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
-0.1250
Slippage Sweep
-0.3600
Arrival Price
5,923.1250
Average Total
5,923.2500
Destination Price
5,923.3750
Sweep to Fill
5,922.8900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:04:03.926 | SIM:ESM5 | Sell | 20 | 5923.25 | Aggressive |
| 2025-06-02T12:04:03.926 | SIM:ESM5 | Sell | 29 | 5923.25 | Aggressive |
| 2025-06-02T12:04:02.868 | 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
0.0500
Slippage Sweep
-0.1400
Arrival Price
5,923.3750
Average Total
5,923.4250
Destination Price
5,923.1250
Sweep to Fill
5,923.5650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:04:00.804 | SIM:ESM5 | Buy | 11 | 5923.75 | Aggressive |
| 2025-06-02T12:04:00.804 | SIM:ESM5 | Buy | 1 | 5923.5 | Aggressive |
| 2025-06-02T12:04:00.804 | SIM:ESM5 | Buy | 1 | 5923.5 | Passive |
| 2025-06-02T12:03:56.57 | SIM:ESM5 | Buy | 6 | 5923.5 | Aggressive |
| 2025-06-02T12:04:02.584 | SIM:ESM5 | Buy | 21 | 5923.25 | Aggressive |
| 2025-06-02T12:03:54.734 | SIM:ESM5 | Buy | 5 | 5923.5 | Aggressive |
| 2025-06-02T12:03:53.566 | SIM:ESM5 | Buy | 4 | 5923.25 | Aggressive |
| 2025-06-02T12:03:52.573 | SIM:ESM5 | Buy | 1 | 5923.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1600
Slippage Sweep
-0.4100
Arrival Price
5,923.0000
Average Total
5,923.1600
Destination Price
5,923.3750
Sweep to Fill
5,922.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:03:22.125 | SIM:ESM5 | Sell | 5 | 5923.25 | Aggressive |
| 2025-06-02T12:03:22.115 | SIM:ESM5 | Sell | 3 | 5923.25 | Aggressive |
| 2025-06-02T12:03:22.115 | SIM:ESM5 | Sell | 25 | 5923.25 | Aggressive |
| 2025-06-02T12:03:21.115 | SIM:ESM5 | Sell | 16 | 5923 | Aggressive |
| 2025-06-02T12:03:20.142 | SIM:ESM5 | Sell | 1 | 5922.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2250
Slippage Sweep
-0.0600
Arrival Price
5,922.8750
Average Total
5,923.1000
Destination Price
5,923.1250
Sweep to Fill
5,923.1600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:03:18.024 | SIM:ESM5 | Buy | 3 | 5923.5 | Aggressive |
| 2025-06-02T12:03:18.024 | SIM:ESM5 | Buy | 5 | 5923.5 | Passive |
| 2025-06-02T12:03:18.024 | SIM:ESM5 | Buy | 2 | 5923.5 | Passive |
| 2025-06-02T12:03:18.024 | SIM:ESM5 | Buy | 2 | 5923.5 | Passive |
| 2025-06-02T12:03:08.163 | SIM:ESM5 | Buy | 4 | 5923 | Aggressive |
| 2025-06-02T12:03:19.559 | SIM:ESM5 | Buy | 7 | 5923.25 | Aggressive |
| 2025-06-02T12:03:19.559 | SIM:ESM5 | Buy | 2 | 5923 | Aggressive |
| 2025-06-02T12:03:19.559 | SIM:ESM5 | Buy | 2 | 5923 | Passive |
| 2025-06-02T12:03:03.112 | SIM:ESM5 | Buy | 7 | 5922.75 | Aggressive |
| 2025-06-02T12:03:09.213 | SIM:ESM5 | Buy | 7 | 5923 | Aggressive |
| 2025-06-02T12:03:09.213 | SIM:ESM5 | Buy | 2 | 5922.75 | Aggressive |
| 2025-06-02T12:03:09.213 | SIM:ESM5 | Buy | 2 | 5922.75 | Passive |
| 2025-06-02T12:03:09.213 | SIM:ESM5 | Buy | 1 | 5922.75 | Passive |
| 2025-06-02T12:03:09.212 | SIM:ESM5 | Buy | 1 | 5922.75 | Passive |
| 2025-06-02T12:03:06.137 | SIM:ESM5 | Buy | 2 | 5923.25 | Aggressive |
| 2025-06-02T12:03:02.077 | SIM:ESM5 | Buy | 1 | 5923 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1950
Slippage Sweep
-0.4550
Arrival Price
5,923.6250
Average Total
5,923.8200
Destination Price
5,924.1250
Sweep to Fill
5,923.3650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:02:31.539 | SIM:ESM5 | Sell | 15 | 5924 | Aggressive |
| 2025-06-02T12:02:30.525 | SIM:ESM5 | Sell | 2 | 5923.75 | Aggressive |
| 2025-06-02T12:02:30.525 | SIM:ESM5 | Sell | 32 | 5923.75 | Aggressive |
| 2025-06-02T12:02:29.534 | SIM:ESM5 | Sell | 1 | 5923.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.3100
Arrival Price
5,923.8750
Average Total
5,923.8050
Destination Price
5,923.6250
Sweep to Fill
5,924.1150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:02:27.918 | SIM:ESM5 | Buy | 21 | 5923.75 | Aggressive |
| 2025-06-02T12:02:26.872 | SIM:ESM5 | Buy | 15 | 5923.75 | Aggressive |
| 2025-06-02T12:02:25.862 | SIM:ESM5 | Buy | 3 | 5923.75 | Aggressive |
| 2025-06-02T12:02:25 | SIM:ESM5 | Buy | 10 | 5924 | Aggressive |
| 2025-06-02T12:02:23.849 | SIM:ESM5 | Buy | 1 | 5924 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1650
Slippage Sweep
-0.4350
Arrival Price
5,924.6250
Average Total
5,924.7900
Destination Price
5,924.8750
Sweep to Fill
5,924.3550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:01:53.451 | SIM:ESM5 | Sell | 1 | 5924.75 | Aggressive |
| 2025-06-02T12:01:53.451 | SIM:ESM5 | Sell | 24 | 5924.75 | Aggressive |
| 2025-06-02T12:01:51.442 | SIM:ESM5 | Sell | 4 | 5924.75 | Aggressive |
| 2025-06-02T12:01:51.441 | SIM:ESM5 | Sell | 1 | 5925 | Aggressive |
| 2025-06-02T12:01:51.441 | SIM:ESM5 | Sell | 1 | 5925 | Passive |
| 2025-06-02T12:01:51.425 | SIM:ESM5 | Sell | 6 | 5924.75 | Aggressive |
| 2025-06-02T12:01:50.788 | SIM:ESM5 | Sell | 2 | 5924.75 | Aggressive |
| 2025-06-02T12:01:50.788 | SIM:ESM5 | Sell | 3 | 5924.75 | Passive |
| 2025-06-02T12:01:52.424 | SIM:ESM5 | Sell | 3 | 5925 | Passive |
| 2025-06-02T12:01:52.424 | SIM:ESM5 | Sell | 2 | 5925 | Passive |
| 2025-06-02T12:01:52.424 | SIM:ESM5 | Sell | 2 | 5925 | Passive |
| 2025-06-02T12:01:49.512 | SIM:ESM5 | Sell | 1 | 5924.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0950
Slippage Sweep
-0.2800
Arrival Price
5,924.8750
Average Total
5,924.7800
Destination Price
5,924.6250
Sweep to Fill
5,925.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:01:44.902 | SIM:ESM5 | Buy | 5 | 5925 | Aggressive |
| 2025-06-02T12:01:48.914 | SIM:ESM5 | Buy | 4 | 5924.75 | Aggressive |
| 2025-06-02T12:01:48.914 | SIM:ESM5 | Buy | 15 | 5924.75 | Aggressive |
| 2025-06-02T12:01:45.906 | SIM:ESM5 | Buy | 2 | 5924.75 | Passive |
| 2025-06-02T12:01:45.906 | SIM:ESM5 | Buy | 23 | 5924.75 | Aggressive |
| 2025-06-02T12:01:43.977 | SIM:ESM5 | Buy | 1 | 5925 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.4100
Arrival Price
5,921.6250
Average Total
5,921.7250
Destination Price
5,924.3750
Sweep to Fill
5,921.3150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:01:13.521 | SIM:ESM5 | Sell | 2 | 5924.25 | Aggressive |
| 2025-06-02T12:01:10.562 | SIM:ESM5 | Sell | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:01:12.522 | SIM:ESM5 | Sell | 8 | 5921.5 | Aggressive |
| 2025-06-02T12:01:12.522 | SIM:ESM5 | Sell | 23 | 5921.75 | Aggressive |
| 2025-06-02T12:01:12.171 | SIM:ESM5 | Sell | 6 | 5921.5 | Aggressive |
| 2025-06-02T12:01:09.56 | SIM:ESM5 | Sell | 4 | 5921.5 | Aggressive |
| 2025-06-02T12:01:08.6 | SIM:ESM5 | Sell | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:01:07.525 | SIM:ESM5 | Sell | 2 | 5921.5 | Aggressive |
| 2025-06-02T12:01:06.481 | SIM:ESM5 | Sell | 1 | 5921.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1000
Slippage Sweep
-0.2200
Arrival Price
5,920.6250
Average Total
5,920.7250
Destination Price
5,921.8750
Sweep to Fill
5,920.9450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T12:00:40.181 | SIM:ESM5 | Buy | 20 | 5920.5 | Aggressive |
| 2025-06-02T12:01:05.401 | SIM:ESM5 | Buy | 7 | 5922 | Aggressive |
| 2025-06-02T12:00:41.222 | SIM:ESM5 | Buy | 9 | 5920.5 | Aggressive |
| 2025-06-02T12:00:41.222 | SIM:ESM5 | Buy | 11 | 5920.5 | Aggressive |
| 2025-06-02T12:00:39.179 | SIM:ESM5 | Buy | 2 | 5920.75 | Aggressive |
| 2025-06-02T12:00:38.201 | SIM:ESM5 | Buy | 1 | 5920.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1150
Slippage Sweep
-0.4950
Arrival Price
5,920.6250
Average Total
5,920.7400
Destination Price
5,921.1250
Sweep to Fill
5,920.2450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:59:59.481 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T11:59:56.475 | SIM:ESM5 | Sell | 4 | 5920.5 | Aggressive |
| 2025-06-02T11:59:54.482 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:00:04.577 | SIM:ESM5 | Sell | 4 | 5920.25 | Aggressive |
| 2025-06-02T12:00:00.473 | SIM:ESM5 | Sell | 2 | 5920.75 | Aggressive |
| 2025-06-02T12:00:00.473 | SIM:ESM5 | Sell | 16 | 5920.75 | Aggressive |
| 2025-06-02T11:59:53.499 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T12:00:07.535 | SIM:ESM5 | Sell | 17 | 5921 | Aggressive |
| 2025-06-02T11:59:52.526 | SIM:ESM5 | Sell | 1 | 5920.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6550
Slippage Sweep
0.3000
Arrival Price
5,920.1250
Average Total
5,920.7800
Destination Price
5,920.6250
Sweep to Fill
5,920.4800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:59:51.834 | SIM:ESM5 | Buy | 2 | 5920.5 | Passive |
| 2025-06-02T11:59:46.914 | SIM:ESM5 | Buy | 6 | 5920.75 | Aggressive |
| 2025-06-02T11:59:43.745 | SIM:ESM5 | Buy | 4 | 5920.75 | Aggressive |
| 2025-06-02T11:59:40.527 | SIM:ESM5 | Buy | 4 | 5920.75 | Aggressive |
| 2025-06-02T11:59:39.655 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
| 2025-06-02T11:59:27.454 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
| 2025-06-02T11:59:38.486 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
| 2025-06-02T11:59:35.518 | SIM:ESM5 | Buy | 3 | 5921 | Aggressive |
| 2025-06-02T11:59:34.577 | SIM:ESM5 | Buy | 3 | 5920.75 | Aggressive |
| 2025-06-02T11:59:30.489 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T11:59:28.454 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
| 2025-06-02T11:59:24.604 | SIM:ESM5 | Buy | 1 | 5920.5 | Aggressive |
| 2025-06-02T11:59:24.604 | SIM:ESM5 | Buy | 2 | 5920.5 | Passive |
| 2025-06-02T11:59:22.359 | SIM:ESM5 | Buy | 1 | 5920.5 | Aggressive |
| 2025-06-02T11:59:41.525 | SIM:ESM5 | Buy | 7 | 5920.75 | Aggressive |
| 2025-06-02T11:59:41.525 | SIM:ESM5 | Buy | 4 | 5920.75 | Aggressive |
| 2025-06-02T11:59:31.513 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T11:59:26.377 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T11:59:23.363 | SIM:ESM5 | Buy | 2 | 5920.75 | Aggressive |
| 2025-06-02T11:59:21.412 | 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
-0.1900
Slippage Sweep
-0.4150
Arrival Price
5,919.6250
Average Total
5,919.8150
Destination Price
5,920.1250
Sweep to Fill
5,919.4000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:58:49.521 | SIM:ESM5 | Sell | 25 | 5919.75 | Aggressive |
| 2025-06-02T11:58:50.443 | SIM:ESM5 | Sell | 14 | 5920 | Aggressive |
| 2025-06-02T11:58:49.521 | SIM:ESM5 | Sell | 1 | 5919.75 | Passive |
| 2025-06-02T11:58:49.521 | SIM:ESM5 | Sell | 9 | 5919.75 | Aggressive |
| 2025-06-02T11:58:48.545 | 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
-0.0900
Slippage Sweep
-0.4100
Arrival Price
5,919.8750
Average Total
5,919.7850
Destination Price
5,919.6250
Sweep to Fill
5,920.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:58:47.917 | SIM:ESM5 | Buy | 2 | 5919.75 | Passive |
| 2025-06-02T11:58:47.917 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T11:58:47.916 | SIM:ESM5 | Buy | 19 | 5919.75 | Aggressive |
| 2025-06-02T11:58:46.861 | SIM:ESM5 | Buy | 10 | 5919.75 | Aggressive |
| 2025-06-02T11:58:45.823 | SIM:ESM5 | Buy | 3 | 5920 | Aggressive |
| 2025-06-02T11:58:45.823 | SIM:ESM5 | Buy | 11 | 5919.75 | Aggressive |
| 2025-06-02T11:58:44.955 | SIM:ESM5 | Buy | 1 | 5919.75 | Passive |
| 2025-06-02T11:58:43.814 | SIM:ESM5 | Buy | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0100
Slippage Sweep
-0.1950
Arrival Price
5,920.3750
Average Total
5,920.3650
Destination Price
5,920.6250
Sweep to Fill
5,920.1700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:58:13.153 | SIM:ESM5 | Sell | 5 | 5920.5 | Aggressive |
| 2025-06-02T11:58:11.148 | SIM:ESM5 | Sell | 7 | 5920.25 | Aggressive |
| 2025-06-02T11:58:11.148 | SIM:ESM5 | Sell | 16 | 5920.5 | Aggressive |
| 2025-06-02T11:58:10.105 | SIM:ESM5 | Sell | 2 | 5920.25 | Aggressive |
| 2025-06-02T11:58:06.91 | SIM:ESM5 | Sell | 1 | 5920 | Passive |
| 2025-06-02T11:58:06.91 | SIM:ESM5 | Sell | 1 | 5920 | Passive |
| 2025-06-02T11:58:06.91 | SIM:ESM5 | Sell | 1 | 5920 | Passive |
| 2025-06-02T11:58:12.321 | SIM:ESM5 | Sell | 9 | 5920.5 | Aggressive |
| 2025-06-02T11:58:08.086 | SIM:ESM5 | Sell | 5 | 5920.25 | Aggressive |
| 2025-06-02T11:58:06.64 | SIM:ESM5 | Sell | 2 | 5919.75 | Aggressive |
| 2025-06-02T11:58:04.128 | SIM:ESM5 | Sell | 1 | 5920.25 | Aggressive |