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
0.9700
Slippage Sweep
0.2250
Arrival Price
5,345.8750
Average Total
5,344.9050
Destination Price
5,345.3750
Sweep to Fill
5,345.1300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:52:11.441 | SIM:ESM5 | Sell | 1 | 5345.75 | Passive |
| 2025-04-17T12:52:12.362 | SIM:ESM5 | Sell | 4 | 5345.25 | Aggressive |
| 2025-04-17T12:52:13.239 | SIM:ESM5 | Sell | 1 | 5345.25 | Passive |
| 2025-04-17T12:52:13.239 | SIM:ESM5 | Sell | 1 | 5345.25 | Passive |
| 2025-04-17T12:52:13.239 | SIM:ESM5 | Sell | 1 | 5345.25 | Passive |
| 2025-04-17T12:52:13.414 | SIM:ESM5 | Sell | 4 | 5345 | Aggressive |
| 2025-04-17T12:52:13.415 | SIM:ESM5 | Sell | 3 | 5344.75 | Aggressive |
| 2025-04-17T12:52:14.43 | SIM:ESM5 | Sell | 10 | 5345 | Aggressive |
| 2025-04-17T12:52:18.45 | SIM:ESM5 | Sell | 2 | 5344.75 | Aggressive |
| 2025-04-17T12:52:18.45 | SIM:ESM5 | Sell | 6 | 5344.5 | Aggressive |
| 2025-04-17T12:52:19.457 | SIM:ESM5 | Sell | 10 | 5344.75 | Aggressive |
| 2025-04-17T12:52:19.457 | SIM:ESM5 | Sell | 1 | 5344.5 | Aggressive |
| 2025-04-17T12:52:20.441 | SIM:ESM5 | Sell | 1 | 5344.75 | Aggressive |
| 2025-04-17T12:52:20.521 | SIM:ESM5 | Sell | 2 | 5344.75 | Aggressive |
| 2025-04-17T12:52:22.613 | SIM:ESM5 | Sell | 1 | 5345.25 | Aggressive |
| 2025-04-17T12:52:22.613 | SIM:ESM5 | Sell | 2 | 5345.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8600
Slippage Sweep
0.2900
Arrival Price
5,343.0000
Average Total
5,343.8600
Destination Price
5,343.5000
Sweep to Fill
5,343.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:51:48.943 | SIM:ESM5 | Buy | 5 | 5344 | Aggressive |
| 2025-04-17T12:51:48.943 | SIM:ESM5 | Buy | 1 | 5344 | Aggressive |
| 2025-04-17T12:51:53.012 | SIM:ESM5 | Buy | 1 | 5343.5 | Aggressive |
| 2025-04-17T12:51:53.07 | SIM:ESM5 | Buy | 2 | 5343.5 | Aggressive |
| 2025-04-17T12:51:54.013 | SIM:ESM5 | Buy | 5 | 5343.75 | Aggressive |
| 2025-04-17T12:51:54.013 | SIM:ESM5 | Buy | 1 | 5343.75 | Aggressive |
| 2025-04-17T12:51:55.033 | SIM:ESM5 | Buy | 3 | 5343.75 | Aggressive |
| 2025-04-17T12:51:55.033 | SIM:ESM5 | Buy | 10 | 5344 | Aggressive |
| 2025-04-17T12:51:59.021 | SIM:ESM5 | Buy | 9 | 5344 | Aggressive |
| 2025-04-17T12:52:00.056 | SIM:ESM5 | Buy | 8 | 5343.75 | Aggressive |
| 2025-04-17T12:52:00.056 | SIM:ESM5 | Buy | 5 | 5343.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2000
Slippage Sweep
-0.3450
Arrival Price
5,340.6250
Average Total
5,340.4250
Destination Price
5,341.6250
Sweep to Fill
5,340.0800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:50:54.085 | SIM:ESM5 | Sell | 1 | 5340.5 | Aggressive |
| 2025-04-17T12:50:56.095 | SIM:ESM5 | Sell | 4 | 5340 | Aggressive |
| 2025-04-17T12:50:56.095 | SIM:ESM5 | Sell | 4 | 5339.75 | Aggressive |
| 2025-04-17T12:50:56.095 | SIM:ESM5 | Sell | 2 | 5340 | Aggressive |
| 2025-04-17T12:51:00.171 | SIM:ESM5 | Sell | 6 | 5340.25 | Aggressive |
| 2025-04-17T12:51:04.219 | SIM:ESM5 | Sell | 2 | 5340.25 | Aggressive |
| 2025-04-17T12:51:04.219 | SIM:ESM5 | Sell | 6 | 5340 | Aggressive |
| 2025-04-17T12:51:04.219 | SIM:ESM5 | Sell | 1 | 5340 | Aggressive |
| 2025-04-17T12:51:04.219 | SIM:ESM5 | Sell | 2 | 5340.25 | Aggressive |
| 2025-04-17T12:51:07.196 | SIM:ESM5 | Sell | 7 | 5340 | Aggressive |
| 2025-04-17T12:51:08.222 | SIM:ESM5 | Sell | 9 | 5341.25 | Aggressive |
| 2025-04-17T12:51:08.222 | SIM:ESM5 | Sell | 2 | 5341 | Aggressive |
| 2025-04-17T12:51:09.259 | SIM:ESM5 | Sell | 4 | 5341.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1000
Slippage Sweep
-0.5100
Arrival Price
5,338.5000
Average Total
5,338.4000
Destination Price
5,337.2500
Sweep to Fill
5,337.8900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:50:00.26 | SIM:ESM5 | Sell | 8 | 5337.75 | Aggressive |
| 2025-04-17T12:50:00.26 | SIM:ESM5 | Sell | 2 | 5337.75 | Aggressive |
| 2025-04-17T12:50:00.662 | SIM:ESM5 | Sell | 1 | 5338.5 | Passive |
| 2025-04-17T12:50:03.283 | SIM:ESM5 | Sell | 6 | 5338.75 | Aggressive |
| 2025-04-17T12:50:05.33 | SIM:ESM5 | Sell | 3 | 5339 | Aggressive |
| 2025-04-17T12:50:05.331 | SIM:ESM5 | Sell | 8 | 5338.75 | Aggressive |
| 2025-04-17T12:50:05.331 | SIM:ESM5 | Sell | 1 | 5339 | Passive |
| 2025-04-17T12:50:06.326 | SIM:ESM5 | Sell | 4 | 5339.5 | Aggressive |
| 2025-04-17T12:50:06.327 | SIM:ESM5 | Sell | 1 | 5339.5 | Passive |
| 2025-04-17T12:50:06.327 | SIM:ESM5 | Sell | 1 | 5339.5 | Aggressive |
| 2025-04-17T12:50:07.338 | SIM:ESM5 | Sell | 7 | 5338.5 | Aggressive |
| 2025-04-17T12:50:07.338 | SIM:ESM5 | Sell | 2 | 5338.5 | Aggressive |
| 2025-04-17T12:50:08.339 | SIM:ESM5 | Sell | 5 | 5337 | Aggressive |
| 2025-04-17T12:50:08.339 | SIM:ESM5 | Sell | 1 | 5337 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.6600
Slippage Sweep
-2.2800
Arrival Price
5,340.7500
Average Total
5,339.0900
Destination Price
5,337.6250
Sweep to Fill
5,341.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:49:45.767 | SIM:ESM5 | Buy | 1 | 5340.25 | Passive |
| 2025-04-17T12:49:46.712 | SIM:ESM5 | Buy | 3 | 5339.25 | Aggressive |
| 2025-04-17T12:49:46.712 | SIM:ESM5 | Buy | 13 | 5339.5 | Aggressive |
| 2025-04-17T12:49:46.712 | SIM:ESM5 | Buy | 13 | 5339.75 | Aggressive |
| 2025-04-17T12:49:46.712 | SIM:ESM5 | Buy | 1 | 5340 | Aggressive |
| 2025-04-17T12:49:47.734 | SIM:ESM5 | Buy | 10 | 5338.5 | Aggressive |
| 2025-04-17T12:49:47.734 | SIM:ESM5 | Buy | 2 | 5338.5 | Passive |
| 2025-04-17T12:49:48.719 | SIM:ESM5 | Buy | 5 | 5337.75 | Aggressive |
| 2025-04-17T12:49:48.719 | SIM:ESM5 | Buy | 2 | 5337.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
1.3550
Slippage Sweep
0.6850
Arrival Price
5,341.3750
Average Total
5,342.7300
Destination Price
5,344.1250
Sweep to Fill
5,342.0450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:48:48.817 | SIM:ESM5 | Buy | 1 | 5341.75 | Aggressive |
| 2025-04-17T12:48:49.756 | SIM:ESM5 | Buy | 5 | 5341 | Aggressive |
| 2025-04-17T12:48:49.756 | SIM:ESM5 | Buy | 2 | 5341.25 | Aggressive |
| 2025-04-17T12:48:52.831 | SIM:ESM5 | Buy | 5 | 5342 | Aggressive |
| 2025-04-17T12:48:52.933 | SIM:ESM5 | Buy | 1 | 5342 | Aggressive |
| 2025-04-17T12:48:54.809 | SIM:ESM5 | Buy | 4 | 5342.25 | Aggressive |
| 2025-04-17T12:48:54.809 | SIM:ESM5 | Buy | 2 | 5342.5 | Aggressive |
| 2025-04-17T12:48:55.834 | SIM:ESM5 | Buy | 6 | 5343.25 | Aggressive |
| 2025-04-17T12:48:55.834 | SIM:ESM5 | Buy | 1 | 5343.5 | Aggressive |
| 2025-04-17T12:48:55.834 | SIM:ESM5 | Buy | 3 | 5343.25 | Passive |
| 2025-04-17T12:48:56.85 | SIM:ESM5 | Buy | 8 | 5343 | Aggressive |
| 2025-04-17T12:48:56.912 | SIM:ESM5 | Buy | 4 | 5343 | Aggressive |
| 2025-04-17T12:48:57.912 | SIM:ESM5 | Buy | 1 | 5343.25 | Passive |
| 2025-04-17T12:48:58.913 | SIM:ESM5 | Buy | 1 | 5343.75 | Aggressive |
| 2025-04-17T12:48:59.859 | SIM:ESM5 | Buy | 6 | 5344.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5950
Slippage Sweep
-1.2150
Arrival Price
5,346.2500
Average Total
5,346.8450
Destination Price
5,346.8750
Sweep to Fill
5,345.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:48:00.636 | SIM:ESM5 | Sell | 1 | 5346.25 | Aggressive |
| 2025-04-17T12:48:01.616 | SIM:ESM5 | Sell | 2 | 5346.25 | Aggressive |
| 2025-04-17T12:48:01.616 | SIM:ESM5 | Sell | 1 | 5346 | Aggressive |
| 2025-04-17T12:48:02.638 | SIM:ESM5 | Sell | 6 | 5346.5 | Aggressive |
| 2025-04-17T12:48:02.638 | SIM:ESM5 | Sell | 3 | 5346.25 | Aggressive |
| 2025-04-17T12:48:02.639 | SIM:ESM5 | Sell | 4 | 5346.5 | Passive |
| 2025-04-17T12:48:03.721 | SIM:ESM5 | Sell | 5 | 5347.25 | Aggressive |
| 2025-04-17T12:48:03.721 | SIM:ESM5 | Sell | 4 | 5347 | Aggressive |
| 2025-04-17T12:48:03.721 | SIM:ESM5 | Sell | 3 | 5347.25 | Aggressive |
| 2025-04-17T12:48:04.714 | SIM:ESM5 | Sell | 7 | 5347.25 | Aggressive |
| 2025-04-17T12:48:04.714 | SIM:ESM5 | Sell | 3 | 5347 | Aggressive |
| 2025-04-17T12:48:04.714 | SIM:ESM5 | Sell | 4 | 5347.25 | Passive |
| 2025-04-17T12:48:05.713 | SIM:ESM5 | Sell | 6 | 5346.75 | Aggressive |
