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
2025-04-17 12:06:11	EP	SIM:ESM5	Buy	50	-0.5400	-1.1450	5,342.0000	5,341.1250	5,341.4600	5,342.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342 avg_total: 5341.46 curr_cost_per_share: 0.62 curr_half_min_move: 0.63971569330678 curr_liq_cost: 31 curr_opt_t_minutes: 0 daily_vol_normal: 60.849664079753 destination_price: 5341.125 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.605 init_drift: 0 init_half_min_move: 0.63954287807313 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 0.89489362705456 init_vol_normal: 60.833225919762 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.563 slip_toler: 0 slippage: -0.53999999999996 slippage_sweep: -1.1449999999995 sweep_residual: 0 sweep_to_fill: 5342.605 total_dollar: 267073 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 65.025511516556 worst_opt_t_minutes: 0
2025-04-17 12:05:17	EP	SIM:ESM5	Sell	50	0.6850	0.0950	5,344.6250	5,345.0000	5,343.9400	5,344.0350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.625 avg_total: 5343.94 curr_cost_per_share: 0.555 curr_half_min_move: 0.63865669562229 curr_liq_cost: 27.75 curr_opt_t_minutes: 0.27448675978057 daily_vol_normal: 60.748932373409 destination_price: 5345 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.59 init_drift: 0 init_half_min_move: 0.63817103523245 init_liq_cost: 29.5 init_min_duration: 0 init_opt_t_minutes: 0.85473176737149 init_vol_normal: 60.702736427478 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.374 slip_toler: 0 slippage: 0.6850000000004 slippage_sweep: 0.095000000000255 sweep_residual: 0 sweep_to_fill: 5344.035 total_dollar: 267197 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 65.057464337172 worst_opt_t_minutes: 0.23933402004351
2025-04-17 12:04:58	EP	SIM:ESM5	Buy	50	1.3750	0.7300	5,342.5000	5,343.6250	5,343.8750	5,343.1450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.5 avg_total: 5343.875 curr_cost_per_share: 0.17 curr_half_min_move: 0.63778603212989 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 60.666114988134 destination_price: 5343.625 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.645 init_drift: 0 init_half_min_move: 0.63744608790975 init_liq_cost: 32.25 init_min_duration: 0 init_opt_t_minutes: 1.0238409810839 init_vol_normal: 60.633779543157 last_aggressive_qty: 12 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.569 slip_toler: 0 slippage: 1.375 slippage_sweep: 0.72999999999956 sweep_residual: 0 sweep_to_fill: 5343.145 total_dollar: 267193.75 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 65.031597768102 worst_opt_t_minutes: 0
2025-04-17 12:04:09	EP	SIM:ESM5	Sell	50	-1.1050	-1.2500	5,340.1250	5,341.3750	5,341.2300	5,339.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5340.125 avg_total: 5341.23 curr_cost_per_share: 0.675 curr_half_min_move: 0.63576869800696 curr_liq_cost: 33.75 curr_opt_t_minutes: 0 daily_vol_normal: 60.474226458586 destination_price: 5341.375 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.63544825419116 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.052068566674079 init_vol_normal: 60.443745889246 last_aggressive_qty: 12 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.148 slip_toler: 0 slippage: -1.1049999999996 slippage_sweep: -1.25 sweep_residual: 0 sweep_to_fill: 5339.98 total_dollar: 267061.5 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 65.002688073259 worst_opt_t_minutes: 0
2025-04-17 12:03:14	EP	SIM:ESM5	Buy	50	-0.3500	-1.0000	5,347.1250	5,345.8750	5,346.7750	5,347.7750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5347.125 avg_total: 5346.775 curr_cost_per_share: 0.46 curr_half_min_move: 0.63451699148379 curr_liq_cost: 23 curr_opt_t_minutes: 0 daily_vol_normal: 60.355164315421 destination_price: 5345.875 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65 init_drift: 0 init_half_min_move: 0.63403914986524 init_liq_cost: 32.5 init_min_duration: 0 init_opt_t_minutes: 1.0509802704674 init_vol_normal: 60.309712089883 last_aggressive_qty: 4 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.254 slip_toler: 0 slippage: -0.35000000000036 slippage_sweep: -1 sweep_residual: 0 sweep_to_fill: 5347.775 total_dollar: 267338.75 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 65.087895594902 worst_opt_t_minutes: 0
2025-04-17 12:02:31	EP	SIM:ESM5	Sell	50	0.2150	-0.3400	5,349.3750	5,348.8750	5,349.1600	5,348.8200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.375 avg_total: 5349.16 curr_cost_per_share: 0.5 curr_half_min_move: 0.63294010664359 curr_liq_cost: 25 curr_opt_t_minutes: 0 daily_vol_normal: 60.205171257845 destination_price: 5348.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.6325334484903 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 0.76987279668541 init_vol_normal: 60.166489993211 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.539 slip_toler: 0 slippage: 0.21500000000015 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5348.82 total_dollar: 267458 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.115283726858 worst_opt_t_minutes: 0
2025-04-17 12:01:30	EP	SIM:ESM5	Sell	50	0.8550	0.2550	5,347.8750	5,347.0000	5,347.0200	5,347.2750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5347.875 avg_total: 5347.02 curr_cost_per_share: 0.55 curr_half_min_move: 0.63048354571342 curr_liq_cost: 27.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.971503538018 destination_price: 5347 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.63035067140329 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 0.90602057709056 init_vol_normal: 59.958864552886 last_aggressive_qty: 10 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.43 slip_toler: 0 slippage: 0.85499999999956 slippage_sweep: 0.2549999999992 sweep_residual: 0 sweep_to_fill: 5347.275 total_dollar: 267351 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 65.097024972221 worst_opt_t_minutes: 0
2025-04-17 12:01:12	EP	SIM:ESM5	Buy	50	0.1150	-0.5250	5,349.8750	5,348.8750	5,349.9900	5,350.5150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.875 avg_total: 5349.99 curr_cost_per_share: 0.53 curr_half_min_move: 0.63005737662642 curr_liq_cost: 26.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.930966396196 destination_price: 5348.875 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64 init_drift: 0 init_half_min_move: 0.62973111222126 init_liq_cost: 32 init_min_duration: 0 init_opt_t_minutes: 1.0328794745361 init_vol_normal: 59.89993217324 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.626 slip_toler: 0 slippage: 0.11499999999978 slippage_sweep: -0.52500000000055 sweep_residual: 0 sweep_to_fill: 5350.515 total_dollar: 267499.5 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 65.121369978404 worst_opt_t_minutes: 0
2025-04-17 12:00:20	EP	SIM:ESM5	Sell	50	1.0600	0.5900	5,349.1250	5,347.1250	5,348.0650	5,348.6550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.125 avg_total: 5348.065 curr_cost_per_share: 0.47 curr_half_min_move: 0.62871721552914 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.803490466756 destination_price: 5347.125 drift: -2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.62847954584683 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 0.55925956426994 init_vol_normal: 59.780883361002 last_aggressive_qty: 12 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.267 slip_toler: 0 slippage: 1.0600000000004 slippage_sweep: 0.59000000000015 sweep_residual: 0 sweep_to_fill: 5348.655 total_dollar: 267403.25 total_drift: -2 total_filled: 50 total_sent: 50 total_vol: 65.112240601086 worst_opt_t_minutes: 0
2025-04-17 11:59:32	EP	SIM:ESM5	Sell	50	0.0000	-0.4050	5,348.3750	5,346.8750	5,348.3750	5,347.9700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.375 avg_total: 5348.375 curr_cost_per_share: 0.38 curr_half_min_move: 0.62697539740827 curr_liq_cost: 19 curr_opt_t_minutes: 0 daily_vol_normal: 59.637808979413 destination_price: 5346.875 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.62672197438363 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 0.41759972276114 init_vol_normal: 59.61370341802 last_aggressive_qty: 1 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.476 slip_toler: 0 slippage: 0 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 5347.97 total_dollar: 267418.75 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 65.103111223767 worst_opt_t_minutes: 0
