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
1.1250
Slippage Sweep
0.8350
Arrival Price
5,921.3750
Average Total
5,920.2500
Destination Price
5,919.6250
Sweep to Fill
5,921.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:31:32.745 | SIM:ESM5 | Sell | 3 | 5919.75 | Aggressive |
| 2025-06-02T12:31:27.765 | SIM:ESM5 | Sell | 2 | 5920.25 | Aggressive |
| 2025-06-02T12:31:33.826 | SIM:ESM5 | Sell | 11 | 5919.5 | Aggressive |
| 2025-06-02T12:31:28.725 | SIM:ESM5 | Sell | 6 | 5920.25 | Aggressive |
| 2025-06-02T12:31:24.729 | SIM:ESM5 | Sell | 3 | 5920.5 | Aggressive |
| 2025-06-02T12:31:22.684 | SIM:ESM5 | Sell | 5 | 5920.25 | Aggressive |
| 2025-06-02T12:31:20.718 | SIM:ESM5 | Sell | 2 | 5921 | Passive |
| 2025-06-02T12:31:20.718 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
| 2025-06-02T12:31:20.718 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
| 2025-06-02T12:31:16.627 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:31:12.58 | SIM:ESM5 | Sell | 2 | 5921 | Aggressive |
| 2025-06-02T12:31:11.596 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
| 2025-06-02T12:31:18.735 | SIM:ESM5 | Sell | 7 | 5920.5 | Aggressive |
| 2025-06-02T12:31:14.601 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:31:14.601 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:31:10.583 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.4700
Arrival Price
5,921.8750
Average Total
5,921.6900
Destination Price
5,921.3750
Sweep to Fill
5,922.1600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:31:09.901 | SIM:ESM5 | Buy | 11 | 5921.5 | Aggressive |
| 2025-06-02T12:31:06.851 | SIM:ESM5 | Buy | 23 | 5921.75 | Aggressive |
| 2025-06-02T12:31:06.851 | SIM:ESM5 | Buy | 5 | 5921.5 | Aggressive |
| 2025-06-02T12:31:05.923 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.923 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.923 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.923 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.923 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.922 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.922 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.922 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:05.922 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
| 2025-06-02T12:31:04.966 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T12:31:04.395 | 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
-0.1400
Slippage Sweep
-0.4150
Arrival Price
5,921.1250
Average Total
5,921.2650
Destination Price
5,921.6250
Sweep to Fill
5,920.8500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:30:33.35 | SIM:ESM5 | Sell | 1 | 5921.75 | Aggressive |
| 2025-06-02T12:30:33.35 | SIM:ESM5 | Sell | 1 | 5921.75 | Passive |
| 2025-06-02T12:30:32.27 | SIM:ESM5 | Sell | 13 | 5921.25 | Aggressive |
| 2025-06-02T12:30:32.27 | SIM:ESM5 | Sell | 3 | 5921.25 | Aggressive |
| 2025-06-02T12:30:32.27 | SIM:ESM5 | Sell | 31 | 5921.25 | Aggressive |
| 2025-06-02T12:30:31.325 | SIM:ESM5 | Sell | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0750
Slippage Sweep
-0.2050
Arrival Price
5,919.1250
Average Total
5,919.2000
Destination Price
5,921.1250
Sweep to Fill
5,919.4050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:30:08.918 | SIM:ESM5 | Buy | 11 | 5919 | Passive |
| 2025-06-02T12:30:30.012 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
| 2025-06-02T12:30:28.072 | SIM:ESM5 | Buy | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:30:08.918 | SIM:ESM5 | Buy | 30 | 5919 | Aggressive |
| 2025-06-02T12:30:07.92 | SIM:ESM5 | Buy | 3 | 5919.5 | Aggressive |
| 2025-06-02T12:30:06.835 | SIM:ESM5 | Buy | 1 | 5919.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.2000
Arrival Price
5,918.6250
Average Total
5,918.7000
Destination Price
5,918.8750
Sweep to Fill
