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
-0.0900
Slippage Sweep
-0.3450
Arrival Price
5,913.8750
Average Total
5,913.7850
Destination Price
5,913.6250
Sweep to Fill
5,914.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:43:29.72 | SIM:ESM5 | Buy | 10 | 5913.75 | Aggressive |
| 2025-06-02T11:43:28.229 | SIM:ESM5 | Buy | 6 | 5913.75 | Aggressive |
| 2025-06-02T11:43:27.212 | SIM:ESM5 | Buy | 23 | 5913.75 | Aggressive |
| 2025-06-02T11:43:26.416 | SIM:ESM5 | Buy | 2 | 5913.75 | Passive |
| 2025-06-02T11:43:26.416 | SIM:ESM5 | Buy | 1 | 5913.75 | Passive |
| 2025-06-02T11:43:26.416 | SIM:ESM5 | Buy | 1 | 5913.75 | Passive |
| 2025-06-02T11:43:26.222 | SIM:ESM5 | Buy | 3 | 5914 | Aggressive |
| 2025-06-02T11:43:24.148 | SIM:ESM5 | Buy | 3 | 5914 | Aggressive |
| 2025-06-02T11:43:23.247 | SIM:ESM5 | Buy | 1 | 5914 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7000
Slippage Sweep
0.4700
Arrival Price
5,914.6250
Average Total
5,913.9250
Destination Price
5,913.8750
Sweep to Fill
5,914.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:42:51.739 | SIM:ESM5 | Sell | 1 | 5913.75 | Aggressive |
| 2025-06-02T11:42:51.732 | SIM:ESM5 | Sell | 10 | 5913.75 | Aggressive |
| 2025-06-02T11:42:46.419 | SIM:ESM5 | Sell | 8 | 5914 | Aggressive |
| 2025-06-02T11:42:45.429 | SIM:ESM5 | Sell | 2 | 5914 | Aggressive |
| 2025-06-02T11:42:38.388 | SIM:ESM5 | Sell | 2 | 5914 | Aggressive |
| 2025-06-02T11:42:31.386 | SIM:ESM5 | Sell | 4 | 5914 | Aggressive |
| 2025-06-02T11:42:29.37 | SIM:ESM5 | Sell | 2 | 5914 | Aggressive |
| 2025-06-02T11:42:45.683 | SIM:ESM5 | Sell | 8 | 5914 | Aggressive |
| 2025-06-02T11:42:34.332 | SIM:ESM5 | Sell | 1 | 5914 | Aggressive |
| 2025-06-02T11:42:33.067 | SIM:ESM5 | Sell | 2 | 5914 | Aggressive |
| 2025-06-02T11:42:28.326 | SIM:ESM5 | Sell | 2 | 5914 | Aggressive |
| 2025-06-02T11:42:27.813 | SIM:ESM5 | Sell | 1 | 5914 | Aggressive |
| 2025-06-02T11:42:36.485 | SIM:ESM5 | Sell | 6 | 5913.75 | Aggressive |
| 2025-06-02T11:42:26.99 | SIM:ESM5 | Sell | 1 | 5914.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0100
Slippage Sweep
-0.2300
Arrival Price
5,914.8750
Average Total
5,914.8850
Destination Price
5,914.6250
Sweep to Fill
5,915.1150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:42:20.569 | SIM:ESM5 | Buy | 1 | 5915 | Aggressive |
| 2025-06-02T11:42:18.882 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:42:25.846 | SIM:ESM5 | Buy | 3 | 5914.75 | Passive |
| 2025-06-02T11:42:25.846 | SIM:ESM5 | Buy | 2 | 5914.75 | Aggressive |
| 2025-06-02T11:42:25.846 | SIM:ESM5 | Buy | 25 | 5914.75 | Aggressive |
| 2025-06-02T11:42:24.581 | SIM:ESM5 | Buy | 3 | 5915 | Aggressive |
| 2025-06-02T11:42:21.702 | SIM:ESM5 | Buy | 3 | 5915 | Aggressive |
| 2025-06-02T11:42:21.702 | SIM:ESM5 | Buy | 5 | 5915 | Aggressive |
| 2025-06-02T11:42:19.54 | SIM:ESM5 | Buy | 1 | 5915 | Aggressive |
| 2025-06-02T11:42:17.598 | SIM:ESM5 | Buy | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:42:16.548 | SIM:ESM5 | Buy | 1 | 5915.25 | Aggressive |
| 2025-06-02T11:42:15.518 | SIM:ESM5 | Buy | 1 | 5915.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3950
Arrival Price
5,914.3750
Average Total
5,914.4950
Destination Price
5,914.6250
Sweep to Fill
5,914.1000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:41:44.684 | SIM:ESM5 | Sell | 21 | 5914.5 | Aggressive |
| 2025-06-02T11:41:43.655 | SIM:ESM5 | Sell | 3 | 5914.5 | Passive |
| 2025-06-02T11:41:43.654 | SIM:ESM5 | Sell | 25 | 5914.5 | Aggressive |
| 2025-06-02T11:41:42.628 | SIM:ESM5 | Sell | 1 | 5914.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.3400
Arrival Price
5,914.6250
Average Total
5,914.5800
Destination Price
5,914.3750
Sweep to Fill
5,914.9200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:41:39.194 | SIM:ESM5 | Buy | 1 | 5914.5 | Aggressive |
| 2025-06-02T11:41:42.146 | SIM:ESM5 | Buy | 14 | 5914.5 | Aggressive |
| 2025-06-02T11:41:41.116 | SIM:ESM5 | Buy | 5 | 5914.75 | Aggressive |
| 2025-06-02T11:41:41.116 | SIM:ESM5 | Buy | 19 | 5914.5 | Aggressive |
| 2025-06-02T11:41:40.013 | SIM:ESM5 | Buy | 1 | 5914.75 | Aggressive |
| 2025-06-02T11:41:40.013 | SIM:ESM5 | Buy | 4 | 5914.75 | Aggressive |
| 2025-06-02T11:41:38.018 | SIM:ESM5 | Buy | 1 | 5914.75 | Aggressive |
| 2025-06-02T11:41:37.279 | SIM:ESM5 | Buy | 4 | 5914.75 | Aggressive |
| 2025-06-02T11:41:35.972 | SIM:ESM5 | Buy | 1 | 5914.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
2.2500
Slippage Sweep
2.0000
Arrival Price
5,916.1250
Average Total
5,913.8750
Destination Price
5,913.3750
Sweep to Fill
5,915.8750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:40:55.445 | SIM:ESM5 | Sell | 3 | 5913.5 | Aggressive |
| 2025-06-02T11:40:53.412 | SIM:ESM5 | Sell | 2 | 5913.5 | Aggressive |
| 2025-06-02T11:41:04.85 | SIM:ESM5 | Sell | 1 | 5913.5 | Passive |
| 2025-06-02T11:41:04.849 | SIM:ESM5 | Sell | 1 | 5913.5 | Passive |
| 2025-06-02T11:41:00.638 | SIM:ESM5 | Sell | 9 | 5913.5 | Aggressive |
| 2025-06-02T11:40:51.339 | SIM:ESM5 | Sell | 4 | 5913.5 | Aggressive |
| 2025-06-02T11:40:50.335 | SIM:ESM5 | Sell | 4 | 5913.75 | Aggressive |
| 2025-06-02T11:40:50.335 | SIM:ESM5 | Sell | 1 | 5914 | Aggressive |
| 2025-06-02T11:40:43.249 | SIM:ESM5 | Sell | 14 | 5913.75 | Aggressive |
| 2025-06-02T11:40:58.442 | SIM:ESM5 | Sell | 1 | 5913.75 | Aggressive |
| 2025-06-02T11:40:58.442 | SIM:ESM5 | Sell | 1 | 5913.75 | Passive |
| 2025-06-02T11:40:50.335 | SIM:ESM5 | Sell | 1 | 5914 | Passive |
| 2025-06-02T11:40:47.312 | SIM:ESM5 | Sell | 1 | 5913.5 | Aggressive |
| 2025-06-02T11:40:40.187 | SIM:ESM5 | Sell | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:40:39.249 | SIM:ESM5 | Sell | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:40:37.151 | SIM:ESM5 | Sell | 1 | 5915.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2300
Slippage Sweep
-0.5050
Arrival Price
5,916.6250
Average Total
5,916.3950
Destination Price
5,916.1250
Sweep to Fill
5,916.9000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:40:36.595 | SIM:ESM5 | Buy | 17 | 5916.25 | Aggressive |
| 2025-06-02T11:40:35.886 | SIM:ESM5 | Buy | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:40:35.886 | SIM:ESM5 | Buy | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:40:35.886 | SIM:ESM5 | Buy | 2 | 5916.25 | Passive |
| 2025-06-02T11:40:35.575 | SIM:ESM5 | Buy | 23 | 5916.5 | Aggressive |
| 2025-06-02T11:40:34.565 | SIM:ESM5 | Buy | 1 | 5916.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3550
Arrival Price
5,916.1250
Average Total
5,916.2500
Destination Price
5,916.6250
Sweep to Fill
5,915.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:40:04.013 | SIM:ESM5 | Sell | 23 | 5916.5 | Aggressive |
| 2025-06-02T11:40:03.048 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:39:57.979 | SIM:ESM5 | Sell | 2 | 5916 | Aggressive |
| 2025-06-02T11:39:56.975 | SIM:ESM5 | Sell | 1 | 5915.75 | Aggressive |
| 2025-06-02T11:39:55.015 | SIM:ESM5 | Sell | 3 | 5915.5 | Aggressive |
| 2025-06-02T11:40:04.013 | SIM:ESM5 | Sell | 6 | 5916.5 | Aggressive |
| 2025-06-02T11:39:58.986 | SIM:ESM5 | Sell | 11 | 5916 | Aggressive |
| 2025-06-02T11:39:54.029 | SIM:ESM5 | Sell | 1 | 5915.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0550
Slippage Sweep
-0.4050
Arrival Price
5,916.3750
Average Total
5,916.3200
Destination Price
5,916.1250
Sweep to Fill
5,916.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:39:50.225 | SIM:ESM5 | Buy | 2 | 5916.5 | Aggressive |
| 2025-06-02T11:39:52.251 | SIM:ESM5 | Buy | 12 | 5916.25 | Aggressive |
| 2025-06-02T11:39:51.328 | SIM:ESM5 | Buy | 2 | 5916.5 | Aggressive |
| 2025-06-02T11:39:49.269 | SIM:ESM5 | Buy | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:39:49.269 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:39:49.269 | SIM:ESM5 | Buy | 1 | 5916.5 | Passive |
| 2025-06-02T11:39:53.334 | SIM:ESM5 | Buy | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:39:53.334 | SIM:ESM5 | Buy | 25 | 5916.25 | Aggressive |
| 2025-06-02T11:39:48.227 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3650
Arrival Price
5,916.3750
Average Total
5,916.4950
Destination Price
5,916.8750
Sweep to Fill
5,916.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:39:17.418 | SIM:ESM5 | Sell | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:39:10.333 | SIM:ESM5 | Sell | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:39:10.333 | SIM:ESM5 | Sell | 28 | 5916.5 | Aggressive |
| 2025-06-02T11:39:09.578 | SIM:ESM5 | Sell | 16 | 5916.5 | Aggressive |
| 2025-06-02T11:39:08.534 | SIM:ESM5 | Sell | 1 | 5916.5 | Passive |
| 2025-06-02T11:39:08.534 | SIM:ESM5 | Sell | 1 | 5916.5 | Passive |
| 2025-06-02T11:39:08.533 | SIM:ESM5 | Sell | 1 | 5916.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5250
Slippage Sweep
0.2050
Arrival Price
5,916.6250
Average Total
5,917.1500
Destination Price
5,916.3750
Sweep to Fill
5,916.9450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:39:03.595 | SIM:ESM5 | Buy | 2 | 5917.25 | Aggressive |
| 2025-06-02T11:39:03.595 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
| 2025-06-02T11:39:03.595 | SIM:ESM5 | Buy | 1 | 5917 | Passive |
| 2025-06-02T11:38:59.914 | SIM:ESM5 | Buy | 9 | 5917.5 | Aggressive |
| 2025-06-02T11:38:52.249 | SIM:ESM5 | Buy | 5 | 5917 | Passive |
| 2025-06-02T11:39:00.948 | SIM:ESM5 | Buy | 1 | 5917.25 | Passive |
| 2025-06-02T11:39:00.948 | SIM:ESM5 | Buy | 3 | 5917.25 | Passive |
| 2025-06-02T11:39:00.948 | SIM:ESM5 | Buy | 1 | 5917.25 | Passive |
| 2025-06-02T11:39:00.948 | SIM:ESM5 | Buy | 1 | 5917.25 | Passive |
| 2025-06-02T11:38:50.889 | SIM:ESM5 | Buy | 7 | 5917 | Aggressive |
| 2025-06-02T11:38:49.864 | SIM:ESM5 | Buy | 2 | 5917 | Aggressive |
