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
0.3300
Slippage Sweep
0.1000
Arrival Price
5,950.1250
Average Total
5,950.4550
Destination Price
5,950.6250
Sweep to Fill
5,950.3550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:40:35.885 | SIM:ESM5 | Buy | 17 | 5950.75 | Aggressive |
| 2025-06-02T15:40:28.864 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:40:28.138 | SIM:ESM5 | Buy | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:40:20.567 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:40:26.052 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:40:26.052 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:40:24.202 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:40:24.202 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:40:19.257 | SIM:ESM5 | Buy | 3 | 5950.25 | Aggressive |
| 2025-06-02T15:40:19.257 | SIM:ESM5 | Buy | 5 | 5950.25 | Aggressive |
| 2025-06-02T15:40:19.257 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:40:15.725 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:40:15.725 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:40:15.307 | SIM:ESM5 | Buy | 3 | 5950.25 | Aggressive |
| 2025-06-02T15:40:22.005 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:40:14.36 | SIM:ESM5 | Buy | 3 | 5950.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1150
Arrival Price
5,950.1250
Average Total
5,950.0000
Destination Price
5,950.1250
Sweep to Fill
5,949.8850
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:39:38.73 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:39:38.058 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:39:36.412 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:39:36.175 | SIM:ESM5 | Sell | 7 | 5950 | Aggressive |
| 2025-06-02T15:39:40.312 | SIM:ESM5 | Sell | 5 | 5950 | Aggressive |
| 2025-06-02T15:39:31.312 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:39:31.242 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:39:31.242 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:39:31.242 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:39:31.242 | SIM:ESM5 | Sell | 5 | 5950 | Aggressive |
| 2025-06-02T15:39:31.242 | SIM:ESM5 | Sell | 4 | 5950 | Aggressive |
| 2025-06-02T15:39:26.236 | SIM:ESM5 | Sell | 5 | 5950 | Aggressive |
| 2025-06-02T15:39:24.636 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2000
Slippage Sweep
-0.0450
Arrival Price
5,950.1250
Average Total
5,950.3250
Destination Price
5,950.1250
Sweep to Fill
5,950.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:39:23.739 | SIM:ESM5 | Buy | 6 | 5950.25 | Aggressive |
| 2025-06-02T15:39:23.739 | SIM:ESM5 | Buy | 11 | 5950.25 | Aggressive |
| 2025-06-02T15:39:15.69 | SIM:ESM5 | Buy | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:39:18.184 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:39:18.184 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:39:18.184 | SIM:ESM5 | Buy | 2 | 5950.25 | Passive |
| 2025-06-02T15:39:18.184 | SIM:ESM5 | Buy | 1 | 5950.25 | Passive |
| 2025-06-02T15:39:18.183 | SIM:ESM5 | Buy | 1 | 5950.25 | Passive |
| 2025-06-02T15:39:14.955 | SIM:ESM5 | Buy | 11 | 5950.5 | Aggressive |
| 2025-06-02T15:39:10.655 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:39:10.655 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:39:10.655 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:39:10.655 | SIM:ESM5 | Buy | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:39:08.914 | SIM:ESM5 | Buy | 3 | 5950.25 | Aggressive |
| 2025-06-02T15:39:08.914 | SIM:ESM5 | Buy | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:39:06.717 | 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
0.1250
Slippage Sweep
-0.1350
Arrival Price
5,950.1250
Average Total
5,950.0000
Destination Price
5,950.1250
Sweep to Fill
5,949.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:38:29.932 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
| 2025-06-02T15:38:25.712 | SIM:ESM5 | Sell | 8 | 5950 | Aggressive |
| 2025-06-02T15:38:22.783 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:38:19.659 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:38:18.556 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:38:17.529 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:38:36.131 | SIM:ESM5 | Sell | 11 | 5950 | Aggressive |
| 2025-06-02T15:38:29.256 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:38:28.121 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:38:28.121 | SIM:ESM5 | Sell | 2 | 5950 | Aggressive |
| 2025-06-02T15:38:28.12 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:38:21.725 | SIM:ESM5 | Sell | 6 | 5950 | Aggressive |
| 2025-06-02T15:38:20.612 | SIM:ESM5 | Sell | 3 | 5950 | Aggressive |
| 2025-06-02T15:38:16.913 | SIM:ESM5 | Sell | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7350
Slippage Sweep
0.4900
Arrival Price
5,949.1250
Average Total
5,949.8600
Destination Price
5,950.1250
Sweep to Fill
5,949.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:38:15.976 | SIM:ESM5 | Buy | 12 | 5950.25 | Aggressive |
| 2025-06-02T15:38:05.159 | SIM:ESM5 | Buy | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:38:03.076 | SIM:ESM5 | Buy | 3 | 5949.25 | Aggressive |
| 2025-06-02T15:38:08.953 | SIM:ESM5 | Buy | 13 | 5949.75 | Aggressive |
| 2025-06-02T15:38:08.952 | SIM:ESM5 | Buy | 1 | 5949.75 | Aggressive |
| 2025-06-02T15:38:01.927 | SIM:ESM5 | Buy | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:38:00.612 | SIM:ESM5 | Buy | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:38:15.975 | SIM:ESM5 | Buy | 10 | 5950.25 | Aggressive |
| 2025-06-02T15:38:12.725 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:38:00.236 | SIM:ESM5 | Buy | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:38:00.236 | 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
0.1700
Slippage Sweep
0.0100
Arrival Price
5,949.3750
Average Total
5,949.2050
Destination Price
5,949.1250
Sweep to Fill
5,949.2150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:37:27.731 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:37:05.514 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:36:54.412 | SIM:ESM5 | Sell | 4 | 5949.25 | Aggressive |
| 2025-06-02T15:37:06.712 | SIM:ESM5 | Sell | 17 | 5949.25 | Aggressive |
| 2025-06-02T15:37:06.712 | SIM:ESM5 | Sell | 11 | 5949.25 | Aggressive |
| 2025-06-02T15:36:57.414 | SIM:ESM5 | Sell | 3 | 5949 | Aggressive |
| 2025-06-02T15:36:57.414 | SIM:ESM5 | Sell | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:36:57.414 | SIM:ESM5 | Sell | 6 | 5949 | Aggressive |
| 2025-06-02T15:36:57.414 | SIM:ESM5 | Sell | 1 | 5949.25 | Aggressive |
| 2025-06-02T15:36:57.414 | SIM:ESM5 | Sell | 1 | 5949.25 | Passive |
| 2025-06-02T15:36:55.367 | SIM:ESM5 | Sell | 2 | 5949.25 | Aggressive |
| 2025-06-02T15:36:53.587 | 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
-0.0550
Slippage Sweep
-0.3350
Arrival Price
5,949.8750
Average Total
5,949.8200
Destination Price
5,949.3750
Sweep to Fill
5,950.1550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:36:52.563 | SIM:ESM5 | Buy | 26 | 5949.75 | Aggressive |
| 2025-06-02T15:36:52.562 | SIM:ESM5 | Buy | 5 | 5949.5 | Aggressive |
| 2025-06-02T15:36:48.512 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:36:47.558 | SIM:ESM5 | Buy | 2 | 5950 | Aggressive |
| 2025-06-02T15:36:45.503 | SIM:ESM5 | Buy | 6 | 5950 | Aggressive |
| 2025-06-02T15:36:46.975 | SIM:ESM5 | Buy | 4 | 5950 | Aggressive |
| 2025-06-02T15:36:45.013 | SIM:ESM5 | Buy | 3 | 5950 | Aggressive |
| 2025-06-02T15:36:43.947 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
| 2025-06-02T15:36:42.885 | SIM:ESM5 | Buy | 1 | 5950 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.1650
Arrival Price
5,950.3750
Average Total
5,950.3600
Destination Price
5,950.3750
Sweep to Fill
5,950.1950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:36:10.412 | SIM:ESM5 | Sell | 1 | 5950.25 | Aggressive |
| 2025-06-02T15:36:10.286 | SIM:ESM5 | Sell | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:36:09.564 | SIM:ESM5 | Sell | 5 | 5950.25 | Aggressive |
| 2025-06-02T15:35:59.912 | SIM:ESM5 | Sell | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:36:03.152 | SIM:ESM5 | Sell | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:36:03.152 | SIM:ESM5 | Sell | 16 | 5950.5 | Aggressive |
| 2025-06-02T15:36:02.367 | SIM:ESM5 | Sell | 5 | 5950.25 | Aggressive |
| 2025-06-02T15:36:02.367 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:36:02.367 | SIM:ESM5 | Sell | 4 | 5950.5 | Aggressive |
| 2025-06-02T15:36:02.367 | SIM:ESM5 | Sell | 1 | 5950.5 | Passive |
| 2025-06-02T15:35:59.303 | SIM:ESM5 | Sell | 5 | 5950.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.2550
Arrival Price
5,950.6250
Average Total
5,950.6400
Destination Price
5,950.3750
Sweep to Fill
5,950.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:35:56.785 | SIM:ESM5 | Buy | 9 | 5950.75 | Aggressive |
| 2025-06-02T15:35:55.489 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:35:55.11 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:35:53.765 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:35:57.513 | SIM:ESM5 | Buy | 7 | 5950.75 | Aggressive |
| 2025-06-02T15:35:57.513 | SIM:ESM5 | Buy | 22 | 5950.5 | Aggressive |
| 2025-06-02T15:35:53.15 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:35:52.325 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:35:52.325 | 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
-0.0950
Slippage Sweep
-0.2200
Arrival Price
5,950.1250
Average Total
5,950.2200
Destination Price
5,950.3750
Sweep to Fill
5,950.0000
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:35:19.864 | SIM:ESM5 | Sell | 11 | 5950.25 | Aggressive |
| 2025-06-02T15:35:18.738 | SIM:ESM5 | Sell | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:35:18.712 | SIM:ESM5 | Sell | 5 | 5950.25 | Aggressive |
| 2025-06-02T15:35:16.429 | SIM:ESM5 | Sell | 2 | 5950.25 | Aggressive |
| 2025-06-02T15:35:14.717 | SIM:ESM5 | Sell | 6 | 5950 | Aggressive |
| 2025-06-02T15:35:14.717 | SIM:ESM5 | Sell | 11 | 5950.25 | Aggressive |
| 2025-06-02T15:35:14.517 | SIM:ESM5 | Sell | 4 | 5950.25 | Aggressive |
| 2025-06-02T15:35:12.719 | SIM:ESM5 | Sell | 6 | 5950.25 | Aggressive |
| 2025-06-02T15:35:12.476 | SIM:ESM5 | Sell | 1 | 5950.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0100
Slippage Sweep
-0.2300
Arrival Price
5,950.6250
Average Total
5,950.6150
Destination Price
5,950.3750
Sweep to Fill
5,950.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:35:09.14 | SIM:ESM5 | Buy | 1 | 5950.25 | Passive |
| 2025-06-02T15:35:07.617 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:35:07.617 | SIM:ESM5 | Buy | 21 | 5950.5 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 4 | 5950.75 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 5 | 5950.75 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 2 | 5950.75 | Aggressive |
| 2025-06-02T15:35:06.721 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:35:06.72 | SIM:ESM5 | Buy | 1 | 5950.5 | Passive |
| 2025-06-02T15:35:06.72 | SIM:ESM5 | Buy | 1 | 5950.5 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1250
Slippage Sweep
-0.1250
Arrival Price
5,950.6250
Average Total
5,950.5000
Destination Price
5,950.6250
Sweep to Fill
5,950.3750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:34:19.993 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:18.003 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:34:17.174 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:34:28.505 | SIM:ESM5 | Sell | 13 | 5950.5 | Aggressive |
| 2025-06-02T15:34:18.917 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:15.085 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:11.814 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:29.027 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:27.207 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:27.207 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:24.112 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:34:24.112 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:34:23.517 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:22.012 | SIM:ESM5 | Sell | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:34:21.142 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:15.975 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:13.981 | SIM:ESM5 | Sell | 3 | 5950.5 | Aggressive |
| 2025-06-02T15:34:12.961 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:10.832 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:34:10.711 | 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
0.5150
Slippage Sweep
0.1850
Arrival Price
5,950.1250
Average Total
5,950.6400
Destination Price
5,950.6250
Sweep to Fill
5,950.4550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:34:09.201 | SIM:ESM5 | Buy | 6 | 5950.75 | Aggressive |
| 2025-06-02T15:34:09.201 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:34:09.201 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:33:57.577 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:33:57.575 | SIM:ESM5 | Buy | 15 | 5950.75 | Aggressive |
| 2025-06-02T15:33:50.058 | SIM:ESM5 | Buy | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:33:47.867 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:47.273 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:39.712 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:39.712 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:39.712 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:42.844 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:42.844 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:41.352 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:38.837 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:49.224 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:44.62 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:44.62 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:44.042 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:42.293 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:42.293 | SIM:ESM5 | Buy | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:33:37.852 | SIM:ESM5 | Buy | 2 | 5950.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3950
Slippage Sweep
0.0800
Arrival Price
5,950.6250
Average Total
5,950.2300
Destination Price
5,950.1250
Sweep to Fill
5,950.3100
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:32:51.976 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:32:57.725 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:32:56.712 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:32:55.621 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:32:55.621 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:32:52.712 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:32:49.881 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:32:49.881 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:32:59.678 | SIM:ESM5 | Sell | 27 | 5950 | Aggressive |
| 2025-06-02T15:32:48.931 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:32:47.612 | SIM:ESM5 | Sell | 1 | 5950.5 | Aggressive |
| 2025-06-02T15:32:46.712 | SIM:ESM5 | Sell | 5 | 5950.5 | Aggressive |
| 2025-06-02T15:32:45.53 | SIM:ESM5 | Sell | 2 | 5950.5 | Aggressive |
| 2025-06-02T15:32:44.475 | 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
0.2550
Slippage Sweep
-0.0450
Arrival Price
5,950.6250
Average Total
5,950.8800
Destination Price
5,950.8750
Sweep to Fill
5,950.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:32:30.935 | SIM:ESM5 | Buy | 3 | 5950.75 | Passive |
| 2025-06-02T15:32:30.935 | SIM:ESM5 | Buy | 3 | 5950.75 | Passive |
| 2025-06-02T15:32:30.935 | SIM:ESM5 | Buy | 3 | 5950.75 | Passive |
| 2025-06-02T15:32:27.298 | SIM:ESM5 | Buy | 7 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 5 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 3 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 2 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 2 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 2 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 1 | 5951 | Aggressive |
| 2025-06-02T15:32:42.029 | SIM:ESM5 | Buy | 4 | 5951 | Aggressive |
| 2025-06-02T15:32:23.517 | SIM:ESM5 | Buy | 10 | 5950.75 | Aggressive |
| 2025-06-02T15:32:22.938 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |
| 2025-06-02T15:32:21.316 | SIM:ESM5 | Buy | 3 | 5950.75 | Aggressive |
| 2025-06-02T15:32:20.43 | SIM:ESM5 | Buy | 1 | 5950.75 | Aggressive |