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 14:27:06	EP	SIM:ESM5	Sell	50	-0.1700	-0.2950	5,945.1250	5,945.6250	5,945.2950	5,945.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.125 avg_total: 5945.295 curr_cost_per_share: 0.185 curr_half_min_move: 0.40358676373105 curr_liq_cost: 9.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.389114503546 destination_price: 5945.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40358676373105 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095928178296921 init_vol_normal: 38.389114503546 last_aggressive_qty: last_tactical_qty: 29 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.127 slip_toler: 0 slippage: -0.17000000000007 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 5945 total_dollar: 297264.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.389114503546 worst_opt_t_minutes: 0
2025-06-02 14:27:03	EP	SIM:ESM5	Buy	50	0.5800	0.3900	5,944.8750	5,945.3750	5,945.4550	5,945.0650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.875 avg_total: 5945.455 curr_cost_per_share: 0.125 curr_half_min_move: 0.40356979239892 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20039685350236 daily_vol_normal: 38.387500192892 destination_price: 5945.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40356979239892 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.2216511041619 init_vol_normal: 38.387500192892 last_aggressive_qty: 5 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.561 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: 0.39000000000033 sweep_residual: 0 sweep_to_fill: 5945.065 total_dollar: 297272.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.387500192892 worst_opt_t_minutes: 0.20039685350236
2025-06-02 14:26:19	EP	SIM:ESM5	Buy	50	0.9800	0.6900	5,944.1250	5,945.6250	5,945.1050	5,944.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.125 avg_total: 5945.105 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: 5945.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40351887840253 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.51649756724204 init_vol_normal: 38.38265726093 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.369 slip_toler: 0 slippage: 0.97999999999956 slippage_sweep: 0.6899999999996 sweep_residual: 0 sweep_to_fill: 5944.415 total_dollar: 297255.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.38265726093 worst_opt_t_minutes: 0.20044742684058
2025-06-02 14:26:19	EP	SIM:ESM5	Sell	50	-0.1100	-0.4400	5,945.6250	5,945.8750	5,945.7350	5,945.2950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.625 avg_total: 5945.735 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: 5945.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.40362070639531 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.66846858694328 init_vol_normal: 38.392343124853 last_aggressive_qty: last_tactical_qty: 50 level_tactical_limit: mbo_max: mbo_min: model_size: 50 n_kids: 1 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 0.315 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.4399999999996 sweep_residual: 0 sweep_to_fill: 5945.295 total_dollar: 297286.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.392343124853 worst_opt_t_minutes: 0
2025-06-02 14:25:35	EP	SIM:ESM5	Sell	50	0.4900	0.1800	5,945.6250	5,944.6250	5,945.1350	5,945.3150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.625 avg_total: 5945.135 curr_cost_per_share: 0.125 curr_half_min_move: 0.40362070639531 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20034629930137 daily_vol_normal: 38.392343124853 destination_price: 5944.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40362070639531 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.58989743990128 init_vol_normal: 38.392343124853 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.372 slip_toler: 0 slippage: 0.48999999999978 slippage_sweep: 0.17999999999938 sweep_residual: 0 sweep_to_fill: 5945.315 total_dollar: 297256.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.392343124853 worst_opt_t_minutes: 0.20034629930137
2025-06-02 14:25:20	EP	SIM:ESM5	Buy	50	-0.0750	-0.2200	5,945.6250	5,945.3750	5,945.5500	5,945.7700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.625 avg_total: 5945.55 curr_cost_per_share: 0.18 curr_half_min_move: 0.40362070639531 curr_liq_cost: 9 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: 0.145 init_drift: 0 init_half_min_move: 0.40362070639531 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12905924738735 init_vol_normal: 38.392343124853 last_aggressive_qty: last_tactical_qty: 38 level_tactical_limit: mbo_max: mbo_min: model_size: 38 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.208 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5945.77 total_dollar: 297277.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.392343124853 worst_opt_t_minutes: 0
2025-06-02 14:24:48	EP	SIM:ESM5	Sell	50	-0.0100	-0.2200	5,946.3750	5,946.6250	5,946.3850	5,946.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5946.375 avg_total: 5946.385 curr_cost_per_share: 0.165 curr_half_min_move: 0.4036716203917 curr_liq_cost: 8.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.397186056815 destination_price: 5946.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.4036716203917 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27063387350601 init_vol_normal: 38.397186056815 last_aggressive_qty: last_tactical_qty: 27 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.398 slip_toler: 0 slippage: -0.010000000000218 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5946.165 total_dollar: 297319.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.397186056815 worst_opt_t_minutes: 0
