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

Select Cost Model

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
2025-06-02 14:33:01	EP	SIM:ESM5	Buy	50	0.1750	0.0200	5,942.6250	5,942.6250	5,942.8000	5,942.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.625 avg_total: 5942.8 curr_cost_per_share: 0.125 curr_half_min_move: 0.40341705040974 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096008907230924 daily_vol_normal: 38.372971397007 destination_price: 5942.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40341705040974 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.14762329575827 init_vol_normal: 38.372971397007 last_aggressive_qty: 8 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.186 slip_toler: 0 slippage: 0.17500000000018 slippage_sweep: 0.020000000000437 sweep_residual: 0 sweep_to_fill: 5942.78 total_dollar: 297140 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.372971397007 worst_opt_t_minutes: 0.096008907230924
2025-06-02 14:32:23	EP	SIM:ESM5	Sell	50	0.0550	-0.1850	5,941.8750	5,942.1250	5,941.8200	5,941.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.875 avg_total: 5941.82 curr_cost_per_share: 0.2 curr_half_min_move: 0.40336613641335 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.368128465046 destination_price: 5942.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40336613641335 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35401658861638 init_vol_normal: 38.368128465046 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.296 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.18499999999949 sweep_residual: 0 sweep_to_fill: 5941.635 total_dollar: 297091 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.368128465046 worst_opt_t_minutes: 0
2025-06-02 14:32:17	EP	SIM:ESM5	Buy	50	-0.1000	-0.2250	5,941.8750	5,941.6250	5,941.7750	5,942.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.875 avg_total: 5941.775 curr_cost_per_share: 0.19 curr_half_min_move: 0.40336613641335 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.368128465046 destination_price: 5941.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40336613641335 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096033145783524 init_vol_normal: 38.368128465046 last_aggressive_qty: last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.137 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.22500000000036 sweep_residual: 0 sweep_to_fill: 5942 total_dollar: 297088.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.368128465046 worst_opt_t_minutes: 0
2025-06-02 14:31:45	EP	SIM:ESM5	Sell	50	0.0200	-0.3150	5,943.3750	5,943.3750	5,943.3550	5,943.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.375 avg_total: 5943.355 curr_cost_per_share: 0.125 curr_half_min_move: 0.40346796440614 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.095984677853801 daily_vol_normal: 38.377814328969 destination_price: 5943.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.40346796440614 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.68940035021714 init_vol_normal: 38.377814328969 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.233 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.3149999999996 sweep_residual: 0 sweep_to_fill: 5943.04 total_dollar: 297167.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.377814328969 worst_opt_t_minutes: 0.095984677853801
2025-06-02 14:31:37	EP	SIM:ESM5	Buy	50	-0.0400	-0.1650	5,943.3750	5,943.1250	5,943.3350	5,943.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.375 avg_total: 5943.335 curr_cost_per_share: 0.22 curr_half_min_move: 0.40346796440614 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.377814328969 destination_price: 5943.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40346796440614 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095984677853801 init_vol_normal: 38.377814328969 last_aggressive_qty: last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.159 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5943.5 total_dollar: 297166.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.377814328969 worst_opt_t_minutes: 0
2025-06-02 14:31:04	EP	SIM:ESM5	Sell	50	0.4350	0.3100	5,943.1250	5,942.1250	5,942.6900	5,943.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.125 avg_total: 5942.69 curr_cost_per_share: 0.125 curr_half_min_move: 0.40345099307401 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20051488774394 daily_vol_normal: 38.376200018315 destination_price: 5942.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40345099307401 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095992753293631 init_vol_normal: 38.376200018315 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.263 slip_toler: 0 slippage: 0.4350000000004 slippage_sweep: 0.3100000000004 sweep_residual: 0 sweep_to_fill: 5943 total_dollar: 297134.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.376200018315 worst_opt_t_minutes: 0.20051488774394
2025-06-02 14:30:48	EP	SIM:ESM5	Buy	50	-0.1200	-0.2500	5,943.3750	5,943.1250	5,943.2550	5,943.5050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.375 avg_total: 5943.255 curr_cost_per_share: 0.125 curr_half_min_move: 0.40346796440614 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.377814328969 destination_price: 5943.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.40346796440614 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10381702756667 init_vol_normal: 38.377814328969 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.113 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5943.505 total_dollar: 297162.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.377814328969 worst_opt_t_minutes: 0
2025-06-02 14:30:16	EP	SIM:ESM5	Sell	50	0.6600	0.4200	5,944.1250	5,943.6250	5,943.4650	5,943.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.125 avg_total: 5943.465 curr_cost_per_share: 0.125 curr_half_min_move: 0.40351887840253 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20044742684058 daily_vol_normal: 38.38265726093 destination_price: 5943.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40351887840253 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35374863107184 init_vol_normal: 38.38265726093 last_aggressive_qty: 7 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.296 slip_toler: 0 slippage: 0.65999999999985 slippage_sweep: 0.42000000000007 sweep_residual: 0 sweep_to_fill: 5943.885 total_dollar: 297173.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.38265726093 worst_opt_t_minutes: 0.20044742684058
2025-06-02 14:30:02	EP	SIM:ESM5	Buy	50	0.3300	0.2050	5,943.8750	5,943.8750	5,944.2050	5,944.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.875 avg_total: 5944.205 curr_cost_per_share: 0.125 curr_half_min_move: 0.4035019070704 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.09596853003092 daily_vol_normal: 38.381042950277 destination_price: 5943.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.4035019070704 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09596853003092 init_vol_normal: 38.381042950277 last_aggressive_qty: 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: 15.241 slip_toler: 0 slippage: 0.32999999999993 slippage_sweep: 0.20499999999993 sweep_residual: 0 sweep_to_fill: 5944 total_dollar: 297210.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.381042950277 worst_opt_t_minutes: 0.09596853003092
2025-06-02 14:29:15	EP	SIM:ESM5	Sell	50	0.5800	0.4550	5,944.6250	5,944.1250	5,944.0450	5,944.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.625 avg_total: 5944.045 curr_cost_per_share: 0.125 curr_half_min_move: 0.40355282106679 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20041370915493 daily_vol_normal: 38.385885882238 destination_price: 5944.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40355282106679 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095944315935971 init_vol_normal: 38.385885882238 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.328 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: 0.45499999999993 sweep_residual: 0 sweep_to_fill: 5944.5 total_dollar: 297202.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.385885882238 worst_opt_t_minutes: 0.20041370915493
2025-06-02 14:29:02	EP	SIM:ESM5	Buy	50	0.0700	-0.1100	5,944.8750	5,944.6250	5,944.9450	5,945.0550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.875 avg_total: 5944.945 curr_cost_per_share: 0.19 curr_half_min_move: 0.40356979239892 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.387500192892 destination_price: 5944.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40356979239892 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.19893340096525 init_vol_normal: 38.387500192892 last_aggressive_qty: 8 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.352 slip_toler: 0 slippage: 0.069999999999709 slippage_sweep: -0.11000000000058 sweep_residual: 0 sweep_to_fill: 5945.055 total_dollar: 297247.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.387500192892 worst_opt_t_minutes: 0
2025-06-02 14:28:26	EP	SIM:ESM5	Sell	50	-0.1000	-0.2250	5,944.6250	5,944.8750	5,944.7250	5,944.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.625 avg_total: 5944.725 curr_cost_per_share: 0.25 curr_half_min_move: 0.40355282106679 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.385885882238 destination_price: 5944.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40355282106679 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095944315935971 init_vol_normal: 38.385885882238 last_aggressive_qty: last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.097 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.22500000000036 sweep_residual: 0 sweep_to_fill: 5944.5 total_dollar: 297236.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.385885882238 worst_opt_t_minutes: 0
2025-06-02 14:28:23	EP	SIM:ESM5	Buy	50	-0.0600	-0.4050	5,944.8750	5,944.6250	5,944.8150	5,945.2200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.875 avg_total: 5944.815 curr_cost_per_share: 0.23 curr_half_min_move: 0.40356979239892 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.387500192892 destination_price: 5944.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.40356979239892 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.73080395215705 init_vol_normal: 38.387500192892 last_aggressive_qty: last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.388 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.40500000000065 sweep_residual: 0 sweep_to_fill: 5945.22 total_dollar: 297240.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.387500192892 worst_opt_t_minutes: 0
2025-06-02 14:27:48	EP	SIM:ESM5	Sell	50	0.1600	-0.0700	5,945.6250	5,945.6250	5,945.4650	5,945.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.625 avg_total: 5945.465 curr_cost_per_share: 0.125 curr_half_min_move: 0.40362070639531 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.095912044729006 daily_vol_normal: 38.392343124853 destination_price: 5945.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40362070639531 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32471981863452 init_vol_normal: 38.392343124853 last_aggressive_qty: last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.208 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5945.395 total_dollar: 297273.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.392343124853 worst_opt_t_minutes: 0.095912044729006
2025-06-02 14:27:39	EP	SIM:ESM5	Buy	50	-0.1000	-0.3600	5,945.6250	5,945.3750	5,945.5250	5,945.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.625 avg_total: 5945.525 curr_cost_per_share: 0.155 curr_half_min_move: 0.40362070639531 curr_liq_cost: 7.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.392343124853 destination_price: 5945.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40362070639531 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41495387031557 init_vol_normal: 38.392343124853 last_aggressive_qty: last_tactical_qty: 45 level_tactical_limit: mbo_max: mbo_min: model_size: 45 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.492 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.36000000000058 sweep_residual: 0 sweep_to_fill: 5945.885 total_dollar: 297276.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.392343124853 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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