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
0.0000
Slippage Sweep
-0.2650
Arrival Price
5,951.0000
Average Total
5,951.0000
Destination Price
5,951.1250
Sweep to Fill
5,950.7350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:31:49.679 | SIM:ESM5 | Sell | 6 | 5951 | Aggressive |
| 2025-06-02T15:31:44.322 | SIM:ESM5 | Sell | 6 | 5951 | Aggressive |
| 2025-06-02T15:31:41.412 | SIM:ESM5 | Sell | 9 | 5951 | Aggressive |
| 2025-06-02T15:31:41.203 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
| 2025-06-02T15:31:42.716 | SIM:ESM5 | Sell | 8 | 5951 | Aggressive |
| 2025-06-02T15:31:35.064 | SIM:ESM5 | Sell | 2 | 5951 | Aggressive |
| 2025-06-02T15:31:48.467 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
| 2025-06-02T15:31:39.725 | SIM:ESM5 | Sell | 5 | 5951 | Aggressive |
| 2025-06-02T15:31:38.337 | SIM:ESM5 | Sell | 2 | 5951 | Aggressive |
| 2025-06-02T15:31:37.386 | SIM:ESM5 | Sell | 3 | 5951 | Aggressive |
| 2025-06-02T15:31:36.606 | SIM:ESM5 | Sell | 3 | 5951 | Aggressive |
| 2025-06-02T15:31:35.616 | SIM:ESM5 | Sell | 3 | 5951 | Aggressive |
| 2025-06-02T15:31:33.228 | SIM:ESM5 | Sell | 1 | 5951 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0450
Slippage Sweep
-0.0800
Arrival Price
5,951.1250
Average Total
5,951.1700
Destination Price
5,951.1250
Sweep to Fill
5,951.2500
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:31:32.726 | SIM:ESM5 | Buy | 5 | 5951.25 | Aggressive |
| 2025-06-02T15:31:27.861 | SIM:ESM5 | Buy | 7 | 5951.25 | Aggressive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 9 | 5951.25 | Aggressive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 8 | 5951.25 | Aggressive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 5 | 5951.25 | Aggressive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 3 | 5951 | Aggressive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 2 | 5951 | Passive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 1 | 5951 | Passive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 3 | 5951 | Passive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 3 | 5951 | Passive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 2 | 5951 | Passive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 1 | 5951 | Passive |
| 2025-06-02T15:31:19.431 | SIM:ESM5 | Buy | 1 | 5951 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3050
Slippage Sweep
0.1600
Arrival Price
5,952.1250
Average Total
5,951.8200
Destination Price
5,951.7500
Sweep to Fill
5,951.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:30:44.464 | SIM:ESM5 | Sell | 1 | 5951.5 | Aggressive |
| 2025-06-02T15:30:20.229 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:30:18.24 | SIM:ESM5 | Sell | 3 | 5951.75 | Aggressive |
| 2025-06-02T15:30:18.24 | SIM:ESM5 | Sell | 1 | 5952 | Aggressive |
| 2025-06-02T15:30:15.127 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:30:15.125 | SIM:ESM5 | Sell | 2 | 5952 | Aggressive |
| 2025-06-02T15:30:15.124 | SIM:ESM5 | Sell | 4 | 5952 | Aggressive |
| 2025-06-02T15:30:41.579 | SIM:ESM5 | Sell | 1 | 5951.75 | Aggressive |
| 2025-06-02T15:30:41.579 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:30:39.364 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:30:38.684 | SIM:ESM5 | Sell | 4 | 5951.75 | Aggressive |
| 2025-06-02T15:30:37.438 | SIM:ESM5 | Sell | 1 | 5951.75 | Aggressive |
| 2025-06-02T15:30:17.134 | SIM:ESM5 | Sell | 11 | 5951.75 | Aggressive |
| 2025-06-02T15:30:15.015 | SIM:ESM5 | Sell | 7 | 5952 | Aggressive |
| 2025-06-02T15:30:21.523 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:30:21.518 | SIM:ESM5 | Sell | 4 | 5951.75 | Aggressive |
| 2025-06-02T15:30:08.122 | SIM:ESM5 | Sell | 1 | 5952 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2150
Slippage Sweep
-0.0300
Arrival Price
5,952.3750
Average Total
5,952.5900
Destination Price
5,952.3750
Sweep to Fill
5,952.6200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:30:06.02 | SIM:ESM5 | Buy | 3 | 5952.5 | Aggressive |
| 2025-06-02T15:30:05.422 | SIM:ESM5 | Buy | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:30:00.809 | SIM:ESM5 | Buy | 5 | 5952.75 | Aggressive |
| 2025-06-02T15:30:07.58 | SIM:ESM5 | Buy | 4 | 5952.5 | Aggressive |
| 2025-06-02T15:30:07.58 | SIM:ESM5 | Buy | 1 | 5952.25 | Aggressive |
| 2025-06-02T15:30:07.58 | SIM:ESM5 | Buy | 1 | 5952.25 | Passive |
| 2025-06-02T15:30:07.579 | SIM:ESM5 | Buy | 6 | 5952.5 | Aggressive |
| 2025-06-02T15:30:02.718 | SIM:ESM5 | Buy | 12 | 5952.5 | Aggressive |
| 2025-06-02T15:29:59.78 | SIM:ESM5 | Buy | 2 | 5952.75 | Aggressive |
| 2025-06-02T15:29:58.725 | SIM:ESM5 | Buy | 2 | 5952.75 | Aggressive |
| 2025-06-02T15:29:58.725 | SIM:ESM5 | Buy | 5 | 5952.75 | Aggressive |
| 2025-06-02T15:29:57.738 | SIM:ESM5 | Buy | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:29:57.02 | SIM:ESM5 | Buy | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:29:55.735 | SIM:ESM5 | Buy | 1 | 5952.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3500
Slippage Sweep
0.0850
Arrival Price
5,952.1250
Average Total
5,951.7750
Destination Price
5,951.8750
Sweep to Fill
5,951.8600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:29:11.014 | SIM:ESM5 | Sell | 5 | 5951.75 | Aggressive |
| 2025-06-02T15:29:11.014 | SIM:ESM5 | Sell | 5 | 5951.75 | Aggressive |
| 2025-06-02T15:29:11.014 | SIM:ESM5 | Sell | 3 | 5951.75 | Aggressive |
| 2025-06-02T15:29:11.013 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:29:24.902 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:29:24.902 | SIM:ESM5 | Sell | 10 | 5951.75 | Aggressive |
| 2025-06-02T15:29:24.902 | SIM:ESM5 | Sell | 3 | 5951.75 | Aggressive |
| 2025-06-02T15:29:24.902 | SIM:ESM5 | Sell | 2 | 5952 | Aggressive |
| 2025-06-02T15:29:24.902 | SIM:ESM5 | Sell | 2 | 5952 | Passive |
| 2025-06-02T15:29:05.053 | SIM:ESM5 | Sell | 7 | 5951.75 | Aggressive |
| 2025-06-02T15:29:01.982 | SIM:ESM5 | Sell | 6 | 5951.75 | Aggressive |
| 2025-06-02T15:29:04.012 | SIM:ESM5 | Sell | 2 | 5951.75 | Aggressive |
| 2025-06-02T15:29:00.982 | SIM:ESM5 | Sell | 1 | 5952 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0900
Slippage Sweep
-0.3350
Arrival Price
5,952.3750
Average Total
5,952.2850
Destination Price
5,952.1250
Sweep to Fill
5,952.6200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:28:58.822 | SIM:ESM5 | Buy | 5 | 5952.25 | Aggressive |
| 2025-06-02T15:28:58.005 | SIM:ESM5 | Buy | 3 | 5952.25 | Aggressive |
| 2025-06-02T15:29:00.477 | SIM:ESM5 | Buy | 4 | 5952.25 | Aggressive |
| 2025-06-02T15:28:56.483 | SIM:ESM5 | Buy | 5 | 5952.25 | Aggressive |
| 2025-06-02T15:28:59.631 | SIM:ESM5 | Buy | 8 | 5952.25 | Aggressive |
| 2025-06-02T15:28:54.554 | SIM:ESM5 | Buy | 3 | 5952.5 | Aggressive |
| 2025-06-02T15:28:54.554 | SIM:ESM5 | Buy | 18 | 5952.25 | Aggressive |
| 2025-06-02T15:28:53.512 | SIM:ESM5 | Buy | 3 | 5952.5 | Aggressive |
| 2025-06-02T15:28:52.45 | SIM:ESM5 | Buy | 1 | 5952.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1300
Slippage Sweep
-0.0700
Arrival Price
5,952.3750
Average Total
5,952.2450
Destination Price
5,952.1250
Sweep to Fill
5,952.1750
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:28:17.11 | SIM:ESM5 | Sell | 1 | 5952.25 | Aggressive |
| 2025-06-02T15:28:21.958 | SIM:ESM5 | Sell | 7 | 5952 | Aggressive |
| 2025-06-02T15:28:10.622 | SIM:ESM5 | Sell | 1 | 5952.25 | Aggressive |
| 2025-06-02T15:28:04.572 | SIM:ESM5 | Sell | 1 | 5952.25 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 12 | 5952.25 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 10 | 5952.25 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 7 | 5952.25 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 1 | 5952.5 | Passive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 4 | 5952.25 | Aggressive |
| 2025-06-02T15:28:11.869 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:28:11.868 | SIM:ESM5 | Sell | 1 | 5952.5 | Passive |
| 2025-06-02T15:28:02.112 | SIM:ESM5 | Sell | 1 | 5952.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0450
Slippage Sweep
-0.2550
Arrival Price
5,952.6250
Average Total
5,952.6700
Destination Price
5,952.3750
Sweep to Fill
5,952.9250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:28:00.958 | SIM:ESM5 | Buy | 12 | 5952.75 | Aggressive |
| 2025-06-02T15:28:00.958 | SIM:ESM5 | Buy | 16 | 5952.5 | Aggressive |
| 2025-06-02T15:27:58.963 | SIM:ESM5 | Buy | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:27:58.963 | SIM:ESM5 | Buy | 2 | 5952.75 | Aggressive |
| 2025-06-02T15:27:58.422 | SIM:ESM5 | Buy | 5 | 5952.75 | Aggressive |
| 2025-06-02T15:27:55.211 | SIM:ESM5 | Buy | 5 | 5952.75 | Aggressive |
| 2025-06-02T15:27:55.211 | SIM:ESM5 | Buy | 1 | 5952.75 | Aggressive |
| 2025-06-02T15:27:54.013 | SIM:ESM5 | Buy | 2 | 5952.75 | Aggressive |
| 2025-06-02T15:27:53.002 | SIM:ESM5 | Buy | 2 | 5952.75 | Aggressive |
| 2025-06-02T15:27:51.955 | SIM:ESM5 | Buy | 1 | 5952.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.3350
Slippage Sweep
0.1200
Arrival Price
5,952.8750
Average Total
5,952.5400
Destination Price
5,952.6250
Sweep to Fill
5,952.6600
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:27:21.402 | SIM:ESM5 | Sell | 3 | 5952.5 | Aggressive |
| 2025-06-02T15:27:15.212 | SIM:ESM5 | Sell | 8 | 5952.5 | Aggressive |
| 2025-06-02T15:27:11.312 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:27:10.731 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:27:10.731 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:27:09.092 | SIM:ESM5 | Sell | 5 | 5952.5 | Aggressive |
| 2025-06-02T15:27:07.39 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:27:06.215 | SIM:ESM5 | Sell | 4 | 5952.5 | Aggressive |
| 2025-06-02T15:27:06.215 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:27:05.712 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:27:05.711 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:27:03.378 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:27:00.475 | SIM:ESM5 | Sell | 8 | 5952.5 | Aggressive |
| 2025-06-02T15:26:55.278 | SIM:ESM5 | Sell | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:27:04.188 | SIM:ESM5 | Sell | 2 | 5952.5 | Aggressive |
| 2025-06-02T15:27:02.527 | SIM:ESM5 | Sell | 1 | 5952.5 | Aggressive |
| 2025-06-02T15:26:56.632 | SIM:ESM5 | Sell | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:26:54.04 | SIM:ESM5 | Sell | 1 | 5952.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0350
Slippage Sweep
-0.2950
Arrival Price
5,953.1250
Average Total
5,953.1600
Destination Price
5,952.8750
Sweep to Fill
5,953.4550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:26:53.645 | SIM:ESM5 | Buy | 16 | 5953.25 | Aggressive |
| 2025-06-02T15:26:53.645 | SIM:ESM5 | Buy | 18 | 5953 | Aggressive |
| 2025-06-02T15:26:50.519 | SIM:ESM5 | Buy | 2 | 5953.25 | Aggressive |
| 2025-06-02T15:26:49.565 | SIM:ESM5 | Buy | 3 | 5953.25 | Aggressive |
| 2025-06-02T15:26:49.565 | SIM:ESM5 | Buy | 2 | 5953.25 | Aggressive |
| 2025-06-02T15:26:49.565 | SIM:ESM5 | Buy | 3 | 5953.25 | Aggressive |
| 2025-06-02T15:26:46.441 | SIM:ESM5 | Buy | 1 | 5953.25 | Aggressive |
| 2025-06-02T15:26:52.613 | SIM:ESM5 | Buy | 2 | 5953.25 | Aggressive |
| 2025-06-02T15:26:51.53 | SIM:ESM5 | Buy | 2 | 5953.25 | Aggressive |
| 2025-06-02T15:26:46.017 | SIM:ESM5 | Buy | 1 | 5953.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.0550
Slippage Sweep
-0.1650
Arrival Price
5,952.8750
Average Total
5,952.8200
Destination Price
5,953.1250
Sweep to Fill
5,952.6550
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:26:14.531 | SIM:ESM5 | Sell | 12 | 5953 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 6 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 9 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 1 | 5953 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 3 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 4 | 5952.75 | Aggressive |
| 2025-06-02T15:26:13.976 | SIM:ESM5 | Sell | 1 | 5953 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.1750
Arrival Price
5,953.1250
Average Total
5,953.1400
Destination Price
5,952.8750
Sweep to Fill
5,953.3150
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:26:04.875 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
| 2025-06-02T15:26:03.112 | SIM:ESM5 | Buy | 12 | 5953.25 | Aggressive |
| 2025-06-02T15:26:03.112 | SIM:ESM5 | Buy | 12 | 5953 | Aggressive |
| 2025-06-02T15:26:00.078 | SIM:ESM5 | Buy | 5 | 5953.25 | Aggressive |
| 2025-06-02T15:26:00.078 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
| 2025-06-02T15:26:00.078 | SIM:ESM5 | Buy | 3 | 5953.25 | Aggressive |
| 2025-06-02T15:26:00.077 | SIM:ESM5 | Buy | 8 | 5953.25 | Aggressive |
| 2025-06-02T15:26:00.077 | SIM:ESM5 | Buy | 1 | 5953 | Aggressive |
| 2025-06-02T15:25:54.969 | SIM:ESM5 | Buy | 6 | 5953 | Aggressive |
| 2025-06-02T15:25:54.774 | SIM:ESM5 | Buy | 1 | 5953 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.2450
Slippage Sweep
0.1050
Arrival Price
5,953.3750
Average Total
5,953.1300
Destination Price
5,952.8750
Sweep to Fill
5,953.2350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:25:17.914 | SIM:ESM5 | Sell | 3 | 5953 | Passive |
| 2025-06-02T15:25:17.914 | SIM:ESM5 | Sell | 3 | 5953 | Passive |
| 2025-06-02T15:25:17.914 | SIM:ESM5 | Sell | 2 | 5953 | Passive |
| 2025-06-02T15:25:17.914 | SIM:ESM5 | Sell | 2 | 5953 | Passive |
| 2025-06-02T15:25:13.059 | SIM:ESM5 | Sell | 14 | 5953 | Aggressive |
| 2025-06-02T15:25:05.422 | SIM:ESM5 | Sell | 6 | 5953.25 | Aggressive |
| 2025-06-02T15:25:05.422 | SIM:ESM5 | Sell | 6 | 5953.25 | Aggressive |
| 2025-06-02T15:25:04.46 | SIM:ESM5 | Sell | 5 | 5953.25 | Aggressive |
| 2025-06-02T15:25:01.515 | SIM:ESM5 | Sell | 6 | 5953.25 | Aggressive |
| 2025-06-02T15:25:01.515 | SIM:ESM5 | Sell | 2 | 5953.25 | Aggressive |
| 2025-06-02T15:25:00.148 | SIM:ESM5 | Sell | 1 | 5953.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0150
Slippage Sweep
-0.2650
Arrival Price
5,953.6250
Average Total
5,953.6400
Destination Price
5,953.3750
Sweep to Fill
5,953.9050
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:24:56.134 | SIM:ESM5 | Buy | 5 | 5953.75 | Aggressive |
| 2025-06-02T15:24:53.946 | SIM:ESM5 | Buy | 1 | 5953.75 | Aggressive |
| 2025-06-02T15:24:59.877 | SIM:ESM5 | Buy | 22 | 5953.5 | Aggressive |
| 2025-06-02T15:24:59.226 | SIM:ESM5 | Buy | 13 | 5953.75 | Aggressive |
| 2025-06-02T15:24:54.914 | SIM:ESM5 | Buy | 8 | 5953.75 | Aggressive |
| 2025-06-02T15:24:52.813 | SIM:ESM5 | Buy | 1 | 5953.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESM5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.0850
Slippage Sweep
-0.3150
Arrival Price
5,953.1250
Average Total
5,953.2100
Destination Price
5,953.3750
Sweep to Fill
5,952.8950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-06-02T15:24:22.012 | SIM:ESM5 | Sell | 20 | 5953.25 | Aggressive |
| 2025-06-02T15:24:22.012 | SIM:ESM5 | Sell | 22 | 5953.25 | Aggressive |
| 2025-06-02T15:24:21.069 | SIM:ESM5 | Sell | 2 | 5953 | Aggressive |
| 2025-06-02T15:24:21.069 | SIM:ESM5 | Sell | 2 | 5953 | Aggressive |
| 2025-06-02T15:24:18.016 | SIM:ESM5 | Sell | 2 | 5953 | Aggressive |
| 2025-06-02T15:24:18.016 | SIM:ESM5 | Sell | 1 | 5953 | Aggressive |
| 2025-06-02T15:24:17.412 | SIM:ESM5 | Sell | 1 | 5953 | Aggressive |