5,918.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:29:36.339 | SIM:ESM5 | Sell | 1 | 5918.75 | Aggressive |
| 2025-06-02T12:29:34.319 | SIM:ESM5 | Sell | 10 | 5918.5 | Aggressive |
| 2025-06-02T12:29:34.319 | SIM:ESM5 | Sell | 18 | 5918.75 | Aggressive |
| 2025-06-02T12:29:33.237 | SIM:ESM5 | Sell | 20 | 5918.75 | Aggressive |
| 2025-06-02T12:29:32.236 | 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
-0.0700
Slippage Sweep
-0.3700
Arrival Price
5,918.6250
Average Total
5,918.5550
Destination Price
5,918.8750
Sweep to Fill
5,918.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:29:32.041 | SIM:ESM5 | Buy | 3 | 5918.75 | Passive |
| 2025-06-02T12:29:19.2 | SIM:ESM5 | Buy | 8 | 5919 | Aggressive |
| 2025-06-02T12:29:01.974 | SIM:ESM5 | Buy | 4 | 5918.25 | Aggressive |
| 2025-06-02T12:29:01.974 | SIM:ESM5 | Buy | 4 | 5918.5 | Aggressive |
| 2025-06-02T12:29:01.974 | SIM:ESM5 | Buy | 5 | 5918.25 | Aggressive |
| 2025-06-02T12:29:03.057 | SIM:ESM5 | Buy | 12 | 5918.5 | Aggressive |
| 2025-06-02T12:29:01.012 | SIM:ESM5 | Buy | 13 | 5918.5 | Aggressive |
| 2025-06-02T12:29:00.02 | SIM:ESM5 | Buy | 1 | 5918.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8450
Slippage Sweep
0.5200
Arrival Price
5,920.1250
Average Total
5,919.2800
Destination Price
5,918.8750
Sweep to Fill
5,919.8000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:28:13.482 | SIM:ESM5 | Sell | 1 | 5919.75 | Aggressive |
| 2025-06-02T12:28:28.409 | SIM:ESM5 | Sell | 5 | 5918.75 | Aggressive |
| 2025-06-02T12:28:15.311 | SIM:ESM5 | Sell | 18 | 5919.25 | Aggressive |
| 2025-06-02T12:28:06.242 | SIM:ESM5 | Sell | 1 | 5919.75 | Aggressive |
| 2025-06-02T12:28:29.409 | SIM:ESM5 | Sell | 9 | 5918.75 | Aggressive |
| 2025-06-02T12:28:26.391 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
| 2025-06-02T12:28:09.868 | SIM:ESM5 | Sell | 9 | 5919.75 | Aggressive |
| 2025-06-02T12:28:08.541 | SIM:ESM5 | Sell | 5 | 5919.75 | Aggressive |
| 2025-06-02T12:28:05.238 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.3850
Arrival Price
5,920.3750
Average Total
5,920.2400
Destination Price
5,919.8750
Sweep to Fill
5,920.6250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:28:01.44 | SIM:ESM5 | Buy | 4 | 5920.5 | Aggressive |
| 2025-06-02T12:27:59.422 | SIM:ESM5 | Buy | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:27:58.729 | SIM:ESM5 | Buy | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:28:03.476 | SIM:ESM5 | Buy | 15 | 5920.25 | Aggressive |
| 2025-06-02T12:28:03.476 | SIM:ESM5 | Buy | 18 | 5920 | Aggressive |
| 2025-06-02T12:28:02.445 | SIM:ESM5 | Buy | 5 | 5920.5 | Aggressive |
| 2025-06-02T12:28:02.445 | SIM:ESM5 | Buy | 1 | 5920.25 | Aggressive |
| 2025-06-02T12:28:00.868 | SIM:ESM5 | Buy | 1 | 5920.5 | Passive |
| 2025-06-02T12:28:00.868 | SIM:ESM5 | Buy | 1 | 5920.5 | Passive |
| 2025-06-02T12:27:58.729 | SIM:ESM5 | Buy | 1 | 5920.5 | Aggressive |
| 2025-06-02T12:27:57.965 | SIM:ESM5 | Buy | 1 | 5920.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2600
Arrival Price
5,920.1250
Average Total
5,920.2250
Destination Price
5,920.3750
Sweep to Fill
5,919.9650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:27:26.167 | SIM:ESM5 | Sell | 3 | 5920.25 | Aggressive |
| 2025-06-02T12:27:26.167 | SIM:ESM5 | Sell | 3 | 5920.25 | Aggressive |
| 2025-06-02T12:27:25.348 | SIM:ESM5 | Sell | 8 | 5920.25 | Aggressive |
| 2025-06-02T12:27:22.114 | SIM:ESM5 | Sell | 5 | 5920 | Aggressive |
| 2025-06-02T12:27:22.114 | SIM:ESM5 | Sell | 31 | 5920.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4100
Slippage Sweep
-0.6100
Arrival Price
5,920.8750
Average Total
5,920.4650
Destination Price
5,920.3750
Sweep to Fill
5,921.0750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:27:21.564 | SIM:ESM5 | Buy | 1 | 5920.25 | Passive |
