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 11:16:06	EP	SIM:ESM5	Sell	50	-2.2750	-2.8950	5,328.3750	5,332.0000	5,330.6500	5,327.7550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.375 avg_total: 5330.65 curr_cost_per_share: 0.68 curr_half_min_move: 0.47754245582643 curr_liq_cost: 34 curr_opt_t_minutes: 0 daily_vol_normal: 45.423769222625 destination_price: 5332 drift: -3.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.62 init_drift: 0 init_half_min_move: 0.47675870942139 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 1.6911654908713 init_vol_normal: 45.349219378109 last_aggressive_qty: 9 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.732 slip_toler: 0 slippage: -2.2749999999996 slippage_sweep: -2.8949999999995 sweep_residual: 0 sweep_to_fill: 5327.755 total_dollar: 266532.5 total_drift: -3.625 total_filled: 50 total_sent: 50 total_vol: 64.85966116193 worst_opt_t_minutes: 0
2025-04-17 11:15:47	EP	SIM:ESM5	Buy	50	4.2300	3.5200	5,321.1250	5,325.6250	5,325.3550	5,321.8350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5321.125 avg_total: 5325.355 curr_cost_per_share: 0.66 curr_half_min_move: 0.47482677340292 curr_liq_cost: 33 curr_opt_t_minutes: 0 daily_vol_normal: 45.165453903887 destination_price: 5325.625 drift: 4.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.71 init_drift: 0 init_half_min_move: 0.47257321284181 init_liq_cost: 35.5 init_min_duration: 0 init_opt_t_minutes: 2.257243942401 init_vol_normal: 44.951095549759 last_aggressive_qty: 4 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: 9.808 slip_toler: 0 slippage: 4.2299999999996 slippage_sweep: 3.5199999999995 sweep_residual: 0 sweep_to_fill: 5321.835 total_dollar: 266267.75 total_drift: 4.5 total_filled: 50 total_sent: 50 total_vol: 64.771410514514 worst_opt_t_minutes: 0
2025-04-17 11:14:59	EP	SIM:ESM5	Sell	50	0.8200	0.0533	5,325.5000	5,326.5000	5,324.6800	5,324.7333	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.5 avg_total: 5324.68 curr_cost_per_share: 0.69 curr_half_min_move: 0.46693840232136 curr_liq_cost: 34.5 curr_opt_t_minutes: 0 daily_vol_normal: 44.415113189299 destination_price: 5326.5 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76666666666667 init_drift: 0 init_half_min_move: 0.46500377995897 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 2.718317594492 init_vol_normal: 44.231092190432 last_aggressive_qty: 5 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: 8.538 slip_toler: 0 slippage: 0.81999999999971 slippage_sweep: 0.053333333333285 sweep_residual: 5 sweep_to_fill: 5324.7333333333 total_dollar: 266234 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 64.824665215541 worst_opt_t_minutes: 0
2025-04-17 11:14:37	EP	SIM:ESM5	Buy	50	2.1050	1.3550	5,322.2500	5,325.5000	5,324.3550	5,323.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5322.25 avg_total: 5324.355 curr_cost_per_share: 0.84 curr_half_min_move: 0.46041064064066 curr_liq_cost: 42 curr_opt_t_minutes: 0 daily_vol_normal: 43.794193443825 destination_price: 5325.5 drift: 3.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75 init_drift: 0 init_half_min_move: 0.45513054366579 init_liq_cost: 36.75 init_min_duration: 0 init_opt_t_minutes: 2.7155047267557 init_vol_normal: 43.291951384437 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.509 slip_toler: 0 slippage: 2.1049999999996 slippage_sweep: 1.3549999999996 sweep_residual: 1 sweep_to_fill: 5323 total_dollar: 266217.75 total_drift: 3.25 total_filled: 50 total_sent: 50 total_vol: 64.785104580493 worst_opt_t_minutes: 0
2025-04-17 11:13:37	EP	SIM:ESM5	Sell	50	0.1300	-0.5550	5,311.6250	5,312.5000	5,311.4950	5,310.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5311.625 avg_total: 5311.495 curr_cost_per_share: 0.64 curr_half_min_move: 0.42848901484438 curr_liq_cost: 32 curr_opt_t_minutes: 0 daily_vol_normal: 40.757813022168 destination_price: 5312.5 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.685 init_drift: 0 init_half_min_move: 0.42755276319918 init_liq_cost: 34.25 init_min_duration: 0 init_opt_t_minutes: 2.5668571959545 init_vol_normal: 40.6687569013 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.458 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.55500000000029 sweep_residual: 0 sweep_to_fill: 5310.94 total_dollar: 265574.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 64.655771735142 worst_opt_t_minutes: 0
2025-04-17 11:13:21	EP	SIM:ESM5	Buy	50	-0.5650	-1.3098	5,313.5000	5,312.1250	5,312.9350	5,314.2448	Diagnostics Diagnostics algo_status: 4 arrival_price: 5313.5 avg_total: 5312.935 curr_cost_per_share: 0.77604166666667 curr_half_min_move: 0.42561618752155 curr_liq_cost: 37.25 curr_opt_t_minutes: 0 daily_vol_normal: 40.484550103371 destination_price: 5312.125 drift: 1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.74479166666667 init_drift: 0 init_half_min_move: 0.42561618752155 init_liq_cost: 35.75 init_min_duration: 0 init_opt_t_minutes: 3.0621985263205 init_vol_normal: 40.484550103371 last_aggressive_qty: 27 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 3 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 1.42 slip_toler: 0 slippage: -0.5649999999996 slippage_sweep: -1.3097916666666 sweep_residual: 2 sweep_to_fill: 5314.2447916667 total_dollar: 265646.75 total_drift: 1.375 total_filled: 50 total_sent: 50 total_vol: 64.678595178439 worst_opt_t_minutes: 0
2025-04-17 11:12:40	EP	SIM:ESM5	Sell	50	1.2050	0.5100	5,315.1250	5,313.8750	5,313.9200	5,314.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.125 avg_total: 5313.92 curr_cost_per_share: 0.7 curr_half_min_move: 0.41973061861949 curr_liq_cost: 35 curr_opt_t_minutes: 0 daily_vol_normal: 39.924715641977 destination_price: 5313.875 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.41802338303373 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 2.7641936049681 init_vol_normal: 39.762323640365 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.43 slip_toler: 0 slippage: 1.2049999999999 slippage_sweep: 0.51000000000022 sweep_residual: 0 sweep_to_fill: 5314.43 total_dollar: 265696 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 64.698375495963 worst_opt_t_minutes: 0
2025-04-17 11:12:27	EP	SIM:ESM5	Buy	50	0.9100	0.4750	5,315.8750	5,316.8750	5,316.7850	5,316.3100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.875 avg_total: 5316.785 curr_cost_per_share: 0.48 curr_half_min_move: 0.41544297878916 curr_liq_cost: 24 curr_opt_t_minutes: 0 daily_vol_normal: 39.516875962412 destination_price: 5316.875 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.41408390781646 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 1.1035748828657 init_vol_normal: 39.387601328361 last_aggressive_qty: 10 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.202 slip_toler: 0 slippage: 0.90999999999985 slippage_sweep: 0.47499999999945 sweep_residual: 0 sweep_to_fill: 5316.31 total_dollar: 265839.25 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 64.707504873282 worst_opt_t_minutes: 0
2025-04-17 11:11:47	EP	SIM:ESM5	Sell	50	-0.4850	-1.1500	5,325.1250	5,325.7500	5,325.6100	5,324.4600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.125 avg_total: 5325.61 curr_cost_per_share: 0.575 curr_half_min_move: 0.406796754339 curr_liq_cost: 28.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.694448345183 destination_price: 5325.75 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.665 init_drift: 0 init_half_min_move: 0.4043359716818 init_liq_cost: 33.25 init_min_duration: 0 init_opt_t_minutes: 2.704945570918 init_vol_normal: 38.460379055293 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.446 slip_toler: 0 slippage: -0.48499999999967 slippage_sweep: -1.1499999999996 sweep_residual: 0 sweep_to_fill: 5324.46 total_dollar: 266280.5 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 64.820100526882 worst_opt_t_minutes: 0
2025-04-17 11:11:29	EP	SIM:ESM5	Buy	50	0.5250	-0.0550	5,322.0000	5,323.8750	5,322.5250	5,322.5800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5322 avg_total: 5322.525 curr_cost_per_share: 0.695 curr_half_min_move: 0.39833350400934 curr_liq_cost: 34.75 curr_opt_t_minutes: 0 daily_vol_normal: 37.88942519979 destination_price: 5323.875 drift: 1.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.39756110883571 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 2.1283752531168 init_vol_normal: 37.815955082762 last_aggressive_qty: 14 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: 9.644 slip_toler: 0 slippage: 0.52499999999964 slippage_sweep: -0.055000000000291 sweep_residual: 0 sweep_to_fill: 5322.58 total_dollar: 266126.25 total_drift: 1.875 total_filled: 50 total_sent: 50 total_vol: 64.78206145472 worst_opt_t_minutes: 0
2025-04-17 11:10:45	EP	SIM:ESM5	Sell	50	-0.2450	-0.9200	5,325.7500	5,325.2500	5,325.9950	5,325.0750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.75 avg_total: 5325.995 curr_cost_per_share: 0.475 curr_half_min_move: 0.3945186811763 curr_liq_cost: 23.75 curr_opt_t_minutes: 0 daily_vol_normal: 37.526559804517 destination_price: 5325.25 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.675 init_drift: 0 init_half_min_move: 0.39343842657709 init_liq_cost: 33.75 init_min_duration: 0 init_opt_t_minutes: 2.9434319283042 init_vol_normal: 37.423806143523 last_aggressive_qty: 13 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.793 slip_toler: 0 slippage: -0.24499999999989 slippage_sweep: -0.92000000000007 sweep_residual: 0 sweep_to_fill: 5325.075 total_dollar: 266299.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 64.827708341314 worst_opt_t_minutes: 0
2025-04-17 11:10:23	EP	SIM:ESM5	Buy	50	-0.1550	-0.8200	5,325.6250	5,324.3750	5,325.4700	5,326.2900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.625 avg_total: 5325.47 curr_cost_per_share: 0.545 curr_half_min_move: 0.39200446131715 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 37.287407575719 destination_price: 5324.375 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.665 init_drift: 0 init_half_min_move: 0.39149304734795 init_liq_cost: 33.25 init_min_duration: 0 init_opt_t_minutes: 2.8853279531945 init_vol_normal: 37.23876195305 last_aggressive_qty: 7 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.686 slip_toler: 0 slippage: -0.15499999999975 slippage_sweep: -0.81999999999971 sweep_residual: 0 sweep_to_fill: 5326.29 total_dollar: 266273.5 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 64.826186778427 worst_opt_t_minutes: 0
2025-04-17 11:09:39	EP	SIM:ESM5	Sell	50	1.2300	0.6000	5,331.7500	5,330.8750	5,330.5200	5,331.1200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.75 avg_total: 5330.52 curr_cost_per_share: 0.74431818181818 curr_half_min_move: 0.38613845491107 curr_liq_cost: 32.75 curr_opt_t_minutes: 0 daily_vol_normal: 36.729433896107 destination_price: 5330.875 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63 init_drift: 0 init_half_min_move: 0.3841050082766 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 2.6901788819116 init_vol_normal: 36.536012746796 last_aggressive_qty: 11 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.537 slip_toler: 0 slippage: 1.2299999999996 slippage_sweep: 0.59999999999945 sweep_residual: 0 sweep_to_fill: 5331.12 total_dollar: 266526 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 64.900743359865 worst_opt_t_minutes: 0
2025-04-17 11:09:16	EP	SIM:ESM5	Buy	50	1.8700	1.2100	5,332.6250	5,333.3750	5,334.4950	5,333.2850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5332.625 avg_total: 5334.495 curr_cost_per_share: 0.65 curr_half_min_move: 0.38235296055797 curr_liq_cost: 32.5 curr_opt_t_minutes: 0 daily_vol_normal: 36.369358221597 destination_price: 5333.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66 init_drift: 0 init_half_min_move: 0.37959137303384 init_liq_cost: 33 init_min_duration: 0 init_opt_t_minutes: 3.0231187282951 init_vol_normal: 36.106676416338 last_aggressive_qty: 9 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.614 slip_toler: 0 slippage: 1.8699999999999 slippage_sweep: 1.21 sweep_residual: 0 sweep_to_fill: 5333.285 total_dollar: 266724.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.91139430007 worst_opt_t_minutes: 0
2025-04-17 11:08:28	EP	SIM:ESM5	Sell	50	-1.5200	-2.3609	5,328.5000	5,330.8750	5,330.0200	5,327.6591	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.5 avg_total: 5330.02 curr_cost_per_share: 0.665 curr_half_min_move: 0.36886077281421 curr_liq_cost: 33.25 curr_opt_t_minutes: 0 daily_vol_normal: 35.085983277855 destination_price: 5330.875 drift: -2.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.84090909090909 init_drift: 0 init_half_min_move: 0.36696497780092 init_liq_cost: 37 init_min_duration: 0 init_opt_t_minutes: 5.2510827061554 init_vol_normal: 34.905655530811 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.479 slip_toler: 0 slippage: -1.5200000000004 slippage_sweep: -2.3609090909094 sweep_residual: 6 sweep_to_fill: 5327.6590909091 total_dollar: 266501 total_drift: -2.375 total_filled: 50 total_sent: 50 total_vol: 64.861182724817 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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