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
-0.0100
Slippage Sweep
-0.2700
Arrival Price
5,921.1250
Average Total
5,921.1350
Destination Price
5,921.3750
Sweep to Fill
5,920.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:58:24.112 | SIM:ESM5 | Sell | 9 | 5921.25 | Aggressive |
| 2025-06-02T12:58:24.112 | SIM:ESM5 | Sell | 18 | 5921.25 | Aggressive |
| 2025-06-02T12:58:23.068 | SIM:ESM5 | Sell | 18 | 5921 | Aggressive |
| 2025-06-02T12:58:21.156 | SIM:ESM5 | Sell | 3 | 5921 | Aggressive |
| 2025-06-02T12:58:20.037 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
| 2025-06-02T12:58:19.04 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1100
Slippage Sweep
-0.3450
Arrival Price
5,921.3750
Average Total
5,921.2650
Destination Price
5,921.1250
Sweep to Fill
5,921.6100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:58:17.966 | SIM:ESM5 | Buy | 9 | 5921.25 | Aggressive |
| 2025-06-02T12:58:17.012 | SIM:ESM5 | Buy | 15 | 5921.25 | Aggressive |
| 2025-06-02T12:58:17.012 | SIM:ESM5 | Buy | 23 | 5921.25 | Aggressive |
| 2025-06-02T12:58:16.314 | SIM:ESM5 | Buy | 3 | 5921.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0900
Slippage Sweep
-0.3300
Arrival Price
5,920.8750
Average Total
5,920.9650
Destination Price
5,921.1250
Sweep to Fill
5,920.6350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:57:45.344 | SIM:ESM5 | Sell | 3 | 5921 | Aggressive |
| 2025-06-02T12:57:45.344 | SIM:ESM5 | Sell | 36 | 5921 | Aggressive |
| 2025-06-02T12:57:43.412 | SIM:ESM5 | Sell | 6 | 5920.75 | Aggressive |
| 2025-06-02T12:57:43.412 | SIM:ESM5 | Sell | 2 | 5921 | Aggressive |
| 2025-06-02T12:57:43.412 | SIM:ESM5 | Sell | 2 | 5921 | Passive |
| 2025-06-02T12:57:42.315 | SIM:ESM5 | Sell | 1 | 5920.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0100
Slippage Sweep
-0.1700
Arrival Price
5,920.8750
Average Total
5,920.8650
Destination Price
5,920.8750
Sweep to Fill
5,921.0350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:57:27.521 | SIM:ESM5 | Buy | 9 | 5921 | Aggressive |
| 2025-06-02T12:57:27.521 | SIM:ESM5 | Buy | 27 | 5920.75 | Aggressive |
| 2025-06-02T12:57:41.805 | SIM:ESM5 | Buy | 8 | 5921 | Aggressive |
| 2025-06-02T12:57:40.67 | SIM:ESM5 | Buy | 5 | 5921 | Aggressive |
| 2025-06-02T12:57:27.185 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.2700
Arrival Price
5,920.3750
Average Total
5,920.4450
Destination Price
5,920.6250
Sweep to Fill
5,920.1750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:56:54.759 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:56:54.759 | SIM:ESM5 | Sell | 1 | 5920.75 | Aggressive |
| 2025-06-02T12:56:54.759 | SIM:ESM5 | Sell | 1 | 5920.75 | Passive |
| 2025-06-02T12:56:54.759 | SIM:ESM5 | Sell | 1 | 5920.75 | Passive |
| 2025-06-02T12:56:54.759 | SIM:ESM5 | Sell | 1 | 5920.75 | Passive |
| 2025-06-02T12:56:53.313 | SIM:ESM5 | Sell | 18 | 5920.5 | Aggressive |
| 2025-06-02T12:56:53.313 | SIM:ESM5 | Sell | 12 | 5920.5 | Aggressive |
| 2025-06-02T12:56:52.313 | SIM:ESM5 | Sell | 11 | 5920.25 | Aggressive |
| 2025-06-02T12:56:51.316 | SIM:ESM5 | Sell | 2 | 5920.25 | Aggressive |
| 2025-06-02T12:56:50.25 | SIM:ESM5 | Sell | 1 | 5920.25 | Aggressive |
| 2025-06-02T12:56:49.24 | 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
-0.0200
Slippage Sweep
-0.1450
Arrival Price
5,920.6250
Average Total
5,920.6050
Destination Price
5,920.3750
Sweep to Fill
5,920.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:56:48.676 | SIM:ESM5 | Buy | 10 | 5920.5 | Aggressive |
