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
-0.1550
Slippage Sweep
-0.3250
Arrival Price
5,921.3750
Average Total
5,921.5300
Destination Price
5,921.8750
Sweep to Fill
5,921.2050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:17:17.412 | SIM:ESM5 | Sell | 4 | 5921.5 | Aggressive |
| 2025-06-02T12:17:17.412 | SIM:ESM5 | Sell | 15 | 5921.75 | Aggressive |
| 2025-06-02T12:17:16.367 | SIM:ESM5 | Sell | 8 | 5921.25 | Aggressive |
| 2025-06-02T12:17:16.367 | SIM:ESM5 | Sell | 22 | 5921.5 | Aggressive |
| 2025-06-02T12:17:14.34 | 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
0.2550
Slippage Sweep
0.0300
Arrival Price
5,921.6250
Average Total
5,921.8800
Destination Price
5,921.3750
Sweep to Fill
5,921.8500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:17:09.922 | SIM:ESM5 | Buy | 2 | 5921.75 | Aggressive |
| 2025-06-02T12:17:08.912 | SIM:ESM5 | Buy | 9 | 5921.75 | Aggressive |
| 2025-06-02T12:17:04.815 | SIM:ESM5 | Buy | 1 | 5922 | Passive |
| 2025-06-02T12:17:03.855 | SIM:ESM5 | Buy | 6 | 5922.25 | Aggressive |
| 2025-06-02T12:17:02.714 | SIM:ESM5 | Buy | 1 | 5922 | Aggressive |
| 2025-06-02T12:16:57.659 | SIM:ESM5 | Buy | 5 | 5922.25 | Aggressive |
| 2025-06-02T12:17:13.927 | SIM:ESM5 | Buy | 3 | 5921.75 | Aggressive |
| 2025-06-02T12:17:13.927 | SIM:ESM5 | Buy | 12 | 5921.5 | Aggressive |
| 2025-06-02T12:17:09.922 | SIM:ESM5 | Buy | 2 | 5921.75 | Aggressive |
| 2025-06-02T12:17:00.845 | SIM:ESM5 | Buy | 4 | 5922.25 | Aggressive |
| 2025-06-02T12:17:00.013 | SIM:ESM5 | Buy | 1 | 5922.25 | Aggressive |
| 2025-06-02T12:17:00.013 | SIM:ESM5 | Buy | 1 | 5922 | Aggressive |
| 2025-06-02T12:17:00.013 | SIM:ESM5 | Buy | 1 | 5922 | Passive |
| 2025-06-02T12:16:56.712 | SIM:ESM5 | Buy | 2 | 5922 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9050
Slippage Sweep
0.7600
Arrival Price
5,924.3750
Average Total
5,923.4700
Destination Price
5,923.1250
Sweep to Fill
5,924.2300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:16:24.276 | SIM:ESM5 | Sell | 1 | 5923.25 | Aggressive |
| 2025-06-02T12:16:24.276 | SIM:ESM5 | Sell | 2 | 5923.25 | Passive |
| 2025-06-02T12:16:22.124 | SIM:ESM5 | Sell | 2 | 5923 | Aggressive |
| 2025-06-02T12:16:11.012 | SIM:ESM5 | Sell | 1 | 5924 | Passive |
| 2025-06-02T12:16:11.012 | SIM:ESM5 | Sell | 1 | 5924 | Passive |
| 2025-06-02T12:16:11.012 | SIM:ESM5 | Sell | 1 | 5924 | Passive |
| 2025-06-02T12:16:06.961 | SIM:ESM5 | Sell | 15 | 5923 | Aggressive |
| 2025-06-02T12:16:03.885 | SIM:ESM5 | Sell | 2 | 5923 | Aggressive |
| 2025-06-02T12:16:12.018 | SIM:ESM5 | Sell | 14 | 5923.75 | Aggressive |
| 2025-06-02T12:16:05.727 | SIM:ESM5 | Sell | 2 | 5923 | Aggressive |
| 2025-06-02T12:16:05.727 | SIM:ESM5 | Sell | 1 | 5923.25 | Aggressive |
| 2025-06-02T12:16:05.726 | SIM:ESM5 | Sell | 1 | 5923.25 | Passive |
| 2025-06-02T12:16:01.194 | SIM:ESM5 | Sell | 5 | 5924.25 | Aggressive |
| 2025-06-02T12:16:00.55 | SIM:ESM5 | Sell | 2 | 5924.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.4300
Slippage Sweep
1.2700
Arrival Price
5,922.3750
Average Total
5,923.8050
Destination Price
5,924.3750
Sweep to Fill
5,922.5350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:15:48.27 | SIM:ESM5 | Buy | 13 | 5923.75 | Aggressive |
| 2025-06-02T12:15:59.539 | SIM:ESM5 | Buy | 8 | 5924.5 | Aggressive |
| 2025-06-02T12:15:57.421 | SIM:ESM5 | Buy | 1 | 5924.5 | Passive |
| 2025-06-02T12:15:57.421 | SIM:ESM5 | Buy | 1 | 5924.5 | Passive |
| 2025-06-02T12:15:57.421 | SIM:ESM5 | Buy | 1 | 5924.5 | Passive |
| 2025-06-02T12:15:41.859 | SIM:ESM5 | Buy | 1 | 5922.75 | Aggressive |
| 2025-06-02T12:15:58.437 | SIM:ESM5 | Buy | 2 | 5924.5 | Passive |
| 2025-06-02T12:15:57.421 | SIM:ESM5 | Buy | 1 | 5924.5 | Passive |
| 2025-06-02T12:15:46.262 | SIM:ESM5 | Buy | 11 | 5924 | Aggressive |
| 2025-06-02T12:15:45.255 | SIM:ESM5 | Buy | 2 | 5923.75 | Aggressive |
| 2025-06-02T12:15:45.255 | SIM:ESM5 | Buy | 2 | 5923.5 | Aggressive |
| 2025-06-02T12:15:39.336 | SIM:ESM5 | Buy | 6 | 5922.5 | Aggressive |
| 2025-06-02T12:15:39.161 | SIM:ESM5 | Buy | 1 | 5922.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.3500
Slippage Sweep
1.1950
Arrival Price
5,923.3750
Average Total
5,922.0250
Destination Price
5,921.3750
Sweep to Fill
5,923.2200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:14:56.678 | SIM:ESM5 | Sell | 7 | 5921.75 | Passive |
| 2025-06-02T12:14:56.678 | SIM:ESM5 | Sell | 10 | 5921.75 | Aggressive |
| 2025-06-02T12:14:56.678 | SIM:ESM5 | Sell | 10 | 5921.75 | Aggressive |
| 2025-06-02T12:14:45.553 | SIM:ESM5 | Sell | 2 | 5922.25 | Aggressive |
| 2025-06-02T12:14:44.913 | SIM:ESM5 | Sell | 1 | 5922.75 | Passive |
| 2025-06-02T12:14:44.912 | SIM:ESM5 | Sell | 2 | 5922.75 | Passive |
| 2025-06-02T12:15:07.912 | SIM:ESM5 | Sell | 1 | 5921.5 | Passive |
| 2025-06-02T12:15:03.754 | SIM:ESM5 | Sell | 3 | 5921.5 | Aggressive |
| 2025-06-02T12:14:47.713 | SIM:ESM5 | Sell | 6 | 5922.25 | Aggressive |
| 2025-06-02T12:14:47.713 | SIM:ESM5 | Sell | 1 | 5922.5 | Aggressive |
| 2025-06-02T12:14:47.712 | SIM:ESM5 | Sell | 1 | 5922.5 | Passive |
| 2025-06-02T12:14:47.712 | SIM:ESM5 | Sell | 1 | 5922.5 | Passive |
| 2025-06-02T12:14:42.532 | SIM:ESM5 | Sell | 4 | 5922.75 | Aggressive |
| 2025-06-02T12:14:41.56 | SIM:ESM5 | Sell | 1 | 5923.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1800
Slippage Sweep
-0.4250
Arrival Price
5,923.8750
Average Total
5,923.6950
Destination Price
5,923.3750
Sweep to Fill
5,924.1200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:14:41.26 | SIM:ESM5 | Buy | 15 | 5923.75 | Aggressive |
| 2025-06-02T12:14:41.26 | SIM:ESM5 | Buy | 20 | 5923.5 | Aggressive |
| 2025-06-02T12:14:38.231 | SIM:ESM5 | Buy | 2 | 5924 | Aggressive |
| 2025-06-02T12:14:37.225 | SIM:ESM5 | Buy | 1 | 5924 | Aggressive |
| 2025-06-02T12:14:40.669 | SIM:ESM5 | Buy | 2 | 5923.75 | Passive |
| 2025-06-02T12:14:40.668 | SIM:ESM5 | Buy | 4 | 5923.75 | Passive |
| 2025-06-02T12:14:39.239 | SIM:ESM5 | Buy | 5 | 5924 | Aggressive |
| 2025-06-02T12:14:36.225 | SIM:ESM5 | Buy | 1 | 5924 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2800
Slippage Sweep
-0.4050
Arrival Price
5,924.8750
Average Total
5,925.1550
Destination Price
5,925.1250
Sweep to Fill
5,924.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:14:05.58 | SIM:ESM5 | Sell | 1 | 5925 | Aggressive |
| 2025-06-02T12:14:05.579 | SIM:ESM5 | Sell | 1 | 5925.25 | Aggressive |
| 2025-06-02T12:14:05.579 | SIM:ESM5 | Sell | 1 | 5925.25 | Passive |
