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
2025-06-12 12:44:43	EP	SIM:ESM5	Sell	50	0.1250	-0.1500	6,047.3750	6,047.6250	6,047.2500	6,047.1000	Diagnostics Diagnostics algo_status: 4 arrival_price: 6047.375 avg_total: 6047.25 curr_cost_per_share: 0.3 curr_half_min_move: 0.48616997236139 curr_liq_cost: 15 curr_opt_t_minutes: 0.084306812040261 daily_vol_normal: 46.24441734567 destination_price: 6047.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.48616997236139 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.31995516418774 init_vol_normal: 46.24441734567 last_aggressive_qty: 4 last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.289 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.14999999999964 sweep_residual: 0 sweep_to_fill: 6047.1 total_dollar: 302362.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 46.438814568469 worst_opt_t_minutes: 0.08360245697389
2025-06-12 12:44:36	EP	SIM:ESM5	Buy	50	-0.1350	-0.2900	6,047.6250	6,047.1250	6,047.4900	6,047.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6047.625 avg_total: 6047.49 curr_cost_per_share: 0.275 curr_half_min_move: 0.48619007075004 curr_liq_cost: 13.75 curr_opt_t_minutes: 0 daily_vol_normal: 46.246329101487 destination_price: 6047.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.66557536176037 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.054233661055079 init_vol_normal: 63.309431997093 last_aggressive_qty: 1 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.147 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 6047.78 total_dollar: 302374.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 46.440734360716 worst_opt_t_minutes: 0
2025-06-12 08:45:05	EP	SIM:ESM5	Buy	50	-0.1550	-0.4750	6,020.3750	6,019.8750	6,020.2200	6,020.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6020.375 avg_total: 6020.22 curr_cost_per_share: 0.25 curr_half_min_move: 0.27278043133837 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 25.946835114626 destination_price: 6019.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.27278043133837 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 1.3761745849444 init_vol_normal: 25.946835114626 last_aggressive_qty: 37 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.345 slip_toler: 0 slippage: -0.15499999999975 slippage_sweep: -0.47499999999945 sweep_residual: 0 sweep_to_fill: 6020.695 total_dollar: 301011 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.194188341862 worst_opt_t_minutes: 0
2025-06-12 08:44:34	EP	SIM:ESM5	Sell	50	1.1650	1.0100	6,020.3750	6,019.6250	6,019.2100	6,020.2200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6020.375 avg_total: 6019.21 curr_cost_per_share: 0.125 curr_half_min_move: 0.30928685465035 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.34119705751104 daily_vol_normal: 29.419320811835 destination_price: 6019.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.36690359167753 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.17846763561242 init_vol_normal: 34.899816491645 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.345 slip_toler: 0 slippage: 1.165 slippage_sweep: 1.0100000000002 sweep_residual: 0 sweep_to_fill: 6020.22 total_dollar: 300960.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.194188341862 worst_opt_t_minutes: 0.20243052004938
2025-06-12 08:44:17	EP	SIM:ESM5	Buy	50	0.1500	0.0150	6,020.3750	6,020.3750	6,020.5250	6,020.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 6020.375 avg_total: 6020.525 curr_cost_per_share: 0.165 curr_half_min_move: 0.36690359167753 curr_liq_cost: 8.25 curr_opt_t_minutes: 0.20223855898223 daily_vol_normal: 34.899816491645 destination_price: 6020.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.66257634502108 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.041514105368352 init_vol_normal: 63.024165959281 last_aggressive_qty: 10 last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.16 slip_toler: 0 slippage: 0.14999999999964 slippage_sweep: 0.014999999999418 sweep_residual: 0 sweep_to_fill: 6020.51 total_dollar: 301026.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.194188341862 worst_opt_t_minutes: 0.16885568159167
