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
1.0350
Slippage Sweep
0.7650
Arrival Price
5,914.3750
Average Total
5,915.4100
Destination Price
5,915.8750
Sweep to Fill
5,914.6450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:30:21.552 | SIM:ESM5 | Buy | 1 | 5914.5 | Passive |
| 2025-06-02T11:30:28.946 | SIM:ESM5 | Buy | 21 | 5915.5 | Aggressive |
| 2025-06-02T11:30:28.946 | SIM:ESM5 | Buy | 2 | 5915.5 | Aggressive |
| 2025-06-02T11:30:21.946 | SIM:ESM5 | Buy | 2 | 5914.75 | Aggressive |
| 2025-06-02T11:30:18.912 | SIM:ESM5 | Buy | 2 | 5914.5 | Aggressive |
| 2025-06-02T11:30:38.356 | SIM:ESM5 | Buy | 10 | 5916 | Aggressive |
| 2025-06-02T11:30:26.986 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:30:24.912 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:30:22.918 | SIM:ESM5 | Buy | 3 | 5915.5 | Aggressive |
| 2025-06-02T11:30:20.312 | SIM:ESM5 | Buy | 4 | 5914.75 | Aggressive |
| 2025-06-02T11:30:17.825 | 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
0.0000
Slippage Sweep
-0.2650
Arrival Price
5,914.1250
Average Total
5,914.1250
Destination Price
5,914.3750
Sweep to Fill
5,913.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:29:43.049 | SIM:ESM5 | Sell | 13 | 5914 | Aggressive |
| 2025-06-02T11:29:47.12 | SIM:ESM5 | Sell | 9 | 5914.25 | Aggressive |
| 2025-06-02T11:29:39.702 | SIM:ESM5 | Sell | 2 | 5913.75 | Aggressive |
| 2025-06-02T11:29:47.12 | SIM:ESM5 | Sell | 11 | 5914.25 | Aggressive |
| 2025-06-02T11:29:46.112 | SIM:ESM5 | Sell | 7 | 5914.25 | Aggressive |
| 2025-06-02T11:29:46.112 | SIM:ESM5 | Sell | 1 | 5914.5 | Aggressive |
| 2025-06-02T11:29:46.112 | SIM:ESM5 | Sell | 1 | 5914.5 | Passive |
| 2025-06-02T11:29:42.192 | SIM:ESM5 | Sell | 1 | 5914 | Passive |
| 2025-06-02T11:29:36.962 | SIM:ESM5 | Sell | 4 | 5913.75 | Aggressive |
| 2025-06-02T11:29:36.041 | SIM:ESM5 | Sell | 1 | 5914 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3500
Arrival Price
5,914.3750
Average Total
5,914.2500
Destination Price
5,914.1250
Sweep to Fill
5,914.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:29:35.392 | SIM:ESM5 | Buy | 11 | 5914.25 | Aggressive |
| 2025-06-02T11:29:35.392 | SIM:ESM5 | Buy | 2 | 5914.25 | Aggressive |
| 2025-06-02T11:29:30.491 | SIM:ESM5 | Buy | 14 | 5914.25 | Aggressive |
| 2025-06-02T11:29:28.349 | SIM:ESM5 | Buy | 20 | 5914.25 | Aggressive |
| 2025-06-02T11:29:27.32 | SIM:ESM5 | Buy | 3 | 5914.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0400
Slippage Sweep
-0.2950
Arrival Price
5,913.6250
Average Total
5,913.6650
Destination Price
5,913.8750
Sweep to Fill
5,913.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:28:55.612 | SIM:ESM5 | Sell | 2 | 5913.75 | Aggressive |
| 2025-06-02T11:28:54.247 | SIM:ESM5 | Sell | 12 | 5913.75 | Aggressive |
| 2025-06-02T11:28:53.572 | SIM:ESM5 | Sell | 5 | 5913.75 | Aggressive |
| 2025-06-02T11:28:52.711 | SIM:ESM5 | Sell | 2 | 5913.75 | Passive |
| 2025-06-02T11:28:52.711 | SIM:ESM5 | Sell | 1 | 5913.75 | Passive |
| 2025-06-02T11:28:52.711 | SIM:ESM5 | Sell | 1 | 5913.75 | Passive |
| 2025-06-02T11:28:51.536 | SIM:ESM5 | Sell | 4 | 5913.75 | Aggressive |
| 2025-06-02T11:28:50.523 | SIM:ESM5 | Sell | 7 | 5913.5 | Aggressive |
| 2025-06-02T11:28:49.545 | SIM:ESM5 | Sell | 4 | 5913.5 | Aggressive |
| 2025-06-02T11:28:56.94 | SIM:ESM5 | Sell | 6 | 5913.75 | Aggressive |
| 2025-06-02T11:28:56.94 | SIM:ESM5 | Sell | 1 | 5914 | Aggressive |
| 2025-06-02T11:28:56.94 | SIM:ESM5 | Sell | 1 | 5914 | Passive |
| 2025-06-02T11:28:48.813 | SIM:ESM5 | Sell | 3 | 5913.25 | Aggressive |
| 2025-06-02T11:28:48.113 | SIM:ESM5 | Sell | 1 | 5913.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1150
Slippage Sweep
-0.3300
Arrival Price
5,913.8750
Average Total
5,913.7600
Destination Price
5,913.6250
Sweep to Fill
5,914.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:28:46.851 | SIM:ESM5 | Buy | 3 | 5913.75 | Aggressive |
| 2025-06-02T11:28:45.817 | SIM:ESM5 | Buy | 14 | 5913.75 | Aggressive |
| 2025-06-02T11:28:45.817 | SIM:ESM5 | Buy | 31 | 5913.75 | Aggressive |
| 2025-06-02T11:28:44.837 | SIM:ESM5 | Buy | 1 | 5914 | Aggressive |
| 2025-06-02T11:28:43.801 | SIM:ESM5 | Buy | 1 | 5914 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1150
Slippage Sweep
-0.2650
Arrival Price
5,911.1250
Average Total
5,911.2400
Destination Price
5,911.6250
Sweep to Fill
5,910.9750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:28:10.386 | SIM:ESM5 | Sell | 5 | 5911.25 | Aggressive |
| 2025-06-02T11:28:13.361 | SIM:ESM5 | Sell | 1 | 5911.5 | Aggressive |
| 2025-06-02T11:28:11.412 | SIM:ESM5 | Sell | 10 | 5911.25 | Passive |
| 2025-06-02T11:28:11.412 | SIM:ESM5 | Sell | 3 | 5911 | Aggressive |
| 2025-06-02T11:28:11.412 | SIM:ESM5 | Sell | 30 | 5911.25 | Aggressive |
| 2025-06-02T11:28:09.443 | SIM:ESM5 | Sell | 1 | 5911.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6850
Slippage Sweep
0.4700
Arrival Price
5,910.3750
Average Total
5,911.0600
Destination Price
5,911.3750
Sweep to Fill
5,910.5900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:28:05.012 | SIM:ESM5 | Buy | 18 | 5911 | Aggressive |
| 2025-06-02T11:28:02.966 | SIM:ESM5 | Buy | 5 | 5911.25 | Aggressive |
| 2025-06-02T11:27:58.945 | SIM:ESM5 | Buy | 2 | 5912 | Aggressive |
| 2025-06-02T11:27:51.853 | SIM:ESM5 | Buy | 2 | 5910.75 | Aggressive |
| 2025-06-02T11:27:50.9 | SIM:ESM5 | Buy | 1 | 5910.75 | Aggressive |
| 2025-06-02T11:27:54.881 | SIM:ESM5 | Buy | 12 | 5911.25 | Aggressive |
| 2025-06-02T11:27:49.334 | SIM:ESM5 | Buy | 3 | 5910.5 | Passive |
| 2025-06-02T11:28:09.08 | SIM:ESM5 | Buy | 1 | 5911.25 | Aggressive |
| 2025-06-02T11:28:09.08 | SIM:ESM5 | Buy | 1 | 5911.25 | Passive |
| 2025-06-02T11:27:53.926 | SIM:ESM5 | Buy | 4 | 5910.75 | Aggressive |
| 2025-06-02T11:27:47.831 | SIM:ESM5 | Buy | 1 | 5910.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2250
Slippage Sweep
-0.0200
Arrival Price
5,911.1250
Average Total
5,910.9000
Destination Price
5,911.1250
Sweep to Fill
5,910.8800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:27:16.254 | SIM:ESM5 | Sell | 5 | 5911 | Aggressive |
