Arrival Price AI

CQG AI Algos

The Arrival Price algorithm uses short-term volatility and drift signals to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution.

Here we publish unbiased, simulated results of a hypothetical 10-Minute Arrival Price order on several markets with default parameters. Click the Diagnostics button for details about the execution of each order.

Read CQG's Arrival Price Whitepaper

Metrics

Arrival Price: Mid-market at order-inception; our primary benchmark.
Destination Price: Mid-market at order-end. Destination price is a gauge on how far the market moved for or against the order during its execution.
Sweep to Fill: An approximation of average fill price of a Market order at order inception; our secondary benchmark.
Slippage: The difference between average fill price and Arrival Price. Green (negative) values indicate excellent overall execution and superior performance to mid-market.
Slippage Sweep: The difference between average fill and Sweep to Fill. Green (negative) values indicate good overall execution and superior performance to a Market order.

Impact Model: MBO

Payup Model: PayupAI

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CQG Symbol

Exchange Symbol

Date - Time	CQG Symbol	Exchange Symbol	Buy / Sell	Quantity	Slippage	Slippage Sweep	Arrival Price	Destination Price	Average Total	Sweep to Fill
2025-04-20 19:01:01	EP	SIM:ESM5	Buy	50	-0.2400	-1.0681	5,293.2500	5,292.5000	5,293.0100	5,294.0781	Diagnostics Diagnostics algo_status: 4 arrival_price: 5293.25 avg_total: 5293.01 curr_cost_per_share: 0.80813953488372 curr_half_min_move: 0.45428427996692 curr_liq_cost: 34.75 curr_opt_t_minutes: 0.41301141273466 daily_vol_normal: 43.211454903988 destination_price: 5292.5 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.828125 init_drift: 0 init_half_min_move: 0.45365085617361 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 3.3323324442827 init_vol_normal: 43.151203724525 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 34.593 slip_toler: 0 slippage: -0.23999999999978 slippage_sweep: -1.0681249999998 sweep_residual: 18 sweep_to_fill: 5294.078125 total_dollar: 264650.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 55.412273565013 worst_opt_t_minutes: 0.25115850622631
2025-04-20 18:57:35	EP	SIM:ESM5	Buy	50	0.4700	-0.2850	5,293.0000	5,293.5000	5,293.4700	5,293.7550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5293 avg_total: 5293.47 curr_cost_per_share: 0.615 curr_half_min_move: 0.45109948299457 curr_liq_cost: 30.75 curr_opt_t_minutes: 0.44605375298165 daily_vol_normal: 42.90851747732 destination_price: 5293.5 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.755 init_drift: 0 init_half_min_move: 0.45068964715789 init_liq_cost: 37.75 init_min_duration: 0 init_opt_t_minutes: 2.806330002534 init_vol_normal: 42.869533951903 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 44.982 slip_toler: 0 slippage: 0.47000000000025 slippage_sweep: -0.28499999999985 sweep_residual: 0 sweep_to_fill: 5293.755 total_dollar: 264673.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 55.4096564454 worst_opt_t_minutes: 0.26748738317336
2025-04-20 18:42:40	EP	SIM:ESM5	Buy	50	1.0050	0.1140	5,286.2500	5,288.0000	5,287.2550	5,287.1410	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.25 avg_total: 5287.255 curr_cost_per_share: 0.8 curr_half_min_move: 0.44585754213703 curr_liq_cost: 40 curr_opt_t_minutes: 0 daily_vol_normal: 42.409904822285 destination_price: 5288 drift: 1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.89102564102564 init_drift: 0 init_half_min_move: 0.4457703940862 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 3.9953788019729 init_vol_normal: 42.401615312314 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 48.681 slip_toler: 0 slippage: 1.0050000000001 slippage_sweep: 0.1139743589747 sweep_residual: 11 sweep_to_fill: 5287.141025641 total_dollar: 264362.75 total_drift: 1.75 total_filled: 50 total_sent: 50 total_vol: 55.33899421585 worst_opt_t_minutes: 0
2025-04-20 18:13:02	EP	SIM:ESM5	Sell	50	0.0500	-0.8105	5,290.2500	5,290.3750	5,290.2000	5,289.3895	Diagnostics Diagnostics algo_status: 4 arrival_price: 5290.25 avg_total: 5290.2 curr_cost_per_share: 0.74166666666667 curr_half_min_move: 0.43672313567959 curr_liq_cost: 33.375 curr_opt_t_minutes: 2.4054176234044 daily_vol_normal: 41.54104140324 destination_price: 5290.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.86046511627907 init_drift: 0 init_half_min_move: 0.43631765257181 init_liq_cost: 37 init_min_duration: 0 init_opt_t_minutes: 3.8892061949894 init_vol_normal: 41.502471908765 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 35 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 89.257 slip_toler: 0 slippage: 0.050000000000182 slippage_sweep: -0.81046511627846 sweep_residual: 7 sweep_to_fill: 5289.3895348837 total_dollar: 264510 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 55.380868129658 worst_opt_t_minutes: 1.3533986205081
2025-04-20 18:09:51	EP	SIM:ESM5	Buy	50	0.4950	-0.1250	5,292.8750	5,292.6250	5,293.3700	5,293.4950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5292.875 avg_total: 5293.37 curr_cost_per_share: 0.75 curr_half_min_move: 0.43546597185255 curr_liq_cost: 21 curr_opt_t_minutes: 2.0072429819173 daily_vol_normal: 41.421460162122 destination_price: 5292.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.62 init_drift: 0 init_half_min_move: 0.43485886467899 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 2.0327628899378 init_vol_normal: 41.363712215717 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 35 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 79.826 slip_toler: 0 slippage: 0.49499999999989 slippage_sweep: -0.125 sweep_residual: 0 sweep_to_fill: 5293.495 total_dollar: 264668.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 55.408347885594 worst_opt_t_minutes: 1.1217610461354
2025-04-20 18:06:05	EP	SIM:ESM5	Buy	50	1.2150	0.4209	5,290.8750	5,292.5000	5,292.0900	5,291.6691	Diagnostics Diagnostics algo_status: 4 arrival_price: 5290.875 avg_total: 5292.09 curr_cost_per_share: 0.91666666666667 curr_half_min_move: 0.4335456674584 curr_liq_cost: 30.25 curr_opt_t_minutes: 0 daily_vol_normal: 41.238801086321 destination_price: 5292.5 drift: 1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79411764705882 init_drift: 0 init_half_min_move: 0.43326676758031 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 3.3593784822006 init_vol_normal: 41.212272170318 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 26 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 42.403 slip_toler: 0 slippage: 1.2150000000001 slippage_sweep: 0.42088235294159 sweep_residual: 16 sweep_to_fill: 5291.6691176471 total_dollar: 264604.5 total_drift: 1.625 total_filled: 50 total_sent: 50 total_vol: 55.38741092869 worst_opt_t_minutes: 0
2025-04-20 18:03:11	EP	SIM:ESM5	Buy	50	0.1800	-0.6033	5,288.2500	5,288.7500	5,288.4300	5,289.0333	Diagnostics Diagnostics algo_status: 4 arrival_price: 5288.25 avg_total: 5288.43 curr_cost_per_share: 0.75675675675676 curr_half_min_move: 0.43223821157535 curr_liq_cost: 28 curr_opt_t_minutes: 1.1552488608695 daily_vol_normal: 41.11443607212 destination_price: 5288.75 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78333333333333 init_drift: 0 init_half_min_move: 0.43203038183948 init_liq_cost: 35.25 init_min_duration: 0 init_opt_t_minutes: 3.2874914894288 init_vol_normal: 41.094667337749 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 56.184 slip_toler: 0 slippage: 0.18000000000029 slippage_sweep: -0.60333333333347 sweep_residual: 5 sweep_to_fill: 5289.0333333333 total_dollar: 264421.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 55.359931172754 worst_opt_t_minutes: 0.63719614782327
2025-04-20 18:01:07	EP	SIM:ESM5	Sell	50	-0.5150	-1.4052	5,288.1250	5,289.3750	5,288.6400	5,287.2348	Diagnostics Diagnostics algo_status: 4 arrival_price: 5288.125 avg_total: 5288.64 curr_cost_per_share: 0.63425925925926 curr_half_min_move: 0.43108218492394 curr_liq_cost: 17.125 curr_opt_t_minutes: 0 daily_vol_normal: 41.004474984496 destination_price: 5289.375 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.89015151515152 init_drift: 0 init_half_min_move: 0.43095396242276 init_liq_cost: 29.375 init_min_duration: 0 init_opt_t_minutes: 4.2664446366227 init_vol_normal: 40.992278478758 last_aggressive_qty: 1 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.087 slip_toler: 0 slippage: -0.51500000000033 slippage_sweep: -1.4051515151523 sweep_residual: 17 sweep_to_fill: 5287.2348484848 total_dollar: 264432 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 55.358622612947 worst_opt_t_minutes: 0
2025-04-20 18:00:03	EP	SIM:ESM5	Sell	50	0.4700	-0.3056	5,287.2500	5,286.5000	5,286.7800	5,286.4744	Diagnostics Diagnostics algo_status: 4 arrival_price: 5287.25 avg_total: 5286.78 curr_cost_per_share: 0.875 curr_half_min_move: 0.42986133941315 curr_liq_cost: 26.25 curr_opt_t_minutes: 0.82619666994349 daily_vol_normal: 40.888348336359 destination_price: 5286.5 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.77564102564103 init_drift: 0 init_half_min_move: 0.42888196510908 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 3.2707396491435 init_vol_normal: 40.795190394425 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 29 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 67.647 slip_toler: 0 slippage: 0.47000000000025 slippage_sweep: -0.3056410256404 sweep_residual: 11 sweep_to_fill: 5286.4743589744 total_dollar: 264339 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 55.349462694302 worst_opt_t_minutes: 0.4508745866414
2025-04-20 17:58:06	EP	SIM:ESM5	Buy	50	1.5800	0.7050	5,285.2500	5,287.0000	5,286.8300	5,286.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.25 avg_total: 5286.83 curr_cost_per_share: 0.8804347826087 curr_half_min_move: 0.42823442858724 curr_liq_cost: 40.5 curr_opt_t_minutes: 0 daily_vol_normal: 40.733596814268 destination_price: 5287 drift: 1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.875 init_drift: 0 init_half_min_move: 0.42819612088117 init_liq_cost: 19.25 init_min_duration: 0 init_opt_t_minutes: 4.1757130692261 init_vol_normal: 40.729952990816 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.609 slip_toler: 0 slippage: 1.5799999999999 slippage_sweep: 0.70499999999993 sweep_residual: 28 sweep_to_fill: 5286.125 total_dollar: 264341.5 total_drift: 1.75 total_filled: 50 total_sent: 50 total_vol: 55.328525737399 worst_opt_t_minutes: 0
2025-04-20 17:56:47	EP	SIM:ESM5	Buy	50	0.1750	-0.5971	5,285.7500	5,285.2500	5,285.9250	5,286.5221	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.75 avg_total: 5285.925 curr_cost_per_share: 0.81730769230769 curr_half_min_move: 0.42766537950334 curr_liq_cost: 21.25 curr_opt_t_minutes: 1.537125808156 daily_vol_normal: 40.679468947839 destination_price: 5285.25 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.77205882352941 init_drift: 0 init_half_min_move: 0.42733414229682 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 3.2641160894344 init_vol_normal: 40.647961712737 last_aggressive_qty: 3 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 28 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 54.101 slip_toler: 0 slippage: 0.17500000000018 slippage_sweep: -0.59705882352955 sweep_residual: 16 sweep_to_fill: 5286.5220588235 total_dollar: 264296.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 55.333759976624 worst_opt_t_minutes: 0.83076769457179
2025-04-20 17:55:07	EP	SIM:ESM5	Sell	50	-0.2750	-0.9750	5,286.1250	5,285.7500	5,286.4000	5,285.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.125 avg_total: 5286.4 curr_cost_per_share: 0.82258064516129 curr_half_min_move: 0.42689119516602 curr_liq_cost: 25.5 curr_opt_t_minutes: 2.0892103879579 daily_vol_normal: 40.605828645819 destination_price: 5285.75 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.7 init_drift: 0 init_half_min_move: 0.42607312755594 init_liq_cost: 21 init_min_duration: 0 init_opt_t_minutes: 2.6991547951049 init_vol_normal: 40.528014173252 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 73.983 slip_toler: 0 slippage: -0.27499999999964 slippage_sweep: -0.97499999999945 sweep_residual: 20 sweep_to_fill: 5285.425 total_dollar: 264320 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 55.337685656044 worst_opt_t_minutes: 1.1249078506219
2025-04-20 17:53:45	EP	SIM:ESM5	Buy	50	-0.3250	-1.1167	5,285.6250	5,284.5000	5,285.3000	5,286.4167	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.625 avg_total: 5285.3 curr_cost_per_share: 0.8452380952381 curr_half_min_move: 0.42601457852969 curr_liq_cost: 17.75 curr_opt_t_minutes: 0 daily_vol_normal: 40.522444998356 destination_price: 5284.5 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79166666666667 init_drift: 0 init_half_min_move: 0.42561508706551 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 3.4597975747089 init_vol_normal: 40.484445428153 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 29 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 52.469 slip_toler: 0 slippage: -0.32499999999982 slippage_sweep: -1.1166666666668 sweep_residual: 2 sweep_to_fill: 5286.4166666667 total_dollar: 264265 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 55.332451416818 worst_opt_t_minutes: 0
2025-04-20 17:52:02	EP	SIM:ESM5	Sell	50	-0.0150	-0.8737	5,283.6250	5,283.8750	5,283.6400	5,282.7663	Diagnostics Diagnostics algo_status: 4 arrival_price: 5283.625 avg_total: 5283.64 curr_cost_per_share: 0.6640625 curr_half_min_move: 0.42323838946616 curr_liq_cost: 21.25 curr_opt_t_minutes: 1.5663578677443 daily_vol_normal: 40.258374296785 destination_price: 5283.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.85869565217391 init_drift: 0 init_half_min_move: 0.42286692575827 init_liq_cost: 39.5 init_min_duration: 0 init_opt_t_minutes: 4.1235483484874 init_vol_normal: 40.2230407227 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 71.687 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.87369565217432 sweep_residual: 4 sweep_to_fill: 5282.7663043478 total_dollar: 264182 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 55.311514459914 worst_opt_t_minutes: 0.82979795430533
2025-04-20 17:50:12	EP	SIM:ESM5	Buy	50	0.7250	-0.0731	5,283.5000	5,284.2500	5,284.2250	5,284.2981	Diagnostics Diagnostics algo_status: 4 arrival_price: 5283.5 avg_total: 5284.225 curr_cost_per_share: 0.695 curr_half_min_move: 0.42265271374114 curr_liq_cost: 34.75 curr_opt_t_minutes: 0 daily_vol_normal: 40.20266490666 destination_price: 5284.25 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79807692307692 init_drift: 0 init_half_min_move: 0.42228891174566 init_liq_cost: 20.75 init_min_duration: 0 init_opt_t_minutes: 3.5716603286193 init_vol_normal: 40.16806011355 last_aggressive_qty: 3 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 44.183 slip_toler: 0 slippage: 0.72500000000036 slippage_sweep: -0.073076923076769 sweep_residual: 24 sweep_to_fill: 5284.2980769231 total_dollar: 264211.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 55.310205900108 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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