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
1.4800
Slippage Sweep
1.1350
Arrival Price
5,357.6250
Average Total
5,356.1450
Destination Price
5,356.6250
Sweep to Fill
5,357.2800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:22:26.458 | SIM:ESM5 | Sell | 1 | 5357.25 | Aggressive |
| 2025-04-17T13:22:27.462 | SIM:ESM5 | Sell | 11 | 5355.75 | Aggressive |
| 2025-04-17T13:22:27.462 | SIM:ESM5 | Sell | 2 | 5355.5 | Aggressive |
| 2025-04-17T13:22:28.633 | SIM:ESM5 | Sell | 1 | 5356 | Aggressive |
| 2025-04-17T13:22:28.633 | SIM:ESM5 | Sell | 12 | 5355.75 | Aggressive |
| 2025-04-17T13:22:29.535 | SIM:ESM5 | Sell | 7 | 5356.75 | Aggressive |
| 2025-04-17T13:22:29.535 | SIM:ESM5 | Sell | 6 | 5356.5 | Aggressive |
| 2025-04-17T13:22:30.529 | SIM:ESM5 | Sell | 8 | 5356.5 | Aggressive |
| 2025-04-17T13:22:30.529 | SIM:ESM5 | Sell | 2 | 5356.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2350
Slippage Sweep
-0.3600
Arrival Price
5,354.7500
Average Total
5,354.5150
Destination Price
5,355.2500
Sweep to Fill
5,354.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:12:09.241 | SIM:ESM5 | Sell | 1 | 5354.5 | Aggressive |
| 2025-04-17T13:12:10.316 | SIM:ESM5 | Sell | 4 | 5354 | Aggressive |
| 2025-04-17T13:12:10.316 | SIM:ESM5 | Sell | 2 | 5353.75 | Aggressive |
| 2025-04-17T13:12:11.352 | SIM:ESM5 | Sell | 12 | 5353.75 | Aggressive |
| 2025-04-17T13:12:11.353 | SIM:ESM5 | Sell | 2 | 5353.75 | Aggressive |
| 2025-04-17T13:12:12.423 | SIM:ESM5 | Sell | 2 | 5354 | Aggressive |
| 2025-04-17T13:12:16.419 | SIM:ESM5 | Sell | 9 | 5355.25 | Aggressive |
| 2025-04-17T13:12:17.518 | SIM:ESM5 | Sell | 1 | 5355 | Aggressive |
| 2025-04-17T13:12:17.518 | SIM:ESM5 | Sell | 17 | 5355 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0200
Slippage Sweep
-0.5200
Arrival Price
5,353.6250
Average Total
5,353.6050
Destination Price
5,353.0000
Sweep to Fill
5,354.1250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:11:44.654 | SIM:ESM5 | Buy | 5 | 5354 | Aggressive |
| 2025-04-17T13:11:45.676 | SIM:ESM5 | Buy | 4 | 5354 | Aggressive |
| 2025-04-17T13:11:45.676 | SIM:ESM5 | Buy | 2 | 5354 | Aggressive |
| 2025-04-17T13:11:45.676 | SIM:ESM5 | Buy | 2 | 5354 | Aggressive |
| 2025-04-17T13:11:47.813 | SIM:ESM5 | Buy | 2 | 5354.25 | Aggressive |
| 2025-04-17T13:11:47.813 | SIM:ESM5 | Buy | 10 | 5354.5 | Aggressive |
| 2025-04-17T13:11:48.769 | SIM:ESM5 | Buy | 7 | 5354.25 | Aggressive |
| 2025-04-17T13:11:50.724 | SIM:ESM5 | Buy | 3 | 5352.25 | Aggressive |
| 2025-04-17T13:11:50.724 | SIM:ESM5 | Buy | 8 | 5352.5 | Aggressive |
| 2025-04-17T13:11:50.724 | SIM:ESM5 | Buy | 3 | 5352.25 | Aggressive |
| 2025-04-17T13:11:50.724 | SIM:ESM5 | Buy | 2 | 5352.5 | Aggressive |
| 2025-04-17T13:11:51.73 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
| 2025-04-17T13:11:51.73 | SIM:ESM5 | Buy | 1 | 5353.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3750
Slippage Sweep
-0.9250
Arrival Price
5,354.6250
Average Total
5,355.0000
Destination Price
5,354.1250
Sweep to Fill
5,354.0750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:08:52.955 | SIM:ESM5 | Sell | 6 | 5355.25 | Aggressive |
| 2025-04-17T13:08:52.955 | SIM:ESM5 | Sell | 13 | 5355 | Aggressive |
| 2025-04-17T13:08:52.955 | SIM:ESM5 | Sell | 2 | 5355.25 | Aggressive |
| 2025-04-17T13:08:59.012 | SIM:ESM5 | Sell | 5 | 5354.75 | Aggressive |
| 2025-04-17T13:09:00.021 | SIM:ESM5 | Sell | 10 | 5355 | Aggressive |
| 2025-04-17T13:09:00.021 | SIM:ESM5 | Sell | 3 | 5354.75 | Aggressive |
| 2025-04-17T13:09:01.026 | SIM:ESM5 | Sell | 6 | 5355 | Aggressive |
| 2025-04-17T13:09:01.226 | SIM:ESM5 | Sell | 1 | 5355.25 | Passive |
| 2025-04-17T13:09:01.226 | SIM:ESM5 | Sell | 1 | 5355.25 | Passive |
| 2025-04-17T13:09:01.226 | SIM:ESM5 | Sell | 2 | 5355.25 | Passive |
| 2025-04-17T13:09:03.112 | SIM:ESM5 | Sell | 1 | 5354 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2900
Slippage Sweep
-0.3200
Arrival Price
5,351.1250
Average Total
5,350.8350
Destination Price
5,351.6250
Sweep to Fill
5,350.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:07:52.954 | SIM:ESM5 | Sell | 1 | 5351 | Aggressive |
| 2025-04-17T13:07:54.13 | SIM:ESM5 | Sell | 1 | 5351.25 | Passive |
| 2025-04-17T13:07:54.13 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
| 2025-04-17T13:07:54.912 | SIM:ESM5 | Sell | 2 | 5351.25 | Aggressive |
| 2025-04-17T13:07:55.897 | SIM:ESM5 | Sell | 3 | 5351.25 | Aggressive |
| 2025-04-17T13:07:56.895 | SIM:ESM5 | Sell | 9 | 5350.75 | Aggressive |
| 2025-04-17T13:07:56.895 | SIM:ESM5 | Sell | 2 | 5350.75 | Passive |
| 2025-04-17T13:07:57.919 | SIM:ESM5 | Sell | 3 | 5350.75 | Aggressive |
| 2025-04-17T13:08:00.013 | SIM:ESM5 | Sell | 6 | 5350.75 | Aggressive |
| 2025-04-17T13:08:00.013 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T13:08:01.312 | SIM:ESM5 | Sell | 2 | 5350.5 | Aggressive |
| 2025-04-17T13:08:03.012 | SIM:ESM5 | Sell | 10 | 5350.5 | Aggressive |
| 2025-04-17T13:08:03.042 | SIM:ESM5 | Sell | 1 | 5350.75 | Passive |
| 2025-04-17T13:08:03.042 | SIM:ESM5 | Sell | 1 | 5350.75 | Aggressive |
| 2025-04-17T13:08:03.042 | SIM:ESM5 | Sell | 1 | 5350.5 | Aggressive |
| 2025-04-17T13:08:05.025 | SIM:ESM5 | Sell | 3 | 5351.5 | Aggressive |
| 2025-04-17T13:08:05.025 | SIM:ESM5 | Sell | 3 | 5351.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2200
Slippage Sweep
-0.8200
Arrival Price
5,351.8750
Average Total
5,351.6550
Destination Price
5,351.2500
Sweep to Fill
5,352.4750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:07:32.826 | SIM:ESM5 | Buy | 1 | 5352.25 | Aggressive |
| 2025-04-17T13:07:33.834 | SIM:ESM5 | Buy | 1 | 5352 | Aggressive |
| 2025-04-17T13:07:34.869 | SIM:ESM5 | Buy | 6 | 5352.5 | Aggressive |
| 2025-04-17T13:07:34.869 | SIM:ESM5 | Buy | 3 | 5352.75 | Aggressive |
| 2025-04-17T13:07:38.831 | SIM:ESM5 | Buy | 10 | 5351.25 | Aggressive |
| 2025-04-17T13:07:38.831 | SIM:ESM5 | Buy | 1 | 5351.25 | Aggressive |
| 2025-04-17T13:07:38.831 | SIM:ESM5 | Buy | 2 | 5351.25 | Aggressive |
| 2025-04-17T13:07:39.934 | SIM:ESM5 | Buy | 13 | 5351.5 | Aggressive |
| 2025-04-17T13:07:39.934 | SIM:ESM5 | Buy | 2 | 5351.5 | Passive |
| 2025-04-17T13:07:40.912 | SIM:ESM5 | Buy | 9 | 5351.5 | Aggressive |
| 2025-04-17T13:07:40.912 | SIM:ESM5 | Buy | 2 | 5351.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.1500
Slippage Sweep
0.5400
Arrival Price
5,352.8750
Average Total
5,351.7250
Destination Price
5,351.3750
Sweep to Fill
5,352.2650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:06:13.248 | SIM:ESM5 | Sell | 1 | 5352.5 | Aggressive |
| 2025-04-17T13:06:14.252 | SIM:ESM5 | Sell | 11 | 5352 | Aggressive |
| 2025-04-17T13:06:14.252 | SIM:ESM5 | Sell | 3 | 5352 | Aggressive |
| 2025-04-17T13:06:15.263 | SIM:ESM5 | Sell | 5 | 5351.75 | Aggressive |
| 2025-04-17T13:06:15.263 | SIM:ESM5 | Sell | 4 | 5351.5 | Aggressive |
| 2025-04-17T13:06:18.312 | SIM:ESM5 | Sell | 8 | 5351.75 | Aggressive |
| 2025-04-17T13:06:19.357 | SIM:ESM5 | Sell | 8 | 5351.75 | Aggressive |
| 2025-04-17T13:06:19.357 | SIM:ESM5 | Sell | 1 | 5351.75 | Passive |
| 2025-04-17T13:06:20.326 | SIM:ESM5 | Sell | 8 | 5351.25 | Aggressive |
| 2025-04-17T13:06:20.326 | SIM:ESM5 | Sell | 1 | 5351.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.6750
Slippage Sweep
0.2500
Arrival Price
5,342.5000
Average Total
5,343.1750
Destination Price
5,343.1250
Sweep to Fill
5,342.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:03:13.038 | SIM:ESM5 | Buy | 2 | 5342.75 | Aggressive |
| 2025-04-17T13:03:13.744 | SIM:ESM5 | Buy | 20 | 5343.25 | Aggressive |
| 2025-04-17T13:03:13.744 | SIM:ESM5 | Buy | 9 | 5343.25 | Passive |
| 2025-04-17T13:03:19.812 | SIM:ESM5 | Buy | 7 | 5343 | Aggressive |
| 2025-04-17T13:03:19.853 | SIM:ESM5 | Buy | 5 | 5343 | Aggressive |
| 2025-04-17T13:03:23.817 | SIM:ESM5 | Buy | 6 | 5343.25 | Aggressive |
| 2025-04-17T13:03:23.817 | SIM:ESM5 | Buy | 1 | 5343.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2650
Slippage Sweep
-0.9150
Arrival Price
5,344.3750
Average Total
5,344.6400
Destination Price
5,345.2500
Sweep to Fill
5,343.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:01:22.113 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T13:01:23.059 | SIM:ESM5 | Sell | 1 | 5344.25 | Aggressive |
| 2025-04-17T13:01:24.056 | SIM:ESM5 | Sell | 1 | 5344.25 | Aggressive |
| 2025-04-17T13:01:25.212 | SIM:ESM5 | Sell | 2 | 5344.25 | Aggressive |
| 2025-04-17T13:01:26.075 | SIM:ESM5 | Sell | 1 | 5344.5 | Aggressive |
| 2025-04-17T13:01:26.768 | SIM:ESM5 | Sell | 2 | 5344.5 | Aggressive |
| 2025-04-17T13:01:27.136 | SIM:ESM5 | Sell | 5 | 5344.5 | Aggressive |
| 2025-04-17T13:01:28.092 | SIM:ESM5 | Sell | 4 | 5344.5 | Aggressive |
| 2025-04-17T13:01:28.092 | SIM:ESM5 | Sell | 2 | 5344.5 | Aggressive |
| 2025-04-17T13:01:29.134 | SIM:ESM5 | Sell | 10 | 5345 | Aggressive |
| 2025-04-17T13:01:29.134 | SIM:ESM5 | Sell | 14 | 5344.75 | Aggressive |
| 2025-04-17T13:01:29.134 | SIM:ESM5 | Sell | 7 | 5344.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.5850
Arrival Price
5,343.1250
Average Total
5,343.1400
Destination Price
5,343.7500
Sweep to Fill
5,343.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:01:02.626 | SIM:ESM5 | Buy | 1 | 5342.75 | Aggressive |
| 2025-04-17T13:01:03.641 | SIM:ESM5 | Buy | 10 | 5342.5 | Aggressive |
| 2025-04-17T13:01:03.972 | SIM:ESM5 | Buy | 1 | 5342.5 | Aggressive |
| 2025-04-17T13:01:04.647 | SIM:ESM5 | Buy | 13 | 5342.75 | Aggressive |
| 2025-04-17T13:01:04.765 | SIM:ESM5 | Buy | 9 | 5343 | Aggressive |
