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
0.3100
Slippage Sweep
0.0900
Arrival Price
5,950.1250
Average Total
5,949.8150
Destination Price
5,949.8750
Sweep to Fill
5,949.9050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:49:19.131 | SIM:ESM5 | Sell | 2 | 5949.75 | Aggressive |
| 2025-06-02T15:49:19.13 | SIM:ESM5 | Sell | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:49:16.403 | SIM:ESM5 | Sell | 3 | 5949.75 | Aggressive |
| 2025-06-02T15:49:23.905 | SIM:ESM5 | Sell | 17 | 5949.75 | Aggressive |
| 2025-06-02T15:49:03.747 | SIM:ESM5 | Sell | 14 | 5949.75 | Aggressive |
| 2025-06-02T15:49:02.012 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:49:01.925 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:49:00.312 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
| 2025-06-02T15:48:59.012 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:48:57.943 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:48:57.012 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
| 2025-06-02T15:48:56.031 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0700
Slippage Sweep
-0.2650
Arrival Price
5,950.3750
Average Total
5,950.3050
Destination Price
5,950.1250
Sweep to Fill
5,950.5700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:48:54.171 | SIM:ESM5 | Buy | 6 | 5950.5 | Aggressive |
| 2025-06-02T15:48:54.171 | SIM:ESM5 | Buy | 18 | 5950.25 | Aggressive |
| 2025-06-02T15:48:52.212 | SIM:ESM5 | Buy | 7 | 5950.25 | Aggressive |
| 2025-06-02T15:48:55.475 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:48:53.281 | SIM:ESM5 | Buy | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:48:51.225 | SIM:ESM5 | Buy | 9 | 5950.25 | Aggressive |
| 2025-06-02T15:48:50.734 | SIM:ESM5 | Buy | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:48:50.734 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1450
Arrival Price
5,950.3750
Average Total
5,950.2500
Destination Price
5,950.3750
Sweep to Fill
5,950.1050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:48:16.35 | SIM:ESM5 | Sell | 11 | 5950.25 | Aggressive |
| 2025-06-02T15:48:15.712 | SIM:ESM5 | Sell | 15 | 5950.25 | Aggressive |
| 2025-06-02T15:48:15.712 | SIM:ESM5 | Sell | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:48:14.412 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:13.922 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:13.922 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:11.652 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:11.652 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:09.612 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:09.612 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:06.015 | SIM:ESM5 | Sell | 6 | 5950.25 | Aggressive |
| 2025-06-02T15:48:04.625 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:48:03.161 | SIM:ESM5 | Sell | 1 | 5950.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3050
Slippage Sweep
-0.0300
Arrival Price
5,950.3750
Average Total
5,950.6800
Destination Price
5,950.3750
Sweep to Fill
5,950.7100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 1 | 5950.5 | Passive |
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 8 | 5950.75 | Aggressive |
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:48:01.093 | SIM:ESM5 | Buy | 1 | 5950.5 | Passive |
| 2025-06-02T15:47:54.213 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:48:02.562 | SIM:ESM5 | Buy | 6 | 5950.5 | Aggressive |
| 2025-06-02T15:47:49.402 | SIM:ESM5 | Buy | 6 | 5950.75 | Aggressive |
| 2025-06-02T15:47:45.467 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:47:55.939 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:47:55.013 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:47:52.723 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:47:50.618 | SIM:ESM5 | Buy | 9 | 5950.75 | Aggressive |
| 2025-06-02T15:47:44.93 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:47:44.93 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:47:44.93 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0750
Slippage Sweep
-0.3750
Arrival Price
5,950.1250
Average Total
5,950.2000
Destination Price
5,950.3750
Sweep to Fill
5,949.8250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:47:11.482 | SIM:ESM5 | Sell | 1 | 5950.25 | Passive |
| 2025-06-02T15:47:11.482 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:47:11.482 | SIM:ESM5 | Sell | 13 | 5950.25 | Aggressive |
| 2025-06-02T15:47:09.078 | SIM:ESM5 | Sell | 6 | 5950.25 | Aggressive |
| 2025-06-02T15:47:09.068 | SIM:ESM5 | Sell | 5 | 5950.25 | Passive |
| 2025-06-02T15:47:09.068 | SIM:ESM5 | Sell | 2 | 5950.25 | Passive |
| 2025-06-02T15:47:09.068 | SIM:ESM5 | Sell | 3 | 5950.25 | Passive |
| 2025-06-02T15:47:09.067 | SIM:ESM5 | Sell | 1 | 5950.25 | Passive |
| 2025-06-02T15:47:09.067 | SIM:ESM5 | Sell | 4 | 5950.25 | Passive |
| 2025-06-02T15:47:09.067 | SIM:ESM5 | Sell | 5 | 5950.25 | Passive |
| 2025-06-02T15:47:04.226 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:47:03.143 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
| 2025-06-02T15:47:02.035 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1450
Slippage Sweep
-0.1750
Arrival Price
5,950.1250
Average Total
5,950.2700
Destination Price
5,950.1250
Sweep to Fill
5,950.4450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:46:53.812 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:46:53.812 | SIM:ESM5 | Buy | 10 | 5950.25 | Aggressive |
| 2025-06-02T15:46:46.812 | SIM:ESM5 | Buy | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:46:45.768 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:46:52.725 | SIM:ESM5 | Buy | 7 | 5950.25 | Aggressive |
| 2025-06-02T15:46:51.902 | SIM:ESM5 | Buy | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:46:43.619 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:46:42.635 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:46:41.824 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:47:01.117 | SIM:ESM5 | Buy | 9 | 5950.25 | Aggressive |
| 2025-06-02T15:47:00.035 | SIM:ESM5 | Buy | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:46:45.012 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:46:40.758 | 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
0.3350
Slippage Sweep
0.1100
Arrival Price
5,949.8750
Average Total
5,949.5400
Destination Price
5,949.6250
Sweep to Fill
5,949.6500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:46:09.918 | SIM:ESM5 | Sell | 14 | 5949.5 | Aggressive |
| 2025-06-02T15:46:09.182 | SIM:ESM5 | Sell | 1 | 5949.5 | Passive |
| 2025-06-02T15:46:09.182 | SIM:ESM5 | Sell | 1 | 5949.5 | Passive |
| 2025-06-02T15:46:09.182 | SIM:ESM5 | Sell | 3 | 5949.5 | Passive |
| 2025-06-02T15:46:09.182 | SIM:ESM5 | Sell | 1 | 5949.5 | Passive |
| 2025-06-02T15:46:09.182 | SIM:ESM5 | Sell | 4 | 5949.5 | Passive |
| 2025-06-02T15:46:08.913 | SIM:ESM5 | Sell | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:46:05.783 | SIM:ESM5 | Sell | 9 | 5949.5 | Aggressive |
| 2025-06-02T15:46:00.771 | SIM:ESM5 | Sell | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:46:05.275 | SIM:ESM5 | Sell | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:46:03.971 | SIM:ESM5 | Sell | 1 | 5949.5 | Aggressive |
| 2025-06-02T15:45:59.833 | SIM:ESM5 | Sell | 3 | 5949.5 | Aggressive |
| 2025-06-02T15:45:54.811 | SIM:ESM5 | Sell | 2 | 5949.75 | Aggressive |
| 2025-06-02T15:45:54.328 | SIM:ESM5 | Sell | 5 | 5949.75 | Aggressive |
| 2025-06-02T15:45:52.662 | 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
0.0850
Slippage Sweep
-0.1450
Arrival Price
5,949.8750
Average Total
5,949.9600
Destination Price
5,949.8750
Sweep to Fill
5,950.1050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:45:42.32 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:45:40.012 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:45:46.545 | SIM:ESM5 | Buy | 6 | 5950 | Aggressive |
| 2025-06-02T15:45:37.046 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:45:35.203 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:45:35.203 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 9 | 5950 | Aggressive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 2 | 5949.75 | Passive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 2 | 5949.75 | Passive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 2 | 5949.75 | Passive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 2 | 5949.75 | Passive |
| 2025-06-02T15:45:52.009 | SIM:ESM5 | Buy | 2 | 5949.75 | Passive |
| 2025-06-02T15:45:45.226 | SIM:ESM5 | Buy | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:45:43.199 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:45:40.689 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:45:38.212 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:45:37.475 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:45:33.612 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:45:32.475 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1850
Slippage Sweep
-0.0950
Arrival Price
5,950.6250
Average Total
5,950.4400
Destination Price
5,950.1250
Sweep to Fill
5,950.3450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:45:00.513 | SIM:ESM5 | Sell | 5 | 5950 | Aggressive |
| 2025-06-02T15:45:00.512 | SIM:ESM5 | Sell | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:45:00.512 | SIM:ESM5 | Sell | 1 | 5950.25 | Passive |
| 2025-06-02T15:45:00.017 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:44:53.588 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:44:53.588 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:44:53.588 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:44:58.542 | SIM:ESM5 | Sell | 16 | 5950.5 | Aggressive |
| 2025-06-02T15:44:58.542 | SIM:ESM5 | Sell | 6 | 5950.5 | Aggressive |
| 2025-06-02T15:44:50.379 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:44:56.939 | SIM:ESM5 | Sell | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:44:49.413 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:44:48.438 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:44:48.438 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.4850
Slippage Sweep
0.1650
Arrival Price
5,950.1250
Average Total
5,950.6100
Destination Price
5,950.6250
Sweep to Fill
5,950.4450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:44:42.995 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:44:38.504 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:44:26.312 | SIM:ESM5 | Buy | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:44:25.053 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:44:40.647 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:44:31.475 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:44:23.975 | SIM:ESM5 | Buy | 3 | 5950.25 | Aggressive |
| 2025-06-02T15:44:22.36 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:44:20.86 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:44:20.481 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:44:45.626 | SIM:ESM5 | Buy | 10 | 5950.75 | Aggressive |
| 2025-06-02T15:44:37.265 | SIM:ESM5 | Buy | 6 | 5950.75 | Aggressive |
| 2025-06-02T15:44:36.66 | SIM:ESM5 | Buy | 5 | 5950.75 | Aggressive |
| 2025-06-02T15:44:21.629 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:44:19.177 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:44:18.784 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:44:16.149 | 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
0.2800
Slippage Sweep
0.0350
Arrival Price
5,950.8750
Average Total
5,950.5950
Destination Price
5,950.6250
Sweep to Fill
5,950.6300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:43:44.462 | SIM:ESM5 | Sell | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:43:44.462 | SIM:ESM5 | Sell | 5 | 5950.75 | Passive |
| 2025-06-02T15:43:44.462 | SIM:ESM5 | Sell | 1 | 5950.75 | Passive |
| 2025-06-02T15:43:44.462 | SIM:ESM5 | Sell | 4 | 5950.75 | Passive |
| 2025-06-02T15:43:44.462 | SIM:ESM5 | Sell | 5 | 5950.75 | Passive |
| 2025-06-02T15:43:20.988 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:43:17.86 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:43:20.853 | SIM:ESM5 | Sell | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:43:17.013 | SIM:ESM5 | Sell | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:43:16.067 | SIM:ESM5 | Sell | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:43:14.922 | SIM:ESM5 | Sell | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:43:18.839 | SIM:ESM5 | Sell | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:43:10.05 | SIM:ESM5 | Sell | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:43:08.87 | SIM:ESM5 | Sell | 1 | 5950.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2500
Slippage Sweep
-0.1400
Arrival Price
5,950.6250
Average Total
5,950.8750
Destination Price
5,950.8750
Sweep to Fill
5,951.0150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:42:43.012 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:42:42.725 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:42:42.725 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:43:00.45 | SIM:ESM5 | Buy | 2 | 5951 | Aggressive |
| 2025-06-02T15:42:59.481 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
| 2025-06-02T15:42:58.48 | SIM:ESM5 | Buy | 4 | 5951 | Aggressive |
| 2025-06-02T15:42:50.06 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:42:50.04 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:42:48.274 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:42:48.274 | SIM:ESM5 | Buy | 7 | 5950.75 | Aggressive |
| 2025-06-02T15:42:45.215 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:42:39.346 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:43:08.312 | SIM:ESM5 | Buy | 6 | 5951 | Aggressive |
| 2025-06-02T15:42:57.456 | SIM:ESM5 | Buy | 12 | 5951 | Aggressive |
| 2025-06-02T15:42:46.054 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:42:38.066 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:42:37.76 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0850
Slippage Sweep
-0.3200
Arrival Price
5,950.3750
Average Total
5,950.4600
Destination Price
5,950.6250
Sweep to Fill
5,950.1400
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:42:05.888 | SIM:ESM5 | Sell | 2 | 5950.5 | Passive |
| 2025-06-02T15:42:05.888 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:42:05.888 | SIM:ESM5 | Sell | 34 | 5950.5 | Aggressive |
| 2025-06-02T15:42:04.759 | SIM:ESM5 | Sell | 5 | 5950.5 | Passive |
| 2025-06-02T15:42:04.026 | SIM:ESM5 | Sell | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:42:04.026 | SIM:ESM5 | Sell | 3 | 5950.25 | Aggressive |
| 2025-06-02T15:42:04.026 | SIM:ESM5 | Sell | 1 | 5950.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2050
Slippage Sweep
-0.0950
Arrival Price
5,950.3750
Average Total
5,950.5800
Destination Price
5,950.3750
Sweep to Fill
5,950.6750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:42:00.857 | SIM:ESM5 | Buy | 7 | 5950.5 | Aggressive |
| 2025-06-02T15:41:53.015 | SIM:ESM5 | Buy | 6 | 5950.5 | Passive |
| 2025-06-02T15:41:53.015 | SIM:ESM5 | Buy | 1 | 5950.5 | Passive |
| 2025-06-02T15:41:53.015 | SIM:ESM5 | Buy | 5 | 5950.5 | Passive |
| 2025-06-02T15:41:53.015 | SIM:ESM5 | Buy | 5 | 5950.5 | Passive |
| 2025-06-02T15:41:42.475 | SIM:ESM5 | Buy | 6 | 5950.5 | Aggressive |
| 2025-06-02T15:41:48.95 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:41:37.475 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:41:32.413 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:41:32.413 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:41:32.413 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:41:29.623 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:41:28.912 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:41:28.912 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.0850
Arrival Price
5,950.6250
Average Total
5,950.5000
Destination Price
5,950.6250
Sweep to Fill
5,950.4150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:40:48.368 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:40:48.013 | SIM:ESM5 | Sell | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:40:46.972 | SIM:ESM5 | Sell | 7 | 5950.5 | Aggressive |
| 2025-06-02T15:40:40.361 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:40:38.991 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:40:37.401 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:40:55.528 | SIM:ESM5 | Sell | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:40:45.512 | SIM:ESM5 | Sell | 13 | 5950.5 | Aggressive |
| 2025-06-02T15:40:44.322 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:40:43.285 | SIM:ESM5 | Sell | 6 | 5950.5 | Aggressive |
| 2025-06-02T15:40:41.277 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:40:40.128 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:40:36.277 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |