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
1.1200
Slippage Sweep
0.6600
Arrival Price
5,320.3750
Average Total
5,321.4950
Destination Price
5,321.6250
Sweep to Fill
5,320.8350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:19:06.054 | SIM:ESM5 | Buy | 2 | 5320.75 | Aggressive |
| 2025-04-17T14:19:07.073 | SIM:ESM5 | Buy | 1 | 5320.25 | Aggressive |
| 2025-04-17T14:19:07.073 | SIM:ESM5 | Buy | 2 | 5320.25 | Aggressive |
| 2025-04-17T14:19:08.078 | SIM:ESM5 | Buy | 18 | 5321.5 | Aggressive |
| 2025-04-17T14:19:08.078 | SIM:ESM5 | Buy | 7 | 5321.5 | Passive |
| 2025-04-17T14:19:09.071 | SIM:ESM5 | Buy | 2 | 5321.5 | Aggressive |
| 2025-04-17T14:19:09.071 | SIM:ESM5 | Buy | 8 | 5321.75 | Aggressive |
| 2025-04-17T14:19:10.098 | SIM:ESM5 | Buy | 8 | 5321.75 | Aggressive |
| 2025-04-17T14:19:10.098 | SIM:ESM5 | Buy | 2 | 5322 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8050
Slippage Sweep
0.3700
Arrival Price
5,319.8750
Average Total
5,320.6800
Destination Price
5,320.6250
Sweep to Fill
5,320.3100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:15:52.132 | SIM:ESM5 | Buy | 1 | 5320 | Passive |
| 2025-04-17T14:15:52.132 | SIM:ESM5 | Buy | 1 | 5320 | Aggressive |
| 2025-04-17T14:15:53.212 | SIM:ESM5 | Buy | 1 | 5320 | Aggressive |
| 2025-04-17T14:15:54.175 | SIM:ESM5 | Buy | 8 | 5320.75 | Aggressive |
| 2025-04-17T14:15:54.175 | SIM:ESM5 | Buy | 4 | 5321 | Aggressive |
| 2025-04-17T14:15:55.212 | SIM:ESM5 | Buy | 9 | 5320.5 | Aggressive |
| 2025-04-17T14:15:55.212 | SIM:ESM5 | Buy | 6 | 5320.75 | Aggressive |
| 2025-04-17T14:15:56.24 | SIM:ESM5 | Buy | 9 | 5320.75 | Aggressive |
| 2025-04-17T14:15:56.24 | SIM:ESM5 | Buy | 1 | 5320.75 | Passive |
| 2025-04-17T14:15:57.252 | SIM:ESM5 | Buy | 9 | 5320.75 | Aggressive |
| 2025-04-17T14:15:57.252 | SIM:ESM5 | Buy | 1 | 5320.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.1850
Slippage Sweep
0.7050
Arrival Price
5,331.6250
Average Total
5,330.4400
Destination Price
5,330.6250
Sweep to Fill
5,331.1450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:02:07.812 | SIM:ESM5 | Sell | 1 | 5331.5 | Aggressive |
| 2025-04-17T14:02:08.812 | SIM:ESM5 | Sell | 3 | 5330.5 | Aggressive |
| 2025-04-17T14:02:08.812 | SIM:ESM5 | Sell | 10 | 5330.25 | Aggressive |
| 2025-04-17T14:02:10.826 | SIM:ESM5 | Sell | 8 | 5330.75 | Aggressive |
| 2025-04-17T14:02:10.826 | SIM:ESM5 | Sell | 4 | 5330.5 | Aggressive |
| 2025-04-17T14:02:11.849 | SIM:ESM5 | Sell | 11 | 5330.25 | Aggressive |
| 2025-04-17T14:02:11.851 | SIM:ESM5 | Sell | 1 | 5330.5 | Passive |
| 2025-04-17T14:02:11.851 | SIM:ESM5 | Sell | 1 | 5330.5 | Passive |
| 2025-04-17T14:02:11.851 | SIM:ESM5 | Sell | 1 | 5330.5 | Aggressive |
| 2025-04-17T14:02:11.851 | SIM:ESM5 | Sell | 1 | 5330.5 | Aggressive |
| 2025-04-17T14:02:14.879 | SIM:ESM5 | Sell | 3 | 5330.25 | Aggressive |
| 2025-04-17T14:02:14.905 | SIM:ESM5 | Sell | 1 | 5330.5 | Passive |
| 2025-04-17T14:02:14.905 | SIM:ESM5 | Sell | 1 | 5330.5 | Passive |
| 2025-04-17T14:02:14.905 | SIM:ESM5 | Sell | 1 | 5330.5 | Passive |
| 2025-04-17T14:02:17.89 | SIM:ESM5 | Sell | 3 | 5330.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0850
Slippage Sweep
-0.6300
Arrival Price
5,329.1250
Average Total
5,329.0400
Destination Price
5,330.2500
Sweep to Fill
5,329.6700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T14:01:52.012 | SIM:ESM5 | Buy | 1 | 5329 | Passive |
| 2025-04-17T14:01:52.753 | SIM:ESM5 | Buy | 4 | 5329.25 | Aggressive |
| 2025-04-17T14:01:53.813 | SIM:ESM5 | Buy | 1 | 5329.25 | Aggressive |
| 2025-04-17T14:01:54.765 | SIM:ESM5 | Buy | 2 | 5329.25 | Aggressive |
| 2025-04-17T14:01:55.857 | SIM:ESM5 | Buy | 5 | 5328.75 | Aggressive |
| 2025-04-17T14:01:55.857 | SIM:ESM5 | Buy | 4 | 5328.75 | Passive |
| 2025-04-17T14:01:55.857 | SIM:ESM5 | Buy | 4 | 5328.75 | Passive |
| 2025-04-17T14:01:55.857 | SIM:ESM5 | Buy | 4 | 5328.75 | Passive |
| 2025-04-17T14:01:55.857 | SIM:ESM5 | Buy | 1 | 5328.75 | Passive |
| 2025-04-17T14:01:56.788 | SIM:ESM5 | Buy | 5 | 5328.75 | Aggressive |
| 2025-04-17T14:01:56.788 | SIM:ESM5 | Buy | 5 | 5329 | Aggressive |
| 2025-04-17T14:01:56.788 | SIM:ESM5 | Buy | 4 | 5328.75 | Aggressive |
| 2025-04-17T14:01:57.851 | SIM:ESM5 | Buy | 1 | 5329 | Aggressive |
| 2025-04-17T14:01:58.013 | SIM:ESM5 | Buy | 1 | 5328.75 | Passive |
| 2025-04-17T14:01:58.013 | SIM:ESM5 | Buy | 1 | 5328.75 | Aggressive |
| 2025-04-17T14:01:58.865 | SIM:ESM5 | Buy | 6 | 5330 | Aggressive |
| 2025-04-17T14:01:59.84 | SIM:ESM5 | Buy | 1 | 5330.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5100
Slippage Sweep
-1.1150
Arrival Price
5,340.1250
Average Total
5,340.6350
Destination Price
5,341.0000
Sweep to Fill
5,339.5200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:55:44.112 | SIM:ESM5 | Sell | 1 | 5339.75 | Aggressive |
| 2025-04-17T13:55:45.112 | SIM:ESM5 | Sell | 5 | 5341.25 | Aggressive |
| 2025-04-17T13:55:45.112 | SIM:ESM5 | Sell | 7 | 5341 | Aggressive |
| 2025-04-17T13:55:46.134 | SIM:ESM5 | Sell | 12 | 5340.5 | Aggressive |
| 2025-04-17T13:55:46.135 | SIM:ESM5 | Sell | 1 | 5340.25 | Aggressive |
| 2025-04-17T13:55:47.131 | SIM:ESM5 | Sell | 6 | 5340.5 | Aggressive |
| 2025-04-17T13:55:47.131 | SIM:ESM5 | Sell | 2 | 5340.25 | Aggressive |
| 2025-04-17T13:55:48.149 | SIM:ESM5 | Sell | 10 | 5340.5 | Aggressive |
| 2025-04-17T13:55:48.149 | SIM:ESM5 | Sell | 1 | 5340.25 | Aggressive |
| 2025-04-17T13:55:56.272 | SIM:ESM5 | Sell | 5 | 5340.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9900
Slippage Sweep
0.2600
Arrival Price
5,343.8750
Average Total
5,344.8650
Destination Price
5,346.0000
Sweep to Fill
5,344.6050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:48:04.661 | SIM:ESM5 | Buy | 1 | 5344.5 | Aggressive |
| 2025-04-17T13:48:05.673 | SIM:ESM5 | Buy | 1 | 5343.75 | Aggressive |
| 2025-04-17T13:48:05.673 | SIM:ESM5 | Buy | 1 | 5343.75 | Aggressive |
| 2025-04-17T13:48:06.688 | SIM:ESM5 | Buy | 7 | 5343.5 | Aggressive |
