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
0.7700
Slippage Sweep
0.0600
Arrival Price
6,016.8750
Average Total
6,016.1050
Destination Price
6,016.1250
Sweep to Fill
6,016.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T17:24:40.751 | SIM:ESM5 | Sell | 2 | 6016 | Aggressive |
| 2025-06-09T17:23:59.911 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:10.734 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:04.39 | SIM:ESM5 | Sell | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:22:24.408 | SIM:ESM5 | Sell | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:24:33.564 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:24:27.674 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:24:12.707 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:24:06.552 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:37.986 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:31.225 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:18.143 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:22:58.473 | SIM:ESM5 | Sell | 1 | 6015.5 | Aggressive |
| 2025-06-09T17:22:44.056 | SIM:ESM5 | Sell | 1 | 6015.5 | Aggressive |
| 2025-06-09T17:22:39.717 | SIM:ESM5 | Sell | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:22:06.872 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:29.996 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:14.033 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:20:55.896 | SIM:ESM5 | Sell | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:20:04.479 | SIM:ESM5 | Sell | 1 | 6016.5 | Aggressive |
| 2025-06-09T17:20:01.165 | SIM:ESM5 | Sell | 1 | 6016.75 | Passive |
| 2025-06-09T17:19:58.064 | SIM:ESM5 | Sell | 1 | 6016.75 | Passive |
| 2025-06-09T17:23:52.775 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:45.602 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:23:24.811 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:22:50.592 | SIM:ESM5 | Sell | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:22:33.889 | SIM:ESM5 | Sell | 1 | 6015.75 | Passive |
| 2025-06-09T17:22:18.925 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:22:13.512 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:59.685 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:59.685 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:59.685 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:07.401 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:20:51.403 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:20:34.716 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:20:34.716 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:20:24.495 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:20:14.51 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:19:50.046 | SIM:ESM5 | Sell | 1 | 6016.75 | Aggressive |
| 2025-06-09T17:21:59.685 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:36.127 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:25.679 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:19.942 | SIM:ESM5 | Sell | 1 | 6016 | Aggressive |
| 2025-06-09T17:21:04.549 | SIM:ESM5 | Sell | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:20:46.005 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:20:40.757 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:20:19.71 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:20:09.359 | SIM:ESM5 | Sell | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:19:45.216 | SIM:ESM5 | Sell | 1 | 6016.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1900
Slippage Sweep
-0.3500
Arrival Price
6,015.8750
Average Total
6,016.0650
Destination Price
6,015.8750
Sweep to Fill
6,016.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T17:18:40.01 | SIM:ESM5 | Buy | 1 | 6016 | Passive |
| 2025-06-09T17:18:35.161 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:18:20.796 | SIM:ESM5 | Buy | 1 | 6016 | Passive |
| 2025-06-09T17:18:20.796 | SIM:ESM5 | Buy | 1 | 6016 | Passive |
| 2025-06-09T17:17:53.436 | SIM:ESM5 | Buy | 1 | 6016.5 | Aggressive |
| 2025-06-09T17:17:53.436 | SIM:ESM5 | Buy | 1 | 6016.5 | Aggressive |
| 2025-06-09T17:16:50.328 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:16:43.373 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:16:23.642 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:16:17.437 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:16:11.493 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:16:04.345 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:15:58.663 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:15:29.723 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:17:17.513 | SIM:ESM5 | Buy | 1 | 6016.25 | Passive |
| 2025-06-09T17:17:17.512 | SIM:ESM5 | Buy | 1 | 6016.25 | Passive |
| 2025-06-09T17:17:10.034 | SIM:ESM5 | Buy | 1 | 6016.5 | Aggressive |
| 2025-06-09T17:15:46.895 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:15:42.097 | SIM:ESM5 | Buy | 1 | 6016 | Passive |
| 2025-06-09T17:15:22.857 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:15:16.777 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:14:56.712 | SIM:ESM5 | Buy | 1 | 6015.75 | Passive |
| 2025-06-09T17:14:39.528 | SIM:ESM5 | Buy | 1 | 6015.75 | Passive |
| 2025-06-09T17:14:13.279 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:15:06.315 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:03.236 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:13:58.09 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:18:26.034 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:18:20.796 | SIM:ESM5 | Buy | 1 | 6016 | Passive |
| 2025-06-09T17:18:20.795 | SIM:ESM5 | Buy | 1 | 6016 | Passive |
| 2025-06-09T17:17:37.141 | SIM:ESM5 | Buy | 1 | 6016.5 | Aggressive |
| 2025-06-09T17:17:32.213 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:17:23.183 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:17:04.798 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:16:36.41 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:16:30.823 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:15:52.115 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:15:35.397 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:15:11.851 | SIM:ESM5 | Buy | 1 | 6015.75 | Passive |
| 2025-06-09T17:15:01.076 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:49.919 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:43.512 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:40.188 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:40.188 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:34.199 | SIM:ESM5 | Buy | 1 | 6015.75 | Aggressive |
| 2025-06-09T17:14:18.728 | SIM:ESM5 | Buy | 1 | 6016 | Aggressive |
| 2025-06-09T17:14:08.299 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:13:54.106 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:13:53.112 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
| 2025-06-09T17:13:53.111 | SIM:ESM5 | Buy | 1 | 6016.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0550
Slippage Sweep
-0.1800
Arrival Price
6,011.3750
