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
0.1950
Slippage Sweep
-0.2000
Arrival Price
5,331.3750
Average Total
5,331.1800
Destination Price
5,330.8750
Sweep to Fill
5,330.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:41:26.249 | SIM:ESM5 | Sell | 1 | 5331.25 | Aggressive |
| 2025-04-17T12:41:27.242 | SIM:ESM5 | Sell | 8 | 5331.75 | Aggressive |
| 2025-04-17T12:41:27.242 | SIM:ESM5 | Sell | 3 | 5331.5 | Aggressive |
| 2025-04-17T12:41:27.242 | SIM:ESM5 | Sell | 2 | 5331.75 | Aggressive |
| 2025-04-17T12:41:31.23 | SIM:ESM5 | Sell | 10 | 5331.5 | Aggressive |
| 2025-04-17T12:41:31.23 | SIM:ESM5 | Sell | 1 | 5331.25 | Aggressive |
| 2025-04-17T12:41:33.412 | SIM:ESM5 | Sell | 1 | 5331.5 | Passive |
| 2025-04-17T12:41:33.413 | SIM:ESM5 | Sell | 1 | 5331.5 | Passive |
| 2025-04-17T12:41:34.273 | SIM:ESM5 | Sell | 9 | 5330.75 | Aggressive |
| 2025-04-17T12:41:34.273 | SIM:ESM5 | Sell | 3 | 5330.5 | Aggressive |
| 2025-04-17T12:41:34.273 | SIM:ESM5 | Sell | 4 | 5330.75 | Aggressive |
| 2025-04-17T12:41:35.362 | SIM:ESM5 | Sell | 6 | 5330.75 | Aggressive |
| 2025-04-17T12:41:35.362 | SIM:ESM5 | Sell | 1 | 5330.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.9000
Slippage Sweep
-1.4600
Arrival Price
5,334.0000
Average Total
5,333.1000
Destination Price
5,332.2500
Sweep to Fill
5,334.5600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:41:07.812 | SIM:ESM5 | Buy | 1 | 5334.25 | Aggressive |
| 2025-04-17T12:41:08.939 | SIM:ESM5 | Buy | 1 | 5334 | Aggressive |
| 2025-04-17T12:41:09.828 | SIM:ESM5 | Buy | 1 | 5334 | Aggressive |
| 2025-04-17T12:41:10.983 | SIM:ESM5 | Buy | 3 | 5334 | Aggressive |
| 2025-04-17T12:41:11.829 | SIM:ESM5 | Buy | 7 | 5333.75 | Aggressive |
| 2025-04-17T12:41:11.829 | SIM:ESM5 | Buy | 1 | 5333.75 | Aggressive |
| 2025-04-17T12:41:12.831 | SIM:ESM5 | Buy | 9 | 5332.75 | Aggressive |
| 2025-04-17T12:41:12.832 | SIM:ESM5 | Buy | 4 | 5333 | Aggressive |
| 2025-04-17T12:41:13.86 | SIM:ESM5 | Buy | 2 | 5332.75 | Aggressive |
| 2025-04-17T12:41:13.86 | SIM:ESM5 | Buy | 12 | 5333 | Aggressive |
| 2025-04-17T12:41:14.882 | SIM:ESM5 | Buy | 9 | 5332.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0500
Slippage Sweep
-0.4450
Arrival Price
5,334.3750
Average Total
5,334.4250
Destination Price
5,334.6250
Sweep to Fill
5,333.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:38:35.063 | SIM:ESM5 | Sell | 1 | 5334.25 | Aggressive |
| 2025-04-17T12:38:36.069 | SIM:ESM5 | Sell | 3 | 5334 | Aggressive |
| 2025-04-17T12:38:36.069 | SIM:ESM5 | Sell | 2 | 5334 | Aggressive |
| 2025-04-17T12:38:37.114 | SIM:ESM5 | Sell | 3 | 5334 | Aggressive |
| 2025-04-17T12:38:40.091 | SIM:ESM5 | Sell | 5 | 5334.5 | Aggressive |
| 2025-04-17T12:38:42.151 | SIM:ESM5 | Sell | 3 | 5334.5 | Aggressive |
| 2025-04-17T12:38:43.156 | SIM:ESM5 | Sell | 3 | 5334.5 | Aggressive |
| 2025-04-17T12:38:44.163 | SIM:ESM5 | Sell | 2 | 5334.5 | Aggressive |
| 2025-04-17T12:38:45.169 | SIM:ESM5 | Sell | 9 | 5334.5 | Aggressive |
| 2025-04-17T12:38:45.169 | SIM:ESM5 | Sell | 4 | 5334.5 | Passive |
| 2025-04-17T12:38:47.213 | SIM:ESM5 | Sell | 6 | 5334.5 | Aggressive |
| 2025-04-17T12:38:47.731 | SIM:ESM5 | Sell | 1 | 5334.75 | Passive |
| 2025-04-17T12:38:47.731 | SIM:ESM5 | Sell | 1 | 5334.75 | Aggressive |
| 2025-04-17T12:38:47.731 | SIM:ESM5 | Sell | 2 | 5334.5 | Aggressive |
| 2025-04-17T12:38:48.212 | SIM:ESM5 | Sell | 1 | 5334.5 | Aggressive |
| 2025-04-17T12:38:48.212 | SIM:ESM5 | Sell | 4 | 5334.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.3300
Slippage Sweep
-0.7300
Arrival Price
5,335.6250
Average Total
5,335.2950
Destination Price
5,334.7500
Sweep to Fill
5,336.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:38:17.527 | SIM:ESM5 | Buy | 1 | 5336 | Aggressive |
| 2025-04-17T12:38:18.525 | SIM:ESM5 | Buy | 1 | 5335.75 | Aggressive |
| 2025-04-17T12:38:19.538 | SIM:ESM5 | Buy | 3 | 5336 | Aggressive |
| 2025-04-17T12:38:20.55 | SIM:ESM5 | Buy | 3 | 5335.25 | Aggressive |
| 2025-04-17T12:38:20.55 | SIM:ESM5 | Buy | 1 | 5335.5 | Aggressive |
| 2025-04-17T12:38:21.543 | SIM:ESM5 | Buy | 2 | 5335.25 | Aggressive |
| 2025-04-17T12:38:21.543 | SIM:ESM5 | Buy | 2 | 5335.5 | Aggressive |
| 2025-04-17T12:38:22.553 | SIM:ESM5 | Buy | 10 | 5335.25 | Aggressive |
| 2025-04-17T12:38:22.553 | SIM:ESM5 | Buy | 3 | 5335.25 | Aggressive |
| 2025-04-17T12:38:23.562 | SIM:ESM5 | Buy | 15 | 5335.25 | Aggressive |
| 2025-04-17T12:38:23.562 | SIM:ESM5 | Buy | 1 | 5335.25 | Passive |
| 2025-04-17T12:38:26.575 | SIM:ESM5 | Buy | 4 | 5335 | Aggressive |
| 2025-04-17T12:38:26.575 | SIM:ESM5 | Buy | 4 | 5335 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.8150
Slippage Sweep
0.3200
Arrival Price
5,334.8750
Average Total
5,334.0600
Destination Price
5,334.1250
Sweep to Fill
5,334.3800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:37:10.113 | SIM:ESM5 | Sell | 1 | 5334.5 | Aggressive |
| 2025-04-17T12:37:11.106 | SIM:ESM5 | Sell | 2 | 5334.5 | Aggressive |
| 2025-04-17T12:37:12.123 | SIM:ESM5 | Sell | 6 | 5334.25 | Aggressive |
| 2025-04-17T12:37:13.133 | SIM:ESM5 | Sell | 10 | 5334.25 | Aggressive |
| 2025-04-17T12:37:13.398 | SIM:ESM5 | Sell | 2 | 5334.25 | Aggressive |
| 2025-04-17T12:37:14.156 | SIM:ESM5 | Sell | 4 | 5334 | Aggressive |
| 2025-04-17T12:37:14.156 | SIM:ESM5 | Sell | 8 | 5333.75 | Aggressive |
| 2025-04-17T12:37:15.176 | SIM:ESM5 | Sell | 8 | 5334 | Aggressive |
| 2025-04-17T12:37:15.176 | SIM:ESM5 | Sell | 3 | 5333.75 | Aggressive |
| 2025-04-17T12:37:16.181 | SIM:ESM5 | Sell | 5 | 5334 | Aggressive |
| 2025-04-17T12:37:16.181 | SIM:ESM5 | Sell | 1 | 5333.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1400
Slippage Sweep
-0.6400
Arrival Price
5,333.8750
Average Total
5,333.7350
Destination Price
5,333.3750
Sweep to Fill
5,334.3750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:36:46.541 | SIM:ESM5 | Buy | 1 | 5333.75 | Passive |
| 2025-04-17T12:36:47.413 | SIM:ESM5 | Buy | 2 | 5334 | Aggressive |
| 2025-04-17T12:36:48.43 | SIM:ESM5 | Buy | 2 | 5333.75 | Aggressive |
| 2025-04-17T12:36:49.403 | SIM:ESM5 | Buy | 5 | 5333.75 | Aggressive |
| 2025-04-17T12:36:50.426 | SIM:ESM5 | Buy | 3 | 5333.75 | Aggressive |
| 2025-04-17T12:36:50.426 | SIM:ESM5 | Buy | 3 | 5333.75 | Aggressive |
| 2025-04-17T12:36:52.474 | SIM:ESM5 | Buy | 13 | 5333.75 | Aggressive |
| 2025-04-17T12:36:52.474 | SIM:ESM5 | Buy | 1 | 5334 | Aggressive |
| 2025-04-17T12:36:53.491 | SIM:ESM5 | Buy | 6 | 5333.75 | Aggressive |
| 2025-04-17T12:36:54.567 | SIM:ESM5 | Buy | 7 | 5333.75 | Aggressive |
| 2025-04-17T12:36:54.567 | SIM:ESM5 | Buy | 1 | 5333.75 | Aggressive |
| 2025-04-17T12:36:55.517 | SIM:ESM5 | Buy | 2 | 5333.5 | Aggressive |
| 2025-04-17T12:36:55.517 | SIM:ESM5 | Buy | 4 | 5333.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2200
Slippage Sweep
-0.7100
Arrival Price
5,332.3750
Average Total
5,332.5950
Destination Price
5,333.2500
Sweep to Fill
5,331.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:35:55.435 | SIM:ESM5 | Sell | 1 | 5332 | Aggressive |
| 2025-04-17T12:35:56.454 | SIM:ESM5 | Sell | 3 | 5332 | Aggressive |
| 2025-04-17T12:35:56.454 | SIM:ESM5 | Sell | 4 | 5332 | Aggressive |
| 2025-04-17T12:35:57.512 | SIM:ESM5 | Sell | 4 | 5332 | Aggressive |
| 2025-04-17T12:35:57.512 | SIM:ESM5 | Sell | 2 | 5332 | Aggressive |
| 2025-04-17T12:35:59.544 | SIM:ESM5 | Sell | 9 | 5332.75 | Aggressive |
| 2025-04-17T12:35:59.544 | SIM:ESM5 | Sell | 4 | 5332.75 | Passive |
| 2025-04-17T12:36:01.549 | SIM:ESM5 | Sell | 8 | 5332.75 | Aggressive |
| 2025-04-17T12:36:01.549 | SIM:ESM5 | Sell | 3 | 5332.75 | Passive |
| 2025-04-17T12:36:02.639 | SIM:ESM5 | Sell | 11 | 5333 | Aggressive |
| 2025-04-17T12:36:02.639 | SIM:ESM5 | Sell | 1 | 5332.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.4000
Arrival Price
5,334.6250
Average Total
5,334.5350
Destination Price
5,334.3750
Sweep to Fill
5,334.1350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:34:40.219 | SIM:ESM5 | Sell | 1 | 5334.5 | Aggressive |
| 2025-04-17T12:34:41.212 | SIM:ESM5 | Sell | 1 | 5334.5 | Aggressive |
| 2025-04-17T12:34:42.184 | SIM:ESM5 | Sell | 4 | 5334.75 | Aggressive |
| 2025-04-17T12:34:43.243 | SIM:ESM5 | Sell | 1 | 5334.75 | Aggressive |
| 2025-04-17T12:34:43.364 | SIM:ESM5 | Sell | 3 | 5334.75 | Aggressive |
| 2025-04-17T12:34:44.265 | SIM:ESM5 | Sell | 2 | 5334.25 | Aggressive |
| 2025-04-17T12:34:47.318 | SIM:ESM5 | Sell | 6 | 5334.75 | Aggressive |
| 2025-04-17T12:34:47.318 | SIM:ESM5 | Sell | 3 | 5334.5 | Aggressive |
| 2025-04-17T12:34:48.29 | SIM:ESM5 | Sell | 7 | 5334.75 | Aggressive |
| 2025-04-17T12:34:48.29 | SIM:ESM5 | Sell | 4 | 5334.75 | Aggressive |
| 2025-04-17T12:34:53.769 | SIM:ESM5 | Sell | 2 | 5334.5 | Aggressive |
| 2025-04-17T12:34:57.448 | SIM:ESM5 | Sell | 11 | 5334.25 | Aggressive |
| 2025-04-17T12:34:57.448 | SIM:ESM5 | Sell | 2 | 5334.25 | Aggressive |
| 2025-04-17T12:34:57.448 | SIM:ESM5 | Sell | 3 | 5334.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4850
Slippage Sweep
-0.0950
Arrival Price
5,331.3750
Average Total
5,331.8600
Destination Price
5,331.8750
Sweep to Fill
5,331.9550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:33:31.013 | SIM:ESM5 | Buy | 1 | 5331.5 | Passive |
| 2025-04-17T12:33:31.505 | SIM:ESM5 | Buy | 7 | 5331.75 | Aggressive |
| 2025-04-17T12:33:33.43 | SIM:ESM5 | Buy | 3 | 5331.25 | Aggressive |
| 2025-04-17T12:33:35.47 | SIM:ESM5 | Buy | 1 | 5331.5 | Aggressive |
| 2025-04-17T12:33:36.497 | SIM:ESM5 | Buy | 16 | 5332 | Aggressive |
| 2025-04-17T12:33:36.497 | SIM:ESM5 | Buy | 5 | 5332 | Passive |
| 2025-04-17T12:33:37.497 | SIM:ESM5 | Buy | 3 | 5331.75 | Aggressive |
| 2025-04-17T12:33:38.492 | SIM:ESM5 | Buy | 5 | 5331.75 | Aggressive |
| 2025-04-17T12:33:38.492 | SIM:ESM5 | Buy | 3 | 5332 | Aggressive |
| 2025-04-17T12:33:39.536 | SIM:ESM5 | Buy | 6 | 5332 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1700
Slippage Sweep
-0.7500
Arrival Price
5,329.5000
Average Total
5,329.6700
Destination Price
5,331.1250
Sweep to Fill
5,328.9200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:32:40.73 | SIM:ESM5 | Sell | 1 | 5329.75 | Aggressive |
| 2025-04-17T12:32:41.755 | SIM:ESM5 | Sell | 6 | 5329.75 | Aggressive |
| 2025-04-17T12:32:41.755 | SIM:ESM5 | Sell | 1 | 5329.75 | Aggressive |
| 2025-04-17T12:32:43.746 | SIM:ESM5 | Sell | 6 | 5329.25 | Aggressive |
| 2025-04-17T12:32:44.751 | SIM:ESM5 | Sell | 5 | 5329 | Aggressive |
| 2025-04-17T12:32:44.751 | SIM:ESM5 | Sell | 5 | 5328.75 | Aggressive |
| 2025-04-17T12:32:44.751 | SIM:ESM5 | Sell | 2 | 5329 | Passive |
| 2025-04-17T12:32:47.79 | SIM:ESM5 | Sell | 5 | 5330.25 | Aggressive |
| 2025-04-17T12:32:47.79 | SIM:ESM5 | Sell | 5 | 5330 | Aggressive |
| 2025-04-17T12:32:48.84 | SIM:ESM5 | Sell | 10 | 5330 | Aggressive |
| 2025-04-17T12:32:48.84 | SIM:ESM5 | Sell | 2 | 5330 | Aggressive |
| 2025-04-17T12:32:49.832 | SIM:ESM5 | Sell | 2 | 5331 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.4850
Slippage Sweep
-0.9900
Arrival Price
5,329.7500
Average Total
5,329.2650
Destination Price
5,328.8750
Sweep to Fill
5,330.2550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:32:22.292 | SIM:ESM5 | Buy | 1 | 5329.75 | Aggressive |
| 2025-04-17T12:32:23.367 | SIM:ESM5 | Buy | 2 | 5330 | Aggressive |
| 2025-04-17T12:32:24.339 | SIM:ESM5 | Buy | 16 | 5329.5 | Aggressive |
| 2025-04-17T12:32:25.335 | SIM:ESM5 | Buy | 8 | 5329.25 | Aggressive |
| 2025-04-17T12:32:25.335 | SIM:ESM5 | Buy | 1 | 5329.5 | Aggressive |
| 2025-04-17T12:32:25.335 | SIM:ESM5 | Buy | 2 | 5329.25 | Aggressive |
| 2025-04-17T12:32:26.356 | SIM:ESM5 | Buy | 2 | 5328.75 | Aggressive |
| 2025-04-17T12:32:26.356 | SIM:ESM5 | Buy | 8 | 5329 | Aggressive |
| 2025-04-17T12:32:27.339 | SIM:ESM5 | Buy | 6 | 5329 | Aggressive |
| 2025-04-17T12:32:27.339 | SIM:ESM5 | Buy | 2 | 5329 | Aggressive |
| 2025-04-17T12:32:27.34 | SIM:ESM5 | Buy | 2 | 5329 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0450
Slippage Sweep
-0.7350
Arrival Price
5,327.3750
Average Total
5,327.4200
Destination Price
5,327.8750
Sweep to Fill
5,326.6850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:30:11.167 | SIM:ESM5 | Sell | 1 | 5327.5 | Aggressive |
| 2025-04-17T12:30:12.163 | SIM:ESM5 | Sell | 2 | 5327.25 | Aggressive |
| 2025-04-17T12:30:13.212 | SIM:ESM5 | Sell | 1 | 5327.25 | Aggressive |
| 2025-04-17T12:30:14.228 | SIM:ESM5 | Sell | 1 | 5327.25 | Aggressive |
| 2025-04-17T12:30:15.219 | SIM:ESM5 | Sell | 1 | 5327.5 | Aggressive |
| 2025-04-17T12:30:16.23 | SIM:ESM5 | Sell | 3 | 5327.25 | Aggressive |
| 2025-04-17T12:30:17.268 | SIM:ESM5 | Sell | 5 | 5327.5 | Aggressive |
| 2025-04-17T12:30:18.313 | SIM:ESM5 | Sell | 3 | 5327.5 | Aggressive |
| 2025-04-17T12:30:19.312 | SIM:ESM5 | Sell | 5 | 5327 | Aggressive |
| 2025-04-17T12:30:19.312 | SIM:ESM5 | Sell | 4 | 5327 | Aggressive |
| 2025-04-17T12:30:22.278 | SIM:ESM5 | Sell | 11 | 5327.75 | Aggressive |
| 2025-04-17T12:30:22.278 | SIM:ESM5 | Sell | 11 | 5327.5 | Aggressive |
| 2025-04-17T12:30:22.278 | SIM:ESM5 | Sell | 2 | 5327.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2350
Slippage Sweep
-0.3000
Arrival Price
5,323.6250
Average Total
5,323.8600
Destination Price
5,324.2500
Sweep to Fill
5,324.1600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:29:49.812 | SIM:ESM5 | Buy | 1 | 5323.75 | Aggressive |
| 2025-04-17T12:29:50.735 | SIM:ESM5 | Buy | 1 | 5323.75 | Aggressive |
| 2025-04-17T12:29:51.737 | SIM:ESM5 | Buy | 3 | 5323.75 | Aggressive |
| 2025-04-17T12:29:52.758 | SIM:ESM5 | Buy | 3 | 5323.5 | Aggressive |
| 2025-04-17T12:29:52.758 | SIM:ESM5 | Buy | 2 | 5323.5 | Aggressive |
| 2025-04-17T12:29:54.75 | SIM:ESM5 | Buy | 6 | 5323.5 | Aggressive |
| 2025-04-17T12:29:58.812 | SIM:ESM5 | Buy | 4 | 5323.75 | Aggressive |
| 2025-04-17T12:29:58.812 | SIM:ESM5 | Buy | 8 | 5324 | Aggressive |
| 2025-04-17T12:29:58.812 | SIM:ESM5 | Buy | 2 | 5323.75 | Passive |
| 2025-04-17T12:29:59.912 | SIM:ESM5 | Buy | 10 | 5324 | Aggressive |
| 2025-04-17T12:29:59.913 | SIM:ESM5 | Buy | 1 | 5324 | Aggressive |
| 2025-04-17T12:30:00.851 | SIM:ESM5 | Buy | 1 | 5324.75 | Aggressive |
| 2025-04-17T12:30:01.824 | SIM:ESM5 | Buy | 3 | 5324 | Aggressive |
| 2025-04-17T12:30:01.861 | SIM:ESM5 | Buy | 3 | 5324 | Aggressive |
| 2025-04-17T12:30:02.858 | SIM:ESM5 | Buy | 2 | 5324.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0950
Slippage Sweep
0.6900
Arrival Price
5,327.8750
Average Total
5,326.7800
Destination Price
5,325.8750
Sweep to Fill
5,327.4700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:28:50.829 | SIM:ESM5 | Sell | 1 | 5327.75 | Aggressive |
| 2025-04-17T12:28:51.869 | SIM:ESM5 | Sell | 4 | 5327.5 | Aggressive |
| 2025-04-17T12:28:51.869 | SIM:ESM5 | Sell | 1 | 5327.5 | Aggressive |
| 2025-04-17T12:28:52.885 | SIM:ESM5 | Sell | 3 | 5327.5 | Aggressive |
| 2025-04-17T12:28:52.885 | SIM:ESM5 | Sell | 1 | 5327.5 | Aggressive |
| 2025-04-17T12:28:54.855 | SIM:ESM5 | Sell | 10 | 5327.25 | Aggressive |
| 2025-04-17T12:28:54.855 | SIM:ESM5 | Sell | 2 | 5327.25 | Aggressive |
| 2025-04-17T12:28:59.888 | SIM:ESM5 | Sell | 4 | 5327 | Aggressive |
| 2025-04-17T12:28:59.888 | SIM:ESM5 | Sell | 5 | 5326.75 | Aggressive |
| 2025-04-17T12:29:00.885 | SIM:ESM5 | Sell | 9 | 5326.25 | Aggressive |
| 2025-04-17T12:29:00.885 | SIM:ESM5 | Sell | 5 | 5326 | Aggressive |
| 2025-04-17T12:29:01.905 | SIM:ESM5 | Sell | 5 | 5325.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8400
Slippage Sweep
0.4950
Arrival Price
5,328.6250
Average Total
5,329.4650
Destination Price
5,329.1250
Sweep to Fill
5,328.9700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:28:41.712 | SIM:ESM5 | Buy | 1 | 5328.75 | Aggressive |
| 2025-04-17T12:28:42.812 | SIM:ESM5 | Buy | 5 | 5329 | Aggressive |
| 2025-04-17T12:28:43.729 | SIM:ESM5 | Buy | 6 | 5329.25 | Aggressive |
| 2025-04-17T12:28:43.729 | SIM:ESM5 | Buy | 6 | 5329.5 | Aggressive |
| 2025-04-17T12:28:44.762 | SIM:ESM5 | Buy | 12 | 5329.5 | Aggressive |
| 2025-04-17T12:28:44.762 | SIM:ESM5 | Buy | 2 | 5329.5 | Aggressive |
| 2025-04-17T12:28:45.737 | SIM:ESM5 | Buy | 2 | 5329.5 | Aggressive |
| 2025-04-17T12:28:45.737 | SIM:ESM5 | Buy | 8 | 5329.75 | Aggressive |
| 2025-04-17T12:28:45.737 | SIM:ESM5 | Buy | 4 | 5329.75 | Aggressive |
| 2025-04-17T12:28:47.121 | SIM:ESM5 | Buy | 2 | 5329.75 | Passive |
| 2025-04-17T12:28:47.847 | SIM:ESM5 | Buy | 2 | 5329.25 | Aggressive |