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
-0.0350
Slippage Sweep
-0.3650
Arrival Price
5,920.8750
Average Total
5,920.8400
Destination Price
5,920.6250
Sweep to Fill
5,921.2050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:38:27.563 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T12:38:33.613 | SIM:ESM5 | Buy | 7 | 5920.75 | Passive |
| 2025-06-02T12:38:33.613 | SIM:ESM5 | Buy | 4 | 5920.75 | Aggressive |
| 2025-06-02T12:38:33.612 | SIM:ESM5 | Buy | 22 | 5920.75 | Aggressive |
| 2025-06-02T12:38:31.646 | SIM:ESM5 | Buy | 9 | 5921 | Aggressive |
| 2025-06-02T12:38:29.57 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
| 2025-06-02T12:38:28.706 | SIM:ESM5 | Buy | 4 | 5921 | Aggressive |
| 2025-06-02T12:38:26.517 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3700
Slippage Sweep
-0.6350
Arrival Price
5,921.1250
Average Total
5,921.4950
Destination Price
5,921.6250
Sweep to Fill
5,920.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:37:54.815 | SIM:ESM5 | Sell | 14 | 5921.5 | Passive |
| 2025-06-02T12:37:54.815 | SIM:ESM5 | Sell | 32 | 5921.5 | Aggressive |
| 2025-06-02T12:37:55.777 | SIM:ESM5 | Sell | 3 | 5921.5 | Aggressive |
| 2025-06-02T12:37:53.753 | 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
-0.1150
Slippage Sweep
-0.3050
Arrival Price
5,921.3750
Average Total
5,921.2600
Destination Price
5,921.1250
Sweep to Fill
5,921.5650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:37:53.555 | SIM:ESM5 | Buy | 7 | 5921.25 | Aggressive |
| 2025-06-02T12:37:50.363 | SIM:ESM5 | Buy | 6 | 5921.25 | Aggressive |
| 2025-06-02T12:37:52.412 | SIM:ESM5 | Buy | 18 | 5921.25 | Aggressive |
| 2025-06-02T12:37:52.412 | SIM:ESM5 | Buy | 17 | 5921.25 | Aggressive |
| 2025-06-02T12:37:51.523 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
| 2025-06-02T12:37:49.412 | 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
-0.1250
Slippage Sweep
-0.3000
Arrival Price
5,920.1250
Average Total
5,920.2500
Destination Price
5,920.3750
Sweep to Fill
5,919.9500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:37:18.618 | SIM:ESM5 | Sell | 12 | 5920.25 | Aggressive |
| 2025-06-02T12:37:17.613 | SIM:ESM5 | Sell | 10 | 5920.25 | Aggressive |
| 2025-06-02T12:37:17.613 | SIM:ESM5 | Sell | 28 | 5920.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1500
Slippage Sweep
-0.3900
Arrival Price
5,920.6250
Average Total
5,920.4750
Destination Price
5,920.1250
Sweep to Fill
5,920.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:37:17.405 | SIM:ESM5 | Buy | 5 | 5920.25 | Aggressive |
| 2025-06-02T12:37:16.369 | SIM:ESM5 | Buy | 1 | 5920.25 | Aggressive |
| 2025-06-02T12:37:15.417 | SIM:ESM5 | Buy | 8 | 5920.5 | Aggressive |
| 2025-06-02T12:37:10.336 | SIM:ESM5 | Buy | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:37:10.331 | SIM:ESM5 | Buy | 31 | 5920.5 | Aggressive |
| 2025-06-02T12:37:09.338 | 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
-0.0500
Slippage Sweep
-0.3200
Arrival Price
5,920.6250
Average Total
5,920.6750
Destination Price
5,920.8750
Sweep to Fill
5,920.3550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:36:31.671 | SIM:ESM5 | Sell | 8 | 5920.5 | Aggressive |
| 2025-06-02T12:36:31.671 | SIM:ESM5 | Sell | 23 | 5920.75 | Aggressive |
| 2025-06-02T12:36:30.662 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:36:28.88 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:36:37.879 | SIM:ESM5 | Sell | 12 | 5920.75 | Aggressive |
| 2025-06-02T12:36:29.641 | SIM:ESM5 | Sell | 3 | 5920.5 | Aggressive |
| 2025-06-02T12:36:27.619 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6550
Slippage Sweep
0.4200
Arrival Price
5,919.6250
Average Total
5,920.2800
Destination Price
5,920.6250
Sweep to Fill
5,919.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:36:27.113 | SIM:ESM5 | Buy | 8 | 5920.75 | Aggressive |
| 2025-06-02T12:36:17.014 | SIM:ESM5 | Buy | 4 | 5919.5 | Aggressive |
| 2025-06-02T12:36:13.996 | SIM:ESM5 | Buy | 6 | 5920.25 | Aggressive |
| 2025-06-02T12:36:12.013 | SIM:ESM5 | Buy | 2 | 5920.25 | Passive |
| 2025-06-02T12:36:03.011 | SIM:ESM5 | Buy | 5 | 5920.25 | Aggressive |
| 2025-06-02T12:36:03.011 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T12:36:03.011 | SIM:ESM5 | Buy | 1 | 5920 | Passive |
| 2025-06-02T12:36:02.641 | SIM:ESM5 | Buy | 2 | 5920 | Aggressive |
| 2025-06-02T12:36:20.119 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |
| 2025-06-02T12:36:16.885 | SIM:ESM5 | Buy | 5 | 5920 | Aggressive |
| 2025-06-02T12:36:10.952 | SIM:ESM5 | Buy | 7 | 5920.5 | Aggressive |
| 2025-06-02T12:36:08.961 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |
| 2025-06-02T12:36:06.975 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |
| 2025-06-02T12:36:05.056 | SIM:ESM5 | Buy | 3 | 5920.75 | Aggressive |
| 2025-06-02T12:36:00.997 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T12:35:59.881 | SIM:ESM5 | Buy | 2 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8950
Slippage Sweep
0.5600
Arrival Price
5,920.6250
Average Total
5,919.7300
Destination Price
5,918.3750
Sweep to Fill
5,920.2900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:35:23.117 | SIM:ESM5 | Sell | 6 | 5919 | Aggressive |
| 2025-06-02T12:35:23.117 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
| 2025-06-02T12:35:29.222 | SIM:ESM5 | Sell | 11 | 5918.25 | Aggressive |
| 2025-06-02T12:35:13.041 | SIM:ESM5 | Sell | 3 | 5920.25 | Aggressive |
| 2025-06-02T12:35:09.93 | SIM:ESM5 | Sell | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:35:09.612 | SIM:ESM5 | Sell | 5 | 5920.25 | Aggressive |
| 2025-06-02T12:35:09.612 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:35:09.612 | SIM:ESM5 | Sell | 1 | 5920.5 | Passive |
| 2025-06-02T12:35:07.216 | SIM:ESM5 | Sell | 4 | 5920.25 | Aggressive |
| 2025-06-02T12:35:15.013 | SIM:ESM5 | Sell | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:35:15.013 | SIM:ESM5 | Sell | 7 | 5920.5 | Aggressive |
| 2025-06-02T12:35:14.127 | SIM:ESM5 | Sell | 1 | 5920.5 | Passive |
| 2025-06-02T12:35:06.012 | SIM:ESM5 | Sell | 1 | 5920.25 | Aggressive |
| 2025-06-02T12:35:04.86 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2950
Slippage Sweep
0.1100
Arrival Price
5,919.8750
Average Total
5,920.1700
Destination Price
5,920.3750
Sweep to Fill
5,920.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:35:03.439 | SIM:ESM5 | Buy | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:35:03.439 | SIM:ESM5 | Buy | 1 | 5920.25 | Aggressive |
| 2025-06-02T12:34:57.038 | SIM:ESM5 | Buy | 10 | 5920.25 | Aggressive |
| 2025-06-02T12:34:52.296 | SIM:ESM5 | Buy | 2 | 5920 | Aggressive |
| 2025-06-02T12:34:49.116 | SIM:ESM5 | Buy | 2 | 5920.25 | Aggressive |
| 2025-06-02T12:34:49.116 | SIM:ESM5 | Buy | 3 | 5920.25 | Aggressive |
| 2025-06-02T12:35:02.206 | SIM:ESM5 | Buy | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:35:02.206 | SIM:ESM5 | Buy | 3 | 5920.25 | Aggressive |
| 2025-06-02T12:35:02.206 | SIM:ESM5 | Buy | 3 | 5920.25 | Passive |
| 2025-06-02T12:34:44.952 | SIM:ESM5 | Buy | 4 | 5920 | Aggressive |
| 2025-06-02T12:34:53.013 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T12:34:44.356 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T12:34:42.923 | SIM:ESM5 | Buy | 8 | 5920 | Aggressive |
| 2025-06-02T12:34:41.912 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T12:34:40.936 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2300
Slippage Sweep
0.0400
Arrival Price
5,919.3750
Average Total
5,919.1450
Destination Price
5,919.6250
Sweep to Fill
5,919.1850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:34:07.561 | SIM:ESM5 | Sell | 1 | 5919.25 | Aggressive |
| 2025-06-02T12:34:07.561 | SIM:ESM5 | Sell | 11 | 5919.25 | Aggressive |
| 2025-06-02T12:34:03.686 | SIM:ESM5 | Sell | 1 | 5918.75 | Aggressive |
| 2025-06-02T12:34:03.686 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
| 2025-06-02T12:34:03.685 | SIM:ESM5 | Sell | 1 | 5919 | Passive |
| 2025-06-02T12:33:57.455 | SIM:ESM5 | Sell | 3 | 5918.5 | Aggressive |
| 2025-06-02T12:34:10.56 | SIM:ESM5 | Sell | 18 | 5919.5 | Aggressive |
| 2025-06-02T12:34:02.804 | SIM:ESM5 | Sell | 3 | 5918.75 | Aggressive |
| 2025-06-02T12:34:00.489 | SIM:ESM5 | Sell | 4 | 5918.75 | Aggressive |
| 2025-06-02T12:33:59.74 | SIM:ESM5 | Sell | 4 | 5918.5 | Aggressive |
| 2025-06-02T12:33:55.436 | SIM:ESM5 | Sell | 2 | 5919.25 | Aggressive |
| 2025-06-02T12:33:54.458 | 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
-0.0100
Slippage Sweep
-0.2850
Arrival Price
5,919.6250
Average Total
5,919.6150
Destination Price
5,919.3750
Sweep to Fill
5,919.9000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:33:53.83 | SIM:ESM5 | Buy | 8 | 5919.5 | Aggressive |
| 2025-06-02T12:33:51.912 | SIM:ESM5 | Buy | 2 | 5919.5 | Aggressive |
| 2025-06-02T12:33:49.868 | SIM:ESM5 | Buy | 2 | 5919.75 | Aggressive |
| 2025-06-02T12:33:48.888 | SIM:ESM5 | Buy | 8 | 5919.75 | Aggressive |
| 2025-06-02T12:33:45.992 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |
| 2025-06-02T12:33:51.912 | SIM:ESM5 | Buy | 17 | 5919.5 | Aggressive |
| 2025-06-02T12:33:47.95 | SIM:ESM5 | Buy | 7 | 5919.75 | Aggressive |
| 2025-06-02T12:33:46.903 | SIM:ESM5 | Buy | 4 | 5919.75 | Aggressive |
| 2025-06-02T12:33:44.911 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1300
Slippage Sweep
-0.4550
Arrival Price
5,919.8750
Average Total
5,920.0050
Destination Price
5,920.3750
Sweep to Fill
5,919.5500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:33:14.212 | SIM:ESM5 | Sell | 3 | 5920.25 | Aggressive |