Average Total
6,011.4300
Destination Price
6,011.6250
Sweep to Fill
6,011.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T15:00:04.282 | SIM:ESM5 | Sell | 14 | 6011.25 | Aggressive |
| 2025-06-09T15:00:04.282 | SIM:ESM5 | Sell | 36 | 6011.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3650
Slippage Sweep
-0.4900
Arrival Price
6,011.8750
Average Total
6,011.5100
Destination Price
6,011.3750
Sweep to Fill
6,012.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T15:00:04.165 | SIM:ESM5 | Buy | 49 | 6011.5 | Aggressive |
| 2025-06-09T15:00:03.149 | SIM:ESM5 | Buy | 1 | 6012 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2300
Slippage Sweep
0.1050
Arrival Price
6,011.6250
Average Total
6,011.3950
Destination Price
6,011.8750
Sweep to Fill
6,011.5000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T14:59:32.704 | SIM:ESM5 | Sell | 30 | 6011.75 | Aggressive |
| 2025-06-09T14:59:28.67 | SIM:ESM5 | Sell | 13 | 6010.75 | Aggressive |
| 2025-06-09T14:59:29.679 | SIM:ESM5 | Sell | 6 | 6011 | Aggressive |
| 2025-06-09T14:59:27.657 | SIM:ESM5 | Sell | 1 | 6011.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3350
Slippage Sweep
0.1600
Arrival Price
6,011.6250
Average Total
6,011.9600
Destination Price
6,011.6250
Sweep to Fill
6,011.8000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T14:59:27.443 | SIM:ESM5 | Buy | 20 | 6011.75 | Aggressive |
| 2025-06-09T14:59:26.426 | SIM:ESM5 | Buy | 4 | 6012 | Aggressive |
| 2025-06-09T14:59:25.418 | SIM:ESM5 | Buy | 12 | 6012 | Aggressive |
| 2025-06-09T14:59:24.412 | SIM:ESM5 | Buy | 13 | 6012.25 | Aggressive |
| 2025-06-09T14:59:23.429 | SIM:ESM5 | Buy | 1 | 6011.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0550
Slippage Sweep
-0.0950
Arrival Price
6,013.3750
Average Total
6,013.3200
Destination Price
6,013.6250
Sweep to Fill
6,013.2250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T11:14:32.354 | SIM:ESM5 | Sell | 2 | 6013.25 | Aggressive |
| 2025-06-09T11:14:46.455 | SIM:ESM5 | Sell | 14 | 6013.5 | Aggressive |
| 2025-06-09T11:14:41.419 | SIM:ESM5 | Sell | 2 | 6013.25 | Aggressive |
| 2025-06-09T11:14:31.407 | SIM:ESM5 | Sell | 12 | 6013.25 | Aggressive |
| 2025-06-09T11:14:42.407 | SIM:ESM5 | Sell | 9 | 6013.25 | Aggressive |
| 2025-06-09T11:14:29.292 | SIM:ESM5 | Sell | 6 | 6013.25 | Aggressive |
| 2025-06-09T11:14:28.315 | SIM:ESM5 | Sell | 1 | 6013.25 | Aggressive |
| 2025-06-09T11:14:26.257 | SIM:ESM5 | Sell | 1 | 6013.25 | Aggressive |
| 2025-06-09T11:14:25.252 | SIM:ESM5 | Sell | 2 | 6013.25 | Aggressive |
| 2025-06-09T11:14:24.262 | SIM:ESM5 | Sell | 1 | 6013.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1600
Slippage Sweep
-0.4150
Arrival Price
6,013.8750
Average Total
6,013.7150
Destination Price
6,013.3750
Sweep to Fill
6,014.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T11:14:19.625 | SIM:ESM5 | Buy | 5 | 6014 | Aggressive |
| 2025-06-09T11:14:23.421 | SIM:ESM5 | Buy | 7 | 6013.75 | Aggressive |
| 2025-06-09T11:14:23.421 | SIM:ESM5 | Buy | 25 | 6013.5 | Aggressive |
| 2025-06-09T11:14:22.51 | SIM:ESM5 | Buy | 3 | 6014 | Aggressive |
| 2025-06-09T11:14:16.364 | SIM:ESM5 | Buy | 2 | 6014 | Aggressive |
| 2025-06-09T11:14:18.371 | SIM:ESM5 | Buy | 4 | 6014 | Aggressive |
| 2025-06-09T11:14:17.433 | SIM:ESM5 | Buy | 2 | 6014 | Aggressive |
| 2025-06-09T11:14:15.339 | SIM:ESM5 | Buy | 1 | 6014 | Aggressive |
| 2025-06-09T11:14:14.473 | SIM:ESM5 | Buy | 1 | 6014 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0500
Slippage Sweep
-0.5250
Arrival Price
6,009.1250
Average Total
