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
-0.1200
Slippage Sweep
-0.4400
Arrival Price
5,920.6250
Average Total
5,920.5050
Destination Price
5,920.3750
Sweep to Fill
5,920.9450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:58:03.565 | SIM:ESM5 | Buy | 16 | 5920.5 | Aggressive |
| 2025-06-02T11:58:02.431 | SIM:ESM5 | Buy | 2 | 5920.5 | Aggressive |
| 2025-06-02T11:58:02.412 | SIM:ESM5 | Buy | 31 | 5920.5 | Aggressive |
| 2025-06-02T11:58:01.484 | 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
-0.3750
Arrival Price
5,920.1250
Average Total
5,920.2400
Destination Price
5,920.3750
Sweep to Fill
5,919.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:57:30.611 | SIM:ESM5 | Sell | 18 | 5920.25 | Aggressive |
| 2025-06-02T11:57:30.611 | SIM:ESM5 | Sell | 9 | 5920.25 | Aggressive |
| 2025-06-02T11:57:29.668 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
| 2025-06-02T11:57:29.668 | SIM:ESM5 | Sell | 21 | 5920.25 | Aggressive |
| 2025-06-02T11:57:28.617 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.0500
Arrival Price
5,920.3750
Average Total
5,920.4650
Destination Price
5,920.1250
Sweep to Fill
5,920.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:57:27.653 | SIM:ESM5 | Buy | 9 | 5920.25 | Aggressive |
| 2025-06-02T11:57:26.879 | SIM:ESM5 | Buy | 2 | 5920.5 | Aggressive |
| 2025-06-02T11:57:26.879 | SIM:ESM5 | Buy | 1 | 5920.25 | Aggressive |
| 2025-06-02T11:57:26.878 | SIM:ESM5 | Buy | 1 | 5920.25 | Passive |
| 2025-06-02T11:57:24.71 | SIM:ESM5 | Buy | 9 | 5920.5 | Aggressive |
| 2025-06-02T11:57:23.626 | SIM:ESM5 | Buy | 3 | 5920.5 | Aggressive |
| 2025-06-02T11:57:23.626 | SIM:ESM5 | Buy | 5 | 5920.5 | Aggressive |
| 2025-06-02T11:57:20.625 | SIM:ESM5 | Buy | 1 | 5920.5 | Aggressive |
| 2025-06-02T11:57:20.625 | SIM:ESM5 | Buy | 8 | 5920.5 | Aggressive |
| 2025-06-02T11:57:18.914 | SIM:ESM5 | Buy | 5 | 5920.75 | Aggressive |
| 2025-06-02T11:57:15.844 | SIM:ESM5 | Buy | 1 | 5920.5 | Passive |
| 2025-06-02T11:57:14.521 | SIM:ESM5 | Buy | 2 | 5920.25 | Aggressive |
| 2025-06-02T11:57:16.83 | SIM:ESM5 | Buy | 2 | 5920.75 | Aggressive |
| 2025-06-02T11:57:13.493 | SIM:ESM5 | Buy | 1 | 5920.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2100
Slippage Sweep
-0.0200
Arrival Price
5,920.8750
Average Total
5,920.6650
Destination Price
5,920.3750
Sweep to Fill
5,920.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:56:43.214 | SIM:ESM5 | Sell | 5 | 5920.25 | Aggressive |
| 2025-06-02T11:56:40.23 | SIM:ESM5 | Sell | 9 | 5920 | Aggressive |
| 2025-06-02T11:56:40.23 | SIM:ESM5 | Sell | 1 | 5920.25 | Aggressive |
| 2025-06-02T11:56:40.23 | SIM:ESM5 | Sell | 1 | 5920.25 | Passive |
| 2025-06-02T11:56:40.23 | SIM:ESM5 | Sell | 1 | 5920.25 | Passive |
| 2025-06-02T11:56:40.23 | SIM:ESM5 | Sell | 1 | 5920.25 | Passive |
| 2025-06-02T11:56:33.168 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T11:56:24.012 | SIM:ESM5 | Sell | 30 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7650
Slippage Sweep
0.4900
Arrival Price
5,920.6250
Average Total
5,921.3900
Destination Price
5,920.8750
Sweep to Fill
5,920.9000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:56:23.728 | SIM:ESM5 | Buy | 7 | 5921 | Aggressive |
