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 14:21:34	EP	SIM:ESM5	Buy	50	0.1600	0.0100	5,940.6250	5,940.8750	5,940.7850	5,940.7750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5940.785 curr_cost_per_share: 0.125 curr_half_min_move: 0.4032812797527 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20068368907309 daily_vol_normal: 38.360056911777 destination_price: 5940.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13834593183417 init_vol_normal: 38.360056911777 last_aggressive_qty: 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: 12.265 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5940.775 total_dollar: 297039.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0.20068368907309
2025-06-02 14:20:49	EP	SIM:ESM5	Sell	50	-0.1650	-0.3800	5,940.3750	5,940.8750	5,940.5400	5,940.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5940.54 curr_cost_per_share: 0.125 curr_half_min_move: 0.40326430842057 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.358442601123 destination_price: 5940.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40326430842057 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28424795464304 init_vol_normal: 38.358442601123 last_aggressive_qty: 5 last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.153 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 5940.16 total_dollar: 297027 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0
2025-06-02 14:20:46	EP	SIM:ESM5	Buy	50	0.8300	0.5700	5,939.1250	5,940.3750	5,939.9550	5,939.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5939.955 curr_cost_per_share: 0.125 curr_half_min_move: 0.40317945175992 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20078507220528 daily_vol_normal: 38.350371047854 destination_price: 5940.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40317945175992 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.4158626493412 init_vol_normal: 38.350371047854 last_aggressive_qty: 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: 12.495 slip_toler: 0 slippage: 0.82999999999993 slippage_sweep: 0.56999999999971 sweep_residual: 0 sweep_to_fill: 5939.385 total_dollar: 296997.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0.20078507220528
2025-06-02 14:20:03	EP	SIM:ESM5	Sell	50	0.2800	0.1000	5,939.8750	5,939.3750	5,939.5950	5,939.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5939.595 curr_cost_per_share: 0.125 curr_half_min_move: 0.40323036575631 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20073437103831 daily_vol_normal: 38.355213979815 destination_price: 5939.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.19926845368758 init_vol_normal: 38.355213979815 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.524 slip_toler: 0 slippage: 0.27999999999975 slippage_sweep: 0.099999999999454 sweep_residual: 0 sweep_to_fill: 5939.695 total_dollar: 296979.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0.20073437103831
2025-06-02 14:19:50	EP	SIM:ESM5	Buy	50	0.0950	-0.1900	5,940.1250	5,939.8750	5,940.2200	5,940.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.22 curr_cost_per_share: 0.125 curr_half_min_move: 0.40324733708844 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.356828290469 destination_price: 5939.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.49951289461547 init_vol_normal: 38.356828290469 last_aggressive_qty: 3 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.221 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.1899999999996 sweep_residual: 0 sweep_to_fill: 5940.41 total_dollar: 297011 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0
2025-06-02 14:19:09	EP	SIM:ESM5	Sell	50	0.0050	-0.3050	5,940.1250	5,940.3750	5,940.1200	5,939.8150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.12 curr_cost_per_share: 0.245 curr_half_min_move: 0.40324733708844 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.356828290469 destination_price: 5940.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59099032530066 init_vol_normal: 38.356828290469 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.262 slip_toler: 0 slippage: 0.0050000000001091 slippage_sweep: -0.30500000000029 sweep_residual: 0 sweep_to_fill: 5939.815 total_dollar: 297006 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0
2025-06-02 14:19:05	EP	SIM:ESM5	Buy	50	-0.0050	-0.1600	5,940.1250	5,939.8750	5,940.1200	5,940.2800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.12 curr_cost_per_share: 0.245 curr_half_min_move: 0.40324733708844 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.356828290469 destination_price: 5939.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.14774758132517 init_vol_normal: 38.356828290469 last_aggressive_qty: 5 last_tactical_qty: 41 level_tactical_limit: mbo_max: mbo_min: model_size: 41 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.181 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.15999999999985 sweep_residual: 0 sweep_to_fill: 5940.28 total_dollar: 297006 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0
2025-06-02 14:18:31	EP	SIM:ESM5	Sell	50	0.1350	0.0100	5,939.8750	5,939.8750	5,939.7400	5,939.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5939.74 curr_cost_per_share: 0.125 curr_half_min_move: 0.40323036575631 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096097826816926 daily_vol_normal: 38.355213979815 destination_price: 5939.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096097826816926 init_vol_normal: 38.355213979815 last_aggressive_qty: 20 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.176 slip_toler: 0 slippage: 0.13500000000022 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5939.75 total_dollar: 296987 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0.096097826816926