2025-06-12 05:29:46	EP	SIM:ESM5	Sell	50	-0.1450	-0.6850	5,996.8750	5,997.3750	5,997.0200	5,996.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5996.875 avg_total: 5997.02 curr_cost_per_share: 0.525 curr_half_min_move: 0.32580621593494 curr_liq_cost: 26.25 curr_opt_t_minutes: 0.27070867278359 daily_vol_normal: 30.990640064272 destination_price: 5997.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.54 init_drift: 0 init_half_min_move: 0.32560474258057 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 2.7504647014328 init_vol_normal: 30.97147594799 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 28 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 54.08 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.6850000000004 sweep_residual: 0 sweep_to_fill: 5996.335 total_dollar: 299851 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 25.941200475248 worst_opt_t_minutes: 0.3863519617253
2025-06-12 05:28:52	EP	SIM:ESM5	Buy	50	-0.4300	-0.9100	5,997.6250	5,996.8750	5,997.1950	5,998.1050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5997.625 avg_total: 5997.195 curr_cost_per_share: 0.535 curr_half_min_move: 0.32564546438267 curr_liq_cost: 26.75 curr_opt_t_minutes: 0 daily_vol_normal: 30.975349399906 destination_price: 5996.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48 init_drift: 0 init_half_min_move: 0.66007257875249 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 0.52880930943994 init_vol_normal: 62.786008074503 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.53 slip_toler: 0 slippage: -0.43000000000029 slippage_sweep: -0.90999999999985 sweep_residual: 0 sweep_to_fill: 5998.105 total_dollar: 299859.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 25.944444815067 worst_opt_t_minutes: 0
2025-06-12 03:59:50	EP	SIM:ESM5	Buy	50	-0.2250	-0.5950	6,004.6250	6,004.1250	6,004.4000	6,004.9950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6004.625 avg_total: 6004.4 curr_cost_per_share: 0.495 curr_half_min_move: 0.25181873984857 curr_liq_cost: 24.75 curr_opt_t_minutes: 0 daily_vol_normal: 23.952962056574 destination_price: 6004.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.37 init_drift: 0 init_half_min_move: 0.25176386857911 init_liq_cost: 18.5 init_min_duration: 0 init_opt_t_minutes: 2.1598154402629 init_vol_normal: 23.947742709372 last_aggressive_qty: 1 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.773 slip_toler: 0 slippage: -0.22500000000036 slippage_sweep: -0.59500000000025 sweep_residual: 0 sweep_to_fill: 6004.995 total_dollar: 300220 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 29.2313849798 worst_opt_t_minutes: 0
2025-06-12 03:59:03	EP	SIM:ESM5	Sell	50	-0.4800	-0.8400	6,003.6250	6,004.3750	6,004.1050	6,003.2650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6003.625 avg_total: 6004.105 curr_cost_per_share: 0.585 curr_half_min_move: 0.25113136931912 curr_liq_cost: 29.25 curr_opt_t_minutes: 0 daily_vol_normal: 23.887579471384 destination_price: 6004.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.36 init_drift: 0 init_half_min_move: 0.25102132802823 init_liq_cost: 18 init_min_duration: 0 init_opt_t_minutes: 2.0567606546954 init_vol_normal: 23.877112359735 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.467 slip_toler: 0 slippage: -0.47999999999956 slippage_sweep: -0.83999999999924 sweep_residual: 0 sweep_to_fill: 6003.265 total_dollar: 300205.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 29.226516834832 worst_opt_t_minutes: 0
2025-06-12 03:58:56	EP	SIM:ESM5	Buy	50	-0.1700	-0.5150	6,003.8750	6,003.6250	6,003.7050	6,004.2200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6003.875 avg_total: 6003.705 curr_cost_per_share: 0.45 curr_half_min_move: 0.25103178093494 curr_liq_cost: 22.5 curr_opt_t_minutes: 1.5156030574124 daily_vol_normal: 23.878106638706 destination_price: 6003.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.26782975346669 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 1.6592833184491 init_vol_normal: 25.475927352615 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 63.827 slip_toler: 0 slippage: -0.17000000000007 slippage_sweep: -0.51500000000033 sweep_residual: 0 sweep_to_fill: 6004.22 total_dollar: 300185.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 29.227733871074 worst_opt_t_minutes: 1.0115677124714
2025-06-12 03:57:22	EP	SIM:ESM5	Sell	50	-0.0050	-0.4550	6,003.8750	6,004.1250	6,003.8800	6,003.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6003.875 avg_total: 6003.88 curr_cost_per_share: 0.36 curr_half_min_move: 0.28734758499491 curr_liq_cost: 18 curr_opt_t_minutes: 0.54411049673332 daily_vol_normal: 27.332460660276 destination_price: 6004.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.29614247520401 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 2.3089983555774 init_vol_normal: 28.169029342959 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 28.906 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 6003.425 total_dollar: 300194 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 29.227733871074 worst_opt_t_minutes: 0.47583269437585
2025-06-12 03:56:53	EP	SIM:ESM5	Buy	50	-0.2750	-0.7800	6,004.8750	6,003.6250	6,004.6000	6,005.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6004.875 avg_total: 6004.6 curr_cost_per_share: 0.505 curr_half_min_move: 0.29619180042733 curr_liq_cost: 25.25 curr_opt_t_minutes: 0 daily_vol_normal: 28.173721151057 destination_price: 6003.625 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.66087048228863 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 0.58391555827401 init_vol_normal: 62.861904543278 last_aggressive_qty: 13 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 27.724 slip_toler: 0 slippage: -0.27499999999964 slippage_sweep: -0.77999999999975 sweep_residual: 0 sweep_to_fill: 6005.38 total_dollar: 300230 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 29.232602016042 worst_opt_t_minutes: 0
2025-06-11 23:27:29	EP	SIM:ESM5	Sell	50	-0.5350	-1.0650	6,009.6250	6,010.3750	6,010.1600	6,009.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6009.625 avg_total: 6010.16 curr_cost_per_share: 0.68 curr_half_min_move: 0.23748876521798 curr_liq_cost: 34 curr_opt_t_minutes: 0 daily_vol_normal: 22.589896945516 destination_price: 6010.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.23988705992363 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 4.8813291775635 init_vol_normal: 22.818022390507 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.367 slip_toler: 0 slippage: -0.53499999999985 slippage_sweep: -1.0649999999996 sweep_residual: 0 sweep_to_fill: 6009.095 total_dollar: 300508 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 23.323803723267 worst_opt_t_minutes: 0
2025-06-11 23:27:15	EP	SIM:ESM5	Buy	50	-0.2000	-0.9200	6,010.1250	6,009.6250	6,009.9250	6,010.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6010.125 avg_total: 6009.925 curr_cost_per_share: 0.46 curr_half_min_move: 0.23990701849509 curr_liq_cost: 23 curr_opt_t_minutes: 0 daily_vol_normal: 22.819920846932 destination_price: 6009.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.72 init_drift: 0 init_half_min_move: 0.66144827450446 init_liq_cost: 36 init_min_duration: 0 init_opt_t_minutes: 1.1848768575671 init_vol_normal: 62.91686405515 last_aggressive_qty: 8 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 16 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 54.028 slip_toler: 0 slippage: -0.19999999999982 slippage_sweep: -0.92000000000007 sweep_residual: 0 sweep_to_fill: 6010.845 total_dollar: 300496.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 23.325744260632 worst_opt_t_minutes: 0
2025-06-11 20:59:08	EP	SIM:ESM5	Sell	50	-0.1150	-0.5000	6,003.1250	6,003.6250	6,003.2400	6,002.7400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6003.125 avg_total: 6003.24 curr_cost_per_share: 0.485 curr_half_min_move: 0.27200738234273 curr_liq_cost: 24.25 curr_opt_t_minutes: 0 daily_vol_normal: 25.873302806143 destination_price: 6003.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.385 init_drift: 0 init_half_min_move: 0.27182003451854 init_liq_cost: 19.25 init_min_duration: 0 init_opt_t_minutes: 2.0061275054134 init_vol_normal: 25.855482308245 last_aggressive_qty: 12 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 19 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 66.43 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.5 sweep_residual: 0 sweep_to_fill: 6002.74 total_dollar: 300162 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 20.746761744035 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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