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
2025-04-17 04:16:20	EP	SIM:ESM5	Sell	50	-0.6050	-1.3650	5,350.1250	5,351.2500	5,350.7300	5,349.3650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.125 avg_total: 5350.73 curr_cost_per_share: 0.86585365853659 curr_half_min_move: 0.63320389610333 curr_liq_cost: 35.5 curr_opt_t_minutes: 0 daily_vol_normal: 60.230262873043 destination_price: 5351.25 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76 init_drift: 0 init_half_min_move: 0.63299801653719 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 1.441526020825 init_vol_normal: 60.210679638535 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.616 slip_toler: 0 slippage: -0.60499999999956 slippage_sweep: -1.3649999999998 sweep_residual: 0 sweep_to_fill: 5349.365 total_dollar: 267536.5 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.31054120837 worst_opt_t_minutes: 0
2025-04-17 04:11:40	EP	SIM:ESM5	Sell	50	0.5400	-0.2000	5,346.6250	5,346.2500	5,346.0850	5,345.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5346.625 avg_total: 5346.085 curr_cost_per_share: 0.605 curr_half_min_move: 0.63104896696508 curr_liq_cost: 30.25 curr_opt_t_minutes: 0.38016296601294 daily_vol_normal: 60.02528632557 destination_price: 5346.25 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.74 init_drift: 0 init_half_min_move: 0.6307807149791 init_liq_cost: 37 init_min_duration: 0 init_opt_t_minutes: 1.3762794503355 init_vol_normal: 59.999770235522 last_aggressive_qty: 6 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 45.804 slip_toler: 0 slippage: 0.53999999999996 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5345.885 total_dollar: 267304.25 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 31.290058155314 worst_opt_t_minutes: 1.3990252324694
2025-04-17 04:07:02	EP	SIM:ESM5	Sell	50	0.6050	-0.0100	5,350.1250	5,349.6250	5,349.5200	5,349.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.125 avg_total: 5349.52 curr_cost_per_share: 0.515 curr_half_min_move: 0.6294612302775 curr_liq_cost: 25.75 curr_opt_t_minutes: 0.05482695195535 daily_vol_normal: 59.874261041843 destination_price: 5349.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.615 init_drift: 0 init_half_min_move: 0.62940773128342 init_liq_cost: 30.75 init_min_duration: 0 init_opt_t_minutes: 0.95474212546998 init_vol_normal: 59.869172225276 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.393 slip_toler: 0 slippage: 0.60499999999956 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5349.51 total_dollar: 267476 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.31054120837 worst_opt_t_minutes: 0.20049026333781
2025-04-17 04:06:23	EP	SIM:ESM5	Buy	50	-0.0150	-0.5600	5,351.3750	5,350.6250	5,351.3600	5,351.9200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.375 avg_total: 5351.36 curr_cost_per_share: 0.6 curr_half_min_move: 0.62932976836398 curr_liq_cost: 30 curr_opt_t_minutes: 0 daily_vol_normal: 59.861756403672 destination_price: 5350.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.6292762564621 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 0.75008471150235 init_vol_normal: 59.856666359317 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 28.091 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.5600000000004 sweep_residual: 0 sweep_to_fill: 5351.92 total_dollar: 267568 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.317856584461 worst_opt_t_minutes: 0
2025-04-17 04:03:41	EP	SIM:ESM5	Buy	50	0.6350	0.0550	5,349.6250	5,350.3750	5,350.2600	5,350.2050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.625 avg_total: 5350.26 curr_cost_per_share: 0.635 curr_half_min_move: 0.62836485043079 curr_liq_cost: 31.75 curr_opt_t_minutes: 0 daily_vol_normal: 59.769973549643 destination_price: 5350.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.62823430015074 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 0.85233966350077 init_vol_normal: 59.757555625916 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.881 slip_toler: 0 slippage: 0.63500000000022 slippage_sweep: 0.055000000000291 sweep_residual: 0 sweep_to_fill: 5350.205 total_dollar: 267513 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.307615057933 worst_opt_t_minutes: 0
2025-04-17 04:01:29	EP	SIM:ESM5	Buy	50	-0.4250	-1.0150	5,345.3750	5,345.6250	5,344.9500	5,345.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5345.375 avg_total: 5344.95 curr_cost_per_share: 0.515 curr_half_min_move: 0.6270340626543 curr_liq_cost: 25.75 curr_opt_t_minutes: 0.36126281740303 daily_vol_normal: 59.643389209118 destination_price: 5345.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.59 init_drift: 0 init_half_min_move: 0.62681366997324 init_liq_cost: 29.5 init_min_duration: 0 init_opt_t_minutes: 0.88598650047071 init_vol_normal: 59.622425489221 last_aggressive_qty: 2 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: 26.099 slip_toler: 0 slippage: -0.42500000000018 slippage_sweep: -1.0150000000003 sweep_residual: 0 sweep_to_fill: 5345.965 total_dollar: 267247.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 31.282742779223 worst_opt_t_minutes: 1.3132222889005
2025-04-17 04:00:06	EP	SIM:ESM5	Buy	50	-1.9400	-2.4500	5,345.6250	5,342.3750	5,343.6850	5,346.1350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5345.625 avg_total: 5343.685 curr_cost_per_share: 0.43 curr_half_min_move: 0.62600315335612 curr_liq_cost: 21.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.54532926601 destination_price: 5342.375 drift: 3.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.51 init_drift: 0 init_half_min_move: 0.62579055340358 init_liq_cost: 25.5 init_min_duration: 0 init_opt_t_minutes: 0.66417472747112 init_vol_normal: 59.525106789322 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.692 slip_toler: 0 slippage: -1.9399999999996 slippage_sweep: -2.4499999999998 sweep_residual: 0 sweep_to_fill: 5346.135 total_dollar: 267184.25 total_drift: 3.25 total_filled: 50 total_sent: 50 total_vol: 31.284205854441 worst_opt_t_minutes: 0
2025-04-17 03:58:59	EP	SIM:ESM5	Sell	50	1.2600	0.4450	5,347.7500	5,346.6250	5,346.4900	5,346.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5347.75 avg_total: 5346.49 curr_cost_per_share: 0.61 curr_half_min_move: 0.62536265172224 curr_liq_cost: 30.5 curr_opt_t_minutes: 0 daily_vol_normal: 59.484404843377 destination_price: 5346.625 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.815 init_drift: 0 init_half_min_move: 0.62532812989989 init_liq_cost: 40.75 init_min_duration: 0 init_opt_t_minutes: 1.698631941628 init_vol_normal: 59.481121132636 last_aggressive_qty: 2 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: 12.169 slip_toler: 0 slippage: 1.2600000000002 slippage_sweep: 0.44500000000062 sweep_residual: 0 sweep_to_fill: 5346.935 total_dollar: 267324.5 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.296641993796 worst_opt_t_minutes: 0
2025-04-17 03:57:48	EP	SIM:ESM5	Buy	50	0.0250	-0.5450	5,347.6250	5,347.3750	5,347.6500	5,348.1950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5347.625 avg_total: 5347.65 curr_cost_per_share: 0.595 curr_half_min_move: 0.62484244454258 curr_liq_cost: 29.75 curr_opt_t_minutes: 0.540113163081 daily_vol_normal: 59.434922811803 destination_price: 5347.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.57 init_drift: 0 init_half_min_move: 0.62475952209633 init_liq_cost: 28.5 init_min_duration: 0 init_opt_t_minutes: 0.8323844209646 init_vol_normal: 59.427035240728 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 27 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 35.034 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.54500000000007 sweep_residual: 0 sweep_to_fill: 5348.195 total_dollar: 267382.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 31.295910456187 worst_opt_t_minutes: 1.9480180946876
2025-04-17 03:55:07	EP	SIM:ESM5	Sell	50	0.6400	-0.1300	5,347.3750	5,346.8750	5,346.7350	5,346.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5347.375 avg_total: 5346.735 curr_cost_per_share: 0.545 curr_half_min_move: 0.62354274604851 curr_liq_cost: 27.25 curr_opt_t_minutes: 0.10799131291235 daily_vol_normal: 59.311295679318 destination_price: 5346.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.77 init_drift: 0 init_half_min_move: 0.62341393622526 init_liq_cost: 38.5 init_min_duration: 0 init_opt_t_minutes: 1.5255569937062 init_vol_normal: 59.29904330759 last_aggressive_qty: 7 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.585 slip_toler: 0 slippage: 0.64000000000033 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5346.605 total_dollar: 267336.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.294447380969 worst_opt_t_minutes: 0.38790829833908
2025-04-17 03:53:36	EP	SIM:ESM5	Sell	50	-0.5750	-1.0200	5,348.1250	5,349.3750	5,348.7000	5,347.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.125 avg_total: 5348.7 curr_cost_per_share: 0.73986486486486 curr_half_min_move: 0.6227102368855 curr_liq_cost: 27.375 curr_opt_t_minutes: 0 daily_vol_normal: 59.232107528328 destination_price: 5349.375 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.445 init_drift: 0 init_half_min_move: 0.62258405167012 init_liq_cost: 22.25 init_min_duration: 0 init_opt_t_minutes: 0.51088604393696 init_vol_normal: 59.22010480892 last_aggressive_qty: 9 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.669 slip_toler: 0 slippage: -0.57499999999982 slippage_sweep: -1.0199999999995 sweep_residual: 0 sweep_to_fill: 5347.68 total_dollar: 267435 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 31.298836606624 worst_opt_t_minutes: 0
2025-04-17 03:52:52	EP	SIM:ESM5	Buy	50	0.8950	0.2150	5,348.2500	5,349.1250	5,349.1450	5,348.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.25 avg_total: 5349.145 curr_cost_per_share: 0.545 curr_half_min_move: 0.62245439437524 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 59.207771825813 destination_price: 5349.125 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.68 init_drift: 0 init_half_min_move: 0.62225048571331 init_liq_cost: 34 init_min_duration: 0 init_opt_t_minutes: 1.1942282402538 init_vol_normal: 59.188376063427 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.74 slip_toler: 0 slippage: 0.89500000000044 slippage_sweep: 0.21500000000015 sweep_residual: 0 sweep_to_fill: 5348.93 total_dollar: 267457.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.299568144233 worst_opt_t_minutes: 0
2025-04-17 03:49:37	EP	SIM:ESM5	Buy	50	-0.2950	-0.8900	5,350.6250	5,350.0000	5,350.3300	5,351.2200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.625 avg_total: 5350.33 curr_cost_per_share: 0.645 curr_half_min_move: 0.62057191337986 curr_liq_cost: 32.25 curr_opt_t_minutes: 0.091107323897665 daily_vol_normal: 59.028710506224 destination_price: 5350 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.595 init_drift: 0 init_half_min_move: 0.62031308047669 init_liq_cost: 29.75 init_min_duration: 0 init_opt_t_minutes: 0.92005132072223 init_vol_normal: 59.004090357969 last_aggressive_qty: 5 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: 13.498 slip_toler: 0 slippage: -0.29500000000007 slippage_sweep: -0.89000000000033 sweep_residual: 0 sweep_to_fill: 5351.22 total_dollar: 267516.5 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.313467358806 worst_opt_t_minutes: 0.32375580376692
2025-04-17 03:45:08	EP	SIM:ESM5	Sell	50	0.4800	-0.0100	5,351.3750	5,350.3750	5,350.8950	5,350.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.375 avg_total: 5350.895 curr_cost_per_share: 0.43 curr_half_min_move: 0.61850726488161 curr_liq_cost: 21.5 curr_opt_t_minutes: 0 daily_vol_normal: 58.83232144015 destination_price: 5350.375 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.61829641097031 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 0.62805649175315 init_vol_normal: 58.81226504665 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.736 slip_toler: 0 slippage: 0.47999999999956 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5350.885 total_dollar: 267544.75 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.317856584461 worst_opt_t_minutes: 0
2025-04-17 03:43:40	EP	SIM:ESM5	Buy	50	0.6200	-0.1300	5,354.6250	5,355.2500	5,355.2450	5,355.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5355.245 curr_cost_per_share: 0.695 curr_half_min_move: 0.61822905451961 curr_liq_cost: 34.75 curr_opt_t_minutes: 0.20137191763053 daily_vol_normal: 58.805858110817 destination_price: 5355.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75 init_drift: 0 init_half_min_move: 0.61816759904989 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 1.4720075949882 init_vol_normal: 58.80001247544 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.656 slip_toler: 0 slippage: 0.61999999999989 slippage_sweep: -0.13000000000011 sweep_residual: 8 sweep_to_fill: 5355.375 total_dollar: 267762.25 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.336876562299 worst_opt_t_minutes: 0.70913459913891

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect