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
0.1100
Slippage Sweep
-0.0350
Arrival Price
5,949.1250
Average Total
5,949.2350
Destination Price
5,948.8750
Sweep to Fill
5,949.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:56:47.675 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:56:45.943 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:57:07.284 | SIM:ESM5 | Buy | 3 | 5949 | Aggressive |
| 2025-06-02T15:56:49.987 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:56:46.976 | SIM:ESM5 | Buy | 6 | 5949.25 | Aggressive |
| 2025-06-02T15:56:44.76 | SIM:ESM5 | Buy | 7 | 5949.25 | Aggressive |
| 2025-06-02T15:56:43.762 | SIM:ESM5 | Buy | 7 | 5949.25 | Aggressive |
| 2025-06-02T15:56:43.212 | SIM:ESM5 | Buy | 8 | 5949.25 | Aggressive |
| 2025-06-02T15:56:43.212 | SIM:ESM5 | Buy | 1 | 5949.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.4300
Slippage Sweep
0.2400
Arrival Price
5,949.8750
Average Total
5,949.4450
Destination Price
5,949.3750
Sweep to Fill
5,949.6850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:56:06.582 | SIM:ESM5 | Sell | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:56:04.558 | SIM:ESM5 | Sell | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:56:04.558 | SIM:ESM5 | Sell | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:56:02.382 | SIM:ESM5 | Sell | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:56:00.613 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:56:00.312 | SIM:ESM5 | Sell | 2 | 5949.75 | Aggressive |
| 2025-06-02T15:55:56.57 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:56:11.327 | SIM:ESM5 | Sell | 20 | 5949.25 | Aggressive |
| 2025-06-02T15:55:54.95 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:56:09.586 | SIM:ESM5 | Sell | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:56:06.054 | SIM:ESM5 | Sell | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:56:01.381 | SIM:ESM5 | Sell | 10 | 5949.5 | Aggressive |
| 2025-06-02T15:55:58.542 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:55:55.442 | SIM:ESM5 | Sell | 2 | 5949.75 | Aggressive |
| 2025-06-02T15:55:53.46 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1800
Slippage Sweep
-0.1400
Arrival Price
5,949.8750
Average Total
5,950.0550
Destination Price
5,950.1250
Sweep to Fill
5,950.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:55:43.116 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:55:42.099 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:55:41.646 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:55:36.975 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:55:40.657 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:55:39.933 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:55:38.696 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:55:36.139 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:55:34.935 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:55:34.212 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:55:52.397 | SIM:ESM5 | Buy | 8 | 5950.25 | Aggressive |
| 2025-06-02T15:55:52.397 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:55:52.397 | SIM:ESM5 | Buy | 7 | 5950 | Aggressive |
| 2025-06-02T15:55:52.396 | SIM:ESM5 | Buy | 7 | 5950 | Passive |
| 2025-06-02T15:55:52.396 | SIM:ESM5 | Buy | 2 | 5950 | Passive |
| 2025-06-02T15:55:52.396 | SIM:ESM5 | Buy | 2 | 5950 | Passive |
| 2025-06-02T15:55:32.913 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2150
Slippage Sweep
0.0650
Arrival Price
5,948.8750
Average Total
5,948.6600
Destination Price
5,948.6250
Sweep to Fill
5,948.7250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:54:57.692 | SIM:ESM5 | Sell | 3 | 5948.5 | Aggressive |