| 2025-04-17T12:48:05.713 | SIM:ESM5 | Sell | 1 | 5346.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0950
Slippage Sweep
-0.6550
Arrival Price
5,346.7500
Average Total
5,346.6550
Destination Price
5,345.6250
Sweep to Fill
5,347.3100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:47:40.065 | SIM:ESM5 | Buy | 1 | 5346.75 | Aggressive |
| 2025-04-17T12:47:41.251 | SIM:ESM5 | Buy | 5 | 5347.25 | Aggressive |
| 2025-04-17T12:47:41.251 | SIM:ESM5 | Buy | 1 | 5347.25 | Passive |
| 2025-04-17T12:47:42.047 | SIM:ESM5 | Buy | 8 | 5347.25 | Aggressive |
| 2025-04-17T12:47:42.047 | SIM:ESM5 | Buy | 4 | 5347.25 | Passive |
| 2025-04-17T12:47:48.193 | SIM:ESM5 | Buy | 1 | 5346.5 | Passive |
| 2025-04-17T12:47:49.109 | SIM:ESM5 | Buy | 8 | 5346.5 | Aggressive |
| 2025-04-17T12:47:49.109 | SIM:ESM5 | Buy | 1 | 5346.75 | Aggressive |
| 2025-04-17T12:47:49.109 | SIM:ESM5 | Buy | 4 | 5346.5 | Passive |
| 2025-04-17T12:47:52.246 | SIM:ESM5 | Buy | 2 | 5346.5 | Aggressive |
| 2025-04-17T12:47:53.147 | SIM:ESM5 | Buy | 8 | 5346.25 | Aggressive |
| 2025-04-17T12:47:53.219 | SIM:ESM5 | Buy | 2 | 5346.25 | Aggressive |
| 2025-04-17T12:47:54.162 | SIM:ESM5 | Buy | 5 | 5345.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5300
Slippage Sweep
-1.0150
Arrival Price
5,341.6250
Average Total
5,342.1550
Destination Price
5,343.0000
Sweep to Fill
5,341.1400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:46:58.613 | SIM:ESM5 | Sell | 2 | 5342 | Aggressive |
| 2025-04-17T12:46:59.531 | SIM:ESM5 | Sell | 5 | 5342 | Aggressive |
| 2025-04-17T12:46:59.531 | SIM:ESM5 | Sell | 2 | 5341.75 | Aggressive |
| 2025-04-17T12:47:00.684 | SIM:ESM5 | Sell | 10 | 5342.25 | Aggressive |
| 2025-04-17T12:47:00.684 | SIM:ESM5 | Sell | 8 | 5342 | Aggressive |
| 2025-04-17T12:47:01.569 | SIM:ESM5 | Sell | 9 | 5342 | Aggressive |
| 2025-04-17T12:47:01.569 | SIM:ESM5 | Sell | 4 | 5342 | Passive |
| 2025-04-17T12:47:02.566 | SIM:ESM5 | Sell | 2 | 5342.25 | Aggressive |
| 2025-04-17T12:47:02.612 | SIM:ESM5 | Sell | 1 | 5342.5 | Passive |
| 2025-04-17T12:47:02.612 | SIM:ESM5 | Sell | 1 | 5342.5 | Passive |
| 2025-04-17T12:47:02.612 | SIM:ESM5 | Sell | 1 | 5342.5 | Aggressive |
| 2025-04-17T12:47:03.613 | SIM:ESM5 | Sell | 5 | 5342.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4450
Slippage Sweep
-1.0400
Arrival Price
5,337.5000
Average Total
5,337.9450
Destination Price
5,338.5000
Sweep to Fill
5,336.9050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:46:04.522 | SIM:ESM5 | Sell | 1 | 5337.25 | Aggressive |
| 2025-04-17T12:46:06.413 | SIM:ESM5 | Sell | 2 | 5337 | Aggressive |
| 2025-04-17T12:46:06.442 | SIM:ESM5 | Sell | 1 | 5337.25 | Passive |
