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
1.0850
Slippage Sweep
0.8550
Arrival Price
5,915.8750
Average Total
5,914.7900
Destination Price
5,912.6250
Sweep to Fill
5,915.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:36:29.926 | SIM:ESM5 | Sell | 1 | 5912.5 | Aggressive |
| 2025-06-02T11:36:27.906 | SIM:ESM5 | Sell | 9 | 5913 | Aggressive |
| 2025-06-02T11:36:21.849 | SIM:ESM5 | Sell | 8 | 5914.5 | Aggressive |
| 2025-06-02T11:36:19.858 | SIM:ESM5 | Sell | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:36:15.847 | SIM:ESM5 | Sell | 2 | 5915.5 | Aggressive |
| 2025-06-02T11:36:10.814 | SIM:ESM5 | Sell | 1 | 5916 | Passive |
| 2025-06-02T11:36:20.852 | SIM:ESM5 | Sell | 7 | 5915.25 | Aggressive |
| 2025-06-02T11:36:10.814 | SIM:ESM5 | Sell | 6 | 5915.75 | Aggressive |
| 2025-06-02T11:36:10.814 | SIM:ESM5 | Sell | 1 | 5916 | Aggressive |
| 2025-06-02T11:36:08.763 | SIM:ESM5 | Sell | 5 | 5915.75 | Aggressive |
| 2025-06-02T11:36:08.763 | SIM:ESM5 | Sell | 3 | 5915.75 | Aggressive |
| 2025-06-02T11:36:07.812 | SIM:ESM5 | Sell | 1 | 5915.5 | Aggressive |
| 2025-06-02T11:36:06.737 | SIM:ESM5 | Sell | 1 | 5915.25 | Aggressive |
| 2025-06-02T11:36:23.863 | SIM:ESM5 | Sell | 2 | 5913.5 | Aggressive |
| 2025-06-02T11:36:05.733 | SIM:ESM5 | Sell | 1 | 5915.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3450
Slippage Sweep
-0.5400
Arrival Price
5,916.8750
Average Total
5,916.5300
Destination Price
5,915.8750
Sweep to Fill
5,917.0700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:36:05.227 | SIM:ESM5 | Buy | 1 | 5916 | Aggressive |
| 2025-06-02T11:36:05.227 | SIM:ESM5 | Buy | 11 | 5916 | Aggressive |
| 2025-06-02T11:36:04.214 | SIM:ESM5 | Buy | 26 | 5916.75 | Aggressive |
| 2025-06-02T11:36:04.214 | SIM:ESM5 | Buy | 10 | 5916.5 | Aggressive |
| 2025-06-02T11:36:03.276 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
| 2025-06-02T11:36:02.212 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0300
Slippage Sweep
-0.3050
Arrival Price
5,916.6250
Average Total
5,916.6550
Destination Price
5,917.1250
Sweep to Fill
5,916.3500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:35:31.913 | SIM:ESM5 | Sell | 1 | 5917.25 | Passive |
| 2025-06-02T11:35:28.066 | SIM:ESM5 | Sell | 6 | 5916.5 | Aggressive |
| 2025-06-02T11:35:28.066 | SIM:ESM5 | Sell | 24 | 5916.75 | Aggressive |
| 2025-06-02T11:35:25.975 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:35:25.012 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:35:23.978 | SIM:ESM5 | Sell | 3 | 5916.5 | Aggressive |
| 2025-06-02T11:35:22.935 | SIM:ESM5 | Sell | 2 | 5916.5 | Aggressive |
| 2025-06-02T11:35:22.119 | SIM:ESM5 | Sell | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:35:22.119 | SIM:ESM5 | Sell | 2 | 5916.75 | Passive |
| 2025-06-02T11:35:22.119 | SIM:ESM5 | Sell | 1 | 5916.75 | Passive |
| 2025-06-02T11:35:22.118 | SIM:ESM5 | Sell | 1 | 5916.75 | Passive |
| 2025-06-02T11:35:27.168 | SIM:ESM5 | Sell | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:35:27.168 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:35:21.078 | SIM:ESM5 | Sell | 1 | 5916.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2750
Slippage Sweep
0.0450
Arrival Price
5,915.3750
Average Total
5,915.6500
Destination Price
5,916.6250
Sweep to Fill
5,915.6050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:35:20.425 | SIM:ESM5 | Buy | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:35:12.353 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:35:12.353 | SIM:ESM5 | Buy | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:35:07.469 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:34:45.115 | SIM:ESM5 | Buy | 14 | 5915.5 | Aggressive |
| 2025-06-02T11:34:45.115 | SIM:ESM5 | Buy | 22 | 5915.25 | Aggressive |
| 2025-06-02T11:34:44.073 | SIM:ESM5 | Buy | 1 | 5915.5 | Aggressive |
| 2025-06-02T11:35:06.258 | SIM:ESM5 | Buy | 4 | 5916.75 | Aggressive |
| 2025-06-02T11:34:43.048 | SIM:ESM5 | Buy | 1 | 5915.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.3500
Arrival Price
5,914.3750
Average Total
5,914.4950
Destination Price
5,914.6250
Sweep to Fill
5,914.1450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:34:12.713 | SIM:ESM5 | Sell | 2 | 5914.5 | Aggressive |
| 2025-06-02T11:34:11.712 | SIM:ESM5 | Sell | 28 | 5914.5 | Aggressive |
| 2025-06-02T11:34:10.639 | SIM:ESM5 | Sell | 6 | 5914.5 | Aggressive |
| 2025-06-02T11:34:11.712 | SIM:ESM5 | Sell | 8 | 5914.5 | Passive |
| 2025-06-02T11:34:09.636 | SIM:ESM5 | Sell | 5 | 5914.5 | Aggressive |
| 2025-06-02T11:34:08.621 | 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
-0.4100
Slippage Sweep
-0.6050
Arrival Price
5,915.1250
Average Total
5,914.7150
Destination Price
5,914.3750
Sweep to Fill
5,915.3200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:34:08.184 | SIM:ESM5 | Buy | 32 | 5914.5 | Aggressive |
| 2025-06-02T11:34:07.383 | SIM:ESM5 | Buy | 9 | 5915 | Aggressive |
| 2025-06-02T11:34:07.193 | SIM:ESM5 | Buy | 2 | 5915 | Aggressive |
| 2025-06-02T11:34:06.317 | SIM:ESM5 | Buy | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:34:05.252 | SIM:ESM5 | Buy | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:34:04.15 | 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
0.0950
Slippage Sweep
-0.0300
Arrival Price
5,915.3750
Average Total
5,915.2800
Destination Price
5,915.6250
Sweep to Fill
5,915.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:33:26.44 | SIM:ESM5 | Sell | 9 | 5915.25 | Aggressive |
| 2025-06-02T11:33:25.515 | SIM:ESM5 | Sell | 1 | 5915 | Aggressive |
| 2025-06-02T11:33:22.412 | SIM:ESM5 | Sell | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:33:33.841 | SIM:ESM5 | Sell | 15 | 5915.25 | Aggressive |
| 2025-06-02T11:33:33.841 | SIM:ESM5 | Sell | 4 | 5915.5 | Aggressive |
| 2025-06-02T11:33:31.681 | SIM:ESM5 | Sell | 9 | 5915.25 | Aggressive |
| 2025-06-02T11:33:29.483 | SIM:ESM5 | Sell | 2 | 5914.75 | Aggressive |
| 2025-06-02T11:33:20.646 | SIM:ESM5 | Sell | 3 | 5915.5 | Passive |
| 2025-06-02T11:33:20.646 | SIM:ESM5 | Sell | 2 | 5915.5 | Passive |
| 2025-06-02T11:33:20.646 | SIM:ESM5 | Sell | 2 | 5915.5 | Passive |
| 2025-06-02T11:33:18.613 | 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
-0.0300
Slippage Sweep
-0.2450
Arrival Price
5,915.6250
Average Total
5,915.5950
Destination Price
5,915.3750
Sweep to Fill
5,915.8400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:33:15.719 | SIM:ESM5 | Buy | 6 | 5915.75 | Aggressive |
| 2025-06-02T11:33:17.83 | SIM:ESM5 | Buy | 6 | 5915.5 | Aggressive |
| 2025-06-02T11:33:17.83 | SIM:ESM5 | Buy | 7 | 5915.5 | Aggressive |
| 2025-06-02T11:33:16.714 | SIM:ESM5 | Buy | 11 | 5915.75 | Aggressive |
| 2025-06-02T11:33:16.714 | SIM:ESM5 | Buy | 18 | 5915.5 | Aggressive |
| 2025-06-02T11:33:14.696 | SIM:ESM5 | Buy | 1 | 5915.75 | Aggressive |
| 2025-06-02T11:33:13.722 | SIM:ESM5 | Buy | 1 | 5915.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1050
Slippage Sweep
-0.2300
Arrival Price
5,915.1250
Average Total
5,915.2300
Destination Price
5,915.3750
Sweep to Fill
5,915.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:32:42.303 | SIM:ESM5 | Sell | 6 | 5915.25 | Passive |
| 2025-06-02T11:32:41.119 | SIM:ESM5 | Sell | 4 | 5915 | Aggressive |
| 2025-06-02T11:32:43.079 | SIM:ESM5 | Sell | 8 | 5915.25 | Aggressive |
| 2025-06-02T11:32:43.079 | SIM:ESM5 | Sell | 1 | 5915.5 | Aggressive |
| 2025-06-02T11:32:42.303 | SIM:ESM5 | Sell | 30 | 5915.25 | Aggressive |
| 2025-06-02T11:32:40.046 | SIM:ESM5 | Sell | 1 | 5915 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.4400
Arrival Price
5,915.3750
Average Total
5,915.2500
Destination Price
5,915.1250
Sweep to Fill
5,915.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:32:38.536 | SIM:ESM5 | Buy | 6 | 5915.25 | Aggressive |
| 2025-06-02T11:32:39.656 | SIM:ESM5 | Buy | 24 | 5915.25 | Aggressive |
| 2025-06-02T11:32:38.536 | SIM:ESM5 | Buy | 19 | 5915.25 | Aggressive |
| 2025-06-02T11:32:38.288 | SIM:ESM5 | Buy | 1 | 5915.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5850
Slippage Sweep
-0.8450
Arrival Price
5,914.1250
Average Total
5,914.7100
Destination Price
5,914.8750
Sweep to Fill
5,913.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:32:07.013 | SIM:ESM5 | Sell | 13 | 5914.75 | Aggressive |
| 2025-06-02T11:32:07.013 | SIM:ESM5 | Sell | 12 | 5914.75 | Aggressive |
| 2025-06-02T11:32:06.012 | SIM:ESM5 | Sell | 5 | 5914.5 | Aggressive |
| 2025-06-02T11:32:06.012 | SIM:ESM5 | Sell | 19 | 5914.75 | Aggressive |
| 2025-06-02T11:32:05.516 | SIM:ESM5 | Sell | 1 | 5914 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2800
Arrival Price
5,914.3750
Average Total
5,914.2750
Destination Price
5,914.1250
Sweep to Fill
5,914.5550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:32:04.523 | SIM:ESM5 | Buy | 6 | 5914.25 | Aggressive |
| 2025-06-02T11:32:02.421 | SIM:ESM5 | Buy | 8 | 5914.25 | Passive |
| 2025-06-02T11:32:02.421 | SIM:ESM5 | Buy | 31 | 5914.25 | Aggressive |
| 2025-06-02T11:32:01.429 | SIM:ESM5 | Buy | 4 | 5914.5 | Aggressive |
| 2025-06-02T11:32:00.412 | SIM:ESM5 | Buy | 1 | 5914.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0950
Slippage Sweep
-0.3750
Arrival Price
5,914.3750
Average Total
5,914.4700
Destination Price
5,914.6250
Sweep to Fill
5,914.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:31:29.945 | SIM:ESM5 | Sell | 8 | 5914.5 | Passive |
| 2025-06-02T11:31:29.945 | SIM:ESM5 | Sell | 36 | 5914.5 | Aggressive |
| 2025-06-02T11:31:28.822 | SIM:ESM5 | Sell | 2 | 5914.25 | Aggressive |
| 2025-06-02T11:31:28.822 | SIM:ESM5 | Sell | 1 | 5914.5 | Aggressive |
| 2025-06-02T11:31:28.822 | SIM:ESM5 | Sell | 1 | 5914.5 | Passive |
| 2025-06-02T11:31:27.82 | SIM:ESM5 | Sell | 2 | 5914 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1200
Slippage Sweep
-0.4550
Arrival Price
5,914.8750
Average Total
5,914.7550
Destination Price
5,914.3750
Sweep to Fill
5,915.2100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:31:26.212 | SIM:ESM5 | Buy | 12 | 5914.75 | Aggressive |
| 2025-06-02T11:31:26.212 | SIM:ESM5 | Buy | 19 | 5914.75 | Aggressive |
| 2025-06-02T11:31:27.212 | SIM:ESM5 | Buy | 9 | 5914.5 | Aggressive |
| 2025-06-02T11:31:25.313 | SIM:ESM5 | Buy | 3 | 5915 | Aggressive |
| 2025-06-02T11:31:25.313 | SIM:ESM5 | Buy | 1 | 5914.75 | Aggressive |
| 2025-06-02T11:31:25.313 | SIM:ESM5 | Buy | 1 | 5914.75 | Passive |
| 2025-06-02T11:31:24.212 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:31:24.212 | SIM:ESM5 | Buy | 1 | 5915 | Aggressive |
| 2025-06-02T11:31:24.212 | SIM:ESM5 | Buy | 1 | 5915 | Passive |
| 2025-06-02T11:31:23.146 | SIM:ESM5 | Buy | 1 | 5915 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6500
Slippage Sweep
0.4050
Arrival Price
5,916.6250
Average Total
5,915.9750
Destination Price
5,915.6250
Sweep to Fill
5,916.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:30:52.601 | SIM:ESM5 | Sell | 5 | 5915.5 | Aggressive |
| 2025-06-02T11:30:51.642 | SIM:ESM5 | Sell | 22 | 5915.75 | Aggressive |
| 2025-06-02T11:30:46.361 | SIM:ESM5 | Sell | 8 | 5916 | Aggressive |
| 2025-06-02T11:30:44.334 | SIM:ESM5 | Sell | 2 | 5916.75 | Aggressive |
| 2025-06-02T11:30:43.932 | SIM:ESM5 | Sell | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:30:42.312 | SIM:ESM5 | Sell | 1 | 5916.25 | Aggressive |
| 2025-06-02T11:30:41.775 | SIM:ESM5 | Sell | 4 | 5916.25 | Aggressive |
| 2025-06-02T11:30:41.775 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:30:41.774 | SIM:ESM5 | Sell | 1 | 5916.5 | Passive |
| 2025-06-02T11:30:40.335 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |