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
-0.3700
Slippage Sweep
-0.5050
Arrival Price
5,915.8750
Average Total
5,915.5050
Destination Price
5,915.3750
Sweep to Fill
5,916.0100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:17:17.296 | SIM:ESM5 | Buy | 7 | 5915.5 | Aggressive |
| 2025-06-02T11:17:16.312 | SIM:ESM5 | Buy | 12 | 5915.5 | Passive |
| 2025-06-02T11:17:16.312 | SIM:ESM5 | Buy | 30 | 5915.5 | Aggressive |
| 2025-06-02T11:17:15.277 | 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
0.9650
Slippage Sweep
0.6200
Arrival Price
5,915.8750
Average Total
5,914.9100
Destination Price
5,914.3750
Sweep to Fill
5,915.5300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:16:45.091 | SIM:ESM5 | Sell | 1 | 5914.5 | Passive |
| 2025-06-02T11:16:41.326 | SIM:ESM5 | Sell | 2 | 5914.5 | Aggressive |
| 2025-06-02T11:16:27.96 | SIM:ESM5 | Sell | 1 | 5915.25 | Aggressive |
| 2025-06-02T11:16:19.912 | SIM:ESM5 | Sell | 6 | 5914.75 | Aggressive |
| 2025-06-02T11:16:37.087 | SIM:ESM5 | Sell | 5 | 5914.75 | Aggressive |
| 2025-06-02T11:16:30.975 | SIM:ESM5 | Sell | 3 | 5915 | Aggressive |
| 2025-06-02T11:16:30.975 | SIM:ESM5 | Sell | 2 | 5915 | Aggressive |
| 2025-06-02T11:16:19.068 | SIM:ESM5 | Sell | 5 | 5915.25 | Aggressive |
| 2025-06-02T11:16:17.918 | SIM:ESM5 | Sell | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:16:39.329 | SIM:ESM5 | Sell | 1 | 5914.75 | Passive |
| 2025-06-02T11:16:34.992 | SIM:ESM5 | Sell | 3 | 5914.75 | Aggressive |
| 2025-06-02T11:16:34.212 | SIM:ESM5 | Sell | 1 | 5914.75 | Aggressive |
| 2025-06-02T11:16:32.325 | SIM:ESM5 | Sell | 9 | 5914.5 | Aggressive |
| 2025-06-02T11:16:28.975 | SIM:ESM5 | Sell | 3 | 5915.25 | Aggressive |
| 2025-06-02T11:16:28.975 | SIM:ESM5 | Sell | 2 | 5915.25 | Aggressive |
| 2025-06-02T11:16:16.858 | SIM:ESM5 | Sell | 2 | 5915.75 | Aggressive |
| 2025-06-02T11:16:15.019 | SIM:ESM5 | Sell | 1 | 5915.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1550
Slippage Sweep
-0.4150
Arrival Price
5,916.6250
Average Total
5,916.4700
Destination Price
5,915.8750
Sweep to Fill
5,916.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:16:14.33 | SIM:ESM5 | Buy | 3 | 5916 | Aggressive |
| 2025-06-02T11:16:13.816 | SIM:ESM5 | Buy | 9 | 5916.5 | Aggressive |
| 2025-06-02T11:16:13.816 | SIM:ESM5 | Buy | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:16:13.816 | SIM:ESM5 | Buy | 2 | 5916.25 | Passive |
| 2025-06-02T11:16:13.816 | SIM:ESM5 | Buy | 1 | 5916.25 | Passive |
| 2025-06-02T11:16:13.816 | SIM:ESM5 | Buy | 1 | 5916.25 | Passive |
| 2025-06-02T11:16:11.283 | SIM:ESM5 | Buy | 2 | 5916.75 | Aggressive |
| 2025-06-02T11:16:13.412 | SIM:ESM5 | Buy | 25 | 5916.5 | Aggressive |
| 2025-06-02T11:16:12.33 | SIM:ESM5 | Buy | 3 | 5916.75 | Aggressive |
| 2025-06-02T11:16:12.329 | SIM:ESM5 | Buy | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:16:10.278 | 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
0.0600
Slippage Sweep
-0.2700
Arrival Price
5,916.6250
Average Total
5,916.5650
Destination Price
5,916.8750
Sweep to Fill
5,916.2950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:15:39.736 | SIM:ESM5 | Sell | 19 | 5916.75 | Aggressive |
| 2025-06-02T11:15:37.712 | SIM:ESM5 | Sell | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:15:38.725 | SIM:ESM5 | Sell | 12 | 5916.5 | Aggressive |
| 2025-06-02T11:15:37.712 | SIM:ESM5 | Sell | 5 | 5916.5 | Aggressive |
| 2025-06-02T11:15:34.68 | SIM:ESM5 | Sell | 2 | 5916.5 | Aggressive |
| 2025-06-02T11:15:33.754 | SIM:ESM5 | Sell | 6 | 5916.25 | Aggressive |
| 2025-06-02T11:15:31.767 | 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
0.0100
Slippage Sweep
-0.2000
Arrival Price
5,916.8750
Average Total
5,916.8850
Destination Price
5,916.6250
Sweep to Fill
5,917.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:15:27.878 | SIM:ESM5 | Buy | 6 | 5917.25 | Aggressive |
| 2025-06-02T11:15:25.262 | SIM:ESM5 | Buy | 6 | 5917.25 | Aggressive |
| 2025-06-02T11:15:24.241 | SIM:ESM5 | Buy | 2 | 5917 | Aggressive |
| 2025-06-02T11:15:31.311 | SIM:ESM5 | Buy | 7 | 5916.75 | Aggressive |
| 2025-06-02T11:15:30.482 | SIM:ESM5 | Buy | 13 | 5916.75 | Aggressive |
| 2025-06-02T11:15:30.298 | SIM:ESM5 | Buy | 15 | 5916.75 | Aggressive |
| 2025-06-02T11:15:23.307 | SIM:ESM5 | Buy | 1 | 5917 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9150
Slippage Sweep
0.6950
Arrival Price
5,918.1250
Average Total
5,917.2100
Destination Price
5,916.3750
Sweep to Fill
5,917.9050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:14:52.781 | SIM:ESM5 | Sell | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:14:40.659 | SIM:ESM5 | Sell | 10 | 5917.25 | Aggressive |
| 2025-06-02T11:14:36.641 | SIM:ESM5 | Sell | 6 | 5918 | Aggressive |
| 2025-06-02T11:14:36.641 | SIM:ESM5 | Sell | 1 | 5918 | Aggressive |
| 2025-06-02T11:14:34.656 | SIM:ESM5 | Sell | 5 | 5918 | Aggressive |
| 2025-06-02T11:14:47.841 | SIM:ESM5 | Sell | 11 | 5916.5 | Aggressive |
| 2025-06-02T11:14:43.684 | SIM:ESM5 | Sell | 12 | 5917 | Aggressive |
| 2025-06-02T11:14:33.641 | SIM:ESM5 | Sell | 2 | 5918 | Aggressive |
| 2025-06-02T11:14:32.612 | SIM:ESM5 | Sell | 1 | 5918 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2700
Slippage Sweep
-0.4950
Arrival Price
5,918.3750
Average Total
5,918.1050
Destination Price
5,917.8750
Sweep to Fill
5,918.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:14:31.367 | SIM:ESM5 | Buy | 7 | 5918 | Aggressive |
| 2025-06-02T11:14:30.364 | SIM:ESM5 | Buy | 20 | 5918.25 | Aggressive |
| 2025-06-02T11:14:30.364 | SIM:ESM5 | Buy | 22 | 5918 | Aggressive |
| 2025-06-02T11:14:29.439 | SIM:ESM5 | Buy | 1 | 5918.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4700
Slippage Sweep
0.1900
Arrival Price
5,917.6250
Average Total
5,917.1550
Destination Price
5,917.6250
Sweep to Fill
5,917.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:13:55.979 | SIM:ESM5 | Sell | 1 | 5917 | Aggressive |
| 2025-06-02T11:13:55.979 | SIM:ESM5 | Sell | 1 | 5917.25 | Aggressive |
| 2025-06-02T11:13:45.827 | SIM:ESM5 | Sell | 4 | 5916.75 | Aggressive |
| 2025-06-02T11:13:43.16 | SIM:ESM5 | Sell | 1 | 5917.5 | Passive |
| 2025-06-02T11:13:59 | SIM:ESM5 | Sell | 11 | 5917.5 | Aggressive |
| 2025-06-02T11:13:55.979 | SIM:ESM5 | Sell | 1 | 5917.25 | Passive |
| 2025-06-02T11:13:51.929 | SIM:ESM5 | Sell | 16 | 5917 | Aggressive |
| 2025-06-02T11:13:47.815 | SIM:ESM5 | Sell | 5 | 5916.75 | Aggressive |
| 2025-06-02T11:13:47.012 | SIM:ESM5 | Sell | 2 | 5916.75 | Aggressive |
| 2025-06-02T11:13:40.812 | SIM:ESM5 | Sell | 5 | 5917.5 | Aggressive |
| 2025-06-02T11:13:39.812 | SIM:ESM5 | Sell | 1 | 5917.5 | Aggressive |
| 2025-06-02T11:13:39.412 | SIM:ESM5 | Sell | 1 | 5917.5 | Passive |
| 2025-06-02T11:13:39.412 | SIM:ESM5 | Sell | 1 | 5917.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0250
Slippage Sweep
-0.2200
Arrival Price
5,917.6250
Average Total
5,917.6500
Destination Price
5,917.8750
Sweep to Fill
5,917.8700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:13:19.669 | SIM:ESM5 | Buy | 19 | 5917.5 | Aggressive |
| 2025-06-02T11:13:19.669 | SIM:ESM5 | Buy | 4 | 5917.5 | Aggressive |
| 2025-06-02T11:13:17.664 | SIM:ESM5 | Buy | 11 | 5917.75 | Aggressive |
| 2025-06-02T11:13:16.661 | SIM:ESM5 | Buy | 8 | 5917.75 | Aggressive |
| 2025-06-02T11:13:15.725 | SIM:ESM5 | Buy | 2 | 5917.75 | Aggressive |
| 2025-06-02T11:13:38.034 | SIM:ESM5 | Buy | 3 | 5918 | Aggressive |
| 2025-06-02T11:13:14.636 | SIM:ESM5 | Buy | 2 | 5917.75 | Aggressive |
| 2025-06-02T11:13:13.649 | 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
-0.2450
Slippage Sweep
-0.4900
Arrival Price
5,917.6250
Average Total
5,917.8700
Destination Price
5,918.1250
Sweep to Fill
5,917.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:12:41.012 | SIM:ESM5 | Sell | 29 | 5917.75 | Aggressive |
| 2025-06-02T11:12:41.012 | SIM:ESM5 | Sell | 15 | 5918 | Aggressive |
| 2025-06-02T11:12:43.034 | SIM:ESM5 | Sell | 1 | 5918.25 | Passive |
| 2025-06-02T11:12:43.034 | SIM:ESM5 | Sell | 1 | 5918.25 | Passive |
| 2025-06-02T11:12:43.034 | SIM:ESM5 | Sell | 1 | 5918.25 | Passive |
| 2025-06-02T11:12:43.034 | SIM:ESM5 | Sell | 2 | 5918.25 | Passive |
| 2025-06-02T11:12:39.956 | SIM:ESM5 | Sell | 1 | 5917.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2500
Slippage Sweep
-0.4600
Arrival Price
5,918.1250
Average Total
5,917.8750
Destination Price
5,917.6250
Sweep to Fill
5,918.3350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:12:39.364 | SIM:ESM5 | Buy | 19 | 5917.75 | Aggressive |
| 2025-06-02T11:12:39.364 | SIM:ESM5 | Buy | 15 | 5917.75 | Aggressive |
| 2025-06-02T11:12:38.618 | SIM:ESM5 | Buy | 2 | 5918 | Passive |
| 2025-06-02T11:12:38.618 | SIM:ESM5 | Buy | 1 | 5918 | Passive |
| 2025-06-02T11:12:37.829 | SIM:ESM5 | Buy | 6 | 5918.25 | Aggressive |
| 2025-06-02T11:12:37.829 | SIM:ESM5 | Buy | 2 | 5918 | Aggressive |
| 2025-06-02T11:12:37.829 | SIM:ESM5 | Buy | 2 | 5918 | Passive |
| 2025-06-02T11:12:36.322 | SIM:ESM5 | Buy | 2 | 5918.25 | Aggressive |
| 2025-06-02T11:12:35.409 | SIM:ESM5 | Buy | 1 | 5918.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0600
Slippage Sweep
-0.3400
Arrival Price
5,917.1250
