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
0.6450
Slippage Sweep
0.3850
Arrival Price
5,921.3750
Average Total
5,922.0200
Destination Price
5,921.8750
Sweep to Fill
5,921.6350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:25:05.759 | SIM:ESM5 | Buy | 2 | 5922 | Aggressive |
| 2025-06-02T12:25:02.725 | SIM:ESM5 | Buy | 3 | 5922 | Aggressive |
| 2025-06-02T12:24:58.677 | SIM:ESM5 | Buy | 6 | 5922 | Aggressive |
| 2025-06-02T12:24:51.62 | SIM:ESM5 | Buy | 3 | 5922.5 | Aggressive |
| 2025-06-02T12:24:39.758 | SIM:ESM5 | Buy | 17 | 5922 | Aggressive |
| 2025-06-02T12:24:37.512 | SIM:ESM5 | Buy | 2 | 5921.75 | Aggressive |
| 2025-06-02T12:24:55.659 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T12:24:40.967 | SIM:ESM5 | Buy | 9 | 5922.25 | Aggressive |
| 2025-06-02T12:24:36.475 | SIM:ESM5 | Buy | 3 | 5921.75 | Aggressive |
| 2025-06-02T12:24:35.527 | SIM:ESM5 | Buy | 1 | 5921.75 | Aggressive |
| 2025-06-02T12:24:33.618 | SIM:ESM5 | Buy | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:24:32.425 | 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
-0.3100
Slippage Sweep
-0.5200
Arrival Price
5,921.3750
Average Total
5,921.6850
Destination Price
5,921.8750
Sweep to Fill
5,921.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:24:01.933 | SIM:ESM5 | Sell | 3 | 5921.75 | Passive |
| 2025-06-02T12:24:01.933 | SIM:ESM5 | Sell | 3 | 5921.5 | Aggressive |
| 2025-06-02T12:24:01.933 | SIM:ESM5 | Sell | 35 | 5921.75 | Aggressive |
| 2025-06-02T12:24:00.926 | SIM:ESM5 | Sell | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:23:59.901 | SIM:ESM5 | Sell | 6 | 5921.5 | Aggressive |
| 2025-06-02T12:23:59.057 | 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
0.5300
Slippage Sweep
0.2300
Arrival Price
5,921.1250
Average Total
5,921.6550
Destination Price
5,921.6250
Sweep to Fill
5,921.4250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:23:58.436 | SIM:ESM5 | Buy | 2 | 5921.75 | Aggressive |
| 2025-06-02T12:23:58.436 | SIM:ESM5 | Buy | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:23:50.389 | SIM:ESM5 | Buy | 10 | 5921.75 | Aggressive |
| 2025-06-02T12:23:44.312 | SIM:ESM5 | Buy | 7 | 5921.75 | Aggressive |
| 2025-06-02T12:23:41.271 | SIM:ESM5 | Buy | 9 | 5921.75 | Aggressive |
| 2025-06-02T12:23:58.436 | SIM:ESM5 | Buy | 2 | 5921.5 | Passive |
| 2025-06-02T12:23:40.246 | SIM:ESM5 | Buy | 4 | 5921.75 | Aggressive |
| 2025-06-02T12:23:39.312 | SIM:ESM5 | Buy | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:23:52.37 | SIM:ESM5 | Buy | 3 | 5921.25 | Aggressive |
| 2025-06-02T12:23:52.37 | SIM:ESM5 | Buy | 2 | 5921.25 | Aggressive |
| 2025-06-02T12:23:45.324 | SIM:ESM5 | Buy | 5 | 5921.75 | Aggressive |
| 2025-06-02T12:23:38.256 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
| 2025-06-02T12:23:37.096 | 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