| 2025-06-02T12:27:21.564 | SIM:ESM5 | Buy | 1 | 5920.25 | Passive |
| 2025-06-02T12:27:21.564 | SIM:ESM5 | Buy | 3 | 5920.25 | Passive |
| 2025-06-02T12:27:21.563 | SIM:ESM5 | Buy | 2 | 5920.25 | Passive |
| 2025-06-02T12:27:21.563 | SIM:ESM5 | Buy | 2 | 5920.25 | Passive |
| 2025-06-02T12:27:19.469 | SIM:ESM5 | Buy | 10 | 5920.5 | Passive |
| 2025-06-02T12:27:19.469 | SIM:ESM5 | Buy | 30 | 5920.5 | Aggressive |
| 2025-06-02T12:27:18.512 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3800
Slippage Sweep
0.0950
Arrival Price
5,919.3750
Average Total
5,918.9950
Destination Price
5,919.5000
Sweep to Fill
5,919.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:26:44.87 | SIM:ESM5 | Sell | 4 | 5918.75 | Aggressive |
| 2025-06-02T12:26:36.836 | SIM:ESM5 | Sell | 8 | 5918.75 | Aggressive |
| 2025-06-02T12:26:46.912 | SIM:ESM5 | Sell | 6 | 5919.25 | Aggressive |
| 2025-06-02T12:26:45.912 | SIM:ESM5 | Sell | 15 | 5919.25 | Aggressive |
| 2025-06-02T12:26:42.912 | SIM:ESM5 | Sell | 9 | 5918.75 | Aggressive |
| 2025-06-02T12:26:40.859 | SIM:ESM5 | Sell | 1 | 5918.75 | Aggressive |
| 2025-06-02T12:26:35.933 | SIM:ESM5 | Sell | 4 | 5919 | Aggressive |
| 2025-06-02T12:26:34.781 | SIM:ESM5 | Sell | 2 | 5919 | Aggressive |
| 2025-06-02T12:26:32.777 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0350
Slippage Sweep
-0.2850
Arrival Price
5,919.8750
Average Total
5,919.8400
Destination Price
5,919.6250
Sweep to Fill
5,920.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:26:32.033 | SIM:ESM5 | Buy | 4 | 5920 | Aggressive |
| 2025-06-02T12:26:32.033 | SIM:ESM5 | Buy | 24 | 5919.75 | Aggressive |
| 2025-06-02T12:26:29.027 | SIM:ESM5 | Buy | 7 | 5920 | Aggressive |
| 2025-06-02T12:26:29.027 | SIM:ESM5 | Buy | 3 | 5919.75 | Aggressive |
| 2025-06-02T12:26:28.025 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T12:26:27.12 | SIM:ESM5 | Buy | 2 | 5920 | Aggressive |
| 2025-06-02T12:26:30.998 | SIM:ESM5 | Buy | 6 | 5919.75 | Aggressive |
| 2025-06-02T12:26:25.95 | SIM:ESM5 | Buy | 1 | 5920.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3400
Slippage Sweep
-0.6350
Arrival Price
5,921.1250
Average Total
5,921.4650
Destination Price
5,921.6250
Sweep to Fill
5,920.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:25:54.475 | SIM:ESM5 | Sell | 14 | 5921.5 | Aggressive |
| 2025-06-02T12:25:52.456 | SIM:ESM5 | Sell | 5 | 5921.25 | Aggressive |
| 2025-06-02T12:25:53.474 | SIM:ESM5 | Sell | 1 | 5921.25 | Aggressive |
| 2025-06-02T12:25:53.474 | SIM:ESM5 | Sell | 29 | 5921.5 | Aggressive |
| 2025-06-02T12:25:51.855 | SIM:ESM5 | Sell | 1 | 5921.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3350
Arrival Price
5,921.3750
Average Total
5,921.2550
Destination Price
5,921.1250
Sweep to Fill
5,921.5900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:25:51.115 | SIM:ESM5 | Buy | 9 | 5921.25 | Aggressive |
| 2025-06-02T12:25:50.816 | SIM:ESM5 | Buy | 2 | 5921.25 | Aggressive |
| 2025-06-02T12:25:46.099 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
| 2025-06-02T12:25:42.712 | SIM:ESM5 | Buy | 14 | 5921.25 | Aggressive |
| 2025-06-02T12:25:50.816 | SIM:ESM5 | Buy | 14 | 5921.25 | Aggressive |
| 2025-06-02T12:25:49.747 | SIM:ESM5 | Buy | 9 | 5921.25 | Aggressive |
| 2025-06-02T12:25:41.655 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2700
Arrival Price
5,921.6250
Average Total
5,921.7500
Destination Price
5,921.8750
Sweep to Fill
5,921.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:25:11.412 | SIM:ESM5 | Sell | 4 | 5921.75 | Aggressive |
| 2025-06-02T12:25:11.412 | SIM:ESM5 | Sell | 13 | 5921.75 | Aggressive |
| 2025-06-02T12:25:08.47 | SIM:ESM5 | Sell | 9 | 5921.75 | Aggressive |
| 2025-06-02T12:25:07.332 | SIM:ESM5 | Sell | 23 | 5921.75 | Aggressive |
| 2025-06-02T12:25:06.292 | SIM:ESM5 | Sell | 1 | 5921.75 | Aggressive |