6,009.0750
Destination Price
6,008.8750
Sweep to Fill
6,009.6000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-09T05:26:50.456 | SIM:ESM5 | Buy | 2 | 6009 | Aggressive |
| 2025-06-09T05:26:50.456 | SIM:ESM5 | Buy | 1 | 6008.75 | Aggressive |
| 2025-06-09T05:26:46.063 | SIM:ESM5 | Buy | 1 | 6009 | Aggressive |
| 2025-06-09T05:26:44.846 | SIM:ESM5 | Buy | 8 | 6009 | Aggressive |
| 2025-06-09T05:26:44.846 | SIM:ESM5 | Buy | 7 | 6009 | Aggressive |
| 2025-06-09T05:26:38.134 | SIM:ESM5 | Buy | 2 | 6009 | Passive |
| 2025-06-09T05:26:38.134 | SIM:ESM5 | Buy | 10 | 6009 | Aggressive |
| 2025-06-09T05:26:34.802 | SIM:ESM5 | Buy | 1 | 6009 | Passive |
| 2025-06-09T05:26:05.889 | SIM:ESM5 | Buy | 1 | 6009.25 | Aggressive |
| 2025-06-09T05:26:36.758 | SIM:ESM5 | Buy | 2 | 6009 | Aggressive |
| 2025-06-09T05:26:28.822 | SIM:ESM5 | Buy | 3 | 6009.25 | Aggressive |
| 2025-06-09T05:26:28.822 | SIM:ESM5 | Buy | 1 | 6009.25 | Aggressive |
| 2025-06-09T05:26:06.441 | SIM:ESM5 | Buy | 4 | 6009 | Aggressive |
| 2025-06-09T05:26:06.441 | SIM:ESM5 | Buy | 1 | 6009 | Aggressive |
| 2025-06-09T05:26:01.438 | SIM:ESM5 | Buy | 1 | 6009.25 | Aggressive |
| 2025-06-09T05:25:57.083 | SIM:ESM5 | Buy | 1 | 6009.5 | Aggressive |
| 2025-06-09T05:25:47.35 | SIM:ESM5 | Buy | 1 | 6009.5 | Aggressive |
| 2025-06-09T05:25:52.025 | SIM:ESM5 | Buy | 1 | 6009.5 | Aggressive |
| 2025-06-09T05:25:42.5 | SIM:ESM5 | Buy | 1 | 6009.5 | Aggressive |
| 2025-06-09T05:25:41.301 | SIM:ESM5 | Buy | 1 | 6009.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.5250
Slippage Sweep
0.2100
Arrival Price
5,948.8750
Average Total
5,949.4000
Destination Price
5,949.3750
Sweep to Fill
5,949.1900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:59:48.392 | SIM:ESM5 | Buy | 1 | 5948.75 | Aggressive |
| 2025-06-02T15:59:48.391 | SIM:ESM5 | Buy | 1 | 5948.75 | Passive |
| 2025-06-02T15:59:59.553 | SIM:ESM5 | Buy | 6 | 5949.75 | Aggressive |
| 2025-06-02T15:59:59.553 | SIM:ESM5 | Buy | 23 | 5949.5 | Aggressive |
| 2025-06-02T15:59:59.258 | SIM:ESM5 | Buy | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:59:58.237 | SIM:ESM5 | Buy | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:59:57.136 | SIM:ESM5 | Buy | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:59:53.123 | SIM:ESM5 | Buy | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:59:52.058 | SIM:ESM5 | Buy | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:59:51.711 | SIM:ESM5 | Buy | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:59:49.012 | SIM:ESM5 | Buy | 3 | 5948.75 | Aggressive |
| 2025-06-02T15:59:47.443 | SIM:ESM5 | Buy | 1 | 5949 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.2500
Arrival Price
5,948.1250
Average Total
5,948.2500
Destination Price
5,948.1250
Sweep to Fill
5,948.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:59:15.467 | SIM:ESM5 | Sell | 5 | 5948.25 | Passive |
| 2025-06-02T15:59:15.467 | SIM:ESM5 | Sell | 1 | 5948.25 | Passive |
| 2025-06-02T15:59:15.467 | SIM:ESM5 | Sell | 7 | 5948.25 | Passive |
| 2025-06-02T15:59:15.467 | SIM:ESM5 | Sell | 3 | 5948.25 | Passive |
| 2025-06-02T15:59:15.466 | SIM:ESM5 | Sell | 5 | 5948.25 | Passive |
| 2025-06-02T15:59:15.466 | SIM:ESM5 | Sell | 5 | 5948.25 | Passive |
| 2025-06-02T15:59:15.466 | SIM:ESM5 | Sell | 4 | 5948.25 | Passive |
| 2025-06-02T15:59:15.466 | SIM:ESM5 | Sell | 6 | 5948.25 | Passive |
| 2025-06-02T15:59:15.466 | SIM:ESM5 | Sell | 10 | 5948.25 | Passive |
| 2025-06-02T15:59:02.673 | SIM:ESM5 | Sell | 3 | 5948.25 | Aggressive |
| 2025-06-02T15:59:02.263 | SIM:ESM5 | Sell | 1 | 5948.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1150
Slippage Sweep
-0.0700
Arrival Price
5,948.3750
Average Total
5,948.4900
Destination Price
5,948.3750
Sweep to Fill
5,948.5600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:59:01.233 | SIM:ESM5 | Buy | 1 | 5948.25 | Passive |
| 2025-06-02T15:59:01.232 | SIM:ESM5 | Buy | 1 | 5948.25 | Passive |
| 2025-06-02T15:58:53.475 | SIM:ESM5 | Buy | 2 | 5948.5 | Aggressive |
| 2025-06-02T15:58:52.975 | SIM:ESM5 | Buy | 2 | 5948.5 | Aggressive |
| 2025-06-02T15:58:44.225 | SIM:ESM5 | Buy | 10 | 5948.5 | Aggressive |
| 2025-06-02T15:58:43.87 | SIM:ESM5 | Buy | 4 | 5948.5 | Aggressive |
| 2025-06-02T15:58:40.331 | SIM:ESM5 | Buy | 1 | 5948.5 | Aggressive |
| 2025-06-02T15:58:39.211 | SIM:ESM5 | Buy | 2 | 5948.5 | Aggressive |
| 2025-06-02T15:58:38.121 | SIM:ESM5 | Buy | 3 | 5948.5 | Aggressive |
| 2025-06-02T15:58:42.395 | SIM:ESM5 | Buy | 2 | 5948.5 | Aggressive |
| 2025-06-02T15:58:37.112 | SIM:ESM5 | Buy | 4 | 5948.5 | Aggressive |
| 2025-06-02T15:58:45.227 | SIM:ESM5 | Buy | 6 | 5948.5 | Aggressive |
| 2025-06-02T15:58:41.428 | SIM:ESM5 | Buy | 11 | 5948.5 | Aggressive |
| 2025-06-02T15:58:36.516 | SIM:ESM5 | Buy | 1 | 5948.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0450
Arrival Price
5,948.8750
Average Total
5,948.7500
Destination Price
5,948.8750
Sweep to Fill
5,948.7050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:58:05.512 | SIM:ESM5 | Sell | 4 | 5948.75 | Aggressive |
| 2025-06-02T15:58:03.021 | SIM:ESM5 | Sell | 24 | 5948.75 | Aggressive |
| 2025-06-02T15:58:00.001 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:57:58.559 | SIM:ESM5 | Sell | 6 | 5948.75 | Aggressive |
| 2025-06-02T15:58:01.512 | SIM:ESM5 | Sell | 4 | 5948.75 | Aggressive |
| 2025-06-02T15:58:01.012 | SIM:ESM5 | Sell | 6 | 5948.75 | Aggressive |
| 2025-06-02T15:57:57.81 | SIM:ESM5 | Sell | 1 | 5948.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0750
Slippage Sweep
-0.1150
Arrival Price
5,949.1250
Average Total
5,949.2000
Destination Price
5,948.8750
Sweep to Fill
5,949.3150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 5 | 5949.25 | Aggressive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 7 | 5949.25 | Aggressive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 1 | 5949 | Aggressive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 1 | 5949 | Passive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 1 | 5949 | Passive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 1 | 5949 | Passive |
| 2025-06-02T15:57:55.867 | SIM:ESM5 | Buy | 5 | 5949.25 | Aggressive |
| 2025-06-02T15:57:57.049 | SIM:ESM5 | Buy | 6 | 5949 | Aggressive |
| 2025-06-02T15:57:54.965 | SIM:ESM5 | Buy | 7 | 5949.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0600
Arrival Price
5,948.8750
Average Total
5,948.7500
Destination Price
5,948.8750
Sweep to Fill
5,948.6900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:57:17.391 | SIM:ESM5 | Sell | 15 | 5948.75 | Aggressive |
| 2025-06-02T15:57:15.712 | SIM:ESM5 | Sell | 2 | 5948.75 | Aggressive |
| 2025-06-02T15:57:10.682 | SIM:ESM5 | Sell | 7 | 5948.75 | Aggressive |
| 2025-06-02T15:57:13.73 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:57:12.712 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:57:11.969 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:57:09.725 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:57:09.033 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:57:08.329 | SIM:ESM5 | Sell | 1 | 5948.75 | Aggressive |