| 2025-06-02T15:55:01.259 | SIM:ESM5 | Sell | 4 | 5948.75 | Passive |
| 2025-06-02T15:55:01.259 | SIM:ESM5 | Sell | 4 | 5948.75 | Passive |
| 2025-06-02T15:55:01.259 | SIM:ESM5 | Sell | 4 | 5948.75 | Passive |
| 2025-06-02T15:55:01.259 | SIM:ESM5 | Sell | 7 | 5948.75 | Passive |
| 2025-06-02T15:54:59.314 | SIM:ESM5 | Sell | 3 | 5948.5 | Aggressive |
| 2025-06-02T15:54:55.267 | SIM:ESM5 | Sell | 4 | 5948.5 | Aggressive |
| 2025-06-02T15:54:48.812 | SIM:ESM5 | Sell | 5 | 5948.75 | Aggressive |
| 2025-06-02T15:54:58.975 | SIM:ESM5 | Sell | 4 | 5948.5 | Aggressive |
| 2025-06-02T15:54:57.083 | SIM:ESM5 | Sell | 4 | 5948.5 | Aggressive |
| 2025-06-02T15:54:50.456 | SIM:ESM5 | Sell | 3 | 5948.75 | Aggressive |
| 2025-06-02T15:54:49.632 | SIM:ESM5 | Sell | 4 | 5948.75 | Aggressive |
| 2025-06-02T15:54:47.163 | 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
0.1250
Slippage Sweep
-0.2100
Arrival Price
5,948.8750
Average Total
5,949.0000
Destination Price
5,948.8750
Sweep to Fill
5,949.2100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:54:45.212 | SIM:ESM5 | Buy | 6 | 5949 | Aggressive |
| 2025-06-02T15:54:41.712 | SIM:ESM5 | Buy | 8 | 5949 | Aggressive |
| 2025-06-02T15:54:46.021 | SIM:ESM5 | Buy | 3 | 5949 | Aggressive |
| 2025-06-02T15:54:44.139 | SIM:ESM5 | Buy | 3 | 5949 | Aggressive |
| 2025-06-02T15:54:43.242 | SIM:ESM5 | Buy | 11 | 5949 | Aggressive |
| 2025-06-02T15:54:37.759 | SIM:ESM5 | Buy | 3 | 5949 | Aggressive |
| 2025-06-02T15:54:36.757 | SIM:ESM5 | Buy | 3 | 5949 | Aggressive |
| 2025-06-02T15:54:46.828 | SIM:ESM5 | Buy | 9 | 5949 | Aggressive |
| 2025-06-02T15:54:35.601 | SIM:ESM5 | Buy | 3 | 5949 | Aggressive |
| 2025-06-02T15:54:35.328 | 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
-0.0100
Arrival Price
5,949.1250
Average Total
5,949.0000
Destination Price
5,949.1250
Sweep to Fill
5,948.9900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:54:03.012 | SIM:ESM5 | Sell | 8 | 5949 | Aggressive |
| 2025-06-02T15:53:59.393 | SIM:ESM5 | Sell | 3 | 5949 | Aggressive |
| 2025-06-02T15:54:02.389 | SIM:ESM5 | Sell | 7 | 5949 | Aggressive |
| 2025-06-02T15:54:01.012 | SIM:ESM5 | Sell | 14 | 5949 | Aggressive |
| 2025-06-02T15:54:01.012 | SIM:ESM5 | Sell | 1 | 5949 | Aggressive |
| 2025-06-02T15:53:59.964 | SIM:ESM5 | Sell | 2 | 5949 | Aggressive |
| 2025-06-02T15:53:59.964 | SIM:ESM5 | Sell | 5 | 5949 | Aggressive |
| 2025-06-02T15:53:58.111 | SIM:ESM5 | Sell | 5 | 5949 | Aggressive |
| 2025-06-02T15:53:58.111 | SIM:ESM5 | Sell | 4 | 5949 | Aggressive |
| 2025-06-02T15:53:57.48 | SIM:ESM5 | Sell | 1 | 5949 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1750
Arrival Price
5,949.1250
Average Total
5,949.2500
Destination Price
5,949.1250
Sweep to Fill
5,949.4250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:53:56.7 | SIM:ESM5 | Buy | 10 | 5949.25 | Aggressive |
| 2025-06-02T15:53:55.79 | SIM:ESM5 | Buy | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:53:51.475 | SIM:ESM5 | Buy | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:53:54.667 | SIM:ESM5 | Buy | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:53:48.834 | SIM:ESM5 | Buy | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:53:48.834 | SIM:ESM5 | Buy | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:53:44.143 | SIM:ESM5 | Buy | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:53:45.414 | SIM:ESM5 | Buy | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:53:44.725 | SIM:ESM5 | Buy | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:53:42.641 | SIM:ESM5 | Buy | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:53:54.387 | SIM:ESM5 | Buy | 8 | 5949.25 | Aggressive |
| 2025-06-02T15:53:52.671 | SIM:ESM5 | Buy | 11 | 5949.25 | Aggressive |
