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 14:08:59	EP	SIM:ESM5	Buy	50	-0.0950	-0.2400	5,939.1250	5,938.8750	5,939.0300	5,939.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5939.03 curr_cost_per_share: 0.125 curr_half_min_move: 0.40317945175992 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.350371047854 destination_price: 5938.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40317945175992 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12934189648519 init_vol_normal: 38.350371047854 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.112 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.24000000000069 sweep_residual: 0 sweep_to_fill: 5939.27 total_dollar: 296951.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0
2025-06-02 14:08:27	EP	SIM:ESM5	Sell	50	-0.1950	-0.3200	5,938.1250	5,938.6250	5,938.3200	5,938.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.125 avg_total: 5938.32 curr_cost_per_share: 0.23 curr_half_min_move: 0.40311156643139 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.343913805238 destination_price: 5938.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40311156643139 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096154476340958 init_vol_normal: 38.343913805238 last_aggressive_qty: 7 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.111 slip_toler: 0 slippage: -0.19499999999971 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5938 total_dollar: 296916 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.343913805238 worst_opt_t_minutes: 0
2025-06-02 14:08:24	EP	SIM:ESM5	Buy	50	-0.3150	-0.4800	5,938.6250	5,938.1250	5,938.3100	5,938.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.625 avg_total: 5938.31 curr_cost_per_share: 0.22 curr_half_min_move: 0.40314550909565 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.347142426546 destination_price: 5938.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.40314550909565 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16751134892055 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: 1.135 slip_toler: 0 slippage: -0.3149999999996 slippage_sweep: -0.47999999999956 sweep_residual: 0 sweep_to_fill: 5938.79 total_dollar: 296915.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.347142426546 worst_opt_t_minutes: 0
2025-06-02 14:07:52	EP	SIM:ESM5	Sell	50	0.6650	0.5400	5,940.1250	5,939.3750	5,939.4600	5,940.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5939.46 curr_cost_per_share: 0.125 curr_half_min_move: 0.40324733708844 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20071747491685 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: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.231 slip_toler: 0 slippage: 0.66499999999996 slippage_sweep: 0.53999999999996 sweep_residual: 0 sweep_to_fill: 5940 total_dollar: 296973 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0.20071747491685
2025-06-02 14:07:36	EP	SIM:ESM5	Buy	50	0.0150	-0.1100	5,940.3750	5,940.1250	5,940.3900	5,940.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5940.39 curr_cost_per_share: 0.145 curr_half_min_move: 0.40326430842057 curr_liq_cost: 7.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.358442601123 destination_price: 5940.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40326430842057 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096081650433693 init_vol_normal: 38.358442601123 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.127 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 5940.5 total_dollar: 297019.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0
2025-06-02 14:07:02	EP	SIM:ESM5	Sell	50	-0.1650	-0.2900	5,939.6250	5,940.1250	5,939.7900	5,939.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.625 avg_total: 5939.79 curr_cost_per_share: 0.325 curr_half_min_move: 0.40321339442418 curr_liq_cost: 16.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.353599669161 destination_price: 5940.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40321339442418 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096105916540537 init_vol_normal: 38.353599669161 last_aggressive_qty: last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.037 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5939.5 total_dollar: 296989.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.353599669161 worst_opt_t_minutes: 0
2025-06-02 14:07:00	EP	SIM:ESM5	Buy	50	-0.2700	-0.3950	5,940.3750	5,939.8750	5,940.1050	5,940.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5940.105 curr_cost_per_share: 0.23 curr_half_min_move: 0.40326430842057 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.358442601123 destination_price: 5939.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40326430842057 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096081650433693 init_vol_normal: 38.358442601123 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: 1.098 slip_toler: 0 slippage: -0.27000000000044 slippage_sweep: -0.39500000000044 sweep_residual: 0 sweep_to_fill: 5940.5 total_dollar: 297005.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0
2025-06-02 14:06:28	EP	SIM:ESM5	Sell	50	0.4400	0.2300	5,941.3750	5,940.3750	5,940.9350	5,941.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.375 avg_total: 5940.935 curr_cost_per_share: 0.125 curr_half_min_move: 0.40333219374909 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20063302629993 daily_vol_normal: 38.364899843738 destination_price: 5940.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40333219374909 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.2710895723136 init_vol_normal: 38.364899843738 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.284 slip_toler: 0 slippage: 0.4399999999996 slippage_sweep: 0.22999999999956 sweep_residual: 0 sweep_to_fill: 5941.165 total_dollar: 297046.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.364899843738 worst_opt_t_minutes: 0.20063302629993
2025-06-02 14:06:16	EP	SIM:ESM5	Buy	50	0.3100	0.1850	5,942.1250	5,941.8750	5,942.4350	5,942.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.125 avg_total: 5942.435 curr_cost_per_share: 0.125 curr_half_min_move: 0.40338310774548 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.3697427757 destination_price: 5941.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40338310774548 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096025065246207 init_vol_normal: 38.3697427757 last_aggressive_qty: 2 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.187 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: 0.1850000000004 sweep_residual: 0 sweep_to_fill: 5942.25 total_dollar: 297121.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.3697427757 worst_opt_t_minutes: 0
2025-06-02 14:05:37	EP	SIM:ESM5	Sell	50	0.0000	-0.2500	5,941.7500	5,941.8750	5,941.7500	5,941.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.75 avg_total: 5941.75 curr_cost_per_share: 0.125 curr_half_min_move: 0.40335765074729 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.367321309719 destination_price: 5941.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40335765074729 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38414874573871 init_vol_normal: 38.367321309719 last_aggressive_qty: 31 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.196 slip_toler: 0 slippage: 0 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5941.5 total_dollar: 297087.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.367321309719 worst_opt_t_minutes: 0
2025-06-02 14:05:35	EP	SIM:ESM5	Buy	50	0.5750	0.4300	5,941.1250	5,941.8750	5,941.7000	5,941.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.7 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: 5941.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12925482871545 init_vol_normal: 38.363285533084 last_aggressive_qty: 18 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.268 slip_toler: 0 slippage: 0.57499999999982 slippage_sweep: 0.42999999999938 sweep_residual: 0 sweep_to_fill: 5941.27 total_dollar: 297085 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0.20064991175913
2025-06-02 14:04:52	EP	SIM:ESM5	Sell	50	0.1100	-0.0650	5,941.8750	5,941.8750	5,941.7650	5,941.7000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.875 avg_total: 5941.765 curr_cost_per_share: 0.14 curr_half_min_move: 0.40336613641335 curr_liq_cost: 7 curr_opt_t_minutes: 0.12046397807085 daily_vol_normal: 38.368128465046 destination_price: 5941.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40336613641335 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.18822496573571 init_vol_normal: 38.368128465046 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.273 slip_toler: 0 slippage: 0.10999999999967 slippage_sweep: -0.065000000000509 sweep_residual: 0 sweep_to_fill: 5941.7 total_dollar: 297088.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.368128465046 worst_opt_t_minutes: 0.12046397807085
2025-06-02 14:04:43	EP	SIM:ESM5	Buy	50	0.5350	0.4000	5,941.3750	5,941.8750	5,941.9100	5,941.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.375 avg_total: 5941.91 curr_cost_per_share: 0.125 curr_half_min_move: 0.40333219374909 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20063302629993 daily_vol_normal: 38.364899843738 destination_price: 5941.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40333219374909 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11203191508878 init_vol_normal: 38.364899843738 last_aggressive_qty: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.277 slip_toler: 0 slippage: 0.53499999999985 slippage_sweep: 0.39999999999964 sweep_residual: 0 sweep_to_fill: 5941.51 total_dollar: 297095.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.364899843738 worst_opt_t_minutes: 0.20063302629993
2025-06-02 14:03:57	EP	SIM:ESM5	Sell	50	-0.0500	-0.2900	5,941.1250	5,941.3750	5,941.1750	5,940.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.175 curr_cost_per_share: 0.17 curr_half_min_move: 0.40331522241696 curr_liq_cost: 8.5 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: 0.24 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35410597545825 init_vol_normal: 38.363285533084 last_aggressive_qty: last_tactical_qty: 35 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.34 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5940.885 total_dollar: 297058.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0
2025-06-02 14:03:52	EP	SIM:ESM5	Buy	50	0.1250	-0.0050	5,941.1250	5,941.1250	5,941.2500	5,941.2550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.25 curr_cost_per_share: 0.135 curr_half_min_move: 0.40331522241696 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.11204134379734 daily_vol_normal: 38.363285533084 destination_price: 5941.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10389567682716 init_vol_normal: 38.363285533084 last_aggressive_qty: 16 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.229 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.0050000000001091 sweep_residual: 0 sweep_to_fill: 5941.255 total_dollar: 297062.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0.11204134379734

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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