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 14:03:12	EP	SIM:ESM5	Sell	50	0.0150	-0.1100	5,940.6250	5,940.8750	5,940.6100	5,940.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5940.61 curr_cost_per_share: 0.215 curr_half_min_move: 0.4032812797527 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.360056911777 destination_price: 5940.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096073563773726 init_vol_normal: 38.360056911777 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.164 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 5940.5 total_dollar: 297030.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0
2025-06-02 14:03:07	EP	SIM:ESM5	Buy	50	0.2100	0.0250	5,940.3750	5,940.6250	5,940.5850	5,940.5600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5940.585 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: 5940.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40326430842057 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21045724710996 init_vol_normal: 38.358442601123 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: 13.35 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: 0.024999999999636 sweep_residual: 0 sweep_to_fill: 5940.56 total_dollar: 297029.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0.20070058092857
2025-06-02 14:02:24	EP	SIM:ESM5	Sell	50	0.0450	-0.2550	5,940.6250	5,940.8750	5,940.5800	5,940.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5940.58 curr_cost_per_share: 0.125 curr_half_min_move: 0.4032812797527 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.360056911777 destination_price: 5940.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55338372733666 init_vol_normal: 38.360056911777 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.385 slip_toler: 0 slippage: 0.045000000000073 slippage_sweep: -0.25500000000011 sweep_residual: 0 sweep_to_fill: 5940.325 total_dollar: 297029 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0
2025-06-02 14:02:18	EP	SIM:ESM5	Buy	50	0.2750	-0.0250	5,940.1250	5,940.6250	5,940.4000	5,940.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.125 avg_total: 5940.4 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: 5940.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40324733708844 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55347689154068 init_vol_normal: 38.356828290469 last_aggressive_qty: 11 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.338 slip_toler: 0 slippage: 0.27499999999964 slippage_sweep: -0.025000000000546 sweep_residual: 0 sweep_to_fill: 5940.425 total_dollar: 297020 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.356828290469 worst_opt_t_minutes: 0.2244139106949
2025-06-02 14:01:33	EP	SIM:ESM5	Sell	50	0.4800	0.2750	5,941.3750	5,940.8750	5,940.8950	5,941.1700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.375 avg_total: 5940.895 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: 5940.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.40333219374909 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.25833422395644 init_vol_normal: 38.364899843738 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.417 slip_toler: 0 slippage: 0.47999999999956 slippage_sweep: 0.27499999999964 sweep_residual: 0 sweep_to_fill: 5941.17 total_dollar: 297044.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.364899843738 worst_opt_t_minutes: 0.20063302629993
2025-06-02 14:01:18	EP	SIM:ESM5	Buy	50	0.3250	0.0400	5,940.8750	5,940.8750	5,941.2000	5,941.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5941.2 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: 0.285 init_drift: 0 init_half_min_move: 0.40329825108483 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.49938678153507 init_vol_normal: 38.36167122243 last_aggressive_qty: 13 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.327 slip_toler: 0 slippage: 0.32499999999982 slippage_sweep: 0.039999999999964 sweep_residual: 0 sweep_to_fill: 5941.16 total_dollar: 297060 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.096065478134631
2025-06-02 14:00:38	EP	SIM:ESM5	Sell	50	-0.1200	-0.2450	5,940.3750	5,940.6250	5,940.4950	5,940.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5940.495 curr_cost_per_share: 0.25 curr_half_min_move: 0.40326430842057 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.358442601123 destination_price: 5940.625 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: 10 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.102 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5940.25 total_dollar: 297024.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0
2025-06-02 14:00:36	EP	SIM:ESM5	Buy	50	0.0300	-0.1950	5,940.6250	5,940.3750	5,940.6550	5,940.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5940.655 curr_cost_per_share: 0.15 curr_half_min_move: 0.4032812797527 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.360056911777 destination_price: 5940.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31127834662687 init_vol_normal: 38.360056911777 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: 9.414 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.19500000000062 sweep_residual: 0 sweep_to_fill: 5940.85 total_dollar: 297032.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0
2025-06-02 13:59:57	EP	SIM:ESM5	Sell	50	0.1000	-0.0250	5,939.1250	5,939.3750	5,939.0250	5,939.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5939.025 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: 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: 2 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.147 slip_toler: 0 slippage: 0.10000000000036 slippage_sweep: -0.024999999999636 sweep_residual: 0 sweep_to_fill: 5939 total_dollar: 296951.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0
2025-06-02 13:59:50	EP	SIM:ESM5	Buy	50	0.5150	0.1950	5,938.6250	5,939.1250	5,939.1400	5,938.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.625 avg_total: 5939.14 curr_cost_per_share: 0.125 curr_half_min_move: 0.40314550909565 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2008188836557 daily_vol_normal: 38.347142426546 destination_price: 5939.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.40314550909565 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.63005186885084 init_vol_normal: 38.347142426546 last_aggressive_qty: last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.549 slip_toler: 0 slippage: 0.51500000000033 slippage_sweep: 0.19500000000062 sweep_residual: 0 sweep_to_fill: 5938.945 total_dollar: 296957 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.347142426546 worst_opt_t_minutes: 0.2008188836557
2025-06-02 13:59:01	EP	SIM:ESM5	Sell	50	0.3600	0.0950	5,939.3750	5,939.1250	5,939.0150	5,939.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.375 avg_total: 5939.015 curr_cost_per_share: 0.14 curr_half_min_move: 0.40319642309205 curr_liq_cost: 7 curr_opt_t_minutes: 0.2367819807707 daily_vol_normal: 38.351985358507 destination_price: 5939.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40319642309205 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43197479434488 init_vol_normal: 38.351985358507 last_aggressive_qty: 1 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.325 slip_toler: 0 slippage: 0.35999999999967 slippage_sweep: 0.094999999999345 sweep_residual: 0 sweep_to_fill: 5939.11 total_dollar: 296950.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.351985358507 worst_opt_t_minutes: 0.2367819807707
2025-06-02 13:58:45	EP	SIM:ESM5	Buy	50	0.3000	0.1350	5,938.8750	5,939.3750	5,939.1750	5,939.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.875 avg_total: 5939.175 curr_cost_per_share: 0.145 curr_half_min_move: 0.40316248042779 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.24944226126518 daily_vol_normal: 38.3487567372 destination_price: 5939.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.40316248042779 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16749724626447 init_vol_normal: 38.3487567372 last_aggressive_qty: 1 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: 15.345 slip_toler: 0 slippage: 0.30000000000018 slippage_sweep: 0.13500000000022 sweep_residual: 0 sweep_to_fill: 5939.04 total_dollar: 296958.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.3487567372 worst_opt_t_minutes: 0.24944226126518
2025-06-02 13:57:59	EP	SIM:ESM5	Sell	50	0.5550	0.3450	5,938.8750	5,938.6250	5,938.3200	5,938.6650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.875 avg_total: 5938.32 curr_cost_per_share: 0.125 curr_half_min_move: 0.40316248042779 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20080197686301 daily_vol_normal: 38.3487567372 destination_price: 5938.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40316248042779 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.2713178534532 init_vol_normal: 38.3487567372 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: 15.41 slip_toler: 0 slippage: 0.55500000000029 slippage_sweep: 0.34500000000025 sweep_residual: 0 sweep_to_fill: 5938.665 total_dollar: 296916 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.3487567372 worst_opt_t_minutes: 0.20080197686301
2025-06-02 13:57:43	EP	SIM:ESM5	Buy	50	0.1250	0.0000	5,938.8750	5,938.8750	5,939.0000	5,939.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.875 avg_total: 5939 curr_cost_per_share: 0.125 curr_half_min_move: 0.40316248042779 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096130191841411 daily_vol_normal: 38.3487567372 destination_price: 5938.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40316248042779 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096130191841411 init_vol_normal: 38.3487567372 last_aggressive_qty: 3 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.197 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5939 total_dollar: 296950 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.3487567372 worst_opt_t_minutes: 0.096130191841411
2025-06-02 13:57:03	EP	SIM:ESM5	Sell	50	0.2650	-0.0700	5,939.1250	5,938.6250	5,938.8600	5,938.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5938.86 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: 5938.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.40317945175992 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.69038736423545 init_vol_normal: 38.350371047854 last_aggressive_qty: 6 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: 12.341 slip_toler: 0 slippage: 0.26500000000033 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5938.79 total_dollar: 296943 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0.20078507220528

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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