2025-04-17 11:59:11	EP	SIM:ESM5	Buy	50	-0.3550	-0.8550	5,349.8750	5,349.2500	5,349.5200	5,350.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.875 avg_total: 5349.52 curr_cost_per_share: 0.49 curr_half_min_move: 0.62680129963794 curr_liq_cost: 24.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.621248824719 destination_price: 5349.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.5 init_drift: 0 init_half_min_move: 0.62670487370318 init_liq_cost: 25 init_min_duration: 0 init_opt_t_minutes: 0.63652265336415 init_vol_normal: 59.612076803773 last_aggressive_qty: 3 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.28 slip_toler: 0 slippage: -0.35499999999956 slippage_sweep: -0.85499999999956 sweep_residual: 0 sweep_to_fill: 5350.375 total_dollar: 267476 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 65.121369978404 worst_opt_t_minutes: 0
2025-04-17 11:58:12	EP	SIM:ESM5	Buy	50	-0.2100	-0.5750	5,347.6250	5,346.8750	5,347.4150	5,347.9900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5347.625 avg_total: 5347.415 curr_cost_per_share: 0.53 curr_half_min_move: 0.62507289083876 curr_liq_cost: 26.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.456842830114 destination_price: 5346.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.365 init_drift: 0 init_half_min_move: 0.62463757803788 init_liq_cost: 18.25 init_min_duration: 0 init_opt_t_minutes: 0.34145188410284 init_vol_normal: 59.415435939553 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.389 slip_toler: 0 slippage: -0.21000000000004 slippage_sweep: -0.57499999999982 sweep_residual: 0 sweep_to_fill: 5347.99 total_dollar: 267370.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.093981846448 worst_opt_t_minutes: 0
2025-04-17 11:57:17	EP	SIM:ESM5	Buy	50	-0.2500	-0.8300	5,349.1250	5,348.3750	5,348.8750	5,349.7050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.125 avg_total: 5348.875 curr_cost_per_share: 0.495 curr_half_min_move: 0.6236846101909 curr_liq_cost: 24.75 curr_opt_t_minutes: 0 daily_vol_normal: 59.324789775993 destination_price: 5348.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.62322893048198 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 0.86608551791773 init_vol_normal: 59.281445588088 last_aggressive_qty: 1 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.56 slip_toler: 0 slippage: -0.25 slippage_sweep: -0.82999999999993 sweep_residual: 0 sweep_to_fill: 5349.705 total_dollar: 267443.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.112240601086 worst_opt_t_minutes: 0
2025-04-17 11:56:32	EP	SIM:ESM5	Sell	50	0.5850	0.0650	5,350.6250	5,350.1250	5,350.0400	5,350.1050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.625 avg_total: 5350.04 curr_cost_per_share: 0.455 curr_half_min_move: 0.62178849274428 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 59.144431359137 destination_price: 5350.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.52 init_drift: 0 init_half_min_move: 0.62168712374317 init_liq_cost: 26 init_min_duration: 0 init_opt_t_minutes: 0.69962116993713 init_vol_normal: 59.134789154435 last_aggressive_qty: 13 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.581 slip_toler: 0 slippage: 0.58500000000004 slippage_sweep: 0.0649999999996 sweep_residual: 0 sweep_to_fill: 5350.105 total_dollar: 267502 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.130499355723 worst_opt_t_minutes: 0
2025-04-17 11:56:22	EP	SIM:ESM5	Buy	50	0.5600	0.0900	5,350.3750	5,351.1250	5,350.9350	5,350.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.375 avg_total: 5350.935 curr_cost_per_share: 0.305 curr_half_min_move: 0.62153584469502 curr_liq_cost: 15.25 curr_opt_t_minutes: 0 daily_vol_normal: 59.120399513289 destination_price: 5351.125 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.62125931179749 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 0.57233445736641 init_vol_normal: 59.094095744134 last_aggressive_qty: 10 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.591 slip_toler: 0 slippage: 0.5600000000004 slippage_sweep: 0.090000000000146 sweep_residual: 0 sweep_to_fill: 5350.845 total_dollar: 267546.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.12745622995 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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