| 2025-06-02T11:27:15.212 | SIM:ESM5 | Sell | 6 | 5910.75 | Aggressive |
| 2025-06-02T11:27:07.145 | SIM:ESM5 | Sell | 6 | 5910.75 | Aggressive |
| 2025-06-02T11:27:17.271 | SIM:ESM5 | Sell | 12 | 5911 | Aggressive |
| 2025-06-02T11:27:08.238 | SIM:ESM5 | Sell | 1 | 5910.75 | Aggressive |
| 2025-06-02T11:27:08.238 | SIM:ESM5 | Sell | 3 | 5910.75 | Passive |
| 2025-06-02T11:27:08.238 | SIM:ESM5 | Sell | 3 | 5910.75 | Passive |
| 2025-06-02T11:27:08.238 | SIM:ESM5 | Sell | 3 | 5910.75 | Passive |
| 2025-06-02T11:27:02.113 | SIM:ESM5 | Sell | 3 | 5911 | Aggressive |
| 2025-06-02T11:27:02.113 | SIM:ESM5 | Sell | 1 | 5911.25 | Aggressive |
| 2025-06-02T11:27:02.113 | SIM:ESM5 | Sell | 1 | 5911.25 | Passive |
| 2025-06-02T11:27:05.091 | SIM:ESM5 | Sell | 5 | 5911 | Aggressive |
| 2025-06-02T11:27:01.112 | SIM:ESM5 | Sell | 1 | 5911 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5500
Slippage Sweep
-0.8100
Arrival Price
5,912.1250
Average Total
5,911.5750
Destination Price
5,911.1250
Sweep to Fill
5,912.3850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:27:00.246 | SIM:ESM5 | Buy | 1 | 5911.5 | Aggressive |
| 2025-06-02T11:27:00.245 | SIM:ESM5 | Buy | 27 | 5911.25 | Aggressive |
| 2025-06-02T11:26:59.25 | SIM:ESM5 | Buy | 4 | 5912 | Aggressive |
| 2025-06-02T11:26:59.25 | SIM:ESM5 | Buy | 1 | 5911.75 | Aggressive |
| 2025-06-02T11:26:59.25 | SIM:ESM5 | Buy | 1 | 5911.75 | Passive |
| 2025-06-02T11:26:59.227 | SIM:ESM5 | Buy | 15 | 5912 | Aggressive |
| 2025-06-02T11:26:58.222 | SIM:ESM5 | Buy | 1 | 5912 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.6200
Slippage Sweep
0.3400
Arrival Price
5,914.6250
Average Total
5,914.0050
Destination Price
5,912.8750
Sweep to Fill
5,914.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:26:26.712 | SIM:ESM5 | Sell | 16 | 5912.75 | Aggressive |
| 2025-06-02T11:26:18.639 | SIM:ESM5 | Sell | 7 | 5913.5 | Aggressive |
| 2025-06-02T11:26:18.639 | SIM:ESM5 | Sell | 1 | 5913.75 | Aggressive |
| 2025-06-02T11:26:18.639 | SIM:ESM5 | Sell | 1 | 5913.75 | Passive |
| 2025-06-02T11:26:11.544 | SIM:ESM5 | Sell | 1 | 5914.75 | Aggressive |
| 2025-06-02T11:26:11.544 | SIM:ESM5 | Sell | 23 | 5915 | Aggressive |
| 2025-06-02T11:26:10.757 | 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
-0.1750
Slippage Sweep
-0.5200
Arrival Price
5,915.1250
Average Total
5,914.9500
Destination Price
5,914.6250
Sweep to Fill
5,915.4700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:26:08.013 | SIM:ESM5 | Buy | 7 | 5915 | Aggressive |
| 2025-06-02T11:26:07.953 | SIM:ESM5 | Buy | 27 | 5915 | Aggressive |
| 2025-06-02T11:26:06.939 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:26:09.012 | SIM:ESM5 | Buy | 5 | 5914.75 | Aggressive |
| 2025-06-02T11:26:09.012 | SIM:ESM5 | Buy | 8 | 5914.75 | Aggressive |
| 2025-06-02T11:26:05.935 | 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
-0.2650
Slippage Sweep
-0.4800
Arrival Price
5,914.6250
Average Total
5,914.8900
Destination Price
5,915.1250
Sweep to Fill
5,914.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:25:33.59 | SIM:ESM5 | Sell | 6 | 5914.75 | Aggressive |
| 2025-06-02T11:25:34.557 | SIM:ESM5 | Sell | 14 | 5914.75 | Aggressive |
| 2025-06-02T11:25:34.557 | SIM:ESM5 | Sell | 29 | 5915 | Aggressive |
| 2025-06-02T11:25:32.544 | 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
-0.0800
Slippage Sweep
-0.2950
Arrival Price
5,915.1250
Average Total
5,915.0450
Destination Price
5,914.6250
Sweep to Fill
5,915.3400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:25:30.672 | SIM:ESM5 | Buy | 1 | 5915 | Passive |
| 2025-06-02T11:25:28.225 | SIM:ESM5 | Buy | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:25:32.202 | SIM:ESM5 | Buy | 5 | 5914.75 | Aggressive |
| 2025-06-02T11:25:31.449 | SIM:ESM5 | Buy | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:25:31.449 | SIM:ESM5 | Buy | 26 | 5915 | Aggressive |
| 2025-06-02T11:25:27.374 | SIM:ESM5 | Buy | 2 | 5915.5 | Aggressive |
| 2025-06-02T11:25:29.213 | SIM:ESM5 | Buy | 4 | 5915.25 | Aggressive |
| 2025-06-02T11:25:29.213 | SIM:ESM5 | Buy | 3 | 5915 | Aggressive |
| 2025-06-02T11:25:29.213 | SIM:ESM5 | Buy | 3 | 5915 | Passive |
| 2025-06-02T11:25:26.505 | 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
-0.1950
Slippage Sweep
-0.4550
Arrival Price
5,916.1250
Average Total
5,916.3200
Destination Price
5,916.6250
Sweep to Fill
5,915.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:24:55.712 | SIM:ESM5 | Sell | 21 | 5916.5 | Aggressive |
| 2025-06-02T11:24:54.739 | SIM:ESM5 | Sell | 4 | 5916 | Aggressive |
| 2025-06-02T11:24:51.724 | SIM:ESM5 | Sell | 5 | 5916 | Aggressive |
| 2025-06-02T11:24:51.724 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:24:50.64 | SIM:ESM5 | Sell | 1 | 5916 | Aggressive |
| 2025-06-02T11:24:49.67 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:24:55.712 | SIM:ESM5 | Sell | 11 | 5916.5 | Aggressive |
| 2025-06-02T11:24:53.644 | SIM:ESM5 | Sell | 1 | 5916 | Aggressive |
| 2025-06-02T11:24:48.612 | SIM:ESM5 | Sell | 1 | 5916 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1300
Slippage Sweep
-0.2750
Arrival Price
5,916.1250
Average Total
5,916.2550
Destination Price
5,915.8750
Sweep to Fill
5,916.5300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:24:45.919 | SIM:ESM5 | Buy | 10 | 5916.25 | Aggressive |
| 2025-06-02T11:24:43.89 | SIM:ESM5 | Buy | 2 | 5916.5 | Aggressive |
| 2025-06-02T11:24:44.93 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:24:40.975 | SIM:ESM5 | Buy | 2 | 5916.75 | Aggressive |
| 2025-06-02T11:24:36.47 | SIM:ESM5 | Buy | 3 | 5916.5 | Aggressive |
| 2025-06-02T11:24:34.961 | SIM:ESM5 | Buy | 1 | 5916.25 | Aggressive |
| 2025-06-02T11:24:47.945 | SIM:ESM5 | Buy | 6 | 5916.25 | Aggressive |
| 2025-06-02T11:24:47.945 | SIM:ESM5 | Buy | 16 | 5916 | Aggressive |
| 2025-06-02T11:24:38.875 | SIM:ESM5 | Buy | 3 | 5916.5 | Aggressive |
| 2025-06-02T11:24:38.875 | SIM:ESM5 | Buy | 4 | 5916.5 | Passive |
| 2025-06-02T11:24:33.89 | SIM:ESM5 | Buy | 1 | 5916.25 | Aggressive |
| 2025-06-02T11:24:32.837 | SIM:ESM5 | Buy | 1 | 5916.25 | Aggressive |