| 2025-06-02T11:56:22.728 | SIM:ESM5 | Buy | 7 | 5921 | Aggressive |
| 2025-06-02T11:56:19.482 | SIM:ESM5 | Buy | 1 | 5921.5 | Aggressive |
| 2025-06-02T11:56:15.412 | SIM:ESM5 | Buy | 5 | 5921.75 | Aggressive |
| 2025-06-02T11:56:13.432 | SIM:ESM5 | Buy | 3 | 5921.75 | Aggressive |
| 2025-06-02T11:56:11.414 | SIM:ESM5 | Buy | 6 | 5922.25 | Aggressive |
| 2025-06-02T11:56:10.351 | SIM:ESM5 | Buy | 4 | 5921.75 | Aggressive |
| 2025-06-02T11:56:05.405 | SIM:ESM5 | Buy | 3 | 5921.25 | Passive |
| 2025-06-02T11:56:05.405 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T11:56:05.405 | SIM:ESM5 | Buy | 1 | 5921.25 | Passive |
| 2025-06-02T11:56:03.435 | SIM:ESM5 | Buy | 2 | 5921 | Aggressive |
| 2025-06-02T11:56:06.28 | SIM:ESM5 | Buy | 1 | 5921.25 | Aggressive |
| 2025-06-02T11:55:59.596 | SIM:ESM5 | Buy | 2 | 5921 | Passive |
| 2025-06-02T11:55:59.596 | SIM:ESM5 | Buy | 2 | 5921 | Passive |
| 2025-06-02T11:55:59.596 | SIM:ESM5 | Buy | 2 | 5921 | Passive |
| 2025-06-02T11:56:19.482 | SIM:ESM5 | Buy | 2 | 5921.5 | Aggressive |
| 2025-06-02T11:55:58.303 | SIM:ESM5 | Buy | 1 | 5921 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.3400
Arrival Price
5,920.1250
Average Total
5,920.1700
Destination Price
5,920.3750
Sweep to Fill
5,919.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:55:27.447 | SIM:ESM5 | Sell | 6 | 5920.25 | Aggressive |
| 2025-06-02T11:55:27.447 | SIM:ESM5 | Sell | 6 | 5920.25 | Aggressive |
| 2025-06-02T11:55:26.541 | SIM:ESM5 | Sell | 11 | 5920 | Aggressive |
| 2025-06-02T11:55:26.541 | SIM:ESM5 | Sell | 22 | 5920.25 | Aggressive |
| 2025-06-02T11:55:24.786 | SIM:ESM5 | Sell | 4 | 5920 | Aggressive |
| 2025-06-02T11:55:23.415 | SIM:ESM5 | Sell | 1 | 5920 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.4000
Arrival Price
5,920.3750
Average Total
5,920.2550
Destination Price
5,920.1250
Sweep to Fill
5,920.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:55:22.848 | SIM:ESM5 | Buy | 13 | 5920.25 | Aggressive |
| 2025-06-02T11:55:22.848 | SIM:ESM5 | Buy | 4 | 5920.25 | Aggressive |
| 2025-06-02T11:55:21.917 | SIM:ESM5 | Buy | 6 | 5920.25 | Passive |
| 2025-06-02T11:55:21.917 | SIM:ESM5 | Buy | 26 | 5920.25 | Aggressive |
| 2025-06-02T11:55:20.843 | 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
-0.1100
Slippage Sweep
-0.3350
Arrival Price
5,920.6250
Average Total
5,920.7350
Destination Price
5,920.6250
Sweep to Fill
5,920.4000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:54:49.222 | SIM:ESM5 | Sell | 2 | 5920.5 | Aggressive |
| 2025-06-02T11:54:50.214 | SIM:ESM5 | Sell | 2 | 5920.75 | Passive |
| 2025-06-02T11:54:37.051 | SIM:ESM5 | Sell | 22 | 5920.75 | Aggressive |
| 2025-06-02T11:54:50.215 | SIM:ESM5 | Sell | 11 | 5920.5 | Aggressive |
| 2025-06-02T11:54:50.215 | SIM:ESM5 | Sell | 2 | 5920.75 | Aggressive |
| 2025-06-02T11:54:37.14 | SIM:ESM5 | Sell | 3 | 5921 | Aggressive |
| 2025-06-02T11:54:37.14 | SIM:ESM5 | Sell | 5 | 5921 | Passive |
| 2025-06-02T11:54:37.14 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
| 2025-06-02T11:54:37.14 | SIM:ESM5 | Sell | 1 | 5921 | Passive |
| 2025-06-02T11:54:36.047 | SIM:ESM5 | Sell | 1 | 5920.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0250
Slippage Sweep
-0.3150
Arrival Price
5,920.8750
Average Total
5,920.8500
Destination Price
5,920.6250
Sweep to Fill
5,921.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:54:31.675 | SIM:ESM5 | Buy | 3 | 5920.75 | Aggressive |
| 2025-06-02T11:54:35.735 | SIM:ESM5 | Buy | 9 | 5921 | Aggressive |
| 2025-06-02T11:54:35.735 | SIM:ESM5 | Buy | 21 | 5920.75 | Aggressive |
| 2025-06-02T11:54:34.219 | SIM:ESM5 | Buy | 1 | 5921 | Passive |
| 2025-06-02T11:54:34.219 | SIM:ESM5 | Buy | 3 | 5921 | Passive |
| 2025-06-02T11:54:34.219 | SIM:ESM5 | Buy | 3 | 5921 | Passive |
| 2025-06-02T11:54:34.219 | SIM:ESM5 | Buy | 2 | 5921 | Passive |
| 2025-06-02T11:54:34.218 | SIM:ESM5 | Buy | 2 | 5921 | Passive |
| 2025-06-02T11:54:30.597 | SIM:ESM5 | Buy | 5 | 5920.75 | Aggressive |
| 2025-06-02T11:54:29.612 | SIM:ESM5 | Buy | 1 | 5920.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3650
Slippage Sweep
0.2350
Arrival Price
5,918.8750
Average Total
5,918.5100
Destination Price
5,919.1250
Sweep to Fill
5,918.7450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:53:56.113 | SIM:ESM5 | Sell | 7 | 5918.5 | Aggressive |
| 2025-06-02T11:53:55.918 | SIM:ESM5 | Sell | 1 | 5918.75 | Passive |
| 2025-06-02T11:53:55.918 | SIM:ESM5 | Sell | 1 | 5918.75 | Passive |
| 2025-06-02T11:53:47.038 | SIM:ESM5 | Sell | 7 | 5918 | Aggressive |
| 2025-06-02T11:53:47.038 | SIM:ESM5 | Sell | 1 | 5918.25 | Aggressive |
| 2025-06-02T11:53:47.038 | SIM:ESM5 | Sell | 1 | 5918.25 | Passive |
| 2025-06-02T11:53:52.962 | SIM:ESM5 | Sell | 3 | 5918 | Aggressive |
| 2025-06-02T11:53:45.019 | SIM:ESM5 | Sell | 1 | 5918.5 | Aggressive |
| 2025-06-02T11:53:59.052 | SIM:ESM5 | Sell | 4 | 5919 | Aggressive |
| 2025-06-02T11:53:59.052 | SIM:ESM5 | Sell | 8 | 5919 | Aggressive |
| 2025-06-02T11:53:43.276 | SIM:ESM5 | Sell | 4 | 5918.25 | Aggressive |
| 2025-06-02T11:53:43.276 | SIM:ESM5 | Sell | 1 | 5918.5 | Aggressive |
| 2025-06-02T11:53:43.276 | SIM:ESM5 | Sell | 1 | 5918.5 | Passive |
| 2025-06-02T11:53:41.984 | SIM:ESM5 | Sell | 6 | 5918.5 | Aggressive |
| 2025-06-02T11:53:39.922 | SIM:ESM5 | Sell | 1 | 5918.5 | Aggressive |
| 2025-06-02T11:53:39.922 | SIM:ESM5 | Sell | 2 | 5918.5 | Aggressive |
| 2025-06-02T11:53:37.929 | SIM:ESM5 | Sell | 1 | 5919 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1950
Slippage Sweep
-0.4400
Arrival Price
5,919.3750
Average Total
5,919.1800
Destination Price
5,918.8750
Sweep to Fill
5,919.6200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:53:37.15 | SIM:ESM5 | Buy | 30 | 5919.25 | Aggressive |
| 2025-06-02T11:53:37.15 | SIM:ESM5 | Buy | 15 | 5919 | Aggressive |
| 2025-06-02T11:53:36.411 | SIM:ESM5 | Buy | 2 | 5919.25 | Aggressive |
| 2025-06-02T11:53:36.411 | SIM:ESM5 | Buy | 2 | 5919.25 | Passive |
| 2025-06-02T11:53:35.152 | SIM:ESM5 | Buy | 1 | 5919.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1600
Slippage Sweep
-0.3800
Arrival Price
5,918.6250
Average Total
5,918.7850
Destination Price
5,919.3750
Sweep to Fill
5,918.4050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:53:04.729 | SIM:ESM5 | Sell | 10 | 5919.25 | Aggressive |
| 2025-06-02T11:53:03.719 | SIM:ESM5 | Sell | 12 | 5918.5 | Aggressive |