2025-06-02 14:24:44	EP	SIM:ESM5	Buy	50	0.7350	0.6100	5,945.3750	5,946.3750	5,946.1100	5,945.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5945.375 avg_total: 5946.11 curr_cost_per_share: 0.125 curr_half_min_move: 0.40360373506318 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20036314857594 daily_vol_normal: 38.3907288142 destination_price: 5946.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40360373506318 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095920111004157 init_vol_normal: 38.3907288142 last_aggressive_qty: 2 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.217 slip_toler: 0 slippage: 0.73499999999967 slippage_sweep: 0.60999999999967 sweep_residual: 0 sweep_to_fill: 5945.5 total_dollar: 297305.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.3907288142 worst_opt_t_minutes: 0.20036314857594
2025-06-02 14:24:01	EP	SIM:ESM5	Sell	50	0.1250	0.0000	5,942.8750	5,942.8750	5,942.7500	5,942.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.875 avg_total: 5942.75 curr_cost_per_share: 0.125 curr_half_min_move: 0.40343402174187 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096000829752614 daily_vol_normal: 38.374585707661 destination_price: 5942.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40343402174187 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096000829752614 init_vol_normal: 38.374585707661 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: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5942.75 total_dollar: 297137.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.374585707661 worst_opt_t_minutes: 0.096000829752614
2025-06-02 14:23:54	EP	SIM:ESM5	Buy	50	0.0900	-0.0350	5,943.1250	5,943.1250	5,943.2150	5,943.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.125 avg_total: 5943.215 curr_cost_per_share: 0.125 curr_half_min_move: 0.40345099307401 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.095992753293631 daily_vol_normal: 38.376200018315 destination_price: 5943.125 drift: 0 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: 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: 6.127 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 5943.25 total_dollar: 297160.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.376200018315 worst_opt_t_minutes: 0.095992753293631
2025-06-02 14:23:17	EP	SIM:ESM5	Sell	50	0.3750	0.2300	5,942.6250	5,942.3750	5,942.2500	5,942.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.625 avg_total: 5942.25 curr_cost_per_share: 0.125 curr_half_min_move: 0.40341705040974 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20054863096738 daily_vol_normal: 38.372971397007 destination_price: 5942.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40341705040974 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12918958556993 init_vol_normal: 38.372971397007 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: 12.392 slip_toler: 0 slippage: 0.375 slippage_sweep: 0.22999999999956 sweep_residual: 0 sweep_to_fill: 5942.48 total_dollar: 297112.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.372971397007 worst_opt_t_minutes: 0.20054863096738
2025-06-02 14:23:04	EP	SIM:ESM5	Buy	50	-0.0350	-0.2900	5,942.8750	5,942.6250	5,942.8400	5,943.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.875 avg_total: 5942.84 curr_cost_per_share: 0.125 curr_half_min_move: 0.40343402174187 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.374585707661 destination_price: 5942.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40343402174187 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.39951705309848 init_vol_normal: 38.374585707661 last_aggressive_qty: 16 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.273 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5943.13 total_dollar: 297142 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.374585707661 worst_opt_t_minutes: 0
2025-06-02 14:22:29	EP	SIM:ESM5	Sell	50	0.1400	0.0150	5,941.8750	5,941.6250	5,941.7350	5,941.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.875 avg_total: 5941.735 curr_cost_per_share: 0.125 curr_half_min_move: 0.40336613641335 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2005992617753 daily_vol_normal: 38.368128465046 destination_price: 5941.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40336613641335 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096033145783524 init_vol_normal: 38.368128465046 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.253 slip_toler: 0 slippage: 0.14000000000033 slippage_sweep: 0.015000000000327 sweep_residual: 0 sweep_to_fill: 5941.75 total_dollar: 297086.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.368128465046 worst_opt_t_minutes: 0.2005992617753
2025-06-02 14:22:11	EP	SIM:ESM5	Buy	50	-0.0850	-0.2100	5,942.3750	5,942.1250	5,942.2900	5,942.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.375 avg_total: 5942.29 curr_cost_per_share: 0.17 curr_half_min_move: 0.40340007907761 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.371357086353 destination_price: 5942.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40340007907761 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096016985728731 init_vol_normal: 38.371357086353 last_aggressive_qty: last_tactical_qty: 35 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.173 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.21000000000004 sweep_residual: 0 sweep_to_fill: 5942.5 total_dollar: 297114.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.371357086353 worst_opt_t_minutes: 0
2025-06-02 14:21:37	EP	SIM:ESM5	Sell	50	-0.1250	-0.2500	5,940.8750	5,941.1250	5,941.0000	5,940.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5941 curr_cost_per_share: 0.17 curr_half_min_move: 0.40329825108483 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.36167122243 destination_price: 5941.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40329825108483 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096065478134631 init_vol_normal: 38.36167122243 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.123 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5940.75 total_dollar: 297050 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 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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