Average Total
5,917.1850
Destination Price
5,917.3750
Sweep to Fill
5,916.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:12:03.885 | SIM:ESM5 | Sell | 1 | 5917.25 | Aggressive |
| 2025-06-02T11:12:03.885 | SIM:ESM5 | Sell | 21 | 5917.25 | Aggressive |
| 2025-06-02T11:12:02.89 | SIM:ESM5 | Sell | 7 | 5917 | Aggressive |
| 2025-06-02T11:12:02.89 | SIM:ESM5 | Sell | 16 | 5917.25 | Aggressive |
| 2025-06-02T11:12:01.912 | SIM:ESM5 | Sell | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:12:01.508 | SIM:ESM5 | Sell | 1 | 5917 | Aggressive |
| 2025-06-02T11:12:01.508 | SIM:ESM5 | Sell | 1 | 5917 | Passive |
| 2025-06-02T11:11:59.825 | SIM:ESM5 | Sell | 2 | 5917 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0050
Slippage Sweep
-0.2050
Arrival Price
5,916.1250
Average Total
5,916.1200
Destination Price
5,917.1250
Sweep to Fill
5,916.3250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:11:39 | SIM:ESM5 | Buy | 11 | 5916 | Passive |
| 2025-06-02T11:11:39 | SIM:ESM5 | Buy | 8 | 5916.25 | Aggressive |
| 2025-06-02T11:11:39 | SIM:ESM5 | Buy | 27 | 5916 | Aggressive |
| 2025-06-02T11:11:59.182 | SIM:ESM5 | Buy | 3 | 5917.25 | Aggressive |
| 2025-06-02T11:11:37.993 | 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
0.2500
Slippage Sweep
0.0350
Arrival Price
5,916.6250
Average Total
5,916.3750
Destination Price
5,916.8750
Sweep to Fill
5,916.4100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:11:07.496 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:11:07.496 | SIM:ESM5 | Sell | 1 | 5916.75 | Aggressive |
| 2025-06-02T11:11:01.448 | SIM:ESM5 | Sell | 14 | 5916.5 | Aggressive |
| 2025-06-02T11:10:50.366 | SIM:ESM5 | Sell | 3 | 5916.5 | Aggressive |
| 2025-06-02T11:10:46.312 | SIM:ESM5 | Sell | 3 | 5916 | Aggressive |
| 2025-06-02T11:11:00.457 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
| 2025-06-02T11:10:58.435 | SIM:ESM5 | Sell | 4 | 5916.5 | Aggressive |
| 2025-06-02T11:10:58.435 | SIM:ESM5 | Sell | 3 | 5916.5 | Aggressive |
| 2025-06-02T11:10:52.565 | SIM:ESM5 | Sell | 13 | 5916.25 | Aggressive |
| 2025-06-02T11:10:49.37 | SIM:ESM5 | Sell | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:10:48.423 | SIM:ESM5 | Sell | 2 | 5916.25 | Aggressive |
| 2025-06-02T11:10:47.412 | SIM:ESM5 | Sell | 1 | 5916.25 | Aggressive |
| 2025-06-02T11:10:45.281 | SIM:ESM5 | Sell | 1 | 5916 | Aggressive |
| 2025-06-02T11:10:44.594 | SIM:ESM5 | Sell | 1 | 5916.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.4450
Arrival Price
5,917.3750
Average Total
5,917.1900
Destination Price
5,916.8750
Sweep to Fill
5,917.6350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T11:10:41.945 | SIM:ESM5 | Buy | 2 | 5917.5 | Aggressive |
| 2025-06-02T11:10:43.941 | SIM:ESM5 | Buy | 1 | 5917.25 | Aggressive |
| 2025-06-02T11:10:43.941 | SIM:ESM5 | Buy | 20 | 5917 | Aggressive |
| 2025-06-02T11:10:42.924 | SIM:ESM5 | Buy | 5 | 5917.5 | Aggressive |
| 2025-06-02T11:10:42.924 | SIM:ESM5 | Buy | 21 | 5917.25 | Aggressive |
| 2025-06-02T11:10:40.913 | SIM:ESM5 | Buy | 1 | 5917.5 | Aggressive |