| 2025-06-02T11:53:03.719 | SIM:ESM5 | Sell | 27 | 5918.75 | Aggressive |
| 2025-06-02T11:53:02.999 | SIM:ESM5 | Sell | 1 | 5918.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.5150
Slippage Sweep
1.2350
Arrival Price
5,916.3750
Average Total
5,917.8900
Destination Price
5,918.8750
Sweep to Fill
5,916.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:53:00.112 | SIM:ESM5 | Buy | 2 | 5918.5 | Aggressive |
| 2025-06-02T11:52:58.061 | SIM:ESM5 | Buy | 2 | 5918.25 | Aggressive |
| 2025-06-02T11:52:43.863 | SIM:ESM5 | Buy | 2 | 5917 | Aggressive |
| 2025-06-02T11:52:43.863 | SIM:ESM5 | Buy | 2 | 5916.75 | Aggressive |
| 2025-06-02T11:52:43.863 | SIM:ESM5 | Buy | 2 | 5916.75 | Passive |
| 2025-06-02T11:53:02.315 | SIM:ESM5 | Buy | 4 | 5919 | Aggressive |
| 2025-06-02T11:53:01.158 | SIM:ESM5 | Buy | 13 | 5918.75 | Aggressive |
| 2025-06-02T11:52:48.013 | SIM:ESM5 | Buy | 19 | 5917.5 | Aggressive |
| 2025-06-02T11:52:41.245 | SIM:ESM5 | Buy | 3 | 5917 | Aggressive |
| 2025-06-02T11:52:40.076 | SIM:ESM5 | Buy | 1 | 5916.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.2650
Arrival Price
5,915.6250
Average Total
5,915.6000
Destination Price
5,915.8750
Sweep to Fill
5,915.3350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:52:07.712 | SIM:ESM5 | Sell | 1 | 5915.25 | Aggressive |
| 2025-06-02T11:52:07.712 | SIM:ESM5 | Sell | 1 | 5915.5 | Aggressive |
| 2025-06-02T11:52:07.712 | SIM:ESM5 | Sell | 1 | 5915.5 | Passive |
| 2025-06-02T11:52:07.074 | SIM:ESM5 | Sell | 5 | 5915.25 | Aggressive |
| 2025-06-02T11:52:04.293 | SIM:ESM5 | Sell | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:52:09.283 | SIM:ESM5 | Sell | 5 | 5915.75 | Passive |
| 2025-06-02T11:52:09.283 | SIM:ESM5 | Sell | 5 | 5915.75 | Aggressive |
| 2025-06-02T11:52:09.283 | SIM:ESM5 | Sell | 22 | 5915.75 | Aggressive |
| 2025-06-02T11:52:05.454 | SIM:ESM5 | Sell | 1 | 5915.25 | Aggressive |
| 2025-06-02T11:52:05.454 | SIM:ESM5 | Sell | 2 | 5915.5 | Aggressive |
| 2025-06-02T11:52:05.454 | SIM:ESM5 | Sell | 2 | 5915.5 | Passive |
| 2025-06-02T11:52:02.283 | SIM:ESM5 | Sell | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:52:01.208 | SIM:ESM5 | Sell | 1 | 5915.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4700
Slippage Sweep
0.1200
Arrival Price
5,915.1250
Average Total
5,915.5950
Destination Price
5,915.6250
Sweep to Fill
5,915.4750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:51:52.643 | SIM:ESM5 | Buy | 2 | 5915.75 | Aggressive |
| 2025-06-02T11:51:52.643 | SIM:ESM5 | Buy | 2 | 5915.5 | Aggressive |
| 2025-06-02T11:51:41.513 | SIM:ESM5 | Buy | 3 | 5915.5 | Aggressive |
| 2025-06-02T11:51:50.652 | SIM:ESM5 | Buy | 4 | 5915.75 | Aggressive |
| 2025-06-02T11:51:47.546 | SIM:ESM5 | Buy | 15 | 5915.75 | Aggressive |
| 2025-06-02T11:51:39.466 | SIM:ESM5 | Buy | 3 | 5915.5 | Aggressive |
| 2025-06-02T11:52:00.655 | SIM:ESM5 | Buy | 8 | 5915.75 | Aggressive |
| 2025-06-02T11:51:52.643 | SIM:ESM5 | Buy | 2 | 5915.5 | Passive |
| 2025-06-02T11:51:42.497 | SIM:ESM5 | Buy | 6 | 5915.25 | Aggressive |
| 2025-06-02T11:51:37.664 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:51:37.664 | SIM:ESM5 | Buy | 2 | 5915.25 | Passive |
| 2025-06-02T11:51:35.394 | SIM:ESM5 | Buy | 1 | 5915.5 | Aggressive |