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
-0.0800
Slippage Sweep
-0.3100
Arrival Price
5,926.3750
Average Total
5,926.2950
Destination Price
5,926.1250
Sweep to Fill
5,926.6050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:10:59.744 | SIM:ESM5 | Buy | 10 | 5926.25 | Aggressive |
| 2025-06-02T12:10:59.744 | SIM:ESM5 | Buy | 5 | 5926.25 | Aggressive |
| 2025-06-02T12:10:59.744 | SIM:ESM5 | Buy | 26 | 5926.25 | Aggressive |
| 2025-06-02T12:10:58.82 | SIM:ESM5 | Buy | 4 | 5926.5 | Aggressive |
| 2025-06-02T12:10:57.697 | SIM:ESM5 | Buy | 4 | 5926.5 | Aggressive |
| 2025-06-02T12:10:56.701 | SIM:ESM5 | Buy | 1 | 5926.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2350
Slippage Sweep
-0.0250
Arrival Price
5,926.3750
Average Total
5,926.1400
Destination Price
5,924.8750
Sweep to Fill
5,926.1150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:10:26.155 | SIM:ESM5 | Sell | 4 | 5925 | Aggressive |
| 2025-06-02T12:10:21.592 | SIM:ESM5 | Sell | 10 | 5926 | Aggressive |
| 2025-06-02T12:10:18.544 | SIM:ESM5 | Sell | 9 | 5925.75 | Aggressive |
| 2025-06-02T12:10:06.962 | SIM:ESM5 | Sell | 26 | 5926.5 | Aggressive |
| 2025-06-02T12:10:06.012 | SIM:ESM5 | Sell | 1 | 5926.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6150
Slippage Sweep
0.4100
Arrival Price
5,925.6250
Average Total
5,926.2400
Destination Price
5,926.3750
Sweep to Fill
5,925.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:09:56.873 | SIM:ESM5 | Buy | 1 | 5926.25 | Aggressive |
| 2025-06-02T12:10:04.936 | SIM:ESM5 | Buy | 5 | 5926.5 | Aggressive |
| 2025-06-02T12:10:04.936 | SIM:ESM5 | Buy | 10 | 5926.25 | Aggressive |
| 2025-06-02T12:10:02.924 | SIM:ESM5 | Buy | 11 | 5926.25 | Aggressive |
| 2025-06-02T12:10:01.908 | SIM:ESM5 | Buy | 11 | 5926.25 | Aggressive |
| 2025-06-02T12:09:57.919 | SIM:ESM5 | Buy | 4 | 5926.25 | Aggressive |
| 2025-06-02T12:09:54.86 | SIM:ESM5 | Buy | 2 | 5926.25 | Aggressive |
| 2025-06-02T12:09:53.929 | SIM:ESM5 | Buy | 2 | 5926 | Aggressive |
| 2025-06-02T12:09:52.883 | SIM:ESM5 | Buy | 3 | 5926 | Aggressive |
| 2025-06-02T12:09:50.947 | SIM:ESM5 | Buy | 1 | 5925.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1300
Slippage Sweep
-0.2850
Arrival Price
5,924.1250
Average Total
5,924.2550
Destination Price
5,924.6250
Sweep to Fill
5,923.9700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:09:20.054 | SIM:ESM5 | Sell | 26 | 5924.25 | Aggressive |
| 2025-06-02T12:09:20.054 | SIM:ESM5 | Sell | 10 | 5924.5 | Aggressive |
| 2025-06-02T12:09:18.214 | SIM:ESM5 | Sell | 9 | 5924 | Aggressive |
| 2025-06-02T12:09:18.213 | SIM:ESM5 | Sell | 1 | 5924.25 | Aggressive |
| 2025-06-02T12:09:18.213 | SIM:ESM5 | Sell | 1 | 5924.25 | Passive |
| 2025-06-02T12:09:19.04 | SIM:ESM5 | Sell | 2 | 5924.25 | Aggressive |
| 2025-06-02T12:09:17.487 | SIM:ESM5 | Sell | 1 | 5924.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.1650
Arrival Price
5,924.3750
Average Total
5,924.3450
Destination Price
5,924.1250
Sweep to Fill
5,924.5100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:09:14.854 | SIM:ESM5 | Buy | 16 | 5924.25 | Aggressive |
| 2025-06-02T12:09:11.868 | SIM:ESM5 | Buy | 9 | 5924.5 | Aggressive |
| 2025-06-02T12:09:16.801 | SIM:ESM5 | Buy | 1 | 5924.25 | Aggressive |
| 2025-06-02T12:09:09.028 | SIM:ESM5 | Buy | 5 | 5924.5 | Aggressive |
| 2025-06-02T12:09:03.786 | SIM:ESM5 | Buy | 5 | 5924.5 | Aggressive |
| 2025-06-02T12:08:59.812 | SIM:ESM5 | Buy | 6 | 5924.25 | Aggressive |
| 2025-06-02T12:08:58.711 | SIM:ESM5 | Buy | 7 | 5924.25 | Aggressive |
| 2025-06-02T12:08:57.704 | SIM:ESM5 | Buy | 1 | 5924.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1650
Slippage Sweep
-0.0850
Arrival Price
5,924.1250
Average Total
5,923.9600
Destination Price
5,924.1250
Sweep to Fill
5,923.8750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:08:26.37 | SIM:ESM5 | Sell | 17 | 5924 | Aggressive |
| 2025-06-02T12:08:25.271 | SIM:ESM5 | Sell | 6 | 5924 | Aggressive |
| 2025-06-02T12:08:18.226 | SIM:ESM5 | Sell | 8 | 5923.75 | Aggressive |
| 2025-06-02T12:08:15.82 | SIM:ESM5 | Sell | 1 | 5924 | Aggressive |
| 2025-06-02T12:08:27.466 | SIM:ESM5 | Sell | 9 | 5924 | Aggressive |
| 2025-06-02T12:08:24.22 | SIM:ESM5 | Sell | 2 | 5924 | Aggressive |
| 2025-06-02T12:08:21.335 | SIM:ESM5 | Sell | 2 | 5924 | Aggressive |
| 2025-06-02T12:08:15.742 | SIM:ESM5 | Sell | 5 | 5924 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3650
Arrival Price
5,924.3750
Average Total
5,924.2500
Destination Price
5,924.1250
Sweep to Fill
5,924.6150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:08:13.827 | SIM:ESM5 | Buy | 16 | 5924.25 | Aggressive |
| 2025-06-02T12:08:12.837 | SIM:ESM5 | Buy | 7 | 5924.25 | Aggressive |
| 2025-06-02T12:08:12.837 | SIM:ESM5 | Buy | 27 | 5924.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.1700
Arrival Price
5,924.1250
Average Total
5,924.1000
Destination Price
5,923.1250
Sweep to Fill
5,923.9300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:07:42.547 | SIM:ESM5 | Sell | 6 | 5923 | Aggressive |
| 2025-06-02T12:07:30.23 | SIM:ESM5 | Sell | 14 | 5924.25 | Passive |
| 2025-06-02T12:07:30.23 | SIM:ESM5 | Sell | 3 | 5924.25 | Aggressive |
| 2025-06-02T12:07:30.23 | SIM:ESM5 | Sell | 27 | 5924.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6850
Slippage Sweep
0.4250
Arrival Price
5,923.6250
Average Total
5,924.3100
Destination Price
5,924.1250
Sweep to Fill
5,923.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:07:30.027 | SIM:ESM5 | Buy | 3 | 5924.25 | Aggressive |
| 2025-06-02T12:07:25.298 | SIM:ESM5 | Buy | 7 | 5924.5 | Aggressive |
| 2025-06-02T12:07:22.317 | SIM:ESM5 | Buy | 1 | 5924.5 | Aggressive |
| 2025-06-02T12:07:12.212 | SIM:ESM5 | Buy | 1 | 5924.25 | Aggressive |
| 2025-06-02T12:07:23.334 | SIM:ESM5 | Buy | 12 | 5924.5 | Aggressive |
| 2025-06-02T12:07:21.28 | SIM:ESM5 | Buy | 2 | 5924.5 | Aggressive |
| 2025-06-02T12:07:11.36 | SIM:ESM5 | Buy | 5 | 5924 | Aggressive |
| 2025-06-02T12:07:09.261 | SIM:ESM5 | Buy | 3 | 5923.75 | Aggressive |
| 2025-06-02T12:07:08.258 | SIM:ESM5 | Buy | 2 | 5923.75 | Aggressive |
| 2025-06-02T12:07:22.317 | SIM:ESM5 | Buy | 1 | 5924.5 | Aggressive |
| 2025-06-02T12:07:20.312 | SIM:ESM5 | Buy | 5 | 5924.5 | Aggressive |
| 2025-06-02T12:07:19.321 | SIM:ESM5 | Buy | 3 | 5924.5 | Aggressive |
| 2025-06-02T12:07:16.239 | SIM:ESM5 | Buy | 2 | 5924.5 | Aggressive |
| 2025-06-02T12:07:07.157 | SIM:ESM5 | Buy | 2 | 5923.75 | Aggressive |
| 2025-06-02T12:07:06.212 | SIM:ESM5 | Buy | 1 | 5923.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.0900
Arrival Price
5,923.8750
Average Total
5,923.7850
Destination Price
5,923.8750
Sweep to Fill
5,923.6950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:06:26.512 | SIM:ESM5 | Sell | 6 | 5923.75 | Aggressive |
| 2025-06-02T12:06:25.923 | SIM:ESM5 | Sell | 8 | 5923.75 | Aggressive |
| 2025-06-02T12:06:24.507 | SIM:ESM5 | Sell | 1 | 5923.75 | Aggressive |
| 2025-06-02T12:06:17.533 | SIM:ESM5 | Sell | 1 | 5923.5 | Aggressive |
| 2025-06-02T12:06:34.66 | SIM:ESM5 | Sell | 2 | 5923.75 | Aggressive |
| 2025-06-02T12:06:22.567 | SIM:ESM5 | Sell | 17 | 5923.75 | Aggressive |
| 2025-06-02T12:06:22.567 | SIM:ESM5 | Sell | 8 | 5924 | Aggressive |
| 2025-06-02T12:06:19.52 | SIM:ESM5 | Sell | 4 | 5923.75 | Passive |
| 2025-06-02T12:06:19.52 | SIM:ESM5 | Sell | 1 | 5923.75 | Aggressive |
| 2025-06-02T12:06:19.52 | SIM:ESM5 | Sell | 1 | 5923.75 | Passive |
| 2025-06-02T12:06:16.385 | SIM:ESM5 | Sell | 1 | 5923.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0350
Slippage Sweep
-0.1700
Arrival Price
5,924.3750
Average Total
5,924.3400
Destination Price
5,924.1250
Sweep to Fill
5,924.5100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:06:16.019 | SIM:ESM5 | Buy | 1 | 5924 | Aggressive |
| 2025-06-02T12:06:16.019 | SIM:ESM5 | Buy | 1 | 5924 | Passive |
| 2025-06-02T12:06:14.758 | SIM:ESM5 | Buy | 19 | 5924.5 | Aggressive |
| 2025-06-02T12:06:14.758 | SIM:ESM5 | Buy | 23 | 5924.25 | Aggressive |
| 2025-06-02T12:06:13.822 | SIM:ESM5 | Buy | 5 | 5924.25 | Aggressive |
| 2025-06-02T12:06:13.07 | 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
-0.3400
Slippage Sweep
-0.5250
Arrival Price
5,921.8750
Average Total
5,922.2150
Destination Price
5,922.6250
Sweep to Fill
5,921.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:05:42.399 | SIM:ESM5 | Sell | 5 | 5922.5 | Aggressive |
| 2025-06-02T12:05:41.424 | SIM:ESM5 | Sell | 8 | 5922.5 | Aggressive |
| 2025-06-02T12:05:41.424 | SIM:ESM5 | Sell | 3 | 5922.75 | Aggressive |
| 2025-06-02T12:05:41.424 | SIM:ESM5 | Sell | 3 | 5922.75 | Passive |
| 2025-06-02T12:05:41.424 | SIM:ESM5 | Sell | 1 | 5922.75 | Passive |
| 2025-06-02T12:05:41.424 | SIM:ESM5 | Sell | 1 | 5922.75 | Passive |
| 2025-06-02T12:05:40.186 | SIM:ESM5 | Sell | 14 | 5922 | Aggressive |
| 2025-06-02T12:05:37.314 | SIM:ESM5 | Sell | 6 | 5921.75 | Aggressive |
| 2025-06-02T12:05:39.472 | SIM:ESM5 | Sell | 2 | 5922 | Aggressive |
| 2025-06-02T12:05:39.472 | SIM:ESM5 | Sell | 2 | 5922 | Passive |
| 2025-06-02T12:05:39.472 | SIM:ESM5 | Sell | 2 | 5922 | Passive |
| 2025-06-02T12:05:39.472 | SIM:ESM5 | Sell | 2 | 5922 | Passive |
| 2025-06-02T12:05:36.15 | SIM:ESM5 | Sell | 1 | 5921.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.3450
Arrival Price
5,922.1250
Average Total
5,922.0950
Destination Price
5,921.8750
Sweep to Fill
5,922.4400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:05:34.724 | SIM:ESM5 | Buy | 1 | 5922 | Passive |
| 2025-06-02T12:05:35.36 | SIM:ESM5 | Buy | 7 | 5922 | Aggressive |
| 2025-06-02T12:05:35.36 | SIM:ESM5 | Buy | 20 | 5922 | Aggressive |
| 2025-06-02T12:05:34.725 | SIM:ESM5 | Buy | 12 | 5922.25 | Aggressive |
| 2025-06-02T12:05:34.725 | SIM:ESM5 | Buy | 1 | 5922 | Aggressive |
| 2025-06-02T12:05:34.725 | SIM:ESM5 | Buy | 1 | 5922 | Passive |
| 2025-06-02T12:05:34.725 | SIM:ESM5 | Buy | 1 | 5922 | Passive |
| 2025-06-02T12:05:33.41 | SIM:ESM5 | Buy | 2 | 5922.25 | Aggressive |
| 2025-06-02T12:05:32.32 | SIM:ESM5 | Buy | 4 | 5922.25 | Aggressive |
| 2025-06-02T12:05:31.297 | 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
-0.0150
Slippage Sweep
-0.1750
Arrival Price
5,922.6250
Average Total
5,922.6400
Destination Price
5,923.0000
Sweep to Fill
5,922.4650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:05:00.794 | SIM:ESM5 | Sell | 1 | 5922.5 | Passive |
| 2025-06-02T12:05:00.794 | SIM:ESM5 | Sell | 4 | 5922.5 | Passive |
| 2025-06-02T12:05:00.794 | SIM:ESM5 | Sell | 4 | 5922.5 | Passive |
| 2025-06-02T12:05:00.794 | SIM:ESM5 | Sell | 4 | 5922.5 | Passive |
| 2025-06-02T12:05:00.794 | SIM:ESM5 | Sell | 2 | 5922.5 | Passive |
| 2025-06-02T12:05:00.794 | SIM:ESM5 | Sell | 2 | 5922.5 | Passive |
| 2025-06-02T12:04:40.412 | SIM:ESM5 | Sell | 1 | 5922.75 | Passive |
| 2025-06-02T12:04:40.412 | SIM:ESM5 | Sell | 1 | 5922.5 | Aggressive |
| 2025-06-02T12:04:40.412 | SIM:ESM5 | Sell | 27 | 5922.75 | Aggressive |
| 2025-06-02T12:04:39.372 | SIM:ESM5 | Sell | 3 | 5922.5 | Aggressive |
| 2025-06-02T12:04:38.392 | 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
-0.1350
Slippage Sweep
-0.3300
Arrival Price
5,923.1250
Average Total
5,922.9900
Destination Price
5,922.6250
Sweep to Fill
5,923.3200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:04:38.04 | SIM:ESM5 | Buy | 14 | 5923 | Aggressive |
| 2025-06-02T12:04:38.04 | SIM:ESM5 | Buy | 3 | 5922.75 | Aggressive |
| 2025-06-02T12:04:37.026 | SIM:ESM5 | Buy | 16 | 5923 | Aggressive |
| 2025-06-02T12:04:36.015 | SIM:ESM5 | Buy | 16 | 5923 | Aggressive |
| 2025-06-02T12:04:35.021 | SIM:ESM5 | Buy | 1 | 5923.25 | Aggressive |