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 11:25:51	EP	SIM:ESM5	Sell	50	-0.3900	-0.9950	5,338.6250	5,340.5000	5,339.0150	5,338.0200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5338.625 avg_total: 5339.015 curr_cost_per_share: 0.515 curr_half_min_move: 0.53489025438266 curr_liq_cost: 25.75 curr_opt_t_minutes: 0 daily_vol_normal: 50.878683514038 destination_price: 5340.5 drift: -1.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.605 init_drift: 0 init_half_min_move: 0.53439604769625 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 1.2816937728422 init_vol_normal: 50.831674645616 last_aggressive_qty: 9 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.81 slip_toler: 0 slippage: -0.39000000000033 slippage_sweep: -0.99499999999989 sweep_residual: 0 sweep_to_fill: 5338.02 total_dollar: 266950.75 total_drift: -1.875 total_filled: 50 total_sent: 50 total_vol: 64.984429318621 worst_opt_t_minutes: 0
2025-04-17 11:25:35	EP	SIM:ESM5	Buy	50	-0.8850	-1.3850	5,339.8750	5,337.3750	5,338.9900	5,340.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5339.875 avg_total: 5338.99 curr_cost_per_share: 0.485 curr_half_min_move: 0.53410401183619 curr_liq_cost: 24.25 curr_opt_t_minutes: 0 daily_vol_normal: 50.80389623691 destination_price: 5337.375 drift: 2.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.5 init_drift: 0 init_half_min_move: 0.53393905837228 init_liq_cost: 25 init_min_duration: 0 init_opt_t_minutes: 0.876913237732 init_vol_normal: 50.788205887318 last_aggressive_qty: 3 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.54 slip_toler: 0 slippage: -0.88500000000022 slippage_sweep: -1.3850000000002 sweep_residual: 0 sweep_to_fill: 5340.375 total_dollar: 266949.5 total_drift: 2.5 total_filled: 50 total_sent: 50 total_vol: 64.999644947486 worst_opt_t_minutes: 0
2025-04-17 11:24:50	EP	SIM:ESM5	Sell	50	-0.7300	-1.2950	5,337.0000	5,337.6250	5,337.7300	5,336.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337 avg_total: 5337.73 curr_cost_per_share: 0.45 curr_half_min_move: 0.53146636885524 curr_liq_cost: 22.5 curr_opt_t_minutes: 0 daily_vol_normal: 50.553004018644 destination_price: 5337.625 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.565 init_drift: 0 init_half_min_move: 0.53139324691097 init_liq_cost: 28.25 init_min_duration: 0 init_opt_t_minutes: 1.13048507669 init_vol_normal: 50.546048669897 last_aggressive_qty: 12 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: 7.627 slip_toler: 0 slippage: -0.72999999999956 slippage_sweep: -1.2949999999992 sweep_residual: 0 sweep_to_fill: 5336.435 total_dollar: 266886.5 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 64.964649001097 worst_opt_t_minutes: 0
2025-04-17 11:24:18	EP	SIM:ESM5	Buy	50	-0.6950	-1.2850	5,337.3750	5,336.7500	5,336.6800	5,337.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.375 avg_total: 5336.68 curr_cost_per_share: 0.64 curr_half_min_move: 0.53049039041367 curr_liq_cost: 32 curr_opt_t_minutes: 0.10804437982453 daily_vol_normal: 50.46016909066 destination_price: 5336.75 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.59 init_drift: 0 init_half_min_move: 0.53014031875195 init_liq_cost: 29.5 init_min_duration: 0 init_opt_t_minutes: 1.2385751248794 init_vol_normal: 50.426870324908 last_aggressive_qty: 7 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: 5.46 slip_toler: 0 slippage: -0.69499999999971 slippage_sweep: -1.2849999999999 sweep_residual: 0 sweep_to_fill: 5337.965 total_dollar: 266834 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 64.969213689757 worst_opt_t_minutes: 0.065175498673891
2025-04-17 11:23:28	EP	SIM:ESM5	Sell	50	1.5100	0.8600	5,338.0000	5,336.7500	5,336.4900	5,337.3500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5338 avg_total: 5336.49 curr_cost_per_share: 0.605 curr_half_min_move: 0.52857598642631 curr_liq_cost: 30.25 curr_opt_t_minutes: 0 daily_vol_normal: 50.278071260698 destination_price: 5336.75 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65 init_drift: 0 init_half_min_move: 0.52762069796681 init_liq_cost: 32.5 init_min_duration: 0 init_opt_t_minutes: 1.5176899738319 init_vol_normal: 50.187204360811 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.476 slip_toler: 0 slippage: 1.5100000000002 slippage_sweep: 0.86000000000058 sweep_residual: 0 sweep_to_fill: 5337.35 total_dollar: 266824.5 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 64.976821504189 worst_opt_t_minutes: 0
2025-04-17 11:23:07	EP	SIM:ESM5	Buy	50	1.6650	1.2000	5,336.6250	5,339.2500	5,338.2900	5,337.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5336.625 avg_total: 5338.29 curr_cost_per_share: 0.32 curr_half_min_move: 0.52673169893871 curr_liq_cost: 16 curr_opt_t_minutes: 0 daily_vol_normal: 50.102642902036 destination_price: 5339.25 drift: 2.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.52602323253078 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 0.78144074903488 init_vol_normal: 50.03525367994 last_aggressive_qty: 10 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.376 slip_toler: 0 slippage: 1.665 slippage_sweep: 1.1999999999998 sweep_residual: 0 sweep_to_fill: 5337.09 total_dollar: 266914.5 total_drift: 2.625 total_filled: 50 total_sent: 50 total_vol: 64.960084312438 worst_opt_t_minutes: 0
2025-04-17 11:22:08	EP	SIM:ESM5	Buy	50	-0.7650	-1.3300	5,342.2500	5,340.2500	5,341.4850	5,342.8150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.25 avg_total: 5341.485 curr_cost_per_share: 0.615 curr_half_min_move: 0.52420670182607 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 49.862465542447 destination_price: 5340.25 drift: 2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.565 init_drift: 0 init_half_min_move: 0.52378648247494 init_liq_cost: 28.25 init_min_duration: 0 init_opt_t_minutes: 1.163558767959 init_vol_normal: 49.822494338639 last_aggressive_qty: 11 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.453 slip_toler: 0 slippage: -0.76500000000033 slippage_sweep: -1.3299999999999 sweep_residual: 0 sweep_to_fill: 5342.815 total_dollar: 267074.25 total_drift: 2 total_filled: 50 total_sent: 50 total_vol: 65.028554642329 worst_opt_t_minutes: 0
2025-04-17 11:21:12	EP	SIM:ESM5	Buy	50	1.9950	1.3350	5,335.5000	5,338.6250	5,337.4950	5,336.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5335.5 avg_total: 5337.495 curr_cost_per_share: 0.57 curr_half_min_move: 0.5200835769928 curr_liq_cost: 28.5 curr_opt_t_minutes: 0 daily_vol_normal: 49.470274505571 destination_price: 5338.625 drift: 3.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66 init_drift: 0 init_half_min_move: 0.51968177663307 init_liq_cost: 33 init_min_duration: 0 init_opt_t_minutes: 1.6129202527212 init_vol_normal: 49.432055313558 last_aggressive_qty: 8 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.411 slip_toler: 0 slippage: 1.9949999999999 slippage_sweep: 1.335 sweep_residual: 0 sweep_to_fill: 5336.16 total_dollar: 266874.75 total_drift: 3.125 total_filled: 50 total_sent: 50 total_vol: 64.946390246459 worst_opt_t_minutes: 0
2025-04-17 11:20:27	EP	SIM:ESM5	Buy	50	-0.0950	-0.7850	5,337.6250	5,337.3750	5,337.5300	5,338.3150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.625 avg_total: 5337.53 curr_cost_per_share: 0.455 curr_half_min_move: 0.51661170338008 curr_liq_cost: 22.75 curr_opt_t_minutes: 0.3701527338593 daily_vol_normal: 49.140030390456 destination_price: 5337.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.51521248281345 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.7935993089744 init_vol_normal: 49.006936732846 last_aggressive_qty: 3 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: 19.8 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.78499999999985 sweep_residual: 0 sweep_to_fill: 5338.315 total_dollar: 266876.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 64.972256815529 worst_opt_t_minutes: 0.21173658206109
2025-04-17 11:19:31	EP	SIM:ESM5	Sell	50	-0.6700	-1.3600	5,337.6250	5,340.5000	5,338.2950	5,336.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.625 avg_total: 5338.295 curr_cost_per_share: 0.71 curr_half_min_move: 0.51338072690168 curr_liq_cost: 35.5 curr_opt_t_minutes: 0 daily_vol_normal: 48.832700375862 destination_price: 5340.5 drift: -2.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.5126115334924 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.8118466392413 init_vol_normal: 48.759534810194 last_aggressive_qty: 12 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.56 slip_toler: 0 slippage: -0.67000000000007 slippage_sweep: -1.3599999999997 sweep_residual: 0 sweep_to_fill: 5336.935 total_dollar: 266914.75 total_drift: -2.875 total_filled: 50 total_sent: 50 total_vol: 64.972256815529 worst_opt_t_minutes: 0
2025-04-17 11:19:14	EP	SIM:ESM5	Buy	50	-0.9650	-1.7900	5,340.1250	5,338.6250	5,339.1600	5,340.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5340.125 avg_total: 5339.16 curr_cost_per_share: 0.605 curr_half_min_move: 0.51242686075224 curr_liq_cost: 30.25 curr_opt_t_minutes: 0 daily_vol_normal: 48.741968765902 destination_price: 5338.625 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.825 init_drift: 0 init_half_min_move: 0.49538520920733 init_liq_cost: 41.25 init_min_duration: 0 init_opt_t_minutes: 2.7734594835188 init_vol_normal: 47.12096933956 last_aggressive_qty: 12 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: 5.208 slip_toler: 0 slippage: -0.96500000000015 slippage_sweep: -1.79 sweep_residual: 0 sweep_to_fill: 5340.95 total_dollar: 266958 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 65.002688073259 worst_opt_t_minutes: 0
2025-04-17 11:18:28	EP	SIM:ESM5	Sell	50	0.6800	-0.0400	5,330.5000	5,329.6250	5,329.8200	5,329.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5330.5 avg_total: 5329.82 curr_cost_per_share: 0.67 curr_half_min_move: 0.49242973021152 curr_liq_cost: 33.5 curr_opt_t_minutes: 0 daily_vol_normal: 46.839844605602 destination_price: 5329.625 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.72 init_drift: 0 init_half_min_move: 0.4914151247686 init_liq_cost: 36 init_min_duration: 0 init_opt_t_minutes: 2.1466831863511 init_vol_normal: 46.743335482844 last_aggressive_qty: 12 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.538 slip_toler: 0 slippage: 0.68000000000029 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 5329.78 total_dollar: 266491 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 64.885527731 worst_opt_t_minutes: 0
2025-04-17 11:18:04	EP	SIM:ESM5	Buy	50	0.3550	-0.2850	5,330.5000	5,330.8750	5,330.8550	5,331.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5330.5 avg_total: 5330.855 curr_cost_per_share: 0.515 curr_half_min_move: 0.49037920170023 curr_liq_cost: 25.75 curr_opt_t_minutes: 0.34902777366181 daily_vol_normal: 46.644798630642 destination_price: 5330.875 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64 init_drift: 0 init_half_min_move: 0.48979422463509 init_liq_cost: 32 init_min_duration: 0 init_opt_t_minutes: 1.7073895861892 init_vol_normal: 46.589155696944 last_aggressive_qty: 2 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.728 slip_toler: 0 slippage: 0.35499999999956 slippage_sweep: -0.28500000000076 sweep_residual: 0 sweep_to_fill: 5331.14 total_dollar: 266542.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 64.885527731 worst_opt_t_minutes: 0.18037267648725
2025-04-17 11:17:09	EP	SIM:ESM5	Sell	50	1.7800	1.1115	5,334.6250	5,332.7500	5,332.8450	5,333.9565	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.625 avg_total: 5332.845 curr_cost_per_share: 0.715 curr_half_min_move: 0.48749675540142 curr_liq_cost: 35.75 curr_opt_t_minutes: 0 daily_vol_normal: 46.370620756243 destination_price: 5332.75 drift: -1.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66847826086957 init_drift: 0 init_half_min_move: 0.48621770468808 init_liq_cost: 30.75 init_min_duration: 0 init_opt_t_minutes: 1.890222982413 init_vol_normal: 46.248957637671 last_aggressive_qty: 5 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.448 slip_toler: 0 slippage: 1.7799999999997 slippage_sweep: 1.1115217391298 sweep_residual: 4 sweep_to_fill: 5333.9565217391 total_dollar: 266642.25 total_drift: -1.875 total_filled: 50 total_sent: 50 total_vol: 64.935739306254 worst_opt_t_minutes: 0
2025-04-17 11:16:52	EP	SIM:ESM5	Buy	50	1.4900	0.8350	5,331.1250	5,333.5000	5,332.6150	5,331.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.125 avg_total: 5332.615 curr_cost_per_share: 0.61 curr_half_min_move: 0.485266116249 curr_liq_cost: 30.5 curr_opt_t_minutes: 0 daily_vol_normal: 46.158442683189 destination_price: 5333.5 drift: 2.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.655 init_drift: 0 init_half_min_move: 0.48464289866989 init_liq_cost: 32.75 init_min_duration: 0 init_opt_t_minutes: 1.8265808195513 init_vol_normal: 46.099162317343 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.46 slip_toler: 0 slippage: 1.4899999999998 slippage_sweep: 0.83500000000004 sweep_residual: 0 sweep_to_fill: 5331.78 total_dollar: 266630.75 total_drift: 2.375 total_filled: 50 total_sent: 50 total_vol: 64.893135545433 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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