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
2025-06-02 14:15:03	EP	SIM:ESM5	Sell	50	-0.1050	-0.2300	5,939.1250	5,939.3750	5,939.2300	5,939.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5939.23 curr_cost_per_share: 0.17 curr_half_min_move: 0.40317945175992 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.350371047854 destination_price: 5939.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40317945175992 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096122099052607 init_vol_normal: 38.350371047854 last_aggressive_qty: 16 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 26 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.174 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.22999999999956 sweep_residual: 0 sweep_to_fill: 5939 total_dollar: 296961.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0
2025-06-02 14:14:59	EP	SIM:ESM5	Buy	50	0.1450	-0.1800	5,939.3750	5,939.1250	5,939.5200	5,939.7000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.375 avg_total: 5939.52 curr_cost_per_share: 0.26 curr_half_min_move: 0.40319642309205 curr_liq_cost: 13 curr_opt_t_minutes: 0.038908488281075 daily_vol_normal: 38.351985358507 destination_price: 5939.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.40319642309205 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 0.64973068925138 init_vol_normal: 38.351985358507 last_aggressive_qty: 21 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.299 slip_toler: 0 slippage: 0.14500000000044 slippage_sweep: -0.17999999999938 sweep_residual: 0 sweep_to_fill: 5939.7 total_dollar: 296976 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.351985358507 worst_opt_t_minutes: 0.038908488281075
2025-06-02 14:14:18	EP	SIM:ESM5	Sell	50	0.4100	0.2850	5,940.8750	5,940.1250	5,940.4650	5,940.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5940.465 curr_cost_per_share: 0.125 curr_half_min_move: 0.40329825108483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20066679935007 daily_vol_normal: 38.36167122243 destination_price: 5940.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40329825108483 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: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.294 slip_toler: 0 slippage: 0.40999999999985 slippage_sweep: 0.28499999999985 sweep_residual: 0 sweep_to_fill: 5940.75 total_dollar: 297023.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.20066679935007
2025-06-02 14:14:03	EP	SIM:ESM5	Buy	50	0.6100	0.4050	5,939.6250	5,940.8750	5,940.2350	5,939.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.625 avg_total: 5940.235 curr_cost_per_share: 0.125 curr_half_min_move: 0.40321339442418 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20075126929329 daily_vol_normal: 38.353599669161 destination_price: 5940.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.40321339442418 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.25848647312743 init_vol_normal: 38.353599669161 last_aggressive_qty: 1 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: 12.368 slip_toler: 0 slippage: 0.60999999999967 slippage_sweep: 0.40499999999975 sweep_residual: 0 sweep_to_fill: 5939.83 total_dollar: 297011.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.353599669161 worst_opt_t_minutes: 0.20075126929329
2025-06-02 14:13:10	EP	SIM:ESM5	Sell	50	0.5100	0.3350	5,939.8750	5,939.8750	5,939.3650	5,939.7000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5939.365 curr_cost_per_share: 0.17 curr_half_min_move: 0.40323036575631 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.17774254048059 daily_vol_normal: 38.355213979815 destination_price: 5939.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.18835174056118 init_vol_normal: 38.355213979815 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.318 slip_toler: 0 slippage: 0.51000000000022 slippage_sweep: 0.33500000000004 sweep_residual: 0 sweep_to_fill: 5939.7 total_dollar: 296968.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0.17774254048059
2025-06-02 14:12:57	EP	SIM:ESM5	Buy	50	0.1450	-0.0750	5,939.8750	5,939.6250	5,940.0200	5,940.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5940.02 curr_cost_per_share: 0.2 curr_half_min_move: 0.40323036575631 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.355213979815 destination_price: 5939.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29767262834811 init_vol_normal: 38.355213979815 last_aggressive_qty: last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.301 slip_toler: 0 slippage: 0.14500000000044 slippage_sweep: -0.074999999999818 sweep_residual: 0 sweep_to_fill: 5940.095 total_dollar: 297001 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0
2025-06-02 14:12:18	EP	SIM:ESM5	Sell	50	0.1450	-0.1650	5,940.8750	5,940.8750	5,940.7300	5,940.5650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5940.73 curr_cost_per_share: 0.125 curr_half_min_move: 0.40329825108483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096065478134631 daily_vol_normal: 38.36167122243 destination_price: 5940.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40329825108483 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59084111671923 init_vol_normal: 38.36167122243 last_aggressive_qty: 6 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.29 slip_toler: 0 slippage: 0.14500000000044 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5940.565 total_dollar: 297036.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.096065478134631
