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 10:59:02	EP	SIM:ESM5	Sell	50	-0.6500	-1.0950	5,314.3750	5,315.1250	5,315.0250	5,313.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5314.375 avg_total: 5315.025 curr_cost_per_share: 0.425 curr_half_min_move: 0.37030623771169 curr_liq_cost: 21.25 curr_opt_t_minutes: 0 daily_vol_normal: 35.223475689516 destination_price: 5315.125 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.445 init_drift: 0 init_half_min_move: 0.3913505618778 init_liq_cost: 22.25 init_min_duration: 0 init_opt_t_minutes: 1.2929689587505 init_vol_normal: 37.22520875577 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.541 slip_toler: 0 slippage: -0.64999999999964 slippage_sweep: -1.0949999999993 sweep_residual: 0 sweep_to_fill: 5313.93 total_dollar: 265751.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.689246118644 worst_opt_t_minutes: 0
2025-04-17 10:58:43	EP	SIM:ESM5	Buy	50	0.7100	0.1800	5,315.6250	5,315.2500	5,316.3350	5,316.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.625 avg_total: 5316.335 curr_cost_per_share: 0.575 curr_half_min_move: 0.44160963291464 curr_liq_cost: 28.75 curr_opt_t_minutes: 0.65194110477518 daily_vol_normal: 42.005844312393 destination_price: 5315.25 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.58218373604093 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 0.82876538126701 init_vol_normal: 55.377232638559 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.432 slip_toler: 0 slippage: 0.71000000000004 slippage_sweep: 0.18000000000029 sweep_residual: 0 sweep_to_fill: 5316.155 total_dollar: 265816.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 64.704461747509 worst_opt_t_minutes: 0.27476369193134
2025-04-17 05:15:50	EP	SIM:ESM5	Buy	50	-0.6400	-1.4483	5,338.6250	5,337.3750	5,337.9850	5,339.4333	Diagnostics Diagnostics algo_status: 4 arrival_price: 5338.625 avg_total: 5337.985 curr_cost_per_share: 0.72865853658537 curr_half_min_move: 0.66925964637793 curr_liq_cost: 29.875 curr_opt_t_minutes: 0 daily_vol_normal: 63.659880616219 destination_price: 5337.375 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.80833333333333 init_drift: 0 init_half_min_move: 0.66857038892279 init_liq_cost: 36.375 init_min_duration: 0 init_opt_t_minutes: 1.4617957705693 init_vol_normal: 63.59431854693 last_aggressive_qty: 10 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.236 slip_toler: 0 slippage: -0.64000000000033 slippage_sweep: -1.4483333333337 sweep_residual: 5 sweep_to_fill: 5339.4333333333 total_dollar: 266899.25 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 31.24323974833 worst_opt_t_minutes: 0
2025-04-17 05:10:26	EP	SIM:ESM5	Buy	50	1.5350	0.9050	5,340.3750	5,342.0000	5,341.9100	5,341.0050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5340.375 avg_total: 5341.91 curr_cost_per_share: 0.77 curr_half_min_move: 0.66160893020466 curr_liq_cost: 38.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.932145602081 destination_price: 5342 drift: 1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63 init_drift: 0 init_half_min_move: 0.66127738712042 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 0.9076402673181 init_vol_normal: 62.900609271935 last_aggressive_qty: 7 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.859 slip_toler: 0 slippage: 1.5349999999999 slippage_sweep: 0.90499999999975 sweep_residual: 0 sweep_to_fill: 5341.005 total_dollar: 267095.5 total_drift: 1.625 total_filled: 50 total_sent: 50 total_vol: 31.253481274858 worst_opt_t_minutes: 0
2025-04-17 05:09:06	EP	SIM:ESM5	Buy	50	-0.3300	-1.0850	5,342.6250	5,341.8750	5,342.2950	5,343.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.625 avg_total: 5342.295 curr_cost_per_share: 0.705 curr_half_min_move: 0.65970733060092 curr_liq_cost: 35.25 curr_opt_t_minutes: 0 daily_vol_normal: 62.751265723234 destination_price: 5341.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.755 init_drift: 0 init_half_min_move: 0.65970733060092 init_liq_cost: 37.75 init_min_duration: 0 init_opt_t_minutes: 1.309758674259 init_vol_normal: 62.751265723234 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.07 slip_toler: 0 slippage: -0.32999999999993 slippage_sweep: -1.085 sweep_residual: 0 sweep_to_fill: 5343.38 total_dollar: 267114.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.266648951822 worst_opt_t_minutes: 0
2025-04-17 05:08:06	EP	SIM:ESM5	Buy	50	0.7100	-0.1350	5,342.5000	5,343.2500	5,343.2100	5,343.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.5 avg_total: 5343.21 curr_cost_per_share: 0.63 curr_half_min_move: 0.65930838216803 curr_liq_cost: 31.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.713317806089 destination_price: 5343.25 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.845 init_drift: 0 init_half_min_move: 0.65905429618659 init_liq_cost: 42.25 init_min_duration: 0 init_opt_t_minutes: 1.6438834647396 init_vol_normal: 62.689149184339 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 22.608 slip_toler: 0 slippage: 0.71000000000004 slippage_sweep: -0.13500000000022 sweep_residual: 0 sweep_to_fill: 5343.345 total_dollar: 267160.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.265917414213 worst_opt_t_minutes: 0
2025-04-17 05:04:16	EP	SIM:ESM5	Buy	50	0.8000	0.0450	5,344.2500	5,345.6250	5,345.0500	5,345.0050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.25 avg_total: 5345.05 curr_cost_per_share: 0.69 curr_half_min_move: 0.65673643919671 curr_liq_cost: 34.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.468674963222 destination_price: 5345.625 drift: 1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.755 init_drift: 0 init_half_min_move: 0.65659574110505 init_liq_cost: 37.75 init_min_duration: 0 init_opt_t_minutes: 1.3222019106577 init_vol_normal: 62.455291781124 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.24 slip_toler: 0 slippage: 0.80000000000018 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 5345.005 total_dollar: 267252.5 total_drift: 1.375 total_filled: 50 total_sent: 50 total_vol: 31.276158940741 worst_opt_t_minutes: 0
2025-04-17 05:01:06	EP	SIM:ESM5	Sell	50	0.7200	0.1950	5,348.2500	5,347.5000	5,347.5300	5,347.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.25 avg_total: 5347.53 curr_cost_per_share: 0.3 curr_half_min_move: 0.65503782576814 curr_liq_cost: 15 curr_opt_t_minutes: 0 daily_vol_normal: 62.307103099953 destination_price: 5347.5 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.525 init_drift: 0 init_half_min_move: 0.65468711402706 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 0.64305929629281 init_vol_normal: 62.273743449945 last_aggressive_qty: 8 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.701 slip_toler: 0 slippage: 0.72000000000025 slippage_sweep: 0.19500000000062 sweep_residual: 0 sweep_to_fill: 5347.725 total_dollar: 267376.5 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.299568144233 worst_opt_t_minutes: 0
2025-04-17 05:00:21	EP	SIM:ESM5	Buy	50	0.5700	-0.1450	5,350.0000	5,349.1250	5,350.5700	5,350.7150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350 avg_total: 5350.57 curr_cost_per_share: 0.7554347826087 curr_half_min_move: 0.65452407911189 curr_liq_cost: 34.75 curr_opt_t_minutes: 0 daily_vol_normal: 62.25823559243 destination_price: 5349.125 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.715 init_drift: 0 init_half_min_move: 0.65414539199863 init_liq_cost: 35.75 init_min_duration: 0 init_opt_t_minutes: 1.194712783596 init_vol_normal: 62.222214929073 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.189 slip_toler: 0 slippage: 0.56999999999971 slippage_sweep: -0.14500000000044 sweep_residual: 0 sweep_to_fill: 5350.715 total_dollar: 267528.5 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.309809670761 worst_opt_t_minutes: 0
2025-04-17 04:58:54	EP	SIM:ESM5	Buy	50	-0.1850	-0.7100	5,350.6250	5,349.8750	5,350.4400	5,351.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.625 avg_total: 5350.44 curr_cost_per_share: 0.76785714285714 curr_half_min_move: 0.65354948503286 curr_liq_cost: 26.875 curr_opt_t_minutes: 0.10211972182828 daily_vol_normal: 62.16553234481 destination_price: 5349.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.525 init_drift: 0 init_half_min_move: 0.65322833226473 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 0.64593464809631 init_vol_normal: 62.134984340027 last_aggressive_qty: 3 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: 15.726 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.71000000000004 sweep_residual: 0 sweep_to_fill: 5351.15 total_dollar: 267522 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.313467358806 worst_opt_t_minutes: 0.40248214347859
2025-04-17 04:56:09	EP	SIM:ESM5	Sell	50	0.7600	0.1123	5,349.6250	5,348.8750	5,348.8650	5,348.9773	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.625 avg_total: 5348.865 curr_cost_per_share: 0.645 curr_half_min_move: 0.65120964669876 curr_liq_cost: 32.25 curr_opt_t_minutes: 0 daily_vol_normal: 61.942967261413 destination_price: 5348.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64772727272727 init_drift: 0 init_half_min_move: 0.65073074758433 init_liq_cost: 21.375 init_min_duration: 0 init_opt_t_minutes: 0.99079021995953 init_vol_normal: 61.897414447021 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.971 slip_toler: 0 slippage: 0.76000000000022 slippage_sweep: 0.11227272727319 sweep_residual: 17 sweep_to_fill: 5348.9772727273 total_dollar: 267443.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.307615057933 worst_opt_t_minutes: 0
2025-04-17 04:54:39	EP	SIM:ESM5	Sell	50	-0.1750	-0.8600	5,351.5000	5,352.1250	5,351.6750	5,350.8150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.5 avg_total: 5351.675 curr_cost_per_share: 0.65 curr_half_min_move: 0.64822856575582 curr_liq_cost: 32.5 curr_opt_t_minutes: 0.09408088311545 daily_vol_normal: 61.659407273953 destination_price: 5352.125 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.685 init_drift: 0 init_half_min_move: 0.6478049932594 init_liq_cost: 34.25 init_min_duration: 0 init_opt_t_minutes: 1.1181306708941 init_vol_normal: 61.619117119451 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.964 slip_toler: 0 slippage: -0.17500000000018 slippage_sweep: -0.86000000000058 sweep_residual: 0 sweep_to_fill: 5350.815 total_dollar: 267583.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 31.31858812207 worst_opt_t_minutes: 0.36466637999012
2025-04-17 04:54:03	EP	SIM:ESM5	Buy	50	0.6650	0.0350	5,352.6250	5,353.1250	5,353.2900	5,353.2550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.625 avg_total: 5353.29 curr_cost_per_share: 0.68 curr_half_min_move: 0.64791718826688 curr_liq_cost: 34 curr_opt_t_minutes: 0.34151954323149 daily_vol_normal: 61.62978909231 destination_price: 5353.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63 init_drift: 0 init_half_min_move: 0.64772521765434 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 0.94601819130361 init_vol_normal: 61.611528875454 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 29.154 slip_toler: 0 slippage: 0.66499999999996 slippage_sweep: 0.034999999999854 sweep_residual: 0 sweep_to_fill: 5353.255 total_dollar: 267664.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 31.325171960552 worst_opt_t_minutes: 1.3219346809825
2025-04-17 04:23:10	EP	SIM:ESM5	Sell	50	0.3100	-0.0950	5,357.1250	5,356.8750	5,356.8150	5,356.7200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5357.125 avg_total: 5356.815 curr_cost_per_share: 0.22 curr_half_min_move: 0.63675380373439 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 60.567929572679 destination_price: 5356.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.63671448158763 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 0.40459507419343 init_vol_normal: 60.564189255776 last_aggressive_qty: 5 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.432 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: -0.094999999999345 sweep_residual: 0 sweep_to_fill: 5356.72 total_dollar: 267840.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 31.351507314481 worst_opt_t_minutes: 0
2025-04-17 04:22:41	EP	SIM:ESM5	Buy	50	0.0150	-0.6800	5,357.1250	5,357.6250	5,357.1400	5,357.8200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5357.125 avg_total: 5357.14 curr_cost_per_share: 0.64 curr_half_min_move: 0.63664532734486 curr_liq_cost: 32 curr_opt_t_minutes: 0.27158548783158 daily_vol_normal: 60.557611314221 destination_price: 5357.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.63657207394466 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 1.1919950290487 init_vol_normal: 60.550643461405 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.3 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.67999999999938 sweep_residual: 0 sweep_to_fill: 5357.82 total_dollar: 267857 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 31.351507314481 worst_opt_t_minutes: 1.0132746572016

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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