0.3150
Slippage Sweep
0.1750
Arrival Price
5,919.6250
Average Total
5,919.3100
Destination Price
5,919.7500
Sweep to Fill
5,919.4850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:22:54.676 | SIM:ESM5 | Sell | 3 | 5919.25 | Aggressive |
| 2025-06-02T12:22:49.692 | SIM:ESM5 | Sell | 2 | 5919.25 | Aggressive |
| 2025-06-02T12:22:48.618 | SIM:ESM5 | Sell | 2 | 5919.25 | Aggressive |
| 2025-06-02T12:22:46.612 | SIM:ESM5 | Sell | 4 | 5919.5 | Aggressive |
| 2025-06-02T12:22:44.573 | SIM:ESM5 | Sell | 1 | 5919.5 | Aggressive |
| 2025-06-02T12:23:05.726 | SIM:ESM5 | Sell | 4 | 5919.5 | Aggressive |
| 2025-06-02T12:22:52.653 | SIM:ESM5 | Sell | 9 | 5919.25 | Aggressive |
| 2025-06-02T12:22:45.617 | SIM:ESM5 | Sell | 1 | 5919.5 | Aggressive |
| 2025-06-02T12:22:43.595 | SIM:ESM5 | Sell | 1 | 5919.5 | Aggressive |
| 2025-06-02T12:23:04.724 | SIM:ESM5 | Sell | 6 | 5919.5 | Aggressive |
| 2025-06-02T12:22:53.632 | SIM:ESM5 | Sell | 6 | 5919 | Aggressive |
| 2025-06-02T12:22:50.656 | SIM:ESM5 | Sell | 8 | 5919.25 | Aggressive |
| 2025-06-02T12:22:47.665 | SIM:ESM5 | Sell | 2 | 5919.25 | Aggressive |
| 2025-06-02T12:22:43.122 | 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
0.0450
Slippage Sweep
-0.1650
Arrival Price
5,919.8750
Average Total
5,919.9200
Destination Price
5,919.6250
Sweep to Fill
5,920.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:22:41.213 | SIM:ESM5 | Buy | 3 | 5919.75 | Aggressive |
| 2025-06-02T12:22:42.245 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T12:22:42.245 | SIM:ESM5 | Buy | 14 | 5919.75 | Aggressive |
| 2025-06-02T12:22:40.165 | SIM:ESM5 | Buy | 8 | 5919.75 | Aggressive |
| 2025-06-02T12:22:39.147 | SIM:ESM5 | Buy | 2 | 5920.25 | Aggressive |
| 2025-06-02T12:22:39.147 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T12:22:39.147 | SIM:ESM5 | Buy | 2 | 5920 | Aggressive |
| 2025-06-02T12:22:39.146 | SIM:ESM5 | Buy | 2 | 5920 | Passive |
| 2025-06-02T12:22:39.146 | SIM:ESM5 | Buy | 1 | 5920 | Passive |
| 2025-06-02T12:22:39.146 | SIM:ESM5 | Buy | 1 | 5920 | Passive |
| 2025-06-02T12:22:36.257 | SIM:ESM5 | Buy | 6 | 5920.25 | Aggressive |
| 2025-06-02T12:22:36.257 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T12:22:35.113 | SIM:ESM5 | Buy | 2 | 5920 | Aggressive |
| 2025-06-02T12:22:34.985 | SIM:ESM5 | Buy | 1 | 5920 | Passive |
| 2025-06-02T12:22:34.087 | 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
-0.1250
Slippage Sweep
-0.3550
Arrival Price
5,920.8750
Average Total
5,921.0000
Destination Price
5,921.1250
Sweep to Fill
5,920.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:22:02.688 | SIM:ESM5 | Sell | 8 | 5921 | Aggressive |
| 2025-06-02T12:22:01.719 | SIM:ESM5 | Sell | 3 | 5921 | Passive |
| 2025-06-02T12:22:01.719 | SIM:ESM5 | Sell | 28 | 5921 | Aggressive |
| 2025-06-02T12:22:00.658 | SIM:ESM5 | Sell | 10 | 5921 | Aggressive |
| 2025-06-02T12:21:59.83 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8850
Slippage Sweep
0.6000
Arrival Price
5,919.1250
Average Total
5,920.0100
Destination Price
5,920.8750
Sweep to Fill
5,919.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:21:59.144 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
| 2025-06-02T12:21:45.978 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T12:21:42.935 | SIM:ESM5 | Buy | 8 | 5920 | Aggressive |
| 2025-06-02T12:21:40.917 | SIM:ESM5 | Buy | 2 | 5919.75 | Aggressive |
| 2025-06-02T12:21:52.129 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T12:21:49.01 | SIM:ESM5 | Buy | 11 | 5920 | Aggressive |
| 2025-06-02T12:21:39.909 | SIM:ESM5 | Buy | 2 | 5919.5 | Aggressive |
| 2025-06-02T12:21:38.892 | SIM:ESM5 | Buy | 1 | 5919.5 | Aggressive |
| 2025-06-02T12:21:36.912 | SIM:ESM5 | Buy | 2 | 5919.5 | Aggressive |
| 2025-06-02T12:21:55.197 | SIM:ESM5 | Buy | 4 | 5920.25 | Aggressive |
| 2025-06-02T12:21:55.19 | SIM:ESM5 | Buy | 12 | 5920.25 | Aggressive |
| 2025-06-02T12:21:53.121 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
| 2025-06-02T12:21:35.86 | SIM:ESM5 | Buy | 1 | 5919.25 | Aggressive |
| 2025-06-02T12:21:34.851 | 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
0.2150
Slippage Sweep
0.0200
Arrival Price
5,921.3750
Average Total
5,921.1600
Destination Price
5,921.6250
Sweep to Fill
5,921.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:20:59.424 | SIM:ESM5 | Sell | 5 | 5921 | Aggressive |
| 2025-06-02T12:20:57.556 | SIM:ESM5 | Sell | 3 | 5921 | Aggressive |
| 2025-06-02T12:20:54.377 | SIM:ESM5 | Sell | 11 | 5920.75 | Aggressive |
| 2025-06-02T12:20:53.373 | SIM:ESM5 | Sell | 3 | 5921 | Aggressive |
| 2025-06-02T12:20:51.384 | SIM:ESM5 | Sell | 1 | 5920.75 | Aggressive |
| 2025-06-02T12:21:01.464 | SIM:ESM5 | Sell | 23 | 5921.5 | Aggressive |
| 2025-06-02T12:20:50.515 | SIM:ESM5 | Sell | 3 | 5920.75 | Aggressive |
| 2025-06-02T12:20:49.475 | 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
-0.3050
Slippage Sweep
-0.4700
Arrival Price
5,921.8750
Average Total
5,921.5700
Destination Price
5,921.3750
Sweep to Fill
5,922.0400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:20:48.846 | SIM:ESM5 | Buy | 1 | 5921.75 | Aggressive |
| 2025-06-02T12:20:48.846 | SIM:ESM5 | Buy | 32 | 5921.5 | Aggressive |
| 2025-06-02T12:20:47.913 | SIM:ESM5 | Buy | 6 | 5921.75 | Aggressive |
| 2025-06-02T12:20:47.913 | SIM:ESM5 | Buy | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:20:47.913 | SIM:ESM5 | Buy | 2 | 5921.5 | Passive |
| 2025-06-02T12:20:47.825 | SIM:ESM5 | Buy | 6 | 5921.75 | Aggressive |
| 2025-06-02T12:20:47.65 | SIM:ESM5 | Buy | 1 | 5921.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1750
Slippage Sweep
-0.1150
Arrival Price
5,922.6250
Average Total
5,922.4500
Destination Price
5,921.8750
Sweep to Fill
5,922.3350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:20:05.269 | SIM:ESM5 | Sell | 12 | 5922.5 | Aggressive |
| 2025-06-02T12:20:04.07 | SIM:ESM5 | Sell | 1 | 5922.5 | Aggressive |
| 2025-06-02T12:20:16.55 | SIM:ESM5 | Sell | 5 | 5922 | Passive |
| 2025-06-02T12:20:09.819 | SIM:ESM5 | Sell | 7 | 5922.5 | Aggressive |
| 2025-06-02T12:20:06.162 | SIM:ESM5 | Sell | 5 | 5922.5 | Aggressive |
| 2025-06-02T12:20:06.161 | SIM:ESM5 | Sell | 1 | 5922.5 | Aggressive |
| 2025-06-02T12:20:03.112 | SIM:ESM5 | Sell | 1 | 5922.5 | Aggressive |
| 2025-06-02T12:20:08.158 | SIM:ESM5 | Sell | 17 | 5922.5 | Aggressive |
| 2025-06-02T12:20:02.05 | SIM:ESM5 | Sell | 1 | 5922.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1100
Slippage Sweep
-0.4000
Arrival Price
5,922.8750
Average Total
5,922.7650
Destination Price
5,922.6250
Sweep to Fill
5,923.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:19:59.902 | SIM:ESM5 | Buy | 1 | 5923 | Aggressive |
| 2025-06-02T12:20:01.349 | SIM:ESM5 | Buy | 6 | 5922.75 | Aggressive |
| 2025-06-02T12:20:01.349 | SIM:ESM5 | Buy | 9 | 5922.75 | Aggressive |
| 2025-06-02T12:20:01.349 | SIM:ESM5 | Buy | 24 | 5922.75 | Aggressive |
| 2025-06-02T12:20:00.343 | SIM:ESM5 | Buy | 8 | 5922.75 | Aggressive |
| 2025-06-02T12:19:59.902 | SIM:ESM5 | Buy | 1 | 5923 | Aggressive |
| 2025-06-02T12:19:59.338 | SIM:ESM5 | Buy | 1 | 5923 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.4050
Arrival Price
5,922.1250
Average Total
5,922.1850
Destination Price
5,922.3750
Sweep to Fill
5,921.7800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:19:24.912 | SIM:ESM5 | Sell | 20 | 5922.25 | Aggressive |
| 2025-06-02T12:19:24.104 | SIM:ESM5 | Sell | 3 | 5922 | Aggressive |
| 2025-06-02T12:19:27.911 | SIM:ESM5 | Sell | 1 | 5922 | Aggressive |
| 2025-06-02T12:19:27.911 | SIM:ESM5 | Sell | 17 | 5922.25 | Aggressive |
| 2025-06-02T12:19:22.896 | SIM:ESM5 | Sell | 6 | 5922 | Aggressive |
| 2025-06-02T12:19:22.026 | SIM:ESM5 | Sell | 1 | 5922 | Aggressive |
| 2025-06-02T12:19:20.925 | SIM:ESM5 | Sell | 1 | 5922 | Aggressive |
| 2025-06-02T12:19:19.813 | SIM:ESM5 | Sell | 1 | 5922 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3700
Slippage Sweep
0.1100
Arrival Price
5,921.8750
Average Total
5,922.2450
Destination Price
5,922.1250
Sweep to Fill
5,922.1350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:19:13.214 | SIM:ESM5 | Buy | 2 | 5922.5 | Aggressive |
| 2025-06-02T12:19:03.855 | SIM:ESM5 | Buy | 13 | 5922 | Aggressive |
| 2025-06-02T12:18:56.764 | SIM:ESM5 | Buy | 2 | 5922.25 | Aggressive |
| 2025-06-02T12:18:55.475 | SIM:ESM5 | Buy | 6 | 5922.75 | Aggressive |
| 2025-06-02T12:18:46.959 | SIM:ESM5 | Buy | 2 | 5922.5 | Aggressive |
| 2025-06-02T12:18:46.959 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T12:18:46.959 | SIM:ESM5 | Buy | 1 | 5922.25 | Passive |
| 2025-06-02T12:18:45.636 | SIM:ESM5 | Buy | 1 | 5922.5 | Aggressive |
| 2025-06-02T12:19:19.312 | SIM:ESM5 | Buy | 2 | 5922.25 | Aggressive |
| 2025-06-02T12:19:05.861 | SIM:ESM5 | Buy | 3 | 5922 | Aggressive |
| 2025-06-02T12:19:03.15 | SIM:ESM5 | Buy | 5 | 5922.25 | Aggressive |
| 2025-06-02T12:19:00.829 | SIM:ESM5 | Buy | 3 | 5922.25 | Aggressive |
| 2025-06-02T12:19:00.829 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T12:18:59.807 | SIM:ESM5 | Buy | 2 | 5922 | Aggressive |
| 2025-06-02T12:18:44.662 | SIM:ESM5 | Buy | 2 | 5922 | Aggressive |
| 2025-06-02T12:18:48.768 | SIM:ESM5 | Buy | 3 | 5922.5 | Aggressive |
| 2025-06-02T12:18:43.656 | SIM:ESM5 | Buy | 1 | 5922 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2400
Slippage Sweep
0.0800
Arrival Price
5,922.3750
Average Total
5,922.1350
Destination Price
5,922.3750
Sweep to Fill
5,922.2150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:18:11.66 | SIM:ESM5 | Sell | 13 | 5922.25 | Aggressive |
| 2025-06-02T12:18:09.712 | SIM:ESM5 | Sell | 3 | 5922.25 | Aggressive |
| 2025-06-02T12:18:12.726 | SIM:ESM5 | Sell | 1 | 5922.5 | Passive |
| 2025-06-02T12:18:12.726 | SIM:ESM5 | Sell | 2 | 5922.5 | Passive |
| 2025-06-02T12:18:12.726 | SIM:ESM5 | Sell | 2 | 5922.5 | Passive |
| 2025-06-02T12:17:55.488 | SIM:ESM5 | Sell | 5 | 5922.25 | Aggressive |
| 2025-06-02T12:18:07.334 | SIM:ESM5 | Sell | 1 | 5921.75 | Aggressive |
| 2025-06-02T12:18:07.334 | SIM:ESM5 | Sell | 6 | 5921.75 | Aggressive |
| 2025-06-02T12:18:07.334 | SIM:ESM5 | Sell | 2 | 5922 | Aggressive |
| 2025-06-02T12:18:07.333 | SIM:ESM5 | Sell | 2 | 5922 | Passive |
| 2025-06-02T12:18:07.333 | SIM:ESM5 | Sell | 1 | 5922 | Passive |
| 2025-06-02T12:18:07.333 | SIM:ESM5 | Sell | 1 | 5922 | Passive |
| 2025-06-02T12:18:02.622 | SIM:ESM5 | Sell | 4 | 5921.75 | Aggressive |
| 2025-06-02T12:17:56.735 | SIM:ESM5 | Sell | 6 | 5922.25 | Aggressive |
| 2025-06-02T12:17:54.612 | 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
0.0100
Slippage Sweep
-0.2550
Arrival Price
5,922.6250
Average Total
5,922.6350
Destination Price
5,922.3750
Sweep to Fill
5,922.8900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:17:50.979 | SIM:ESM5 | Buy | 1 | 5922.75 | Aggressive |
| 2025-06-02T12:17:49.94 | SIM:ESM5 | Buy | 1 | 5922.75 | Aggressive |
| 2025-06-02T12:17:49.14 | SIM:ESM5 | Buy | 2 | 5922.5 | Aggressive |
| 2025-06-02T12:17:54.051 | SIM:ESM5 | Buy | 19 | 5922.75 | Aggressive |
| 2025-06-02T12:17:54.05 | SIM:ESM5 | Buy | 18 | 5922.5 | Aggressive |
| 2025-06-02T12:17:53.439 | SIM:ESM5 | Buy | 3 | 5922.5 | Passive |
| 2025-06-02T12:17:52.146 | SIM:ESM5 | Buy | 5 | 5922.75 | Aggressive |
| 2025-06-02T12:17:48.11 | SIM:ESM5 | Buy | 1 | 5922.75 | Aggressive |