| 2025-06-02T15:53:41.475 | SIM:ESM5 | Buy | 1 | 5949.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0350
Slippage Sweep
-0.1100
Arrival Price
5,949.1250
Average Total
5,949.0900
Destination Price
5,949.3750
Sweep to Fill
5,948.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:53:10.031 | SIM:ESM5 | Sell | 3 | 5949 | Aggressive |
| 2025-06-02T15:53:10.031 | SIM:ESM5 | Sell | 14 | 5949.25 | Aggressive |
| 2025-06-02T15:53:08.76 | SIM:ESM5 | Sell | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:53:04.726 | SIM:ESM5 | Sell | 11 | 5949 | Aggressive |
| 2025-06-02T15:53:04.726 | SIM:ESM5 | Sell | 8 | 5949 | Aggressive |
| 2025-06-02T15:53:04.726 | SIM:ESM5 | Sell | 9 | 5949 | Aggressive |
| 2025-06-02T15:53:04.726 | SIM:ESM5 | Sell | 1 | 5949 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3000
Arrival Price
5,949.3750
Average Total
5,949.2500
Destination Price
5,949.1250
Sweep to Fill
5,949.5500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:53:00.936 | SIM:ESM5 | Buy | 21 | 5949.25 | Aggressive |
| 2025-06-02T15:53:00.664 | SIM:ESM5 | Buy | 4 | 5949.25 | Passive |
| 2025-06-02T15:53:00.664 | SIM:ESM5 | Buy | 3 | 5949.25 | Passive |
| 2025-06-02T15:53:00.664 | SIM:ESM5 | Buy | 3 | 5949.25 | Passive |
| 2025-06-02T15:53:00.664 | SIM:ESM5 | Buy | 2 | 5949.25 | Passive |
| 2025-06-02T15:53:00.664 | SIM:ESM5 | Buy | 6 | 5949.25 | Passive |
| 2025-06-02T15:53:00.664 | SIM:ESM5 | Buy | 5 | 5949.25 | Passive |
| 2025-06-02T15:53:00.663 | SIM:ESM5 | Buy | 5 | 5949.25 | Passive |
| 2025-06-02T15:53:00.663 | SIM:ESM5 | Buy | 1 | 5949.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1050
Arrival Price
5,949.3750
Average Total
5,949.2500
Destination Price
5,949.1250
Sweep to Fill
5,949.1450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:52:20.633 | SIM:ESM5 | Sell | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:52:20.633 | SIM:ESM5 | Sell | 6 | 5949.25 | Passive |
| 2025-06-02T15:52:20.633 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:52:20.633 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:52:10.012 | SIM:ESM5 | Sell | 9 | 5949.25 | Aggressive |
| 2025-06-02T15:52:10.012 | SIM:ESM5 | Sell | 11 | 5949.25 | Aggressive |
| 2025-06-02T15:52:05.636 | SIM:ESM5 | Sell | 5 | 5949.25 | Aggressive |
| 2025-06-02T15:52:05.467 | SIM:ESM5 | Sell | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:52:05.467 | SIM:ESM5 | Sell | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:52:08.712 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:52:07.989 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:52:07.507 | SIM:ESM5 | Sell | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:52:02.612 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:52:02.212 | SIM:ESM5 | Sell | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:52:00.653 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0900
Arrival Price
5,949.3750
Average Total
5,949.5000
Destination Price
5,949.3750
Sweep to Fill
5,949.5900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:51:55.828 | SIM:ESM5 | Buy | 5 | 5949.5 | Aggressive |
| 2025-06-02T15:51:49.427 | SIM:ESM5 | Buy | 8 | 5949.5 | Aggressive |
| 2025-06-02T15:51:48.475 | SIM:ESM5 | Buy | 4 | 5949.5 | Aggressive |
| 2025-06-02T15:51:58.971 | SIM:ESM5 | Buy | 2 | 5949.5 | Aggressive |
| 2025-06-02T15:51:56.475 | SIM:ESM5 | Buy | 6 | 5949.5 | Aggressive |
| 2025-06-02T15:51:52.512 | SIM:ESM5 | Buy | 4 | 5949.5 | Aggressive |
| 2025-06-02T15:51:46.475 | SIM:ESM5 | Buy | 5 | 5949.5 | Aggressive |
| 2025-06-02T15:51:45.475 | SIM:ESM5 | Buy | 4 | 5949.5 | Aggressive |
| 2025-06-02T15:52:00.113 | SIM:ESM5 | Buy | 5 | 5949.5 | Aggressive |
| 2025-06-02T15:51:54.812 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:51:53.64 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:51:51.913 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:51:47.776 | SIM:ESM5 | Buy | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:51:44.586 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2000
Slippage Sweep
-0.0100
Arrival Price
5,949.8750
Average Total
5,949.6750
Destination Price
5,949.6250
Sweep to Fill
5,949.6650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:50:59.414 | SIM:ESM5 | Sell | 7 | 5949.75 | Aggressive |
| 2025-06-02T15:51:08.012 | SIM:ESM5 | Sell | 6 | 5949.5 | Aggressive |
| 2025-06-02T15:51:05.456 | SIM:ESM5 | Sell | 4 | 5949.5 | Aggressive |
| 2025-06-02T15:51:03.95 | SIM:ESM5 | Sell | 5 | 5949.5 | Aggressive |
| 2025-06-02T15:50:44.812 | SIM:ESM5 | Sell | 3 | 5949.75 | Aggressive |
| 2025-06-02T15:50:49.758 | SIM:ESM5 | Sell | 3 | 5949.75 | Aggressive |
| 2025-06-02T15:50:49.758 | SIM:ESM5 | Sell | 2 | 5949.75 | Aggressive |
| 2025-06-02T15:50:49.758 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:50:44.225 | SIM:ESM5 | Sell | 3 | 5949.75 | Aggressive |
| 2025-06-02T15:50:40.612 | SIM:ESM5 | Sell | 3 | 5949.75 | Aggressive |
| 2025-06-02T15:50:46.857 | SIM:ESM5 | Sell | 3 | 5949.75 | Aggressive |
| 2025-06-02T15:50:46.426 | SIM:ESM5 | Sell | 5 | 5949.75 | Aggressive |
| 2025-06-02T15:50:46.426 | SIM:ESM5 | Sell | 4 | 5949.75 | Aggressive |
| 2025-06-02T15:50:39.512 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0400
Slippage Sweep
-0.1650
Arrival Price
5,950.1250
Average Total
5,950.0850
Destination Price
5,949.8750
Sweep to Fill
5,950.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:50:39.013 | SIM:ESM5 | Buy | 6 | 5950.25 | Aggressive |
| 2025-06-02T15:50:39.013 | SIM:ESM5 | Buy | 23 | 5950 | Aggressive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 10 | 5950.25 | Aggressive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 3 | 5950 | Passive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 2 | 5950 | Passive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 1 | 5950 | Passive |
| 2025-06-02T15:50:38.717 | SIM:ESM5 | Buy | 1 | 5950 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1850
Slippage Sweep
-0.3650
Arrival Price
5,949.3750
Average Total
5,949.5600
Destination Price
5,949.8750
Sweep to Fill
5,949.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:50:05.686 | SIM:ESM5 | Sell | 23 | 5949.5 | Aggressive |
| 2025-06-02T15:50:05.685 | SIM:ESM5 | Sell | 13 | 5949.75 | Aggressive |
| 2025-06-02T15:50:04.667 | SIM:ESM5 | Sell | 4 | 5949.5 | Passive |
| 2025-06-02T15:50:04.667 | SIM:ESM5 | Sell | 6 | 5949.5 | Passive |
| 2025-06-02T15:50:04.667 | SIM:ESM5 | Sell | 3 | 5949.5 | Passive |
| 2025-06-02T15:50:03.781 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0300
Slippage Sweep
-0.1800
Arrival Price
5,949.8750
Average Total
5,949.9050
Destination Price
5,949.6250
Sweep to Fill
5,950.0850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:50:02.66 | SIM:ESM5 | Buy | 5 | 5949.75 | Aggressive |
| 2025-06-02T15:50:02.66 | SIM:ESM5 | Buy | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:50:02.66 | SIM:ESM5 | Buy | 1 | 5949.5 | Passive |
| 2025-06-02T15:50:01.365 | SIM:ESM5 | Buy | 18 | 5950 | Aggressive |
| 2025-06-02T15:50:01.365 | SIM:ESM5 | Buy | 15 | 5949.75 | Aggressive |
| 2025-06-02T15:49:56.844 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:49:58.744 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:49:58.441 | SIM:ESM5 | Buy | 3 | 5950.25 | Aggressive |
| 2025-06-02T15:49:55.623 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:49:55.623 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |