T13:03:15.48 | SIM:ESM5 | Sell | 10 | 5921.25 | Aggressive |
| 2025-06-02T13:03:14.455 | SIM:ESM5 | Sell | 2 | 5921 | Aggressive |
| 2025-06-02T13:03:13.476 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
| 2025-06-02T13:03:12.433 | SIM:ESM5 | Sell | 1 | 5921.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.3400
Arrival Price
5,921.3750
Average Total
5,921.2700
Destination Price
5,921.1250
Sweep to Fill
5,921.6100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:03:09.923 | SIM:ESM5 | Buy | 2 | 5921.25 | Aggressive |
| 2025-06-02T13:03:08.811 | SIM:ESM5 | Buy | 7 | 5921.25 | Aggressive |
| 2025-06-02T13:03:08.469 | SIM:ESM5 | Buy | 2 | 5921.25 | Passive |
| 2025-06-02T13:03:06.097 | SIM:ESM5 | Buy | 4 | 5921.5 | Aggressive |
| 2025-06-02T13:03:10.963 | SIM:ESM5 | Buy | 22 | 5921.25 | Aggressive |
| 2025-06-02T13:03:04.773 | SIM:ESM5 | Buy | 9 | 5921.25 | Aggressive |
| 2025-06-02T13:03:03.763 | SIM:ESM5 | Buy | 4 | 5921.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3100
Slippage Sweep
-0.5050
Arrival Price
5,922.3750
Average Total
5,922.6850
Destination Price
5,922.8750
Sweep to Fill
5,922.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:02:33.213 | SIM:ESM5 | Sell | 5 | 5922.75 | Passive |
| 2025-06-02T13:02:33.213 | SIM:ESM5 | Sell | 8 | 5922.75 | Aggressive |
| 2025-06-02T13:02:33.213 | SIM:ESM5 | Sell | 30 | 5922.75 | Aggressive |
| 2025-06-02T13:02:32.154 | SIM:ESM5 | Sell | 5 | 5922.25 | Aggressive |
| 2025-06-02T13:02:31.145 | SIM:ESM5 | Sell | 1 | 5922.25 | Aggressive |
| 2025-06-02T13:02:30.265 | SIM:ESM5 | Sell | 1 | 5922.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.3000
Arrival Price
5,922.6250
Average Total
5,922.5950
Destination Price
5,922.3750
Sweep to Fill
5,922.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:02:29.825 | SIM:ESM5 | Buy | 31 | 5922.5 | Aggressive |
| 2025-06-02T13:02:25.724 | SIM:ESM5 | Buy | 17 | 5922.75 | Aggressive |
| 2025-06-02T13:02:24.693 | SIM:ESM5 | Buy | 1 | 5922.75 | Aggressive |
| 2025-06-02T13:02:23.682 | SIM:ESM5 | Buy | 1 | 5922.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.2650
Arrival Price
5,921.8750
Average Total
5,921.9350
Destination Price
5,922.1250
Sweep to Fill
5,921.6700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:01:53.04 | SIM:ESM5 | Sell | 13 | 5921.75 | Aggressive |
| 2025-06-02T13:01:53.04 | SIM:ESM5 | Sell | 37 | 5922 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2100
Slippage Sweep
0.0100
Arrival Price
5,921.8750
Average Total
5,922.0850
Destination Price
5,921.8750
Sweep to Fill
5,922.0750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:01:49.688 | SIM:ESM5 | Buy | 9 | 5922.25 | Aggressive |
| 2025-06-02T13:01:48.688 | SIM:ESM5 | Buy | 1 | 5922 | Aggressive |
| 2025-06-02T13:01:47.675 | SIM:ESM5 | Buy | 2 | 5922 | Aggressive |
| 2025-06-02T13:01:52.697 | SIM:ESM5 | Buy | 20 | 5922 | Aggressive |
| 2025-06-02T13:01:52.697 | SIM:ESM5 | Buy | 9 | 5922 | Aggressive |
| 2025-06-02T13:01:50.701 | SIM:ESM5 | Buy | 8 | 5922.25 | Aggressive |
| 2025-06-02T13:01:46.699 | SIM:ESM5 | Buy | 1 | 5922 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2100
Slippage Sweep
-0.3750
Arrival Price
5,919.6250
Average Total
5,919.8350
Destination Price
5,920.2500
Sweep to Fill
5,919.4600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:01:15.127 | SIM:ESM5 | Sell | 2 | 5919.5 | Aggressive |
| 2025-06-02T13:01:12.085 | SIM:ESM5 | Sell | 2 | 5919.25 | Aggressive |
| 2025-06-02T13:01:16.074 | SIM:ESM5 | Sell | 32 | 5920 | Aggressive |
| 2025-06-02T13:01:15.127 | SIM:ESM5 | Sell | 8 | 5919.75 | Aggressive |
| 2025-06-02T13:01:13.118 | SIM:ESM5 | Sell | 3 | 5919.25 | Aggressive |
| 2025-06-02T13:01:11.18 | SIM:ESM5 | Sell | 2 | 5919.5 | Aggressive |
| 2025-06-02T13:01:10.612 | SIM:ESM5 | Sell | 1 | 5919.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3650
Arrival Price
5,919.8750
Average Total
5,919.7550
Destination Price
5,919.6250
Sweep to Fill
5,920.1200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:01:09.631 | SIM:ESM5 | Buy | 21 | 5919.75 | Aggressive |
| 2025-06-02T13:01:08.612 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |
| 2025-06-02T13:01:09.631 | SIM:ESM5 | Buy | 3 | 5919.75 | Passive |
| 2025-06-02T13:01:09.631 | SIM:ESM5 | Buy | 12 | 5919.75 | Aggressive |
| 2025-06-02T13:01:07.516 | SIM:ESM5 | Buy | 12 | 5919.75 | Aggressive |
| 2025-06-02T13:01:06.553 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1800
Slippage Sweep
-0.3400
Arrival Price
5,919.3750
Average Total
5,919.5550
Destination Price
5,919.8750
Sweep to Fill
5,919.2150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:00:22.763 | SIM:ESM5 | Sell | 3 | 5919.5 | Aggressive |
| 2025-06-02T13:00:22.763 | SIM:ESM5 | Sell | 21 | 5919.75 | Aggressive |
| 2025-06-02T13:00:21.834 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T13:00:21.834 | SIM:ESM5 | Sell | 3 | 5919.75 | Passive |
| 2025-06-02T13:00:21.834 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T13:00:21.833 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T13:00:21.833 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T13:00:21.833 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T13:00:20.786 | SIM:ESM5 | Sell | 10 | 5919.25 | Aggressive |
| 2025-06-02T13:00:18.812 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
| 2025-06-02T13:00:20.784 | SIM:ESM5 | Sell | 6 | 5919.25 | Aggressive |
| 2025-06-02T13:00:17.855 | 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
-0.2200
Slippage Sweep
-0.4050
Arrival Price
5,919.8750
Average Total
5,919.6550
Destination Price
5,919.3750
Sweep to Fill
5,920.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T13:00:16.441 | SIM:ESM5 | Buy | 10 | 5919.75 | Aggressive |
| 2025-06-02T13:00:16.441 | SIM:ESM5 | Buy | 23 | 5919.5 | Aggressive |
| 2025-06-02T13:00:15.416 | SIM:ESM5 | Buy | 2 | 5919.75 | Aggressive |
| 2025-06-02T13:00:14.613 | SIM:ESM5 | Buy | 7 | 5920 | Aggressive |
| 2025-06-02T13:00:17.461 | SIM:ESM5 | Buy | 3 | 5919.75 | Aggressive |
| 2025-06-02T13:00:17.461 | SIM:ESM5 | Buy | 4 | 5919.5 | Aggressive |
| 2025-06-02T13:00:13.423 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7400
Slippage Sweep
0.5500
Arrival Price
5,921.1250
Average Total
5,920.3850
Destination Price
5,919.6250
Sweep to Fill
5,920.9350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:59:42.999 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T12:59:33.934 | SIM:ESM5 | Sell | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:59:32.873 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:59:32.032 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:59:32.032 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:59:31.053 | SIM:ESM5 | Sell | 3 | 5920.5 | Aggressive |
| 2025-06-02T12:59:28.117 | SIM:ESM5 | Sell | 3 | 5921 | Passive |
| 2025-06-02T12:59:28.117 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
| 2025-06-02T12:59:28.117 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
| 2025-06-02T12:59:26.849 | SIM:ESM5 | Sell | 2 | 5920.75 | Aggressive |
| 2025-06-02T12:59:25.884 | SIM:ESM5 | Sell | 4 | 5920.75 | Aggressive |
| 2025-06-02T12:59:40.481 | SIM:ESM5 | Sell | 13 | 5920 | Aggressive |
| 2025-06-02T12:59:39.952 | SIM:ESM5 | Sell | 6 | 5920 | Aggressive |
| 2025-06-02T12:59:31.053 | SIM:ESM5 | Sell | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:59:24.833 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:59:23.84 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6000
Slippage Sweep
0.3450
Arrival Price
5,920.6250
Average Total
5,921.2250
Destination Price
5,921.1250
Sweep to Fill
5,920.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:59:22.936 | SIM:ESM5 | Buy | 3 | 5921.25 | Aggressive |
| 2025-06-02T12:59:14.347 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T12:59:14.347 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T12:59:14.347 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T12:59:06.919 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
| 2025-06-02T12:59:03.62 | SIM:ESM5 | Buy | 8 | 5921.5 | Aggressive |
| 2025-06-02T12:59:02.619 | SIM:ESM5 | Buy | 6 | 5921.5 | Aggressive |
| 2025-06-02T12:59:02.619 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
| 2025-06-02T12:59:02.619 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T12:59:02.618 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T12:58:58.543 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T12:58:57.721 | SIM:ESM5 | Buy | 4 | 5920.75 | Aggressive |
| 2025-06-02T12:58:56.612 | SIM:ESM5 | Buy | 2 | 5920.75 | Aggressive |
| 2025-06-02T12:59:13.592 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
| 2025-06-02T12:59:13.592 | SIM:ESM5 | Buy | 2 | 5921.25 | Passive |
| 2025-06-02T12:59:02.618 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T12:59:00.695 | SIM:ESM5 | Buy | 5 | 5921.25 | Passive |
| 2025-06-02T12:59:00.695 | SIM:ESM5 | Buy | 3 | 5921.25 | Passive |
| 2025-06-02T12:59:00.694 | SIM:ESM5 | Buy | 3 | 5921.25 | Passive |
| 2025-06-02T12:58:55.536 | SIM:ESM5 | Buy | 2 | 5920.75 | Aggressive |
| 2025-06-02T12:58:54.495 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |