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
0.5200
Slippage Sweep
0.2950
Arrival Price
5,917.3750
Average Total
5,916.8550
Destination Price
5,916.6250
Sweep to Fill
5,917.1500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:24:01.952 | SIM:ESM5 | Sell | 3 | 5916.5 | Aggressive |
| 2025-06-02T11:23:59.968 | SIM:ESM5 | Sell | 12 | 5916.5 | Aggressive |
| 2025-06-02T11:23:56.345 | SIM:ESM5 | Sell | 9 | 5916.75 | Aggressive |
| 2025-06-02T11:23:56.345 | SIM:ESM5 | Sell | 2 | 5917 | Aggressive |
| 2025-06-02T11:23:56.345 | SIM:ESM5 | Sell | 2 | 5917 | Passive |
| 2025-06-02T11:23:47.985 | SIM:ESM5 | Sell | 1 | 5917.25 | Aggressive |
| 2025-06-02T11:23:44.944 | SIM:ESM5 | Sell | 3 | 5917.25 | Aggressive |
| 2025-06-02T11:23:44.944 | SIM:ESM5 | Sell | 2 | 5917.25 | Aggressive |
| 2025-06-02T11:23:50.916 | SIM:ESM5 | Sell | 6 | 5917 | Aggressive |
| 2025-06-02T11:23:49.103 | SIM:ESM5 | Sell | 6 | 5917 | Aggressive |
| 2025-06-02T11:23:45.946 | SIM:ESM5 | Sell | 1 | 5917.25 | Passive |
| 2025-06-02T11:23:45.946 | SIM:ESM5 | Sell | 1 | 5917.25 | Passive |
| 2025-06-02T11:23:45.945 | SIM:ESM5 | Sell | 1 | 5917.25 | Passive |
| 2025-06-02T11:23:43.763 | SIM:ESM5 | Sell | 1 | 5917.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0650
Slippage Sweep
-0.1550
Arrival Price
5,917.6250
Average Total
5,917.6900
Destination Price
5,917.3750
Sweep to Fill
5,917.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:23:41.343 | SIM:ESM5 | Buy | 5 | 5917.75 | Aggressive |
| 2025-06-02T11:23:41.343 | SIM:ESM5 | Buy | 2 | 5917.75 | Aggressive |
| 2025-06-02T11:23:40.37 | SIM:ESM5 | Buy | 3 | 5917.75 | Aggressive |
| 2025-06-02T11:23:40.37 | SIM:ESM5 | Buy | 14 | 5917.75 | Aggressive |
| 2025-06-02T11:23:43.412 | SIM:ESM5 | Buy | 12 | 5917.5 | Aggressive |
| 2025-06-02T11:23:35.821 | SIM:ESM5 | Buy | 12 | 5917.75 | Aggressive |
| 2025-06-02T11:23:34.302 | SIM:ESM5 | Buy | 1 | 5917.75 | Aggressive |
| 2025-06-02T11:23:33.267 | SIM:ESM5 | Buy | 1 | 5917.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1000
Slippage Sweep
-0.2600
Arrival Price
5,915.8750
Average Total
5,915.9750
Destination Price
5,916.1250
Sweep to Fill
5,915.7150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:23:02.75 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:23:02.75 | SIM:ESM5 | Sell | 11 | 5916 | Aggressive |
| 2025-06-02T11:23:02.75 | SIM:ESM5 | Sell | 27 | 5916 | Aggressive |
| 2025-06-02T11:23:01.753 | SIM:ESM5 | Sell | 4 | 5915.75 | Aggressive |
| 2025-06-02T11:23:00.755 | SIM:ESM5 | Sell | 1 | 5915.75 | Aggressive |
| 2025-06-02T11:22:59.912 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:22:59.101 | SIM:ESM5 | Sell | 1 | 5916 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0700
Slippage Sweep
-0.0700
Arrival Price
5,916.1250
Average Total
5,916.1950
Destination Price
5,915.8750
Sweep to Fill
5,916.2650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:22:56.997 | SIM:ESM5 | Buy | 8 | 5916.25 | Aggressive |
| 2025-06-02T11:22:55.312 | SIM:ESM5 | Buy | 6 | 5916.25 | Aggressive |
| 2025-06-02T11:22:55.313 | SIM:ESM5 | Buy | 5 | 5916.25 | Aggressive |
| 2025-06-02T11:22:54.312 | SIM:ESM5 | Buy | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:22:53.465 | SIM:ESM5 | Buy | 4 | 5916.25 | Aggressive |
| 2025-06-02T11:22:52.26 | SIM:ESM5 | Buy | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:22:58.444 | SIM:ESM5 | Buy | 10 | 5916 | Aggressive |
| 2025-06-02T11:22:57.748 | SIM:ESM5 | Buy | 9 | 5916.25 | Aggressive |
| 2025-06-02T11:22:57.748 | SIM:ESM5 | Buy | 1 | 5916 | Aggressive |
| 2025-06-02T11:22:57.748 | SIM:ESM5 | Buy | 1 | 5916 | Passive |
| 2025-06-02T11:22:51.256 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:22:50.771 | SIM:ESM5 | Buy | 1 | 5916.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0250
Slippage Sweep
-0.3200
Arrival Price
5,916.3750
Average Total
5,916.4000
Destination Price
5,916.8750
Sweep to Fill
5,916.0800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:22:19.212 | SIM:ESM5 | Sell | 4 | 5916.5 | Aggressive |
| 2025-06-02T11:22:19.212 | SIM:ESM5 | Sell | 6 | 5916.75 | Aggressive |
| 2025-06-02T11:22:14.184 | SIM:ESM5 | Sell | 8 | 5916.25 | Aggressive |
| 2025-06-02T11:22:14.184 | SIM:ESM5 | Sell | 14 | 5916.5 | Aggressive |
| 2025-06-02T11:22:11.725 | SIM:ESM5 | Sell | 6 | 5916.25 | Aggressive |
| 2025-06-02T11:22:11.725 | SIM:ESM5 | Sell | 6 | 5916.25 | Aggressive |
| 2025-06-02T11:22:13.164 | SIM:ESM5 | Sell | 4 | 5916.25 | Aggressive |
| 2025-06-02T11:22:12.279 | SIM:ESM5 | Sell | 1 | 5916.25 | Aggressive |
| 2025-06-02T11:22:08.112 | 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
0.2700
Slippage Sweep
0.0450
Arrival Price
5,916.3750
Average Total
5,916.6450
Destination Price
5,916.3750
Sweep to Fill
5,916.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:22:07.119 | SIM:ESM5 | Buy | 15 | 5916.5 | Aggressive |
| 2025-06-02T11:22:06.748 | SIM:ESM5 | Buy | 1 | 5916.25 | Passive |
| 2025-06-02T11:22:04.052 | SIM:ESM5 | Buy | 12 | 5916.75 | Aggressive |
| 2025-06-02T11:22:00.038 | SIM:ESM5 | Buy | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:22:00.038 | SIM:ESM5 | Buy | 3 | 5916.75 | Aggressive |
| 2025-06-02T11:21:57.082 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:21:52.989 | SIM:ESM5 | Buy | 4 | 5916.5 | Aggressive |
| 2025-06-02T11:22:02.143 | SIM:ESM5 | Buy | 4 | 5917 | Aggressive |
| 2025-06-02T11:22:02.143 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
| 2025-06-02T11:21:56.001 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:21:54.115 | SIM:ESM5 | Buy | 4 | 5916.75 | Aggressive |
| 2025-06-02T11:21:54.115 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:21:54.114 | SIM:ESM5 | Buy | 1 | 5916.5 | Passive |
| 2025-06-02T11:21:52.541 | 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
0.0800
Slippage Sweep
-0.2000
Arrival Price
5,917.1250
Average Total
5,917.0450
Destination Price
5,917.3750
Sweep to Fill
5,916.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:21:16.493 | SIM:ESM5 | Sell | 3 | 5916.75 | Aggressive |
| 2025-06-02T11:21:21.601 | SIM:ESM5 | Sell | 1 | 5917.5 | Passive |
| 2025-06-02T11:21:20.437 | SIM:ESM5 | Sell | 16 | 5917 | Aggressive |
| 2025-06-02T11:21:20.437 | SIM:ESM5 | Sell | 15 | 5917.25 | Aggressive |
| 2025-06-02T11:21:19.638 | SIM:ESM5 | Sell | 4 | 5917 | Aggressive |
| 2025-06-02T11:21:17.444 | SIM:ESM5 | Sell | 5 | 5916.75 | Aggressive |
| 2025-06-02T11:21:13.412 | SIM:ESM5 | Sell | 5 | 5917 | Aggressive |
| 2025-06-02T11:21:12.571 | SIM:ESM5 | Sell | 1 | 5917 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1300
Slippage Sweep
-0.1100
Arrival Price
5,917.3750
Average Total
5,917.5050
Destination Price
5,917.1250
Sweep to Fill
5,917.6150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:21:08.653 | SIM:ESM5 | Buy | 6 | 5917.5 | Aggressive |
| 2025-06-02T11:21:05.623 | SIM:ESM5 | Buy | 7 | 5917.75 | Aggressive |
| 2025-06-02T11:21:03.629 | SIM:ESM5 | Buy | 1 | 5917.75 | Aggressive |
| 2025-06-02T11:21:01.613 | SIM:ESM5 | Buy | 4 | 5917.75 | Aggressive |
| 2025-06-02T11:21:11.712 | SIM:ESM5 | Buy | 11 | 5917.25 | Aggressive |
| 2025-06-02T11:21:10.758 | SIM:ESM5 | Buy | 8 | 5917.5 | Aggressive |
| 2025-06-02T11:20:59.882 | SIM:ESM5 | Buy | 3 | 5917.5 | Aggressive |
| 2025-06-02T11:21:09.725 | SIM:ESM5 | Buy | 4 | 5917.5 | Aggressive |
| 2025-06-02T11:21:06.636 | SIM:ESM5 | Buy | 5 | 5917.5 | Aggressive |
| 2025-06-02T11:20:58.588 | SIM:ESM5 | Buy | 1 | 5917.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5950
Slippage Sweep
0.4100
Arrival Price
5,916.6250
Average Total
5,916.0300
Destination Price
5,915.6250
Sweep to Fill
5,916.4400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:20:27.958 | SIM:ESM5 | Sell | 1 | 5915.5 | Aggressive |
| 2025-06-02T11:20:27.958 | SIM:ESM5 | Sell | 1 | 5915.75 | Aggressive |
| 2025-06-02T11:20:27.958 | SIM:ESM5 | Sell | 1 | 5915.75 | Passive |
| 2025-06-02T11:20:15.714 | SIM:ESM5 | Sell | 14 | 5916 | Aggressive |
| 2025-06-02T11:20:13.684 | SIM:ESM5 | Sell | 4 | 5916.25 | Aggressive |
| 2025-06-02T11:20:09.807 | SIM:ESM5 | Sell | 1 | 5916 | Passive |
| 2025-06-02T11:20:09.807 | SIM:ESM5 | Sell | 1 | 5916 | Passive |
| 2025-06-02T11:20:04.605 | SIM:ESM5 | Sell | 4 | 5916.25 | Aggressive |
| 2025-06-02T11:20:11.649 | SIM:ESM5 | Sell | 4 | 5915.75 | Aggressive |
| 2025-06-02T11:20:11.649 | SIM:ESM5 | Sell | 2 | 5916 | Aggressive |
| 2025-06-02T11:20:11.649 | SIM:ESM5 | Sell | 2 | 5916 | Passive |
| 2025-06-02T11:20:08.645 | SIM:ESM5 | Sell | 1 | 5916 | Aggressive |
| 2025-06-02T11:20:07.642 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:20:07.642 | SIM:ESM5 | Sell | 2 | 5916 | Aggressive |
| 2025-06-02T11:20:03.752 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:20:16.756 | SIM:ESM5 | Sell | 6 | 5916 | Aggressive |
| 2025-06-02T11:20:03.646 | SIM:ESM5 | Sell | 2 | 5916.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6050
Slippage Sweep
0.4050
Arrival Price
5,916.3750
Average Total
5,916.9800
Destination Price
5,916.8750
Sweep to Fill
5,916.5750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:19:50.113 | SIM:ESM5 | Buy | 1 | 5917.25 | Passive |
| 2025-06-02T11:19:50.113 | SIM:ESM5 | Buy | 3 | 5917.25 | Passive |
| 2025-06-02T11:19:50.113 | SIM:ESM5 | Buy | 2 | 5917.25 | Passive |
| 2025-06-02T11:19:50.113 | SIM:ESM5 | Buy | 2 | 5917.25 | Passive |
| 2025-06-02T11:19:50.112 | SIM:ESM5 | Buy | 1 | 5917.25 | Passive |
| 2025-06-02T11:19:50.112 | SIM:ESM5 | Buy | 1 | 5917.25 | Passive |
| 2025-06-02T11:20:02.205 | SIM:ESM5 | Buy | 6 | 5917 | Aggressive |
| 2025-06-02T11:20:02.205 | SIM:ESM5 | Buy | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:19:48.01 | SIM:ESM5 | Buy | 3 | 5917.5 | Aggressive |
| 2025-06-02T11:19:40.981 | SIM:ESM5 | Buy | 1 | 5916.25 | Passive |
| 2025-06-02T11:19:40.112 | SIM:ESM5 | Buy | 2 | 5916.75 | Aggressive |
| 2025-06-02T11:19:39.032 | SIM:ESM5 | Buy | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:20:02.205 | SIM:ESM5 | Buy | 1 | 5916.75 | Passive |
| 2025-06-02T11:19:58.236 | SIM:ESM5 | Buy | 3 | 5917.25 | Aggressive |
| 2025-06-02T11:19:55.223 | SIM:ESM5 | Buy | 1 | 5917.75 | Aggressive |
| 2025-06-02T11:19:46.205 | SIM:ESM5 | Buy | 8 | 5917 | Aggressive |
| 2025-06-02T11:19:42.943 | SIM:ESM5 | Buy | 8 | 5916.75 | Aggressive |
| 2025-06-02T11:19:41.975 | SIM:ESM5 | Buy | 4 | 5916.5 | Aggressive |
| 2025-06-02T11:19:37.938 | 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
-0.1850
Slippage Sweep
-0.4000
Arrival Price
5,916.1250
Average Total
5,916.3100
Destination Price
5,916.6250
Sweep to Fill
5,915.9100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:19:06.458 | SIM:ESM5 | Sell | 10 | 5916.25 | Passive |
| 2025-06-02T11:19:07.542 | SIM:ESM5 | Sell | 12 | 5916.5 | Aggressive |
| 2025-06-02T11:19:06.458 | SIM:ESM5 | Sell | 27 | 5916.25 | Aggressive |
| 2025-06-02T11:19:05.523 | SIM:ESM5 | Sell | 1 | 5916.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1100
Slippage Sweep
-0.3200
Arrival Price
5,916.8750
Average Total
5,916.7650
Destination Price
5,916.3750
Sweep to Fill
5,917.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:19:02.475 | SIM:ESM5 | Buy | 3 | 5917 | Aggressive |
| 2025-06-02T11:19:02.475 | SIM:ESM5 | Buy | 12 | 5916.75 | Aggressive |
| 2025-06-02T11:19:00.427 | SIM:ESM5 | Buy | 3 | 5916.75 | Aggressive |
| 2025-06-02T11:19:04.557 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:19:03.513 | SIM:ESM5 | Buy | 15 | 5916.75 | Aggressive |
| 2025-06-02T11:19:03.512 | SIM:ESM5 | Buy | 15 | 5916.75 | Aggressive |
| 2025-06-02T11:18:59.902 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1700
Slippage Sweep
-0.4150
Arrival Price
5,914.8750
Average Total
5,915.0450
Destination Price
5,915.1250
Sweep to Fill
5,914.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:18:29.015 | SIM:ESM5 | Sell | 18 | 5915 | Aggressive |
| 2025-06-02T11:18:29.015 | SIM:ESM5 | Sell | 6 | 5915 | Aggressive |
| 2025-06-02T11:18:25.977 | SIM:ESM5 | Sell | 4 | 5915.25 | Aggressive |
| 2025-06-02T11:18:25.977 | SIM:ESM5 | Sell | 11 | 5915 | Aggressive |
| 2025-06-02T11:18:25.977 | SIM:ESM5 | Sell | 8 | 5915.25 | Aggressive |
| 2025-06-02T11:18:24.998 | SIM:ESM5 | Sell | 2 | 5914.75 | Aggressive |
| 2025-06-02T11:18:24.062 | SIM:ESM5 | Sell | 1 | 5914.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7450
Slippage Sweep
0.4050
Arrival Price
5,914.1250
Average Total
5,914.8700
Destination Price
5,914.8750
Sweep to Fill
5,914.4650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:18:10.812 | SIM:ESM5 | Buy | 5 | 5915 | Aggressive |
| 2025-06-02T11:18:03.712 | SIM:ESM5 | Buy | 7 | 5915 | Aggressive |
| 2025-06-02T11:17:58.644 | SIM:ESM5 | Buy | 10 | 5915 | Aggressive |
| 2025-06-02T11:18:14.798 | SIM:ESM5 | Buy | 6 | 5915.25 | Aggressive |
| 2025-06-02T11:17:54.603 | SIM:ESM5 | Buy | 2 | 5914.25 | Aggressive |
| 2025-06-02T11:18:23.372 | SIM:ESM5 | Buy | 1 | 5914.75 | Passive |
| 2025-06-02T11:18:23.372 | SIM:ESM5 | Buy | 1 | 5914.75 | Passive |
| 2025-06-02T11:18:23.372 | SIM:ESM5 | Buy | 1 | 5914.75 | Passive |
| 2025-06-02T11:18:23.372 | SIM:ESM5 | Buy | 1 | 5914.75 | Passive |
| 2025-06-02T11:18:11.871 | SIM:ESM5 | Buy | 6 | 5915 | Aggressive |
| 2025-06-02T11:18:04.863 | SIM:ESM5 | Buy | 2 | 5914.75 | Aggressive |
| 2025-06-02T11:18:04.863 | SIM:ESM5 | Buy | 2 | 5914.75 | Passive |
| 2025-06-02T11:17:56.664 | SIM:ESM5 | Buy | 4 | 5914.25 | Aggressive |
| 2025-06-02T11:17:55.614 | SIM:ESM5 | Buy | 1 | 5914.25 | Aggressive |
| 2025-06-02T11:17:53.733 | SIM:ESM5 | Buy | 1 | 5914.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2550
Slippage Sweep
-0.4950
Arrival Price
5,915.6250
Average Total
5,915.8800
Destination Price
5,915.8750
Sweep to Fill
5,915.3850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:17:23.08 | SIM:ESM5 | Sell | 3 | 5915.75 | Aggressive |
| 2025-06-02T11:17:22.152 | SIM:ESM5 | Sell | 5 | 5915.75 | Aggressive |
| 2025-06-02T11:17:22.152 | SIM:ESM5 | Sell | 34 | 5916 | Aggressive |
| 2025-06-02T11:17:21.122 | SIM:ESM5 | Sell | 3 | 5915.5 | Aggressive |
| 2025-06-02T11:17:20.128 | SIM:ESM5 | Sell | 4 | 5915.5 | Aggressive |
| 2025-06-02T11:17:18.024 | SIM:ESM5 | Sell | 1 | 5915.5 | Aggressive |