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 11:55:35	EP	SIM:ESM5	Sell	50	-0.3400	-0.7900	5,346.3750	5,345.8750	5,346.7150	5,345.9250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5346.375 avg_total: 5346.715 curr_cost_per_share: 0.505 curr_half_min_move: 0.6194629132574 curr_liq_cost: 25.25 curr_opt_t_minutes: 0.034882488192037 daily_vol_normal: 58.923222575222 destination_price: 5345.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.6193542144562 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 0.52789413054452 init_vol_normal: 58.912883160998 last_aggressive_qty: 16 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.355 slip_toler: 0 slippage: -0.34000000000015 slippage_sweep: -0.78999999999996 sweep_residual: 0 sweep_to_fill: 5345.925 total_dollar: 267335.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.078766217583 worst_opt_t_minutes: 0.028595771354711
2025-04-17 11:54:42	EP	SIM:ESM5	Sell	50	0.2250	-0.3950	5,345.1250	5,345.6250	5,344.9000	5,344.5050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5345.125 avg_total: 5344.9 curr_cost_per_share: 0.58 curr_half_min_move: 0.6179095264731 curr_liq_cost: 29 curr_opt_t_minutes: 0.17163197419795 daily_vol_normal: 58.77546464932 destination_price: 5345.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.62 init_drift: 0 init_half_min_move: 0.61768588500103 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 1.0075068894615 init_vol_normal: 58.754191904892 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.79 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: -0.39499999999953 sweep_residual: 0 sweep_to_fill: 5344.505 total_dollar: 267245 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.063550588718 worst_opt_t_minutes: 0.14006022549135
2025-04-17 11:54:25	EP	SIM:ESM5	Buy	50	0.5250	0.0550	5,344.8750	5,345.3750	5,345.4000	5,345.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.875 avg_total: 5345.4 curr_cost_per_share: 0.47 curr_half_min_move: 0.61728500638607 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 58.716060389107 destination_price: 5345.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.6167378362397 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 0.58075710320423 init_vol_normal: 58.664013644046 last_aggressive_qty: 13 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.533 slip_toler: 0 slippage: 0.52499999999964 slippage_sweep: 0.054999999999382 sweep_residual: 0 sweep_to_fill: 5345.345 total_dollar: 267270 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 65.060507462945 worst_opt_t_minutes: 0
2025-04-17 11:53:28	EP	SIM:ESM5	Sell	50	0.4550	-0.1300	5,344.3750	5,345.8750	5,343.9200	5,343.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.375 avg_total: 5343.92 curr_cost_per_share: 0.6 curr_half_min_move: 0.61547946308195 curr_liq_cost: 30 curr_opt_t_minutes: 0 daily_vol_normal: 58.544317371566 destination_price: 5345.875 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.585 init_drift: 0 init_half_min_move: 0.61472274066948 init_liq_cost: 29.25 init_min_duration: 0 init_opt_t_minutes: 0.90563494782407 init_vol_normal: 58.472338045309 last_aggressive_qty: 7 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: 17.819 slip_toler: 0 slippage: 0.45499999999993 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5343.79 total_dollar: 267196 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 65.054421211399 worst_opt_t_minutes: 0
2025-04-17 11:53:08	EP	SIM:ESM5	Buy	50	-0.4350	-0.8550	5,344.8750	5,344.1250	5,344.4400	5,345.2950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.875 avg_total: 5344.44 curr_cost_per_share: 0.635 curr_half_min_move: 0.61478025186028 curr_liq_cost: 31.75 curr_opt_t_minutes: 0 daily_vol_normal: 58.477808501447 destination_price: 5344.125 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.42 init_drift: 0 init_half_min_move: 0.61450626055408 init_liq_cost: 21 init_min_duration: 0 init_opt_t_minutes: 0.46713881763648 init_vol_normal: 58.451746488091 last_aggressive_qty: 12 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.318 slip_toler: 0 slippage: -0.4350000000004 slippage_sweep: -0.85500000000047 sweep_residual: 0 sweep_to_fill: 5345.295 total_dollar: 267222 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.060507462945 worst_opt_t_minutes: 0
2025-04-17 11:52:25	EP	SIM:ESM5	Sell	50	-0.5750	-1.1300	5,337.1250	5,339.8750	5,337.7000	5,336.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.125 avg_total: 5337.7 curr_cost_per_share: 0.58 curr_half_min_move: 0.61196182312832 curr_liq_cost: 29 curr_opt_t_minutes: 0 daily_vol_normal: 58.209719968733 destination_price: 5339.875 drift: -2.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.61138451372946 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 0.82405670690048 init_vol_normal: 58.154806382341 last_aggressive_qty: 8 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.566 slip_toler: 0 slippage: -0.57499999999982 slippage_sweep: -1.1300000000001 sweep_residual: 0 sweep_to_fill: 5336.57 total_dollar: 266885 total_drift: -2.75 total_filled: 50 total_sent: 50 total_vol: 64.966170563984 worst_opt_t_minutes: 0
2025-04-17 11:51:56	EP	SIM:ESM5	Buy	50	0.5450	0.0800	5,337.8750	5,337.3750	5,338.4200	5,338.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.875 avg_total: 5338.42 curr_cost_per_share: 0.585 curr_half_min_move: 0.61105923693411 curr_liq_cost: 29.25 curr_opt_t_minutes: 0.18483833762431 daily_vol_normal: 58.123866100686 destination_price: 5337.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.61075681936801 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 0.57965455940695 init_vol_normal: 58.095100185606 last_aggressive_qty: 13 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.399 slip_toler: 0 slippage: 0.54500000000007 slippage_sweep: 0.079999999999927 sweep_residual: 0 sweep_to_fill: 5338.34 total_dollar: 266921 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.975299941302 worst_opt_t_minutes: 0.14791235617799
2025-04-17 11:50:58	EP	SIM:ESM5	Buy	50	1.0450	0.4450	5,339.2500	5,340.1250	5,340.2950	5,339.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5339.25 avg_total: 5340.295 curr_cost_per_share: 0.505 curr_half_min_move: 0.60961466223886 curr_liq_cost: 25.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.986458364931 destination_price: 5340.125 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.60948437301676 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 0.96911954164353 init_vol_normal: 57.974065272999 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.487 slip_toler: 0 slippage: 1.0450000000001 slippage_sweep: 0.44499999999971 sweep_residual: 0 sweep_to_fill: 5339.85 total_dollar: 267014.75 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 64.992037133054 worst_opt_t_minutes: 0
2025-04-17 11:50:19	EP	SIM:ESM5	Sell	50	-0.9350	-1.4450	5,338.5000	5,340.0000	5,339.4350	5,337.9900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5338.5 avg_total: 5339.435 curr_cost_per_share: 0.545 curr_half_min_move: 0.60806607617962 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.839157083301 destination_price: 5340 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.51 init_drift: 0 init_half_min_move: 0.60788142688466 init_liq_cost: 25.5 init_min_duration: 0 init_opt_t_minutes: 0.70388644798139 init_vol_normal: 57.821593269112 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.439 slip_toler: 0 slippage: -0.9350000000004 slippage_sweep: -1.4450000000006 sweep_residual: 0 sweep_to_fill: 5337.99 total_dollar: 266971.75 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 64.982907755735 worst_opt_t_minutes: 0
2025-04-17 11:50:05	EP	SIM:ESM5	Buy	50	0.7750	0.3400	5,335.6250	5,336.5000	5,336.4000	5,336.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5335.625 avg_total: 5336.4 curr_cost_per_share: 0.465 curr_half_min_move: 0.60699435736703 curr_liq_cost: 23.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.737215345094 destination_price: 5336.5 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.60680655420084 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 0.51389925475386 init_vol_normal: 57.71935153513 last_aggressive_qty: 16 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.566 slip_toler: 0 slippage: 0.77499999999964 slippage_sweep: 0.33999999999924 sweep_residual: 0 sweep_to_fill: 5336.06 total_dollar: 266820 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 64.947911809346 worst_opt_t_minutes: 0
2025-04-17 11:49:10	EP	SIM:ESM5	Sell	50	-0.9450	-1.5150	5,328.6250	5,331.3750	5,329.5700	5,328.0550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.625 avg_total: 5329.57 curr_cost_per_share: 0.75 curr_half_min_move: 0.60412029416731 curr_liq_cost: 37.5 curr_opt_t_minutes: 0 daily_vol_normal: 57.463834869865 destination_price: 5331.375 drift: -2.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.57 init_drift: 0 init_half_min_move: 0.60377437390062 init_liq_cost: 28.5 init_min_duration: 0 init_opt_t_minutes: 0.89125167457772 init_vol_normal: 57.430930984207 last_aggressive_qty: 8 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.345 slip_toler: 0 slippage: -0.94499999999971 slippage_sweep: -1.5149999999994 sweep_residual: 0 sweep_to_fill: 5328.055 total_dollar: 266478.5 total_drift: -2.75 total_filled: 50 total_sent: 50 total_vol: 64.862704287703 worst_opt_t_minutes: 0
2025-04-17 11:28:19	EP	SIM:ESM5	Sell	50	0.6050	0.0600	5,341.3750	5,340.6250	5,340.7700	5,340.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.375 avg_total: 5340.77 curr_cost_per_share: 0.565 curr_half_min_move: 0.5410331021751 curr_liq_cost: 28.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.462990306216 destination_price: 5340.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.54091338978292 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 1.0151671136296 init_vol_normal: 51.451603280814 last_aggressive_qty: 9 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.605 slip_toler: 0 slippage: 0.60499999999956 slippage_sweep: 0.059999999999491 sweep_residual: 0 sweep_to_fill: 5340.83 total_dollar: 267038.5 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 65.017903702124 worst_opt_t_minutes: 0
2025-04-17 11:27:54	EP	SIM:ESM5	Buy	50	-0.6800	-1.2800	5,342.2500	5,341.0000	5,341.5700	5,342.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.25 avg_total: 5341.57 curr_cost_per_share: 0.505 curr_half_min_move: 0.54007970432898 curr_liq_cost: 25.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.372303241201 destination_price: 5341 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.53975335776512 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 1.2356964394912 init_vol_normal: 51.34126120332 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.294 slip_toler: 0 slippage: -0.68000000000029 slippage_sweep: -1.2800000000007 sweep_residual: 0 sweep_to_fill: 5342.85 total_dollar: 267078.5 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 65.028554642329 worst_opt_t_minutes: 0
2025-04-17 11:27:07	EP	SIM:ESM5	Sell	50	-0.3100	-0.8550	5,341.3750	5,342.1250	5,341.6850	5,340.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.375 avg_total: 5341.685 curr_cost_per_share: 0.615 curr_half_min_move: 0.53798893844174 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.173429892869 destination_price: 5342.125 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.53765665875332 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 1.0275026412688 init_vol_normal: 51.14182349704 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.659 slip_toler: 0 slippage: -0.3100000000004 slippage_sweep: -0.85500000000047 sweep_residual: 0 sweep_to_fill: 5340.83 total_dollar: 267084.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 65.017903702124 worst_opt_t_minutes: 0
2025-04-17 11:26:47	EP	SIM:ESM5	Buy	50	0.5550	-0.0950	5,338.0000	5,340.1250	5,338.5550	5,338.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5338 avg_total: 5338.555 curr_cost_per_share: 0.355 curr_half_min_move: 0.53677407119327 curr_liq_cost: 17.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.057871896178 destination_price: 5340.125 drift: 2.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65 init_drift: 0 init_half_min_move: 0.5364474120078 init_liq_cost: 32.5 init_min_duration: 0 init_opt_t_minutes: 1.4681566763028 init_vol_normal: 51.026800121775 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.763 slip_toler: 0 slippage: 0.55500000000029 slippage_sweep: -0.094999999999345 sweep_residual: 0 sweep_to_fill: 5338.65 total_dollar: 266927.75 total_drift: 2.125 total_filled: 50 total_sent: 50 total_vol: 64.976821504189 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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