| 2025-06-02T11:39:06.048 | SIM:ESM5 | Buy | 4 | 5916.5 | Aggressive |
| 2025-06-02T11:38:58.907 | SIM:ESM5 | Buy | 3 | 5917.5 | Aggressive |
| 2025-06-02T11:38:57.963 | SIM:ESM5 | Buy | 2 | 5917.25 | Aggressive |
| 2025-06-02T11:38:56.878 | SIM:ESM5 | Buy | 4 | 5917.25 | Aggressive |
| 2025-06-02T11:38:48.9 | SIM:ESM5 | Buy | 3 | 5917 | Aggressive |
| 2025-06-02T11:38:47.803 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1800
Slippage Sweep
-0.3900
Arrival Price
5,915.6250
Average Total
5,915.8050
Destination Price
5,916.1250
Sweep to Fill
5,915.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:38:16.18 | SIM:ESM5 | Sell | 20 | 5915.75 | Aggressive |
| 2025-06-02T11:38:16.18 | SIM:ESM5 | Sell | 20 | 5916 | Aggressive |
| 2025-06-02T11:38:14.821 | SIM:ESM5 | Sell | 3 | 5915.5 | Aggressive |
| 2025-06-02T11:38:13.375 | SIM:ESM5 | Sell | 6 | 5915.5 | Aggressive |
| 2025-06-02T11:38:12.447 | SIM:ESM5 | Sell | 1 | 5915.75 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1100
Slippage Sweep
-0.0950
Arrival Price
5,915.1250
Average Total
5,915.2350
Destination Price
5,915.6250
Sweep to Fill
5,915.3300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:38:11.812 | SIM:ESM5 | Buy | 9 | 5915.75 | Aggressive |
| 2025-06-02T11:38:00.522 | SIM:ESM5 | Buy | 7 | 5915.25 | Aggressive |
| 2025-06-02T11:38:00.522 | SIM:ESM5 | Buy | 21 | 5915 | Aggressive |
| 2025-06-02T11:37:59.168 | SIM:ESM5 | Buy | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:37:58.112 | SIM:ESM5 | Buy | 9 | 5915.25 | Aggressive |
| 2025-06-02T11:37:56.617 | SIM:ESM5 | Buy | 1 | 5915.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3750
Arrival Price
5,914.8750
Average Total
5,915.0000
Destination Price
5,915.1250
Sweep to Fill
5,914.6250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:37:24.223 | SIM:ESM5 | Sell | 26 | 5915 | Aggressive |
| 2025-06-02T11:37:25.194 | SIM:ESM5 | Sell | 5 | 5915 | Aggressive |
| 2025-06-02T11:37:25.194 | SIM:ESM5 | Sell | 5 | 5915 | Aggressive |
| 2025-06-02T11:37:24.223 | SIM:ESM5 | Sell | 2 | 5915 | Passive |
| 2025-06-02T11:37:24.223 | SIM:ESM5 | Sell | 11 | 5915 | Aggressive |
| 2025-06-02T11:37:23.18 | SIM:ESM5 | Sell | 1 | 5915 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7200
Slippage Sweep
0.4500
Arrival Price
5,913.6250
Average Total
5,914.3450
Destination Price
5,914.8750
Sweep to Fill
5,913.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:37:09.589 | SIM:ESM5 | Buy | 4 | 5914.5 | Aggressive |
| 2025-06-02T11:37:22.79 | SIM:ESM5 | Buy | 9 | 5915 | Aggressive |
| 2025-06-02T11:37:21.744 | SIM:ESM5 | Buy | 2 | 5915 | Aggressive |
| 2025-06-02T11:37:13.818 | SIM:ESM5 | Buy | 7 | 5914.5 | Aggressive |
| 2025-06-02T11:37:02.53 | SIM:ESM5 | Buy | 3 | 5913.75 | Aggressive |
| 2025-06-02T11:37:16.725 | SIM:ESM5 | Buy | 10 | 5914.5 | Aggressive |
| 2025-06-02T11:37:04.708 | SIM:ESM5 | Buy | 3 | 5913.75 | Aggressive |
| 2025-06-02T11:37:03.581 | SIM:ESM5 | Buy | 2 | 5913.75 | Aggressive |
| 2025-06-02T11:37:03.581 | SIM:ESM5 | Buy | 8 | 5913.75 | Aggressive |
| 2025-06-02T11:37:01.525 | SIM:ESM5 | Buy | 1 | 5914 | Aggressive |
| 2025-06-02T11:37:00.512 | SIM:ESM5 | Buy | 1 | 5913.75 | Aggressive |