2025-06-02 14:18:23	EP	SIM:ESM5	Buy	50	0.1650	0.0400	5,940.1250	5,939.8750	5,940.2900	5,940.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.29 curr_cost_per_share: 0.205 curr_half_min_move: 0.40324733708844 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.356828290469 destination_price: 5939.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096089738114702 init_vol_normal: 38.356828290469 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.192 slip_toler: 0 slippage: 0.16499999999996 slippage_sweep: 0.039999999999964 sweep_residual: 0 sweep_to_fill: 5940.25 total_dollar: 297014.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0
2025-06-02 14:17:40	EP	SIM:ESM5	Sell	50	0.4850	0.3600	5,940.1250	5,939.3750	5,939.6400	5,940.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5939.64 curr_cost_per_share: 0.14 curr_half_min_move: 0.40324733708844 curr_liq_cost: 7 curr_opt_t_minutes: 0.23672219237414 daily_vol_normal: 38.356828290469 destination_price: 5939.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096089738114702 init_vol_normal: 38.356828290469 last_aggressive_qty: 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: 15.28 slip_toler: 0 slippage: 0.48499999999967 slippage_sweep: 0.35999999999967 sweep_residual: 0 sweep_to_fill: 5940 total_dollar: 296982 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0.23672219237414
2025-06-02 14:17:24	EP	SIM:ESM5	Buy	50	0.3650	0.2400	5,939.8750	5,940.3750	5,940.2400	5,940.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5940.24 curr_cost_per_share: 0.125 curr_half_min_move: 0.40323036575631 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20073437103831 daily_vol_normal: 38.355213979815 destination_price: 5940.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096097826816926 init_vol_normal: 38.355213979815 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: 12.365 slip_toler: 0 slippage: 0.36499999999978 slippage_sweep: 0.23999999999978 sweep_residual: 0 sweep_to_fill: 5940 total_dollar: 297012 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0.20073437103831
2025-06-02 14:16:38	EP	SIM:ESM5	Sell	50	-0.3650	-0.5350	5,938.6250	5,939.1250	5,938.9900	5,938.4550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.625 avg_total: 5938.99 curr_cost_per_share: 0.125 curr_half_min_move: 0.40314550909565 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.347142426546 destination_price: 5939.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.40314550909565 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.17781737314247 init_vol_normal: 38.347142426546 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: 1.16 slip_toler: 0 slippage: -0.36499999999978 slippage_sweep: -0.53499999999985 sweep_residual: 0 sweep_to_fill: 5938.455 total_dollar: 296949.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.347142426546 worst_opt_t_minutes: 0
2025-06-02 14:16:31	EP	SIM:ESM5	Buy	50	-0.0450	-0.2300	5,938.8750	5,938.6250	5,938.8300	5,939.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.875 avg_total: 5938.83 curr_cost_per_share: 0.17 curr_half_min_move: 0.40316248042779 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.3487567372 destination_price: 5938.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40316248042779 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21056357220943 init_vol_normal: 38.3487567372 last_aggressive_qty: last_tactical_qty: 34 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.373 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.23000000000047 sweep_residual: 0 sweep_to_fill: 5939.06 total_dollar: 296941.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.3487567372 worst_opt_t_minutes: 0
2025-06-02 14:15:55	EP	SIM:ESM5	Sell	50	0.3050	0.1300	5,940.1250	5,939.8750	5,939.8200	5,939.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5939.82 curr_cost_per_share: 0.135 curr_half_min_move: 0.40324733708844 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.2244139106949 daily_vol_normal: 38.356828290469 destination_price: 5939.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.18833588670482 init_vol_normal: 38.356828290469 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.775 slip_toler: 0 slippage: 0.30500000000029 slippage_sweep: 0.13000000000011 sweep_residual: 0 sweep_to_fill: 5939.95 total_dollar: 296991 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0.2244139106949
2025-06-02 14:15:39	EP	SIM:ESM5	Buy	50	0.1550	-0.1150	5,940.1250	5,940.1250	5,940.2800	5,940.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.28 curr_cost_per_share: 0.13 curr_half_min_move: 0.40324733708844 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.10393066074486 daily_vol_normal: 38.356828290469 destination_price: 5940.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.44831628214795 init_vol_normal: 38.356828290469 last_aggressive_qty: 10 last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.417 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.11500000000069 sweep_residual: 0 sweep_to_fill: 5940.395 total_dollar: 297014 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0.10393066074486

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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