| 2025-06-02T12:14:05.579 | SIM:ESM5 | Sell | 1 | 5925.25 | Passive |
| 2025-06-02T12:14:05.579 | SIM:ESM5 | Sell | 1 | 5925.25 | Passive |
| 2025-06-02T12:14:05.486 | SIM:ESM5 | Sell | 2 | 5925 | Aggressive |
| 2025-06-02T12:14:03.434 | SIM:ESM5 | Sell | 15 | 5925 | Aggressive |
| 2025-06-02T12:14:03.434 | SIM:ESM5 | Sell | 27 | 5925.25 | Aggressive |
| 2025-06-02T12:14:02.443 | SIM:ESM5 | Sell | 1 | 5925 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7200
Slippage Sweep
0.4300
Arrival Price
5,924.3750
Average Total
5,925.0950
Destination Price
5,925.1250
Sweep to Fill
5,924.6650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:14:02.231 | SIM:ESM5 | Buy | 2 | 5925.25 | Aggressive |
| 2025-06-02T12:13:54.913 | SIM:ESM5 | Buy | 1 | 5924.75 | Aggressive |
| 2025-06-02T12:13:45.816 | SIM:ESM5 | Buy | 14 | 5925.25 | Aggressive |
| 2025-06-02T12:13:59.014 | SIM:ESM5 | Buy | 19 | 5925.25 | Aggressive |
| 2025-06-02T12:13:55.928 | SIM:ESM5 | Buy | 3 | 5924.5 | Aggressive |
| 2025-06-02T12:13:47.867 | SIM:ESM5 | Buy | 1 | 5925 | Aggressive |
| 2025-06-02T12:13:44.827 | SIM:ESM5 | Buy | 1 | 5925 | Aggressive |
| 2025-06-02T12:13:42.008 | SIM:ESM5 | Buy | 1 | 5924.5 | Aggressive |
| 2025-06-02T12:13:42.008 | SIM:ESM5 | Buy | 3 | 5924.5 | Passive |
| 2025-06-02T12:13:59.014 | SIM:ESM5 | Buy | 1 | 5925.25 | Aggressive |
| 2025-06-02T12:13:49.545 | SIM:ESM5 | Buy | 3 | 5925 | Aggressive |
| 2025-06-02T12:13:40.812 | SIM:ESM5 | Buy | 1 | 5924.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2850
Arrival Price
5,923.8750
Average Total
5,923.9750
Destination Price
5,924.1250
Sweep to Fill
5,923.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:13:10.286 | SIM:ESM5 | Sell | 17 | 5924 | Aggressive |
| 2025-06-02T12:13:09.331 | SIM:ESM5 | Sell | 4 | 5923.75 | Aggressive |
| 2025-06-02T12:13:09.331 | SIM:ESM5 | Sell | 21 | 5924 | Aggressive |
| 2025-06-02T12:13:08.312 | SIM:ESM5 | Sell | 1 | 5923.75 | Aggressive |
| 2025-06-02T12:13:08.312 | SIM:ESM5 | Sell | 6 | 5924 | Aggressive |
| 2025-06-02T12:13:07.339 | SIM:ESM5 | Sell | 1 | 5924 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1700
Slippage Sweep
-0.3150
Arrival Price
5,924.6250
Average Total
5,924.4550
Destination Price
5,923.8750
Sweep to Fill
5,924.7700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:13:02.882 | SIM:ESM5 | Buy | 5 | 5924.5 | Aggressive |
| 2025-06-02T12:13:06.917 | SIM:ESM5 | Buy | 3 | 5924 | Aggressive |
| 2025-06-02T12:13:06.012 | SIM:ESM5 | Buy | 1 | 5924.25 | Passive |
| 2025-06-02T12:13:06.012 | SIM:ESM5 | Buy | 2 | 5924.25 | Passive |
| 2025-06-02T12:13:05.076 | SIM:ESM5 | Buy | 12 | 5924.5 | Aggressive |
| 2025-06-02T12:13:03.929 | SIM:ESM5 | Buy | 26 | 5924.5 | Aggressive |
| 2025-06-02T12:13:02.412 | SIM:ESM5 | Buy | 1 | 5924.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0500
Slippage Sweep
-0.1750
Arrival Price
5,924.8750
Average Total
5,924.9250
Destination Price
5,925.1250
Sweep to Fill
5,924.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:12:29.507 | SIM:ESM5 | Sell | 3 | 5924.75 | Aggressive |
| 2025-06-02T12:12:31.616 | SIM:ESM5 | Sell | 35 | 5925 | Aggressive |
| 2025-06-02T12:12:30.82 | SIM:ESM5 | Sell | 5 | 5924.75 | Aggressive |
| 2025-06-02T12:12:28.514 | SIM:ESM5 | Sell | 1 | 5924.75 | Aggressive |
| 2025-06-02T12:12:27.508 | SIM:ESM5 | Sell | 5 | 5924.75 | Aggressive |
| 2025-06-02T12:12:26.717 | SIM:ESM5 | Sell | 1 | 5924.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1800
Slippage Sweep
-0.5200
Arrival Price
5,925.3750
Average Total
5,925.1950
Destination Price
5,925.0000
Sweep to Fill
5,925.7150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:12:26.219 | SIM:ESM5 | Buy | 1 | 5925.25 | Aggressive |
| 2025-06-02T12:12:26.219 | SIM:ESM5 | Buy | 19 | 5925.25 | Aggressive |
| 2025-06-02T12:12:25.269 | SIM:ESM5 | Buy | 7 | 5925.25 | Aggressive |
| 2025-06-02T12:12:25.268 | SIM:ESM5 | Buy | 2 | 5925 | Aggressive |
| 2025-06-02T12:12:25.268 | SIM:ESM5 | Buy | 2 | 5925 | Passive |
| 2025-06-02T12:12:25.268 | SIM:ESM5 | Buy | 2 | 5925 | Passive |
| 2025-06-02T12:12:25.268 | SIM:ESM5 | Buy | 2 | 5925 | Passive |
| 2025-06-02T12:12:25.268 | SIM:ESM5 | Buy | 2 | 5925 | Passive |
| 2025-06-02T12:12:25.268 | SIM:ESM5 | Buy | 2 | 5925 | Passive |
| 2025-06-02T12:12:24.377 | SIM:ESM5 | Buy | 5 | 5925.25 | Aggressive |
| 2025-06-02T12:12:24.377 | SIM:ESM5 | Buy | 5 | 5925.25 | Passive |
| 2025-06-02T12:12:23.116 | SIM:ESM5 | Buy | 1 | 5925.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0750
Slippage Sweep
-0.1900
Arrival Price
5,924.6250
Average Total
5,924.5500
Destination Price
5,924.8750
Sweep to Fill
5,924.3600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:11:52.454 | SIM:ESM5 | Sell | 9 | 5924.75 | Aggressive |
| 2025-06-02T12:11:50.907 | SIM:ESM5 | Sell | 6 | 5924.5 | Aggressive |
| 2025-06-02T12:11:50.416 | SIM:ESM5 | Sell | 16 | 5924.5 | Aggressive |
| 2025-06-02T12:11:48.522 | SIM:ESM5 | Sell | 15 | 5924.5 | Aggressive |
| 2025-06-02T12:11:46.412 | SIM:ESM5 | Sell | 3 | 5924.5 | Aggressive |
| 2025-06-02T12:11:45.412 | SIM:ESM5 | Sell | 1 | 5924.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0950
Slippage Sweep
-0.3900
Arrival Price
5,924.8750
Average Total
5,924.7800
Destination Price
5,924.6250
Sweep to Fill
5,925.1700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:11:44.942 | SIM:ESM5 | Buy | 18 | 5924.75 | Aggressive |
| 2025-06-02T12:11:43.923 | SIM:ESM5 | Buy | 1 | 5925 | Aggressive |
| 2025-06-02T12:11:43.923 | SIM:ESM5 | Buy | 26 | 5924.75 | Aggressive |
| 2025-06-02T12:11:42.927 | SIM:ESM5 | Buy | 1 | 5925 | Aggressive |
| 2025-06-02T12:11:42.926 | SIM:ESM5 | Buy | 3 | 5925 | Aggressive |
| 2025-06-02T12:11:41.912 | SIM:ESM5 | Buy | 1 | 5925 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0500
Slippage Sweep
-0.1800
Arrival Price
5,925.8750
Average Total
5,925.8250
Destination Price
5,926.1250
Sweep to Fill
5,925.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:11:07.285 | SIM:ESM5 | Sell | 4 | 5925.75 | Aggressive |
| 2025-06-02T12:11:03.214 | SIM:ESM5 | Sell | 2 | 5925.75 | Aggressive |
| 2025-06-02T12:11:11.26 | SIM:ESM5 | Sell | 3 | 5925.75 | Aggressive |
| 2025-06-02T12:11:11.259 | SIM:ESM5 | Sell | 18 | 5926 | Aggressive |
| 2025-06-02T12:11:10.734 | SIM:ESM5 | Sell | 9 | 5926 | Aggressive |
| 2025-06-02T12:11:04.29 | SIM:ESM5 | Sell | 12 | 5925.5 | Aggressive |
| 2025-06-02T12:11:02.178 | SIM:ESM5 | Sell | 1 | 5925.75 | Aggressive |
| 2025-06-02T12:11:01.169 | SIM:ESM5 | Sell | 1 | 5925.75 | Aggressive |