| 2025-04-17T13:48:06.688 | SIM:ESM5 | Buy | 3 | 5343.75 | Aggressive |
| 2025-04-17T13:48:07.712 | SIM:ESM5 | Buy | 6 | 5344.5 | Aggressive |
| 2025-04-17T13:48:07.712 | SIM:ESM5 | Buy | 2 | 5344.5 | Aggressive |
| 2025-04-17T13:48:08.768 | SIM:ESM5 | Buy | 6 | 5344.5 | Aggressive |
| 2025-04-17T13:48:09.754 | SIM:ESM5 | Buy | 11 | 5346 | Aggressive |
| 2025-04-17T13:48:09.754 | SIM:ESM5 | Buy | 1 | 5346 | Passive |
| 2025-04-17T13:48:10.77 | SIM:ESM5 | Buy | 5 | 5346.25 | Aggressive |
| 2025-04-17T13:48:10.77 | SIM:ESM5 | Buy | 3 | 5346.25 | Aggressive |
| 2025-04-17T13:48:16.456 | SIM:ESM5 | Buy | 1 | 5343.5 | Passive |
| 2025-04-17T13:48:16.456 | SIM:ESM5 | Buy | 1 | 5343.5 | Passive |
| 2025-04-17T13:48:16.456 | SIM:ESM5 | Buy | 1 | 5343.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6250
Slippage Sweep
-0.0700
Arrival Price
5,350.8750
Average Total
5,350.2500
Destination Price
5,351.6250
Sweep to Fill
5,350.1800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:47:09.943 | SIM:ESM5 | Sell | 4 | 5349.5 | Aggressive |
| 2025-04-17T13:47:09.943 | SIM:ESM5 | Sell | 9 | 5349.25 | Aggressive |
| 2025-04-17T13:47:09.943 | SIM:ESM5 | Sell | 4 | 5349.5 | Aggressive |
| 2025-04-17T13:47:09.943 | SIM:ESM5 | Sell | 1 | 5349.5 | Passive |
| 2025-04-17T13:47:10.975 | SIM:ESM5 | Sell | 1 | 5350.25 | Aggressive |
| 2025-04-17T13:47:15 | SIM:ESM5 | Sell | 3 | 5351 | Aggressive |
| 2025-04-17T13:47:19.038 | SIM:ESM5 | Sell | 1 | 5350 | Aggressive |
| 2025-04-17T13:47:19.038 | SIM:ESM5 | Sell | 8 | 5349.75 | Aggressive |
| 2025-04-17T13:47:19.038 | SIM:ESM5 | Sell | 5 | 5349.5 | Aggressive |
| 2025-04-17T13:47:20.073 | SIM:ESM5 | Sell | 4 | 5352 | Aggressive |
| 2025-04-17T13:47:20.073 | SIM:ESM5 | Sell | 6 | 5351.75 | Aggressive |
| 2025-04-17T13:47:21.07 | SIM:ESM5 | Sell | 2 | 5351.5 | Aggressive |
| 2025-04-17T13:47:22.112 | SIM:ESM5 | Sell | 1 | 5351.75 | Aggressive |
| 2025-04-17T13:47:22.112 | SIM:ESM5 | Sell | 1 | 5351.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.5200
Slippage Sweep
0.9050
Arrival Price
5,348.1250
Average Total
5,349.6450
Destination Price
5,349.7500
Sweep to Fill
5,348.7400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:46:53.167 | SIM:ESM5 | Buy | 2 | 5348.5 | Aggressive |
| 2025-04-17T13:46:55.212 | SIM:ESM5 | Buy | 8 | 5349.25 | Aggressive |
| 2025-04-17T13:46:56.223 | SIM:ESM5 | Buy | 10 | 5350 | Aggressive |
| 2025-04-17T13:46:57.248 | SIM:ESM5 | Buy | 10 | 5349.75 | Aggressive |
| 2025-04-17T13:46:57.248 | SIM:ESM5 | Buy | 1 | 5349.75 | Passive |
| 2025-04-17T13:46:58.241 | SIM:ESM5 | Buy | 3 | 5349.5 | Aggressive |
| 2025-04-17T13:46:58.241 | SIM:ESM5 | Buy | 5 | 5349.5 | Passive |
| 2025-04-17T13:46:58.241 | SIM:ESM5 | Buy | 4 | 5349.5 | Passive |
| 2025-04-17T13:46:59.246 | SIM:ESM5 | Buy | 3 | 5350 | Aggressive |
| 2025-04-17T13:46:59.246 | SIM:ESM5 | Buy | 4 | 5350 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3800
Slippage Sweep
-0.9300
Arrival Price
5,351.1250
Average Total
5,350.7450
Destination Price
5,350.2500
Sweep to Fill
5,351.6750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:42:06.133 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T13:42:07.137 | SIM:ESM5 | Buy | 6 | 5350.75 | Aggressive |
| 2025-04-17T13:42:07.137 | SIM:ESM5 | Buy | 5 | 5351 | Aggressive |
| 2025-04-17T13:42:08.138 | SIM:ESM5 | Buy | 8 | 5350.75 | Aggressive |
| 2025-04-17T13:42:08.139 | SIM:ESM5 | Buy | 5 | 5351 | Aggressive |
| 2025-04-17T13:42:09.312 | SIM:ESM5 | Buy | 8 | 5350.75 | Aggressive |
| 2025-04-17T13:42:09.312 | SIM:ESM5 | Buy | 3 | 5350.75 | Passive |
| 2025-04-17T13:42:10.246 | SIM:ESM5 | Buy | 13 | 5350.5 | Aggressive |
| 2025-04-17T13:42:10.246 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6850
Slippage Sweep
0.2500
Arrival Price
5,352.1250
Average Total
5,351.4400
Destination Price
5,351.6250
Sweep to Fill
5,351.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:37:28.924 | SIM:ESM5 | Sell | 1 | 5352 | Aggressive |
| 2025-04-17T13:37:29.933 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T13:37:30.961 | SIM:ESM5 | Sell | 6 | 5351.5 | Aggressive |
| 2025-04-17T13:37:30.961 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T13:37:32.961 | SIM:ESM5 | Sell | 5 | 5351.5 | Aggressive |
| 2025-04-17T13:37:32.961 | SIM:ESM5 | Sell | 1 | 5351.5 | Aggressive |
| 2025-04-17T13:37:33.993 | SIM:ESM5 | Sell | 5 | 5351.5 | Aggressive |
| 2025-04-17T13:37:33.993 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T13:37:38.027 | SIM:ESM5 | Sell | 3 | 5351.5 | Aggressive |
| 2025-04-17T13:37:38.027 | SIM:ESM5 | Sell | 10 | 5351.25 | Aggressive |
| 2025-04-17T13:37:39.017 | SIM:ESM5 | Sell | 6 | 5351.5 | Aggressive |
| 2025-04-17T13:37:39.017 | SIM:ESM5 | Sell | 6 | 5351.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2200
Slippage Sweep
-0.6200
Arrival Price
5,349.1250
Average Total
5,349.3450
Destination Price
5,349.8750
Sweep to Fill
5,348.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:34:57.012 | SIM:ESM5 | Sell | 1 | 5349 | Aggressive |
| 2025-04-17T13:34:58.113 | SIM:ESM5 | Sell | 19 | 5349.25 | Aggressive |
| 2025-04-17T13:34:58.113 | SIM:ESM5 | Sell | 4 | 5349 | Aggressive |
| 2025-04-17T13:34:59.112 | SIM:ESM5 | Sell | 10 | 5349.25 | Aggressive |
| 2025-04-17T13:34:59.213 | SIM:ESM5 | Sell | 4 | 5349.25 | Aggressive |
| 2025-04-17T13:35:00.029 | SIM:ESM5 | Sell | 6 | 5349.75 | Aggressive |
| 2025-04-17T13:35:00.029 | SIM:ESM5 | Sell | 5 | 5349.75 | Aggressive |
| 2025-04-17T13:35:00.029 | SIM:ESM5 | Sell | 1 | 5349.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.6450
Arrival Price
5,349.6250
Average Total
5,349.5050
Destination Price
5,349.2500
Sweep to Fill
5,350.1500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:34:45.412 | SIM:ESM5 | Buy | 1 | 5349.75 | Aggressive |
| 2025-04-17T13:34:46.412 | SIM:ESM5 | Buy | 9 | 5349.5 | Aggressive |
| 2025-04-17T13:34:46.412 | SIM:ESM5 | Buy | 1 | 5349.5 | Aggressive |