| 2025-06-02T12:56:48.676 | SIM:ESM5 | Buy | 19 | 5920.5 | Aggressive |
| 2025-06-02T12:56:46.669 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |
| 2025-06-02T12:56:47.632 | SIM:ESM5 | Buy | 19 | 5920.75 | Aggressive |
| 2025-06-02T12:56:45.603 | 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
-0.0350
Slippage Sweep
-0.2550
Arrival Price
5,918.8750
Average Total
5,918.9100
Destination Price
5,919.1250
Sweep to Fill
5,918.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:56:15.317 | SIM:ESM5 | Sell | 14 | 5919 | Aggressive |
| 2025-06-02T12:56:15.317 | SIM:ESM5 | Sell | 20 | 5919 | Aggressive |
| 2025-06-02T12:56:14.323 | SIM:ESM5 | Sell | 4 | 5918.75 | Aggressive |
| 2025-06-02T12:56:10.256 | SIM:ESM5 | Sell | 2 | 5918.75 | Aggressive |
| 2025-06-02T12:56:13.285 | SIM:ESM5 | Sell | 6 | 5918.75 | Aggressive |
| 2025-06-02T12:56:13.08 | SIM:ESM5 | Sell | 1 | 5918.75 | Passive |
| 2025-06-02T12:56:11.889 | SIM:ESM5 | Sell | 2 | 5918.5 | Aggressive |
| 2025-06-02T12:56:09.257 | SIM:ESM5 | Sell | 1 | 5918.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7150
Slippage Sweep
0.3800
Arrival Price
5,917.1250
Average Total
5,917.8400
Destination Price
5,918.8750
Sweep to Fill
5,917.4600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:56:03.471 | SIM:ESM5 | Buy | 7 | 5918 | Aggressive |
| 2025-06-02T12:55:54.225 | SIM:ESM5 | Buy | 3 | 5917.5 | Aggressive |
| 2025-06-02T12:55:53.456 | SIM:ESM5 | Buy | 3 | 5917.5 | Aggressive |
| 2025-06-02T12:55:47.612 | SIM:ESM5 | Buy | 1 | 5917.25 | Aggressive |
| 2025-06-02T12:55:47.612 | SIM:ESM5 | Buy | 8 | 5917.25 | Aggressive |
| 2025-06-02T12:56:08.766 | SIM:ESM5 | Buy | 9 | 5919 | Aggressive |
| 2025-06-02T12:55:58.946 | SIM:ESM5 | Buy | 6 | 5917.75 | Aggressive |
| 2025-06-02T12:55:48.712 | SIM:ESM5 | Buy | 6 | 5917.5 | Aggressive |
| 2025-06-02T12:55:44.837 | SIM:ESM5 | Buy | 3 | 5917.75 | Aggressive |
| 2025-06-02T12:55:44.837 | SIM:ESM5 | Buy | 1 | 5917.5 | Aggressive |
| 2025-06-02T12:55:43.649 | SIM:ESM5 | Buy | 1 | 5917.5 | Passive |
| 2025-06-02T12:55:42.563 | SIM:ESM5 | Buy | 2 | 5917.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3350
Arrival Price
5,916.8750
Average Total
5,916.9950
Destination Price
5,917.1250
Sweep to Fill
5,916.6600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:55:10.917 | SIM:ESM5 | Sell | 11 | 5917 | Aggressive |
| 2025-06-02T12:55:10.917 | SIM:ESM5 | Sell | 23 | 5917 | Aggressive |
| 2025-06-02T12:55:11.963 | SIM:ESM5 | Sell | 10 | 5917 | Aggressive |
| 2025-06-02T12:55:08.937 | SIM:ESM5 | Sell | 5 | 5917 | Aggressive |
| 2025-06-02T12:55:07.92 | SIM:ESM5 | Sell | 1 | 5916.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0500
Slippage Sweep
-0.3800
Arrival Price
5,917.6250
Average Total
5,917.5750
Destination Price
5,917.1250
Sweep to Fill
5,917.9550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:55:06.719 | SIM:ESM5 | Buy | 6 | 5917.25 | Aggressive |
| 2025-06-02T12:55:03.999 | SIM:ESM5 | Buy | 9 | 5917.75 | Aggressive |
| 2025-06-02T12:55:05.008 | SIM:ESM5 | Buy | 10 | 5917.75 | Aggressive |
| 2025-06-02T12:55:05.008 | SIM:ESM5 | Buy | 23 | 5917.5 | Aggressive |
| 2025-06-02T12:55:02.987 | SIM:ESM5 | Buy | 1 | 5917.75 | Aggressive |
| 2025-06-02T12:55:02.373 | SIM:ESM5 | Buy | 1 | 5917.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2600
Arrival Price
5,917.3750
Average Total
5,917.5000
Destination Price
5,917.6250
Sweep to Fill
5,917.2400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:54:31.563 | SIM:ESM5 | Sell | 5 | 5917.5 | Aggressive |
