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 11:08:04	EP	SIM:ESM5	Buy	50	1.2400	0.4424	5,328.6250	5,330.1250	5,329.8650	5,329.4226	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.625 avg_total: 5329.865 curr_cost_per_share: 0.675 curr_half_min_move: 0.36329102113926 curr_liq_cost: 33.75 curr_opt_t_minutes: 0 daily_vol_normal: 34.556189305354 destination_price: 5330.125 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79761904761905 init_drift: 0 init_half_min_move: 0.35611391655787 init_liq_cost: 33.5 init_min_duration: 0 init_opt_t_minutes: 5.016642368694 init_vol_normal: 33.873504157229 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.673 slip_toler: 0 slippage: 1.2399999999998 slippage_sweep: 0.44238095238052 sweep_residual: 8 sweep_to_fill: 5329.4226190476 total_dollar: 266493.25 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 64.862704287703 worst_opt_t_minutes: 0
2025-04-17 11:06:50	EP	SIM:ESM5	Sell	50	3.7250	3.0390	5,326.6250	5,322.5000	5,322.9000	5,325.9390	Diagnostics Diagnostics algo_status: 4 arrival_price: 5326.625 avg_total: 5322.9 curr_cost_per_share: 0.82608695652174 curr_half_min_move: 0.33781289382939 curr_liq_cost: 38 curr_opt_t_minutes: 0 daily_vol_normal: 32.132713526335 destination_price: 5322.5 drift: -4.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6859756097561 init_drift: 0 init_half_min_move: 0.33662576951411 init_liq_cost: 28.125 init_min_duration: 0 init_opt_t_minutes: 4.1526241985832 init_vol_normal: 32.01979443343 last_aggressive_qty: 5 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.317 slip_toler: 0 slippage: 3.7250000000004 slippage_sweep: 3.0390243902439 sweep_residual: 9 sweep_to_fill: 5325.9390243902 total_dollar: 266145 total_drift: -4.125 total_filled: 50 total_sent: 50 total_vol: 64.838359281519 worst_opt_t_minutes: 0
2025-04-17 11:06:18	EP	SIM:ESM5	Buy	50	4.1150	3.2750	5,323.5000	5,327.5000	5,327.6150	5,324.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5323.5 avg_total: 5327.615 curr_cost_per_share: 0.85119047619048 curr_half_min_move: 0.32555449775166 curr_liq_cost: 35.75 curr_opt_t_minutes: 0 daily_vol_normal: 30.966696667142 destination_price: 5327.5 drift: 4 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.84 init_drift: 0 init_half_min_move: 0.32353039784918 init_liq_cost: 42 init_min_duration: 0 init_opt_t_minutes: 6.7410630400313 init_vol_normal: 30.774164577624 last_aggressive_qty: 19 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.682 slip_toler: 0 slippage: 4.1149999999998 slippage_sweep: 3.2749999999996 sweep_residual: 0 sweep_to_fill: 5324.34 total_dollar: 266380.75 total_drift: 4 total_filled: 50 total_sent: 50 total_vol: 64.800320209357 worst_opt_t_minutes: 0
2025-04-17 11:05:33	EP	SIM:ESM5	Sell	50	-1.3850	-2.1454	5,324.8750	5,322.5000	5,326.2600	5,324.1146	Diagnostics Diagnostics algo_status: 4 arrival_price: 5324.875 avg_total: 5326.26 curr_cost_per_share: 0.565 curr_half_min_move: 0.28862142437829 curr_liq_cost: 28.25 curr_opt_t_minutes: 0 daily_vol_normal: 27.453628077898 destination_price: 5322.5 drift: -2.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76041666666667 init_drift: 0 init_half_min_move: 0.25065786531715 init_liq_cost: 36.5 init_min_duration: 0 init_opt_t_minutes: 9.2032364618969 init_vol_normal: 23.842539839306 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.348 slip_toler: 0 slippage: -1.3850000000002 slippage_sweep: -2.1454166666672 sweep_residual: 2 sweep_to_fill: 5324.1145833333 total_dollar: 266313 total_drift: -2.375 total_filled: 50 total_sent: 50 total_vol: 64.817057401109 worst_opt_t_minutes: 0
2025-04-17 11:05:18	EP	SIM:ESM5	Buy	50	2.0850	1.5550	5,309.8750	5,316.8750	5,311.9600	5,310.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5309.875 avg_total: 5311.96 curr_cost_per_share: 0.7686170212766 curr_half_min_move: 0.22497649691549 curr_liq_cost: 36.125 curr_opt_t_minutes: 0 daily_vol_normal: 21.399731797078 destination_price: 5316.875 drift: 7 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.22438465182799 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 5.5791166837016 init_vol_normal: 21.343435578089 last_aggressive_qty: 9 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.514 slip_toler: 0 slippage: 2.085 slippage_sweep: 1.5550000000003 sweep_residual: 0 sweep_to_fill: 5310.405 total_dollar: 265598 total_drift: 7 total_filled: 50 total_sent: 50 total_vol: 64.634469854731 worst_opt_t_minutes: 0
2025-04-17 11:04:32	EP	SIM:ESM5	Sell	50	2.0100	1.5700	5,314.3750	5,312.3750	5,312.3650	5,313.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5314.375 avg_total: 5312.365 curr_cost_per_share: 0.66 curr_half_min_move: 0.22028850041129 curr_liq_cost: 33 curr_opt_t_minutes: 0 daily_vol_normal: 20.95381024869 destination_price: 5312.375 drift: -2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.44 init_drift: 0 init_half_min_move: 0.21937674834567 init_liq_cost: 22 init_min_duration: 0 init_opt_t_minutes: 4.0227603696857 init_vol_normal: 20.867084524282 last_aggressive_qty: 8 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: 5.218 slip_toler: 0 slippage: 2.0100000000002 slippage_sweep: 1.5700000000006 sweep_residual: 0 sweep_to_fill: 5313.935 total_dollar: 265618.25 total_drift: -2 total_filled: 50 total_sent: 50 total_vol: 64.689246118644 worst_opt_t_minutes: 0
2025-04-17 11:04:13	EP	SIM:ESM5	Buy	50	-0.3950	-1.0100	5,316.1250	5,315.6250	5,315.7300	5,316.7400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5316.125 avg_total: 5315.73 curr_cost_per_share: 0.555 curr_half_min_move: 0.21683169002591 curr_liq_cost: 27.75 curr_opt_t_minutes: 1.0335583227725 daily_vol_normal: 20.624998945577 destination_price: 5315.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.615 init_drift: 0 init_half_min_move: 0.21611763527558 init_liq_cost: 30.75 init_min_duration: 0 init_opt_t_minutes: 8.097851675233 init_vol_normal: 20.557078161163 last_aggressive_qty: 10 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: 12.628 slip_toler: 0 slippage: -0.39500000000044 slippage_sweep: -1.0100000000002 sweep_residual: 0 sweep_to_fill: 5316.74 total_dollar: 265786.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.710547999055 worst_opt_t_minutes: 0.10499598768182
2025-04-17 11:03:24	EP	SIM:ESM5	Sell	50	0.7950	0.1500	5,315.1250	5,314.5000	5,314.3300	5,314.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.125 avg_total: 5314.33 curr_cost_per_share: 0.455 curr_half_min_move: 0.21008757925645 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 19.983500106121 destination_price: 5314.5 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.645 init_drift: 0 init_half_min_move: 0.20917722938274 init_liq_cost: 32.25 init_min_duration: 0 init_opt_t_minutes: 9.5080316035613 init_vol_normal: 19.896907758005 last_aggressive_qty: 6 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.742 slip_toler: 0 slippage: 0.79500000000007 slippage_sweep: 0.14999999999964 sweep_residual: 0 sweep_to_fill: 5314.48 total_dollar: 265716.5 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 64.698375495963 worst_opt_t_minutes: 0
2025-04-17 11:03:03	EP	SIM:ESM5	Buy	50	-0.6200	-0.9350	5,315.6250	5,313.8750	5,315.0050	5,315.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.625 avg_total: 5315.005 curr_cost_per_share: 0.65 curr_half_min_move: 0.20733851619236 curr_liq_cost: 32.5 curr_opt_t_minutes: 0 daily_vol_normal: 19.722009625687 destination_price: 5313.875 drift: 1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.20649142087323 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 2.3271109099558 init_vol_normal: 19.64143404164 last_aggressive_qty: 16 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: 7.291 slip_toler: 0 slippage: -0.61999999999989 slippage_sweep: -0.93499999999949 sweep_residual: 0 sweep_to_fill: 5315.94 total_dollar: 265750.25 total_drift: 1.75 total_filled: 50 total_sent: 50 total_vol: 64.704461747509 worst_opt_t_minutes: 0
2025-04-17 11:02:18	EP	SIM:ESM5	Sell	50	1.3750	0.8600	5,319.3750	5,317.2500	5,318.0000	5,318.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5319.375 avg_total: 5318 curr_cost_per_share: 0.54 curr_half_min_move: 0.20170419201085 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 19.186073525716 destination_price: 5317.25 drift: -2.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.515 init_drift: 0 init_half_min_move: 0.20096641070208 init_liq_cost: 25.75 init_min_duration: 0 init_opt_t_minutes: 6.5670074062643 init_vol_normal: 19.115895874498 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.32 slip_toler: 0 slippage: 1.375 slippage_sweep: 0.85999999999967 sweep_residual: 0 sweep_to_fill: 5318.86 total_dollar: 265900 total_drift: -2.125 total_filled: 50 total_sent: 50 total_vol: 64.750108634104 worst_opt_t_minutes: 0
2025-04-17 11:02:01	EP	SIM:ESM5	Buy	50	1.2750	0.6450	5,316.2500	5,317.7500	5,317.5250	5,316.8800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5316.25 avg_total: 5317.525 curr_cost_per_share: 0.56 curr_half_min_move: 0.19925726643722 curr_liq_cost: 28 curr_opt_t_minutes: 0 daily_vol_normal: 18.953322319608 destination_price: 5317.75 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63 init_drift: 0 init_half_min_move: 0.19858896249478 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 10.064005955917 init_vol_normal: 18.889753345411 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.527 slip_toler: 0 slippage: 1.2749999999996 slippage_sweep: 0.64499999999953 sweep_residual: 0 sweep_to_fill: 5316.88 total_dollar: 265876.25 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 64.712069561942 worst_opt_t_minutes: 0
2025-04-17 11:01:14	EP	SIM:ESM5	Sell	50	0.1250	-0.3300	5,315.3750	5,316.2500	5,315.2500	5,314.9200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.375 avg_total: 5315.25 curr_cost_per_share: 0.525 curr_half_min_move: 0.19074222519363 curr_liq_cost: 26.25 curr_opt_t_minutes: 0 daily_vol_normal: 18.143372829984 destination_price: 5316.25 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.455 init_drift: 0 init_half_min_move: 0.18589570159484 init_liq_cost: 22.75 init_min_duration: 0 init_opt_t_minutes: 5.9907900200459 init_vol_normal: 17.682372207323 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.406 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5314.92 total_dollar: 265762.5 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 64.701418621736 worst_opt_t_minutes: 0
2025-04-17 11:00:53	EP	SIM:ESM5	Buy	50	-1.7700	-2.3150	5,321.2500	5,318.6250	5,319.4800	5,321.7950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5321.25 avg_total: 5319.48 curr_cost_per_share: 0.615 curr_half_min_move: 0.1824083610767 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 17.350656882405 destination_price: 5318.625 drift: 2.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.17965529322945 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 9.2026513691302 init_vol_normal: 17.088785467577 last_aggressive_qty: 7 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.482 slip_toler: 0 slippage: -1.7700000000004 slippage_sweep: -2.3150000000005 sweep_residual: 0 sweep_to_fill: 5321.795 total_dollar: 265974 total_drift: 2.625 total_filled: 50 total_sent: 50 total_vol: 64.772932077401 worst_opt_t_minutes: 0
2025-04-17 11:00:09	EP	SIM:ESM5	Sell	50	-1.2100	-1.6600	5,324.3750	5,325.7500	5,325.5850	5,323.9250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5324.375 avg_total: 5325.585 curr_cost_per_share: 0.73 curr_half_min_move: 0.1572497847763 curr_liq_cost: 36.5 curr_opt_t_minutes: 0 daily_vol_normal: 14.957576749118 destination_price: 5325.75 drift: -1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.20099933047704 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 5.0122855633663 init_vol_normal: 19.119027198724 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.198 slip_toler: 0 slippage: -1.21 slippage_sweep: -1.6599999999999 sweep_residual: 0 sweep_to_fill: 5323.925 total_dollar: 266279.25 total_drift: -1.375 total_filled: 50 total_sent: 50 total_vol: 64.810971149563 worst_opt_t_minutes: 0
2025-04-17 10:59:47	EP	SIM:ESM5	Buy	50	-0.4250	-0.8750	5,315.1250	5,314.3750	5,314.7000	5,315.5750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.125 avg_total: 5314.7 curr_cost_per_share: 0.455 curr_half_min_move: 0.22297319364734 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 21.209177880406 destination_price: 5314.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.23445985414499 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 3.6837321682997 init_vol_normal: 22.301787363013 last_aggressive_qty: 15 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.559 slip_toler: 0 slippage: -0.42500000000018 slippage_sweep: -0.875 sweep_residual: 0 sweep_to_fill: 5315.575 total_dollar: 265735 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.698375495963 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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