| 2025-06-02T12:33:13.519 | SIM:ESM5 | Sell | 9 | 5920 | Aggressive |
| 2025-06-02T12:33:14.212 | SIM:ESM5 | Sell | 4 | 5920.25 | Aggressive |
| 2025-06-02T12:33:13.332 | SIM:ESM5 | Sell | 5 | 5920 | Aggressive |
| 2025-06-02T12:33:12.312 | SIM:ESM5 | Sell | 1 | 5919.75 | Aggressive |
| 2025-06-02T12:33:12.312 | SIM:ESM5 | Sell | 21 | 5920 | Aggressive |
| 2025-06-02T12:33:11.341 | SIM:ESM5 | Sell | 4 | 5919.75 | Aggressive |
| 2025-06-02T12:33:11.341 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
| 2025-06-02T12:33:11.341 | SIM:ESM5 | Sell | 1 | 5920 | Passive |
| 2025-06-02T12:33:10.202 | SIM:ESM5 | Sell | 1 | 5919.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4050
Slippage Sweep
-0.6750
Arrival Price
5,920.6250
Average Total
5,920.2200
Destination Price
5,919.8750
Sweep to Fill
5,920.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:33:09.542 | SIM:ESM5 | Buy | 8 | 5920 | Aggressive |
| 2025-06-02T12:33:08.539 | SIM:ESM5 | Buy | 16 | 5920.25 | Aggressive |
| 2025-06-02T12:33:08.539 | SIM:ESM5 | Buy | 22 | 5920.25 | Aggressive |
| 2025-06-02T12:33:07.772 | SIM:ESM5 | Buy | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:33:07.772 | SIM:ESM5 | Buy | 1 | 5920.25 | Aggressive |
| 2025-06-02T12:33:07.772 | SIM:ESM5 | Buy | 1 | 5920.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2450
Slippage Sweep
-0.5200
Arrival Price
5,920.6250
Average Total
5,920.8700
Destination Price
5,921.1250
Sweep to Fill
5,920.3500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:32:37.188 | SIM:ESM5 | Sell | 14 | 5921 | Aggressive |
| 2025-06-02T12:32:36.153 | SIM:ESM5 | Sell | 20 | 5920.75 | Aggressive |
| 2025-06-02T12:32:36.153 | SIM:ESM5 | Sell | 13 | 5921 | Aggressive |
| 2025-06-02T12:32:35.197 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:32:34.33 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9150
Slippage Sweep
0.6950
Arrival Price
5,919.6250
Average Total
5,920.5400
Destination Price
5,920.8750
Sweep to Fill
5,919.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:32:33.548 | SIM:ESM5 | Buy | 4 | 5921 | Aggressive |
| 2025-06-02T12:32:31.512 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
| 2025-06-02T12:32:23.454 | SIM:ESM5 | Buy | 3 | 5920.5 | Aggressive |
| 2025-06-02T12:32:16.429 | SIM:ESM5 | Buy | 7 | 5919.75 | Aggressive |
| 2025-06-02T12:32:30.514 | SIM:ESM5 | Buy | 3 | 5921 | Aggressive |
| 2025-06-02T12:32:28.512 | SIM:ESM5 | Buy | 2 | 5921.25 | Aggressive |
| 2025-06-02T12:32:27.448 | SIM:ESM5 | Buy | 7 | 5921 | Aggressive |
| 2025-06-02T12:32:08.315 | SIM:ESM5 | Buy | 5 | 5920.75 | Aggressive |
| 2025-06-02T12:32:05.418 | SIM:ESM5 | Buy | 2 | 5920.25 | Aggressive |
| 2025-06-02T12:32:28.512 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
| 2025-06-02T12:32:13.452 | SIM:ESM5 | Buy | 6 | 5920.25 | Aggressive |
| 2025-06-02T12:32:13.452 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T12:32:13.452 | SIM:ESM5 | Buy | 1 | 5920 | Passive |
| 2025-06-02T12:32:10.421 | SIM:ESM5 | Buy | 3 | 5920.5 | Passive |
| 2025-06-02T12:32:06.351 | SIM:ESM5 | Buy | 3 | 5920.5 | Aggressive |
| 2025-06-02T12:32:04.332 | SIM:ESM5 | Buy | 1 | 5919.75 | Aggressive |