| 2025-06-02T12:54:29.498 | SIM:ESM5 | Sell | 9 | 5917.5 | Aggressive |
| 2025-06-02T12:54:30.512 | SIM:ESM5 | Sell | 5 | 5917.5 | Passive |
| 2025-06-02T12:54:30.512 | SIM:ESM5 | Sell | 30 | 5917.5 | Aggressive |
| 2025-06-02T12:54:28.513 | SIM:ESM5 | Sell | 1 | 5917.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.3850
Arrival Price
5,917.8750
Average Total
5,917.8000
Destination Price
5,917.3750
Sweep to Fill
5,918.1850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:54:27.224 | SIM:ESM5 | Buy | 7 | 5918 | Aggressive |
| 2025-06-02T12:54:28.17 | SIM:ESM5 | Buy | 26 | 5917.75 | Aggressive |
| 2025-06-02T12:54:28.17 | SIM:ESM5 | Buy | 7 | 5917.5 | Aggressive |
| 2025-06-02T12:54:25.226 | SIM:ESM5 | Buy | 7 | 5918 | Aggressive |
| 2025-06-02T12:54:24.146 | SIM:ESM5 | Buy | 2 | 5918 | Aggressive |
| 2025-06-02T12:54:23.733 | SIM:ESM5 | Buy | 1 | 5918 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2650
Slippage Sweep
0.0150
Arrival Price
5,917.7500
Average Total
5,917.4850
Destination Price
5,917.8750
Sweep to Fill
5,917.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:53:51.945 | SIM:ESM5 | Sell | 2 | 5917.5 | Passive |
| 2025-06-02T12:53:48.82 | SIM:ESM5 | Sell | 3 | 5917.25 | Aggressive |
| 2025-06-02T12:53:48.819 | SIM:ESM5 | Sell | 3 | 5917.25 | Aggressive |
| 2025-06-02T12:53:44.816 | SIM:ESM5 | Sell | 4 | 5917.25 | Aggressive |
| 2025-06-02T12:53:52.832 | SIM:ESM5 | Sell | 22 | 5917.75 | Aggressive |
| 2025-06-02T12:53:51.945 | SIM:ESM5 | Sell | 2 | 5917.5 | Passive |
| 2025-06-02T12:53:49.811 | SIM:ESM5 | Sell | 3 | 5917 | Aggressive |
| 2025-06-02T12:53:45.868 | SIM:ESM5 | Sell | 2 | 5917.25 | Aggressive |
| 2025-06-02T12:53:42.084 | SIM:ESM5 | Sell | 3 | 5917.25 | Aggressive |
| 2025-06-02T12:53:40.964 | SIM:ESM5 | Sell | 4 | 5917.25 | Aggressive |
| 2025-06-02T12:53:39.735 | SIM:ESM5 | Sell | 1 | 5917.5 | Aggressive |
| 2025-06-02T12:53:39.136 | SIM:ESM5 | Sell | 1 | 5917.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6350
Slippage Sweep
0.3650
Arrival Price
5,917.1250
Average Total
5,917.7600
Destination Price
5,917.8750
Sweep to Fill
5,917.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:53:26.975 | SIM:ESM5 | Buy | 3 | 5917.5 | Aggressive |
| 2025-06-02T12:53:21.978 | SIM:ESM5 | Buy | 12 | 5917.75 | Aggressive |
| 2025-06-02T12:53:38.036 | SIM:ESM5 | Buy | 11 | 5918 | Aggressive |
| 2025-06-02T12:53:31.182 | SIM:ESM5 | Buy | 18 | 5917.75 | Aggressive |
| 2025-06-02T12:53:20.857 | SIM:ESM5 | Buy | 1 | 5917.5 | Aggressive |
| 2025-06-02T12:53:19.516 | SIM:ESM5 | Buy | 4 | 5917.5 | Aggressive |
| 2025-06-02T12:53:17.843 | SIM:ESM5 | Buy | 1 | 5917.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0300
Slippage Sweep
-0.1300
Arrival Price
5,917.6250
Average Total
5,917.5950
Destination Price
5,917.8750
Sweep to Fill
5,917.4650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:52:46.348 | SIM:ESM5 | Sell | 5 | 5917.5 | Aggressive |
| 2025-06-02T12:52:45.325 | SIM:ESM5 | Sell | 6 | 5917.5 | Aggressive |
| 2025-06-02T12:52:44.316 | SIM:ESM5 | Sell | 2 | 5917.25 | Aggressive |
| 2025-06-02T12:52:43.266 | SIM:ESM5 | Sell | 2 | 5917.25 | Aggressive |
| 2025-06-02T12:52:41.225 | SIM:ESM5 | Sell | 1 | 5917.25 | Aggressive |
| 2025-06-02T12:52:40.332 | SIM:ESM5 | Sell | 3 | 5917.5 | Aggressive |
| 2025-06-02T12:52:47.383 | SIM:ESM5 | Sell | 24 | 5917.75 | Aggressive |
| 2025-06-02T12:52:46.348 | SIM:ESM5 | Sell | 6 | 5917.5 | Aggressive |
| 2025-06-02T12:52:38.209 | SIM:ESM5 | Sell | 1 | 5917.5 | Aggressive |