| 2025-04-17T13:01:07.683 | SIM:ESM5 | Buy | 12 | 5344 | Aggressive |
| 2025-04-17T13:01:07.683 | SIM:ESM5 | Buy | 2 | 5344 | Aggressive |
| 2025-04-17T13:01:07.683 | SIM:ESM5 | Buy | 2 | 5344 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.7200
Slippage Sweep
0.1850
Arrival Price
5,341.6250
Average Total
5,340.9050
Destination Price
5,340.7500
Sweep to Fill
5,341.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T13:00:11.278 | SIM:ESM5 | Sell | 1 | 5341.5 | Aggressive |
| 2025-04-17T13:00:12.271 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T13:00:12.271 | SIM:ESM5 | Sell | 1 | 5341.25 | Aggressive |
| 2025-04-17T13:00:13.312 | SIM:ESM5 | Sell | 2 | 5341.25 | Aggressive |
| 2025-04-17T13:00:14.337 | SIM:ESM5 | Sell | 1 | 5341.25 | Aggressive |
| 2025-04-17T13:00:14.337 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T13:00:15.331 | SIM:ESM5 | Sell | 1 | 5341.25 | Aggressive |
| 2025-04-17T13:00:15.331 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T13:00:17.334 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T13:00:17.334 | SIM:ESM5 | Sell | 1 | 5341.25 | Aggressive |
| 2025-04-17T13:00:18.35 | SIM:ESM5 | Sell | 3 | 5341.25 | Aggressive |
| 2025-04-17T13:00:18.35 | SIM:ESM5 | Sell | 1 | 5341.25 | Aggressive |
| 2025-04-17T13:00:20.417 | SIM:ESM5 | Sell | 3 | 5341 | Aggressive |
| 2025-04-17T13:00:20.417 | SIM:ESM5 | Sell | 5 | 5340.75 | Aggressive |
| 2025-04-17T13:00:21.513 | SIM:ESM5 | Sell | 14 | 5340.5 | Aggressive |
| 2025-04-17T13:00:21.513 | SIM:ESM5 | Sell | 5 | 5340.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2950
Slippage Sweep
-0.8100
Arrival Price
5,343.5000
Average Total
5,343.7950
Destination Price
5,344.1250
Sweep to Fill
5,342.9850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:58:38.374 | SIM:ESM5 | Sell | 1 | 5343.25 | Aggressive |
| 2025-04-17T12:58:39.618 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:58:39.618 | SIM:ESM5 | Sell | 8 | 5343.75 | Aggressive |
| 2025-04-17T12:58:40.412 | SIM:ESM5 | Sell | 2 | 5343.75 | Aggressive |
| 2025-04-17T12:58:41.412 | SIM:ESM5 | Sell | 9 | 5343.75 | Aggressive |
| 2025-04-17T12:58:41.412 | SIM:ESM5 | Sell | 3 | 5343.5 | Aggressive |
| 2025-04-17T12:58:42.412 | SIM:ESM5 | Sell | 5 | 5344 | Aggressive |
| 2025-04-17T12:58:42.412 | SIM:ESM5 | Sell | 10 | 5343.75 | Aggressive |
| 2025-04-17T12:58:43.425 | SIM:ESM5 | Sell | 2 | 5344 | Aggressive |
| 2025-04-17T12:58:43.425 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:58:44.415 | SIM:ESM5 | Sell | 1 | 5343.75 | Aggressive |
| 2025-04-17T12:58:44.415 | SIM:ESM5 | Sell | 2 | 5343.75 | Aggressive |
| 2025-04-17T12:58:48.437 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:58:48.437 | SIM:ESM5 | Sell | 4 | 5344 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9050
Slippage Sweep
0.3850
Arrival Price
5,344.8750
Average Total
5,345.7800
Destination Price
5,346.2500
Sweep to Fill
5,345.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:57:22.124 | SIM:ESM5 | Buy | 1 | 5345 | Aggressive |
| 2025-04-17T12:57:23.136 | SIM:ESM5 | Buy | 5 | 5345.5 | Aggressive |
| 2025-04-17T12:57:23.136 | SIM:ESM5 | Buy | 4 | 5345.75 | Aggressive |
| 2025-04-17T12:57:23.136 | SIM:ESM5 | Buy | 1 | 5345.5 | Aggressive |
| 2025-04-17T12:57:27.241 | SIM:ESM5 | Buy | 2 | 5344.75 | Aggressive |
| 2025-04-17T12:57:28.258 | SIM:ESM5 | Buy | 5 | 5345.5 | Aggressive |
| 2025-04-17T12:57:28.258 | SIM:ESM5 | Buy | 4 | 5345.75 | Aggressive |
| 2025-04-17T12:57:28.258 | SIM:ESM5 | Buy | 2 | 5345.5 | Aggressive |
| 2025-04-17T12:57:29.263 | SIM:ESM5 | Buy | 6 | 5345.75 | Aggressive |
| 2025-04-17T12:57:30.231 | SIM:ESM5 | Buy | 11 | 5346 | Aggressive |
| 2025-04-17T12:57:30.231 | SIM:ESM5 | Buy | 4 | 5346 | Passive |
| 2025-04-17T12:57:31.28 | SIM:ESM5 | Buy | 5 | 5346.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4600
Slippage Sweep
-0.1650
Arrival Price
5,346.3750
Average Total
5,345.9150
Destination Price
5,345.7500
Sweep to Fill
5,345.7500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:54:31.438 | SIM:ESM5 | Sell | 1 | 5346 | Aggressive |
| 2025-04-17T12:54:32.422 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T12:54:33.512 | SIM:ESM5 | Sell | 3 | 5346.25 | Aggressive |
| 2025-04-17T12:54:34.712 | SIM:ESM5 | Sell | 2 | 5346.25 | Aggressive |
| 2025-04-17T12:54:35.614 | SIM:ESM5 | Sell | 3 | 5346.25 | Aggressive |
| 2025-04-17T12:54:37.532 | SIM:ESM5 | Sell | 2 | 5346.25 | Aggressive |
| 2025-04-17T12:54:38.512 | SIM:ESM5 | Sell | 3 | 5346.25 | Aggressive |
| 2025-04-17T12:54:39.512 | SIM:ESM5 | Sell | 3 | 5346.5 | Aggressive |
| 2025-04-17T12:54:39.512 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T12:54:41.512 | SIM:ESM5 | Sell | 2 | 5346 | Aggressive |
| 2025-04-17T12:54:41.512 | SIM:ESM5 | Sell | 1 | 5345.75 | Aggressive |
| 2025-04-17T12:54:42.533 | SIM:ESM5 | Sell | 8 | 5345.75 | Aggressive |
| 2025-04-17T12:54:44.533 | SIM:ESM5 | Sell | 2 | 5345.75 | Aggressive |
| 2025-04-17T12:54:44.533 | SIM:ESM5 | Sell | 7 | 5345.5 | Aggressive |
| 2025-04-17T12:54:45.552 | SIM:ESM5 | Sell | 6 | 5345.75 | Aggressive |
| 2025-04-17T12:54:45.552 | SIM:ESM5 | Sell | 3 | 5345.75 | Passive |
| 2025-04-17T12:54:47.636 | SIM:ESM5 | Sell | 1 | 5345.5 | Aggressive |
| 2025-04-17T12:54:47.636 | SIM:ESM5 | Sell | 1 | 5345.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2650
Slippage Sweep
-0.8600
Arrival Price
5,348.1250
Average Total
5,347.8600
Destination Price
5,347.1250
Sweep to Fill
5,348.7200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:54:04.828 | SIM:ESM5 | Buy | 1 | 5348.5 | Aggressive |
| 2025-04-17T12:54:05.846 | SIM:ESM5 | Buy | 3 | 5348.5 | Aggressive |
| 2025-04-17T12:54:05.846 | SIM:ESM5 | Buy | 1 | 5348.75 | Aggressive |
| 2025-04-17T12:54:06.842 | SIM:ESM5 | Buy | 4 | 5348.5 | Aggressive |
| 2025-04-17T12:54:07.857 | SIM:ESM5 | Buy | 2 | 5348 | Aggressive |
| 2025-04-17T12:54:07.857 | SIM:ESM5 | Buy | 2 | 5348 | Aggressive |
| 2025-04-17T12:54:08.851 | SIM:ESM5 | Buy | 12 | 5347.75 | Aggressive |
| 2025-04-17T12:54:09.866 | SIM:ESM5 | Buy | 10 | 5347.75 | Aggressive |
| 2025-04-17T12:54:09.866 | SIM:ESM5 | Buy | 3 | 5348 | Aggressive |
| 2025-04-17T12:54:10.921 | SIM:ESM5 | Buy | 10 | 5347.5 | Aggressive |
| 2025-04-17T12:54:10.921 | SIM:ESM5 | Buy | 1 | 5347.5 | Aggressive |
| 2025-04-17T12:54:11.912 | SIM:ESM5 | Buy | 1 | 5347.25 | Aggressive |