| 2025-04-17T12:46:06.443 | SIM:ESM5 | Sell | 1 | 5337.25 | Passive |
| 2025-04-17T12:46:08.43 | SIM:ESM5 | Sell | 5 | 5337.5 | Aggressive |
| 2025-04-17T12:46:08.434 | SIM:ESM5 | Sell | 1 | 5337.5 | Aggressive |
| 2025-04-17T12:46:10.43 | SIM:ESM5 | Sell | 11 | 5338 | Aggressive |
| 2025-04-17T12:46:10.46 | SIM:ESM5 | Sell | 2 | 5338 | Aggressive |
| 2025-04-17T12:46:11.429 | SIM:ESM5 | Sell | 9 | 5338.25 | Aggressive |
| 2025-04-17T12:46:11.429 | SIM:ESM5 | Sell | 8 | 5338 | Aggressive |
| 2025-04-17T12:46:12.519 | SIM:ESM5 | Sell | 1 | 5338.25 | Passive |
| 2025-04-17T12:46:12.519 | SIM:ESM5 | Sell | 1 | 5338.25 | Passive |
| 2025-04-17T12:46:12.519 | SIM:ESM5 | Sell | 2 | 5338.25 | Passive |
| 2025-04-17T12:46:12.519 | SIM:ESM5 | Sell | 1 | 5338.25 | Passive |
| 2025-04-17T12:46:14.614 | SIM:ESM5 | Sell | 4 | 5338.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.9850
Slippage Sweep
0.6650
Arrival Price
5,333.3750
Average Total
5,334.3600
Destination Price
5,335.1250
Sweep to Fill
5,333.6950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:45:47.056 | SIM:ESM5 | Buy | 1 | 5333.25 | Aggressive |
| 2025-04-17T12:45:48.074 | SIM:ESM5 | Buy | 3 | 5333.5 | Aggressive |
| 2025-04-17T12:45:49.112 | SIM:ESM5 | Buy | 7 | 5333.5 | Aggressive |
| 2025-04-17T12:45:51.124 | SIM:ESM5 | Buy | 7 | 5334.25 | Aggressive |
| 2025-04-17T12:45:52.117 | SIM:ESM5 | Buy | 12 | 5334.5 | Aggressive |
| 2025-04-17T12:45:52.117 | SIM:ESM5 | Buy | 4 | 5334.75 | Aggressive |
| 2025-04-17T12:45:52.117 | SIM:ESM5 | Buy | 3 | 5334.5 | Aggressive |
| 2025-04-17T12:45:53.127 | SIM:ESM5 | Buy | 7 | 5334.75 | Aggressive |
| 2025-04-17T12:45:53.127 | SIM:ESM5 | Buy | 5 | 5335 | Aggressive |
| 2025-04-17T12:45:54.142 | SIM:ESM5 | Buy | 1 | 5335.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4450
Slippage Sweep
-0.8450
Arrival Price
5,332.6250
Average Total
5,332.1800
Destination Price
5,331.6250
Sweep to Fill
5,333.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:44:54.112 | SIM:ESM5 | Buy | 1 | 5332.5 | Aggressive |
| 2025-04-17T12:44:55.057 | SIM:ESM5 | Buy | 3 | 5332.5 | Aggressive |
| 2025-04-17T12:44:56.066 | SIM:ESM5 | Buy | 5 | 5332.5 | Aggressive |
| 2025-04-17T12:44:57.128 | SIM:ESM5 | Buy | 3 | 5332.5 | Aggressive |
| 2025-04-17T12:44:58.112 | SIM:ESM5 | Buy | 5 | 5332 | Aggressive |
| 2025-04-17T12:44:58.112 | SIM:ESM5 | Buy | 5 | 5332.25 | Aggressive |
| 2025-04-17T12:44:59.121 | SIM:ESM5 | Buy | 3 | 5332 | Aggressive |
| 2025-04-17T12:44:59.121 | SIM:ESM5 | Buy | 12 | 5332.25 | Aggressive |
| 2025-04-17T12:45:00.121 | SIM:ESM5 | Buy | 5 | 5331.75 | Aggressive |
| 2025-04-17T12:45:00.121 | SIM:ESM5 | Buy | 8 | 5332 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.6400
Slippage Sweep
-1.2650
Arrival Price
5,330.6250
Average Total
5,331.2650
Destination Price
5,332.0000
Sweep to Fill
5,330.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:44:13.751 | SIM:ESM5 | Sell | 2 | 5331 | Aggressive |
| 2025-04-17T12:44:14.76 | SIM:ESM5 | Sell | 14 | 5331 | Aggressive |
| 2025-04-17T12:44:15.812 | SIM:ESM5 | Sell | 16 | 5331.25 | Aggressive |
| 2025-04-17T12:44:15.812 | SIM:ESM5 | Sell | 2 | 5331.25 | Aggressive |
| 2025-04-17T12:44:16.781 | SIM:ESM5 | Sell | 9 | 5331.5 | Aggressive |
| 2025-04-17T12:44:16.782 | SIM:ESM5 | Sell | 4 | 5331.5 | Passive |
| 2025-04-17T12:44:17.813 | SIM:ESM5 | Sell | 3 | 5331.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.2250
Slippage Sweep
-0.6950
Arrival Price
5,329.6250
Average Total
5,329.4000
Destination Price
5,328.8750
Sweep to Fill
5,330.0950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:44:01.053 | SIM:ESM5 | Buy | 1 | 5329.5 | Aggressive |
| 2025-04-17T12:44:02.112 | SIM:ESM5 | Buy | 5 | 5329.5 | Aggressive |
| 2025-04-17T12:44:03.112 | SIM:ESM5 | Buy | 7 | 5329.5 | Aggressive |
| 2025-04-17T12:44:04.112 | SIM:ESM5 | Buy | 3 | 5329.5 | Aggressive |
| 2025-04-17T12:44:05.147 | SIM:ESM5 | Buy | 8 | 5329.5 | Aggressive |
| 2025-04-17T12:44:05.147 | SIM:ESM5 | Buy | 1 | 5329.5 | Aggressive |
| 2025-04-17T12:44:06.136 | SIM:ESM5 | Buy | 11 | 5329.5 | Aggressive |
| 2025-04-17T12:44:06.136 | SIM:ESM5 | Buy | 4 | 5329.5 | Aggressive |
| 2025-04-17T12:44:07.145 | SIM:ESM5 | Buy | 10 | 5329 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4200
Slippage Sweep
-0.8100
Arrival Price
5,328.1250
Average Total
5,327.7050
Destination Price
5,326.6250
Sweep to Fill
5,328.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:42:11.961 | SIM:ESM5 | Buy | 1 | 5328 | Aggressive |
| 2025-04-17T12:42:13.854 | SIM:ESM5 | Buy | 2 | 5328 | Aggressive |
| 2025-04-17T12:42:13.855 | SIM:ESM5 | Buy | 7 | 5328 | Aggressive |
| 2025-04-17T12:42:14.844 | SIM:ESM5 | Buy | 2 | 5328.5 | Aggressive |
| 2025-04-17T12:42:16.899 | SIM:ESM5 | Buy | 2 | 5328 | Aggressive |
| 2025-04-17T12:42:17.863 | SIM:ESM5 | Buy | 10 | 5327.75 | Aggressive |
| 2025-04-17T12:42:17.968 | SIM:ESM5 | Buy | 1 | 5327.5 | Passive |
| 2025-04-17T12:42:17.968 | SIM:ESM5 | Buy | 1 | 5327.5 | Aggressive |
| 2025-04-17T12:42:18.912 | SIM:ESM5 | Buy | 12 | 5327.75 | Aggressive |
| 2025-04-17T12:42:19.013 | SIM:ESM5 | Buy | 4 | 5327.75 | Aggressive |
| 2025-04-17T12:42:19.913 | SIM:ESM5 | Buy | 1 | 5327 | Aggressive |
| 2025-04-17T12:42:19.913 | SIM:ESM5 | Buy | 6 | 5327 | Aggressive |
| 2025-04-17T12:42:20.938 | SIM:ESM5 | Buy | 1 | 5326.75 | Aggressive |