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
0.9450
Slippage Sweep
0.3350
Arrival Price
5,331.1250
Average Total
5,332.0700
Destination Price
5,331.8750
Sweep to Fill
5,331.7350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:17:04.223 | SIM:ESM5 | Buy | 5 | 5331.75 | Aggressive |
| 2025-04-17T12:17:04.223 | SIM:ESM5 | Buy | 2 | 5332 | Aggressive |
| 2025-04-17T12:17:04.223 | SIM:ESM5 | Buy | 3 | 5331.75 | Aggressive |
| 2025-04-17T12:17:09.282 | SIM:ESM5 | Buy | 2 | 5331.5 | Aggressive |
| 2025-04-17T12:17:09.282 | SIM:ESM5 | Buy | 6 | 5331.75 | Aggressive |
| 2025-04-17T12:17:10.319 | SIM:ESM5 | Buy | 3 | 5331.5 | Aggressive |
| 2025-04-17T12:17:11.325 | SIM:ESM5 | Buy | 9 | 5332.25 | Aggressive |
| 2025-04-17T12:17:11.325 | SIM:ESM5 | Buy | 3 | 5332.25 | Passive |
| 2025-04-17T12:17:12.323 | SIM:ESM5 | Buy | 6 | 5332.5 | Aggressive |
| 2025-04-17T12:17:12.324 | SIM:ESM5 | Buy | 3 | 5332.75 | Aggressive |
| 2025-04-17T12:17:13.353 | SIM:ESM5 | Buy | 3 | 5332 | Aggressive |
| 2025-04-17T12:17:13.353 | SIM:ESM5 | Buy | 5 | 5332.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.5850
Slippage Sweep
-1.1150
Arrival Price
5,332.1250
Average Total
5,332.7100
Destination Price
5,333.3750
Sweep to Fill
5,331.5950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:16:18.414 | SIM:ESM5 | Sell | 1 | 5332 | Aggressive |
| 2025-04-17T12:16:19.413 | SIM:ESM5 | Sell | 3 | 5332.25 | Aggressive |
| 2025-04-17T12:16:20.525 | SIM:ESM5 | Sell | 2 | 5332.25 | Aggressive |
| 2025-04-17T12:16:21.354 | SIM:ESM5 | Sell | 8 | 5332.5 | Aggressive |
| 2025-04-17T12:16:21.354 | SIM:ESM5 | Sell | 9 | 5332.25 | Aggressive |
| 2025-04-17T12:16:22.363 | SIM:ESM5 | Sell | 4 | 5333.25 | Aggressive |
| 2025-04-17T12:16:22.363 | SIM:ESM5 | Sell | 8 | 5333 | Aggressive |
| 2025-04-17T12:16:23.379 | SIM:ESM5 | Sell | 9 | 5333 | Aggressive |
| 2025-04-17T12:16:24.412 | SIM:ESM5 | Sell | 6 | 5333 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.8450
Slippage Sweep
-2.3200
Arrival Price
5,334.8750
Average Total
5,333.0300
Destination Price
5,332.6250
Sweep to Fill
5,335.3500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:16:05.83 | SIM:ESM5 | Buy | 1 | 5335 | Aggressive |
| 2025-04-17T12:16:06.776 | SIM:ESM5 | Buy | 10 | 5333.75 | Aggressive |
| 2025-04-17T12:16:06.776 | SIM:ESM5 | Buy | 4 | 5333.75 | Passive |
| 2025-04-17T12:16:07.778 | SIM:ESM5 | Buy | 9 | 5332.75 | Aggressive |
| 2025-04-17T12:16:07.778 | SIM:ESM5 | Buy | 4 | 5332.75 | Aggressive |
| 2025-04-17T12:16:08.788 | SIM:ESM5 | Buy | 2 | 5332.5 | Aggressive |
| 2025-04-17T12:16:08.788 | SIM:ESM5 | Buy | 6 | 5332.75 | Aggressive |
| 2025-04-17T12:16:08.789 | SIM:ESM5 | Buy | 2 | 5332.5 | Passive |
| 2025-04-17T12:16:09.816 | SIM:ESM5 | Buy | 2 | 5332.5 | Aggressive |
| 2025-04-17T12:16:09.817 | SIM:ESM5 | Buy | 3 | 5332.5 | Aggressive |
| 2025-04-17T12:16:10.809 | SIM:ESM5 | Buy | 3 | 5332.75 | Aggressive |
| 2025-04-17T12:16:10.809 | SIM:ESM5 | Buy | 4 | 5332.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.4000
Slippage Sweep
-0.9550
Arrival Price
5,334.8750
Average Total
5,335.2750
Destination Price
5,336.6250
Sweep to Fill
5,334.3200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:15:23.475 | SIM:ESM5 | Sell | 1 | 5334.5 | Aggressive |
| 2025-04-17T12:15:24.481 | SIM:ESM5 | Sell | 3 | 5334 | Aggressive |
| 2025-04-17T12:15:24.481 | SIM:ESM5 | Sell | 4 | 5333.75 | Aggressive |
| 2025-04-17T12:15:25.502 | SIM:ESM5 | Sell | 9 | 5334 | Aggressive |
| 2025-04-17T12:15:25.502 | SIM:ESM5 | Sell | 1 | 5334 | Aggressive |
| 2025-04-17T12:15:25.502 | SIM:ESM5 | Sell | 3 | 5334 | Passive |
| 2025-04-17T12:15:27.502 | SIM:ESM5 | Sell | 4 | 5336.25 | Aggressive |
| 2025-04-17T12:15:27.502 | SIM:ESM5 | Sell | 6 | 5336 | Aggressive |
| 2025-04-17T12:15:28.551 | SIM:ESM5 | Sell | 3 | 5336.25 | Aggressive |
| 2025-04-17T12:15:28.551 | SIM:ESM5 | Sell | 7 | 5336 | Aggressive |
| 2025-04-17T12:15:29.583 | SIM:ESM5 | Sell | 9 | 5336.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5100
Slippage Sweep
-0.9700
Arrival Price
5,334.8750
Average Total
5,334.3650
Destination Price
5,334.3750
Sweep to Fill
5,335.3350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:15:03.815 | SIM:ESM5 | Buy | 1 | 5334.5 | Aggressive |
| 2025-04-17T12:15:04.854 | SIM:ESM5 | Buy | 5 | 5334.25 | Aggressive |
| 2025-04-17T12:15:04.854 | SIM:ESM5 | Buy | 6 | 5334.5 | Aggressive |
| 2025-04-17T12:15:05.865 | SIM:ESM5 | Buy | 12 | 5334.25 | Aggressive |
| 2025-04-17T12:15:05.865 | SIM:ESM5 | Buy | 4 | 5334.25 | Passive |
| 2025-04-17T12:15:06.867 | SIM:ESM5 | Buy | 9 | 5334.25 | Aggressive |
| 2025-04-17T12:15:06.867 | SIM:ESM5 | Buy | 2 | 5334.5 | Aggressive |
| 2025-04-17T12:15:06.867 | SIM:ESM5 | Buy | 3 | 5334.25 | Passive |
| 2025-04-17T12:15:07.877 | SIM:ESM5 | Buy | 2 | 5334.5 | Aggressive |
| 2025-04-17T12:15:07.877 | SIM:ESM5 | Buy | 6 | 5334.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.0650
Slippage Sweep
0.5000
Arrival Price
5,336.6250
Average Total
5,335.5600
Destination Price
5,335.8750
Sweep to Fill
5,336.0600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:14:17.713 | SIM:ESM5 | Sell | 1 | 5336.5 | Aggressive |
| 2025-04-17T12:14:18.706 | SIM:ESM5 | Sell | 2 | 5336.5 | Aggressive |
| 2025-04-17T12:14:19.688 | SIM:ESM5 | Sell | 1 | 5336.5 | Aggressive |
| 2025-04-17T12:14:20.659 | SIM:ESM5 | Sell | 6 | 5336.25 | Aggressive |
| 2025-04-17T12:14:20.659 | SIM:ESM5 | Sell | 1 | 5336 | Aggressive |
| 2025-04-17T12:14:21.678 | SIM:ESM5 | Sell | 10 | 5335.25 | Aggressive |
| 2025-04-17T12:14:21.678 | SIM:ESM5 | Sell | 2 | 5335.25 | Passive |
| 2025-04-17T12:14:22.855 | SIM:ESM5 | Sell | 8 | 5335.25 | Aggressive |
| 2025-04-17T12:14:22.855 | SIM:ESM5 | Sell | 1 | 5335.25 | Passive |
| 2025-04-17T12:14:23.683 | SIM:ESM5 | Sell | 11 | 5335.5 | Aggressive |
| 2025-04-17T12:14:23.683 | SIM:ESM5 | Sell | 5 | 5335.25 | Aggressive |
| 2025-04-17T12:14:24.744 | SIM:ESM5 | Sell | 2 | 5335.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1900
Slippage Sweep
-0.6550
Arrival Price
5,337.6250
Average Total
5,337.4350
Destination Price
5,337.3750
Sweep to Fill
5,338.0900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:13:53.712 | SIM:ESM5 | Buy | 1 | 5337.75 | Aggressive |
| 2025-04-17T12:13:54.69 | SIM:ESM5 | Buy | 2 | 5337.75 | Aggressive |
| 2025-04-17T12:13:55.705 | SIM:ESM5 | Buy | 2 | 5337.5 | Aggressive |
| 2025-04-17T12:13:56.772 | SIM:ESM5 | Buy | 2 | 5337.5 | Aggressive |
| 2025-04-17T12:13:57.743 | SIM:ESM5 | Buy | 4 | 5337.5 | Aggressive |
| 2025-04-17T12:13:57.743 | SIM:ESM5 | Buy | 3 | 5337.5 | Aggressive |
| 2025-04-17T12:14:00.75 | SIM:ESM5 | Buy | 8 | 5337.5 | Aggressive |
| 2025-04-17T12:14:00.75 | SIM:ESM5 | Buy | 1 | 5337.5 | Passive |
| 2025-04-17T12:14:01.751 | SIM:ESM5 | Buy | 8 | 5337.25 | Aggressive |
| 2025-04-17T12:14:02.817 | SIM:ESM5 | Buy | 8 | 5337.25 | Aggressive |
| 2025-04-17T12:14:02.817 | SIM:ESM5 | Buy | 2 | 5337.5 | Aggressive |
| 2025-04-17T12:14:06.798 | SIM:ESM5 | Buy | 4 | 5337.5 | Aggressive |
| 2025-04-17T12:14:06.798 | SIM:ESM5 | Buy | 1 | 5337.5 | Aggressive |
| 2025-04-17T12:14:07.819 | SIM:ESM5 | Buy | 4 | 5337.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-1.0200
Slippage Sweep
-1.5250
Arrival Price
5,339.2500
Average Total
5,338.2300
Destination Price
5,337.8750
Sweep to Fill
5,339.7550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:12:35.213 | SIM:ESM5 | Buy | 1 | 5339.5 | Aggressive |
| 2025-04-17T12:12:36.159 | SIM:ESM5 | Buy | 1 | 5339.25 | Passive |
| 2025-04-17T12:12:36.16 | SIM:ESM5 | Buy | 1 | 5339.25 | Aggressive |
| 2025-04-17T12:12:36.16 | SIM:ESM5 | Buy | 1 | 5339.5 | Aggressive |
| 2025-04-17T12:12:38.168 | SIM:ESM5 | Buy | 2 | 5339.5 | Aggressive |
| 2025-04-17T12:12:39.203 | SIM:ESM5 | Buy | 9 | 5338.75 | Aggressive |
| 2025-04-17T12:12:39.203 | SIM:ESM5 | Buy | 4 | 5338.75 | Passive |
| 2025-04-17T12:12:40.189 | SIM:ESM5 | Buy | 4 | 5337.5 | Aggressive |
| 2025-04-17T12:12:40.189 | SIM:ESM5 | Buy | 9 | 5337.75 | Aggressive |
| 2025-04-17T12:12:41.183 | SIM:ESM5 | Buy | 10 | 5337.75 | Aggressive |
| 2025-04-17T12:12:41.183 | SIM:ESM5 | Buy | 5 | 5338 | Aggressive |
| 2025-04-17T12:12:42.212 | SIM:ESM5 | Buy | 3 | 5338 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5800
Slippage Sweep
0.0500
Arrival Price
5,343.0000
Average Total
5,342.4200
Destination Price
5,341.6250
Sweep to Fill
5,342.4700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:10:53.883 | SIM:ESM5 | Sell | 1 | 5343 | Aggressive |
| 2025-04-17T12:10:54.857 | SIM:ESM5 | Sell | 7 | 5343.5 | Aggressive |
| 2025-04-17T12:10:55.855 | SIM:ESM5 | Sell | 4 | 5343.5 | Aggressive |
| 2025-04-17T12:10:55.855 | SIM:ESM5 | Sell | 4 | 5343.25 | Aggressive |
| 2025-04-17T12:10:58.878 | SIM:ESM5 | Sell | 6 | 5342.25 | Aggressive |
| 2025-04-17T12:10:58.878 | SIM:ESM5 | Sell | 3 | 5342 | Aggressive |
| 2025-04-17T12:10:59.912 | SIM:ESM5 | Sell | 8 | 5342.25 | Aggressive |
| 2025-04-17T12:10:59.912 | SIM:ESM5 | Sell | 3 | 5342.25 | Passive |
| 2025-04-17T12:11:00.917 | SIM:ESM5 | Sell | 5 | 5341.75 | Aggressive |
| 2025-04-17T12:11:00.917 | SIM:ESM5 | Sell | 7 | 5341.5 | Aggressive |
| 2025-04-17T12:11:01.942 | SIM:ESM5 | Sell | 2 | 5341.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.9500
Slippage Sweep
0.4450
Arrival Price
5,343.8750
Average Total
5,342.9250
Destination Price
5,342.3750
Sweep to Fill
5,343.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:09:53.68 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:09:54.682 | SIM:ESM5 | Sell | 6 | 5344.25 | Aggressive |
| 2025-04-17T12:09:54.682 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:09:58.758 | SIM:ESM5 | Sell | 1 | 5343.5 | Aggressive |
| 2025-04-17T12:09:58.758 | SIM:ESM5 | Sell | 1 | 5343.5 | Aggressive |
| 2025-04-17T12:09:59.755 | SIM:ESM5 | Sell | 6 | 5343.5 | Aggressive |
| 2025-04-17T12:09:59.755 | SIM:ESM5 | Sell | 6 | 5343.5 | Aggressive |
| 2025-04-17T12:10:00.709 | SIM:ESM5 | Sell | 3 | 5344 | Aggressive |
| 2025-04-17T12:10:00.709 | SIM:ESM5 | Sell | 1 | 5344 | Aggressive |
| 2025-04-17T12:10:04.769 | SIM:ESM5 | Sell | 7 | 5342 | Aggressive |
| 2025-04-17T12:10:04.769 | SIM:ESM5 | Sell | 1 | 5341.75 | Aggressive |
| 2025-04-17T12:10:05.775 | SIM:ESM5 | Sell | 2 | 5342.25 | Aggressive |
| 2025-04-17T12:10:05.775 | SIM:ESM5 | Sell | 12 | 5342 | Aggressive |
| 2025-04-17T12:10:05.775 | SIM:ESM5 | Sell | 2 | 5341.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.1350
Slippage Sweep
-0.5850
Arrival Price
5,345.3750
Average Total
5,345.2400
Destination Price
5,344.6250
Sweep to Fill
5,345.8250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:09:39.612 | SIM:ESM5 | Buy | 1 | 5345.5 | Aggressive |
| 2025-04-17T12:09:40.598 | SIM:ESM5 | Buy | 1 | 5345.5 | Aggressive |
| 2025-04-17T12:09:41.592 | SIM:ESM5 | Buy | 14 | 5346 | Aggressive |
| 2025-04-17T12:09:41.592 | SIM:ESM5 | Buy | 1 | 5345.75 | Passive |
| 2025-04-17T12:09:45.658 | SIM:ESM5 | Buy | 7 | 5344.75 | Aggressive |
| 2025-04-17T12:09:45.658 | SIM:ESM5 | Buy | 1 | 5344.75 | Passive |
| 2025-04-17T12:09:46.782 | SIM:ESM5 | Buy | 6 | 5345 | Aggressive |
| 2025-04-17T12:09:46.782 | SIM:ESM5 | Buy | 1 | 5345.25 | Aggressive |
| 2025-04-17T12:09:47.699 | SIM:ESM5 | Buy | 4 | 5344.75 | Aggressive |
| 2025-04-17T12:09:47.7 | SIM:ESM5 | Buy | 8 | 5345 | Aggressive |
| 2025-04-17T12:09:48.685 | SIM:ESM5 | Buy | 4 | 5344.75 | Aggressive |
| 2025-04-17T12:09:48.685 | SIM:ESM5 | Buy | 2 | 5345 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-1.0200
Slippage Sweep
-1.6300
Arrival Price
5,343.1250
Average Total
5,344.1450
Destination Price
5,344.7500
Sweep to Fill
5,342.5150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:08:51.175 | SIM:ESM5 | Sell | 1 | 5342.75 | Aggressive |
| 2025-04-17T12:08:52.117 | SIM:ESM5 | Sell | 2 | 5343.25 | Aggressive |
| 2025-04-17T12:08:53.082 | SIM:ESM5 | Sell | 1 | 5342.75 | Aggressive |
| 2025-04-17T12:08:53.082 | SIM:ESM5 | Sell | 4 | 5342.75 | Aggressive |
| 2025-04-17T12:08:55.099 | SIM:ESM5 | Sell | 12 | 5344.25 | Aggressive |
| 2025-04-17T12:08:55.1 | SIM:ESM5 | Sell | 5 | 5344.25 | Aggressive |
| 2025-04-17T12:08:56.115 | SIM:ESM5 | Sell | 11 | 5344.5 | Aggressive |
| 2025-04-17T12:08:56.115 | SIM:ESM5 | Sell | 2 | 5344.25 | Aggressive |
| 2025-04-17T12:08:56.168 | SIM:ESM5 | Sell | 1 | 5344.5 | Aggressive |
| 2025-04-17T12:08:57.134 | SIM:ESM5 | Sell | 11 | 5344.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.5950
Slippage Sweep
-1.1200
Arrival Price
5,342.5000
Average Total
5,341.9050
Destination Price
5,341.5000
Sweep to Fill
5,343.0250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:08:22.677 | SIM:ESM5 | Buy | 1 | 5342.5 | Aggressive |
| 2025-04-17T12:08:23.71 | SIM:ESM5 | Buy | 3 | 5342.75 | Aggressive |
| 2025-04-17T12:08:24.686 | SIM:ESM5 | Buy | 9 | 5341.75 | Aggressive |
| 2025-04-17T12:08:24.76 | SIM:ESM5 | Buy | 1 | 5341.75 | Aggressive |
| 2025-04-17T12:08:25.692 | SIM:ESM5 | Buy | 10 | 5341.75 | Aggressive |
| 2025-04-17T12:08:25.692 | SIM:ESM5 | Buy | 4 | 5341.75 | Passive |
| 2025-04-17T12:08:26.705 | SIM:ESM5 | Buy | 3 | 5342 | Aggressive |
| 2025-04-17T12:08:26.705 | SIM:ESM5 | Buy | 6 | 5342.25 | Aggressive |
| 2025-04-17T12:08:26.705 | SIM:ESM5 | Buy | 1 | 5342 | Aggressive |
| 2025-04-17T12:08:27.722 | SIM:ESM5 | Buy | 5 | 5341.75 | Aggressive |
| 2025-04-17T12:08:28.027 | SIM:ESM5 | Buy | 2 | 5341.75 | Aggressive |
| 2025-04-17T12:08:31.774 | SIM:ESM5 | Buy | 5 | 5341.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.5150
Slippage Sweep
-0.0300
Arrival Price
5,342.3750
Average Total
5,341.8600
Destination Price
5,341.8750
Sweep to Fill
5,341.8300
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:07:35.296 | SIM:ESM5 | Sell | 1 | 5342.25 | Aggressive |
| 2025-04-17T12:07:36.15 | SIM:ESM5 | Sell | 1 | 5342.25 | Aggressive |
| 2025-04-17T12:07:37.181 | SIM:ESM5 | Sell | 2 | 5342.25 | Aggressive |
| 2025-04-17T12:07:37.181 | SIM:ESM5 | Sell | 1 | 5342.25 | Aggressive |
| 2025-04-17T12:07:38.21 | SIM:ESM5 | Sell | 6 | 5342.5 | Aggressive |
| 2025-04-17T12:07:41.213 | SIM:ESM5 | Sell | 8 | 5341.75 | Aggressive |
| 2025-04-17T12:07:41.213 | SIM:ESM5 | Sell | 3 | 5341.75 | Passive |
| 2025-04-17T12:07:42.288 | SIM:ESM5 | Sell | 10 | 5341.75 | Aggressive |
| 2025-04-17T12:07:42.288 | SIM:ESM5 | Sell | 5 | 5341.75 | Passive |
| 2025-04-17T12:07:44.289 | SIM:ESM5 | Sell | 4 | 5341.75 | Aggressive |
| 2025-04-17T12:07:44.289 | SIM:ESM5 | Sell | 5 | 5341.5 | Aggressive |
| 2025-04-17T12:07:45.268 | SIM:ESM5 | Sell | 3 | 5341.75 | Aggressive |
| 2025-04-17T12:07:45.268 | SIM:ESM5 | Sell | 1 | 5341.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
1.2450
Slippage Sweep
0.7150
Arrival Price
5,341.3750
Average Total
5,340.1300
Destination Price
5,339.8750
Sweep to Fill
5,340.8450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-04-17T12:06:23.202 | SIM:ESM5 | Sell | 1 | 5341 | Aggressive |
| 2025-04-17T12:06:24.302 | SIM:ESM5 | Sell | 1 | 5341 | Aggressive |
| 2025-04-17T12:06:25.232 | SIM:ESM5 | Sell | 11 | 5340.25 | Aggressive |
| 2025-04-17T12:06:25.232 | SIM:ESM5 | Sell | 3 | 5340 | Aggressive |
| 2025-04-17T12:06:26.243 | SIM:ESM5 | Sell | 10 | 5340.5 | Aggressive |
| 2025-04-17T12:06:26.243 | SIM:ESM5 | Sell | 1 | 5340.75 | Passive |
| 2025-04-17T12:06:26.243 | SIM:ESM5 | Sell | 1 | 5340.75 | Aggressive |
| 2025-04-17T12:06:26.243 | SIM:ESM5 | Sell | 1 | 5340.5 | Aggressive |
| 2025-04-17T12:06:27.26 | SIM:ESM5 | Sell | 7 | 5339.75 | Aggressive |
| 2025-04-17T12:06:27.26 | SIM:ESM5 | Sell | 1 | 5339.75 | Aggressive |
| 2025-04-17T12:06:28.277 | SIM:ESM5 | Sell | 10 | 5339.75 | Aggressive |
| 2025-04-17T12:06:28.278 | SIM:ESM5 | Sell | 3 | 5339.75 | Aggressive |