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 17:48:31	EP	SIM:ESM5	Sell	50	0.3250	-0.5083	5,284.0000	5,283.8750	5,283.6750	5,283.1667	Diagnostics Diagnostics algo_status: 4 arrival_price: 5284 avg_total: 5283.675 curr_cost_per_share: 0.69852941176471 curr_half_min_move: 0.42200979630902 curr_liq_cost: 23.75 curr_opt_t_minutes: 2.2575042717395 daily_vol_normal: 40.141510693648 destination_price: 5283.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.83333333333333 init_drift: 0 init_half_min_move: 0.42168432737656 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 3.9053736156222 init_vol_normal: 40.110552135939 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 32 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 71.813 slip_toler: 0 slippage: 0.32499999999982 slippage_sweep: -0.50833333333321 sweep_residual: 23 sweep_to_fill: 5283.1666666667 total_dollar: 264183.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 55.315440139334 worst_opt_t_minutes: 1.1888395963641
2025-04-20 17:46:27	EP	SIM:ESM5	Buy	50	0.6650	0.1350	5,282.5000	5,283.3750	5,283.1650	5,283.0300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5282.5 avg_total: 5283.165 curr_cost_per_share: 0.66145833333333 curr_half_min_move: 0.42140079717065 curr_liq_cost: 31.75 curr_opt_t_minutes: 0 daily_vol_normal: 40.083582783825 destination_price: 5283.375 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.42133317148295 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 1.5823422868197 init_vol_normal: 40.077150238207 last_aggressive_qty: 7 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.921 slip_toler: 0 slippage: 0.66499999999996 slippage_sweep: 0.13500000000022 sweep_residual: 0 sweep_to_fill: 5283.03 total_dollar: 264158.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 55.299737421656 worst_opt_t_minutes: 0
2025-04-20 17:44:20	EP	SIM:ESM5	Sell	50	-0.4400	-1.2000	5,280.8750	5,281.7500	5,281.3150	5,280.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5280.875 avg_total: 5281.315 curr_cost_per_share: 0.8125 curr_half_min_move: 0.4207074014059 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 40.017627079125 destination_price: 5281.75 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76 init_drift: 0 init_half_min_move: 0.42060272747979 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 3.264998719683 init_vol_normal: 40.007670510437 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.878 slip_toler: 0 slippage: -0.4399999999996 slippage_sweep: -1.1999999999998 sweep_residual: 0 sweep_to_fill: 5280.115 total_dollar: 264065.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 55.282726144172 worst_opt_t_minutes: 0
2025-04-20 17:43:07	EP	SIM:ESM5	Buy	50	-0.7350	-1.4462	5,282.3750	5,281.7500	5,281.6400	5,283.0862	Diagnostics Diagnostics algo_status: 4 arrival_price: 5282.375 avg_total: 5281.64 curr_cost_per_share: 0.97619047619048 curr_half_min_move: 0.42018196624533 curr_liq_cost: 41 curr_opt_t_minutes: 2.1334114365338 daily_vol_normal: 39.967647762765 destination_price: 5281.75 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.71120689655172 init_drift: 0 init_half_min_move: 0.41862089408244 init_liq_cost: 20.625 init_min_duration: 0 init_opt_t_minutes: 2.8863574710055 init_vol_normal: 39.819158804764 last_aggressive_qty: 5 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 69.643 slip_toler: 0 slippage: -0.73499999999967 slippage_sweep: -1.4462068965513 sweep_residual: 21 sweep_to_fill: 5283.0862068966 total_dollar: 264082 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 55.29842886185 worst_opt_t_minutes: 1.1144644324277
2025-04-20 17:40:47	EP	SIM:ESM5	Sell	50	0.8200	0.0889	5,285.3750	5,284.5000	5,284.5550	5,284.6439	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.375 avg_total: 5284.555 curr_cost_per_share: 0.84146341463415 curr_half_min_move: 0.41778474358199 curr_liq_cost: 34.5 curr_opt_t_minutes: 0 daily_vol_normal: 39.739624290284 destination_price: 5284.5 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73106060606061 init_drift: 0 init_half_min_move: 0.41762765350918 init_liq_cost: 24.125 init_min_duration: 0 init_opt_t_minutes: 3.0642787406925 init_vol_normal: 39.724681905314 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: 31.864 slip_toler: 0 slippage: 0.81999999999971 slippage_sweep: 0.088939393938745 sweep_residual: 17 sweep_to_fill: 5284.6439393939 total_dollar: 264227.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 55.329834297205 worst_opt_t_minutes: 0
2025-04-20 17:39:29	EP	SIM:ESM5	Buy	50	0.5700	0.0150	5,286.3750	5,286.7500	5,286.9450	5,286.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.375 avg_total: 5286.945 curr_cost_per_share: 0.75 curr_half_min_move: 0.41732826155346 curr_liq_cost: 20.25 curr_opt_t_minutes: 1.6866117363882 daily_vol_normal: 39.696203785855 destination_price: 5286.75 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.41710058652279 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 1.7705343836825 init_vol_normal: 39.674547369918 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 28 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 53.332 slip_toler: 0 slippage: 0.56999999999971 slippage_sweep: 0.014999999999418 sweep_residual: 0 sweep_to_fill: 5286.93 total_dollar: 264347.25 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 55.340302775657 worst_opt_t_minutes: 0.86782070811526
2025-04-20 17:37:32	EP	SIM:ESM5	Sell	50	0.6900	-0.0554	5,285.8750	5,285.0000	5,285.1850	5,285.1296	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.875 avg_total: 5285.185 curr_cost_per_share: 0.76923076923077 curr_half_min_move: 0.41663231919539 curr_liq_cost: 30 curr_opt_t_minutes: 0 daily_vol_normal: 39.630005849568 destination_price: 5285 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.74537037037037 init_drift: 0 init_half_min_move: 0.41626531029084 init_liq_cost: 20.125 init_min_duration: 0 init_opt_t_minutes: 3.2062974478254 init_vol_normal: 39.595096015731 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.865 slip_toler: 0 slippage: 0.6899999999996 slippage_sweep: -0.055370370370838 sweep_residual: 23 sweep_to_fill: 5285.1296296296 total_dollar: 264259.25 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 55.335068536431 worst_opt_t_minutes: 0
2025-04-20 17:36:45	EP	SIM:ESM5	Buy	50	-0.2500	-0.9167	5,285.1250	5,284.5000	5,284.8750	5,285.7917	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.125 avg_total: 5284.875 curr_cost_per_share: 0.77272727272727 curr_half_min_move: 0.41607761242269 curr_liq_cost: 17 curr_opt_t_minutes: 0.84084898085757 daily_vol_normal: 39.577242221702 destination_price: 5284.5 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66666666666667 init_drift: 0 init_half_min_move: 0.41559796384008 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 2.5731829176609 init_vol_normal: 39.531618118005 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 28.56 slip_toler: 0 slippage: -0.25 slippage_sweep: -0.91666666666697 sweep_residual: 32 sweep_to_fill: 5285.7916666667 total_dollar: 264243.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 55.327217177592 worst_opt_t_minutes: 0.43026042935695
2025-04-20 17:35:30	EP	SIM:ESM5	Sell	50	0.9900	0.2074	5,287.7500	5,286.7500	5,286.7600	5,286.9674	Diagnostics Diagnostics algo_status: 4 arrival_price: 5287.75 avg_total: 5286.76 curr_cost_per_share: 0.86206896551724 curr_half_min_move: 0.41507436459037 curr_liq_cost: 25 curr_opt_t_minutes: 0 daily_vol_normal: 39.481813433219 destination_price: 5286.75 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78260869565217 init_drift: 0 init_half_min_move: 0.41483504630108 init_liq_cost: 18 init_min_duration: 0 init_opt_t_minutes: 3.5590858103942 init_vol_normal: 39.459049512209 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 27 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 35.058 slip_toler: 0 slippage: 0.98999999999978 slippage_sweep: 0.20739130434777 sweep_residual: 27 sweep_to_fill: 5286.9673913043 total_dollar: 264338 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 55.354696933528 worst_opt_t_minutes: 0
2025-04-20 17:34:32	EP	SIM:ESM5	Buy	50	0.0600	-0.7778	5,287.2500	5,286.6250	5,287.3100	5,288.0878	Diagnostics Diagnostics algo_status: 4 arrival_price: 5287.25 avg_total: 5287.31 curr_cost_per_share: 0.78676470588235 curr_half_min_move: 0.41447925603491 curr_liq_cost: 13.375 curr_opt_t_minutes: 0.92555732936253 daily_vol_normal: 39.42520679363 destination_price: 5286.625 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.83783783783784 init_drift: 0 init_half_min_move: 0.414210420945 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 4.0914561186926 init_vol_normal: 39.399635238821 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 65.35 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.77783783783707 sweep_residual: 13 sweep_to_fill: 5288.0878378378 total_dollar: 264365.5 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 55.349462694302 worst_opt_t_minutes: 0.46959608287842
2025-04-20 17:32:06	EP	SIM:ESM5	Buy	50	-0.9500	-1.7887	5,286.7500	5,285.2500	5,285.8000	5,287.5887	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.75 avg_total: 5285.8 curr_cost_per_share: 0.7 curr_half_min_move: 0.41232158695569 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 39.219969623369 destination_price: 5285.25 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.83870967741935 init_drift: 0 init_half_min_move: 0.41214143237941 init_liq_cost: 26 init_min_duration: 0 init_opt_t_minutes: 4.1412433929445 init_vol_normal: 39.20283334617 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.032 slip_toler: 0 slippage: -0.94999999999982 slippage_sweep: -1.7887096774193 sweep_residual: 19 sweep_to_fill: 5287.5887096774 total_dollar: 264290 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 55.344228455076 worst_opt_t_minutes: 0
2025-04-20 17:30:38	EP	SIM:ESM5	Buy	50	1.6900	0.9504	5,287.7500	5,289.2500	5,289.4400	5,288.4896	Diagnostics Diagnostics algo_status: 4 arrival_price: 5287.75 avg_total: 5289.44 curr_cost_per_share: 0.78 curr_half_min_move: 0.41056697633391 curr_liq_cost: 19.5 curr_opt_t_minutes: 0 daily_vol_normal: 39.053071315193 destination_price: 5289.25 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73958333333333 init_drift: 0 init_half_min_move: 0.410301987894 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 3.2491292594805 init_vol_normal: 39.027865653176 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.056 slip_toler: 0 slippage: 1.6899999999996 slippage_sweep: 0.95041666666657 sweep_residual: 26 sweep_to_fill: 5288.4895833333 total_dollar: 264472 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 55.354696933528 worst_opt_t_minutes: 0
2025-04-20 17:29:17	EP	SIM:ESM5	Buy	50	-0.4450	-1.1300	5,291.3750	5,290.6250	5,290.9300	5,292.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5291.375 avg_total: 5290.93 curr_cost_per_share: 0.59239130434783 curr_half_min_move: 0.40907323739385 curr_liq_cost: 13.625 curr_opt_t_minutes: 0 daily_vol_normal: 38.910987083595 destination_price: 5290.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.685 init_drift: 0 init_half_min_move: 0.40891488794552 init_liq_cost: 17.125 init_min_duration: 0 init_opt_t_minutes: 2.8061785288283 init_vol_normal: 38.895924907007 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.24 slip_toler: 0 slippage: -0.44499999999971 slippage_sweep: -1.1300000000001 sweep_residual: 25 sweep_to_fill: 5292.06 total_dollar: 264546.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 55.392645167916 worst_opt_t_minutes: 0
2025-04-20 17:27:44	EP	SIM:ESM5	Sell	50	-0.2900	-1.0150	5,291.1250	5,291.6250	5,291.4150	5,290.4000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5291.125 avg_total: 5291.415 curr_cost_per_share: 0.7421875 curr_half_min_move: 0.40824478007608 curr_liq_cost: 23.75 curr_opt_t_minutes: 1.2072129256543 daily_vol_normal: 38.832184343537 destination_price: 5291.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.725 init_drift: 0 init_half_min_move: 0.4076438287603 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 3.1631098103388 init_vol_normal: 38.775021941432 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 28 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 48.121 slip_toler: 0 slippage: -0.28999999999996 slippage_sweep: -1.0150000000003 sweep_residual: 20 sweep_to_fill: 5290.4 total_dollar: 264570.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 55.390028048303 worst_opt_t_minutes: 0.59334098466939
2025-04-20 17:26:16	EP	SIM:ESM5	Buy	50	0.4450	-0.2883	5,292.1250	5,292.6250	5,292.5700	5,292.8583	Diagnostics Diagnostics algo_status: 4 arrival_price: 5292.125 avg_total: 5292.57 curr_cost_per_share: 0.565 curr_half_min_move: 0.407114854558 curr_liq_cost: 28.25 curr_opt_t_minutes: 0.33353110434153 daily_vol_normal: 38.724705991935 destination_price: 5292.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73333333333333 init_drift: 0 init_half_min_move: 0.40664582756251 init_liq_cost: 22 init_min_duration: 0 init_opt_t_minutes: 3.2521473240628 init_vol_normal: 38.680092212066 last_aggressive_qty: 11 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 33.817 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: -0.28833333333387 sweep_residual: 20 sweep_to_fill: 5292.8583333333 total_dollar: 264628.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 55.400496526755 worst_opt_t_minutes: 0.16296160207444

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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