| 2025-04-17T13:34:47.446 | SIM:ESM5 | Buy | 16 | 5349.5 | Aggressive |
| 2025-04-17T13:34:47.446 | SIM:ESM5 | Buy | 8 | 5349.5 | Passive |
| 2025-04-17T13:34:49.426 | SIM:ESM5 | Buy | 3 | 5349.5 | Aggressive |
| 2025-04-17T13:34:49.426 | SIM:ESM5 | Buy | 4 | 5349.5 | Aggressive |
| 2025-04-17T13:34:50.461 | SIM:ESM5 | Buy | 5 | 5349.5 | Aggressive |
| 2025-04-17T13:34:50.461 | SIM:ESM5 | Buy | 3 | 5349.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.7600
Slippage Sweep
-1.1600
Arrival Price
5,355.1250
Average Total
5,354.3650
Destination Price
5,354.3750
Sweep to Fill
5,355.5250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:34:01.513 | SIM:ESM5 | Buy | 1 | 5355 | Passive |
| 2025-04-17T13:34:02.212 | SIM:ESM5 | Buy | 2 | 5355 | Aggressive |
| 2025-04-17T13:34:03.227 | SIM:ESM5 | Buy | 4 | 5354.75 | Aggressive |
| 2025-04-17T13:34:03.227 | SIM:ESM5 | Buy | 11 | 5355 | Aggressive |
| 2025-04-17T13:34:04.254 | SIM:ESM5 | Buy | 9 | 5353.75 | Aggressive |
| 2025-04-17T13:34:04.254 | SIM:ESM5 | Buy | 1 | 5354 | Aggressive |
| 2025-04-17T13:34:05.253 | SIM:ESM5 | Buy | 10 | 5353.75 | Aggressive |
| 2025-04-17T13:34:06.247 | SIM:ESM5 | Buy | 7 | 5354.5 | Aggressive |
| 2025-04-17T13:34:06.247 | SIM:ESM5 | Buy | 5 | 5354.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5000
Slippage Sweep
-0.9900
Arrival Price
5,350.6250
Average Total
5,350.1250
Destination Price
5,349.6250
Sweep to Fill
5,351.1150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:29:11.392 | SIM:ESM5 | Buy | 1 | 5350.75 | Aggressive |
| 2025-04-17T13:29:11.826 | SIM:ESM5 | Buy | 2 | 5350.75 | Aggressive |
| 2025-04-17T13:29:12.754 | SIM:ESM5 | Buy | 8 | 5350.25 | Aggressive |
| 2025-04-17T13:29:12.754 | SIM:ESM5 | Buy | 5 | 5350.5 | Aggressive |
| 2025-04-17T13:29:13.722 | SIM:ESM5 | Buy | 13 | 5350.25 | Aggressive |
| 2025-04-17T13:29:13.722 | SIM:ESM5 | Buy | 3 | 5350.25 | Passive |
| 2025-04-17T13:29:14.76 | SIM:ESM5 | Buy | 12 | 5349.75 | Aggressive |
| 2025-04-17T13:29:14.76 | SIM:ESM5 | Buy | 6 | 5349.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4150
Slippage Sweep
-0.0900
Arrival Price
5,356.6250
Average Total
5,357.0400
Destination Price
5,357.3750
Sweep to Fill
5,357.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:23:09.152 | SIM:ESM5 | Buy | 1 | 5356.75 | Aggressive |
| 2025-04-17T13:23:10.112 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T13:23:11.119 | SIM:ESM5 | Buy | 2 | 5356.75 | Aggressive |
| 2025-04-17T13:23:12.145 | SIM:ESM5 | Buy | 14 | 5357 | Aggressive |
| 2025-04-17T13:23:12.145 | SIM:ESM5 | Buy | 5 | 5357 | Passive |
| 2025-04-17T13:23:14.117 | SIM:ESM5 | Buy | 11 | 5357 | Aggressive |
| 2025-04-17T13:23:14.117 | SIM:ESM5 | Buy | 3 | 5357.25 | Aggressive |
| 2025-04-17T13:23:14.117 | SIM:ESM5 | Buy | 7 | 5357 | Aggressive |
| 2025-04-17T13:23:15.137 | SIM:ESM5 | Buy | 2 | 5357.5 | Aggressive |
| 2025-04-17T13:23:15.137 | SIM:ESM5 | Buy | 3 | 5357.5 | Aggressive |