2025-06-02 14:12:10	EP	SIM:ESM5	Buy	50	0.0100	-0.1150	5,940.8750	5,940.8750	5,940.8850	5,941.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5940.885 curr_cost_per_share: 0.155 curr_half_min_move: 0.40329825108483 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.14771027917981 daily_vol_normal: 38.36167122243 destination_price: 5940.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40329825108483 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: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.165 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.11499999999978 sweep_residual: 0 sweep_to_fill: 5941 total_dollar: 297044.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.14771027917981
2025-06-02 14:11:29	EP	SIM:ESM5	Sell	50	0.0000	-0.2800	5,941.1250	5,941.3750	5,941.1250	5,940.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.125 curr_cost_per_share: 0.235 curr_half_min_move: 0.40331522241696 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.363285533084 destination_price: 5941.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48197757770706 init_vol_normal: 38.363285533084 last_aggressive_qty: last_tactical_qty: 25 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.357 slip_toler: 0 slippage: 0 slippage_sweep: -0.27999999999975 sweep_residual: 0 sweep_to_fill: 5940.845 total_dollar: 297056.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0
2025-06-02 14:11:22	EP	SIM:ESM5	Buy	50	0.2400	0.1150	5,941.1250	5,941.1250	5,941.3650	5,941.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.365 curr_cost_per_share: 0.125 curr_half_min_move: 0.40331522241696 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096057393516235 daily_vol_normal: 38.363285533084 destination_price: 5941.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096057393516235 init_vol_normal: 38.363285533084 last_aggressive_qty: last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.385 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: 0.11499999999978 sweep_residual: 0 sweep_to_fill: 5941.25 total_dollar: 297068.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0.096057393516235
2025-06-02 14:10:42	EP	SIM:ESM5	Sell	50	0.1900	0.0150	5,941.1250	5,940.3750	5,940.9350	5,940.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5940.935 curr_cost_per_share: 0.125 curr_half_min_move: 0.40331522241696 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20064991175913 daily_vol_normal: 38.363285533084 destination_price: 5940.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.18827249129182 init_vol_normal: 38.363285533084 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.299 slip_toler: 0 slippage: 0.1899999999996 slippage_sweep: 0.014999999999418 sweep_residual: 0 sweep_to_fill: 5940.95 total_dollar: 297046.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0.20064991175913
2025-06-02 14:10:28	EP	SIM:ESM5	Buy	50	0.7150	0.5050	5,940.3750	5,941.1250	5,941.0900	5,940.5850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5941.09 curr_cost_per_share: 0.125 curr_half_min_move: 0.40326430842057 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20070058092857 daily_vol_normal: 38.358442601123 destination_price: 5941.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40326430842057 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27118085018405 init_vol_normal: 38.358442601123 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.363 slip_toler: 0 slippage: 0.71500000000015 slippage_sweep: 0.50500000000011 sweep_residual: 0 sweep_to_fill: 5940.585 total_dollar: 297054.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0.20070058092857
2025-06-02 14:09:45	EP	SIM:ESM5	Sell	50	-0.0750	-0.2900	5,939.8750	5,940.1250	5,939.9500	5,939.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5939.95 curr_cost_per_share: 0.165 curr_half_min_move: 0.40323036575631 curr_liq_cost: 8.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.355213979815 destination_price: 5940.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28429581085519 init_vol_normal: 38.355213979815 last_aggressive_qty: last_tactical_qty: 40 level_tactical_limit: mbo_max: mbo_min: model_size: 40 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.27 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5939.66 total_dollar: 296997.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0
2025-06-02 14:09:43	EP	SIM:ESM5	Buy	50	0.0300	-0.0950	5,940.1250	5,939.8750	5,940.1550	5,940.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.155 curr_cost_per_share: 0.265 curr_half_min_move: 0.40324733708844 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.049338473409687 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: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.147 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5940.25 total_dollar: 297007.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0.049338473409687
2025-06-02 14:09:07	EP	SIM:ESM5	Sell	50	0.1200	-0.0500	5,938.6250	5,938.8750	5,938.5050	5,938.4550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.625 avg_total: 5938.505 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: 5938.875 drift: -0.25 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: 4 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.283 slip_toler: 0 slippage: 0.11999999999989 slippage_sweep: -0.050000000000182 sweep_residual: 0 sweep_to_fill: 5938.455 total_dollar: 296925.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.347142426546 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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