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
2025-06-02 13:56:50	EP	SIM:ESM5	Buy	50	0.0650	-0.1350	5,939.1250	5,939.1250	5,939.1900	5,939.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5939.19 curr_cost_per_share: 0.125 curr_half_min_move: 0.40317945175992 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096122099052607 daily_vol_normal: 38.350371047854 destination_price: 5939.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40317945175992 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24607257357467 init_vol_normal: 38.350371047854 last_aggressive_qty: 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: 8.335 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.13500000000022 sweep_residual: 0 sweep_to_fill: 5939.325 total_dollar: 296959.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0.096122099052607
2025-06-02 13:56:10	EP	SIM:ESM5	Sell	50	-0.2550	-0.4000	5,939.6250	5,940.1250	5,939.8800	5,939.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.625 avg_total: 5939.88 curr_cost_per_share: 0.125 curr_half_min_move: 0.40321339442418 curr_liq_cost: 6.25 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: 0.145 init_drift: 0 init_half_min_move: 0.40321339442418 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12932012129695 init_vol_normal: 38.353599669161 last_aggressive_qty: 32 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 38 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.155 slip_toler: 0 slippage: -0.25500000000011 slippage_sweep: -0.40000000000055 sweep_residual: 0 sweep_to_fill: 5939.48 total_dollar: 296994 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.353599669161 worst_opt_t_minutes: 0
2025-06-02 13:56:06	EP	SIM:ESM5	Buy	50	0.6350	0.5100	5,938.1250	5,939.6250	5,938.7600	5,938.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.125 avg_total: 5938.76 curr_cost_per_share: 0.125 curr_half_min_move: 0.40311156643139 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20085270364741 daily_vol_normal: 38.343913805238 destination_price: 5939.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40311156643139 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096154476340958 init_vol_normal: 38.343913805238 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.251 slip_toler: 0 slippage: 0.63500000000022 slippage_sweep: 0.51000000000022 sweep_residual: 0 sweep_to_fill: 5938.25 total_dollar: 296938 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.343913805238 worst_opt_t_minutes: 0.20085270364741
2025-06-02 13:55:21	EP	SIM:ESM5	Sell	50	-0.1250	-0.2700	5,936.3750	5,936.6250	5,936.5000	5,936.2300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.5 curr_cost_per_share: 0.205 curr_half_min_move: 0.40299276710648 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.332613630661 destination_price: 5936.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12946175838788 init_vol_normal: 38.332613630661 last_aggressive_qty: last_tactical_qty: 25 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.207 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.27000000000044 sweep_residual: 0 sweep_to_fill: 5936.23 total_dollar: 296825 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0
2025-06-02 13:55:13	EP	SIM:ESM5	Buy	50	-0.0550	-0.1800	5,936.6250	5,936.3750	5,936.5700	5,936.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.57 curr_cost_per_share: 0.205 curr_half_min_move: 0.40300973843861 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.334227941315 destination_price: 5936.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09620307295467 init_vol_normal: 38.334227941315 last_aggressive_qty: last_tactical_qty: 39 level_tactical_limit: mbo_max: mbo_min: model_size: 39 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.122 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.18000000000029 sweep_residual: 0 sweep_to_fill: 5936.75 total_dollar: 296828.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0
2025-06-02 13:54:41	EP	SIM:ESM5	Sell	50	0.1250	-0.1500	5,936.8750	5,936.8750	5,936.7500	5,936.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.875 avg_total: 5936.75 curr_cost_per_share: 0.13 curr_half_min_move: 0.40302670977074 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.10404448059141 daily_vol_normal: 38.335842251969 destination_price: 5936.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40302670977074 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46558365945121 init_vol_normal: 38.335842251969 last_aggressive_qty: 10 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.499 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.14999999999964 sweep_residual: 0 sweep_to_fill: 5936.6 total_dollar: 296837.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.335842251969 worst_opt_t_minutes: 0.10404448059141
2025-06-02 13:54:30	EP	SIM:ESM5	Buy	50	0.1900	-0.0300	5,936.6250	5,936.8750	5,936.8150	5,936.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.815 curr_cost_per_share: 0.135 curr_half_min_move: 0.40300973843861 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.22467859988185 daily_vol_normal: 38.334227941315 destination_price: 5936.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29799863878439 init_vol_normal: 38.334227941315 last_aggressive_qty: 4 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.516 slip_toler: 0 slippage: 0.1899999999996 slippage_sweep: -0.030000000000655 sweep_residual: 0 sweep_to_fill: 5936.845 total_dollar: 296840.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0.22467859988185
2025-06-02 13:53:45	EP	SIM:ESM5	Sell	50	0.2750	0.0450	5,937.3750	5,937.1250	5,937.1000	5,937.1450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.375 avg_total: 5937.1 curr_cost_per_share: 0.125 curr_half_min_move: 0.403060652435 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20090344965621 daily_vol_normal: 38.339070873277 destination_price: 5937.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.403060652435 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32562284386038 init_vol_normal: 38.339070873277 last_aggressive_qty: 10 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: 13.41 slip_toler: 0 slippage: 0.27499999999964 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 5937.145 total_dollar: 296855 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.339070873277 worst_opt_t_minutes: 0.20090344965621
2025-06-02 13:53:30	EP	SIM:ESM5	Buy	50	0.1600	-0.0250	5,937.3750	5,937.3750	5,937.5350	5,937.5600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.375 avg_total: 5937.535 curr_cost_per_share: 0.125 curr_half_min_move: 0.403060652435 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096178770043827 daily_vol_normal: 38.339070873277 destination_price: 5937.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.403060652435 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.210669977904 init_vol_normal: 38.339070873277 last_aggressive_qty: last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.298 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.025000000000546 sweep_residual: 0 sweep_to_fill: 5937.56 total_dollar: 296876.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.339070873277 worst_opt_t_minutes: 0.096178770043827
2025-06-02 13:52:50	EP	SIM:ESM5	Sell	50	-0.0900	-0.2150	5,936.6250	5,936.8750	5,936.7150	5,936.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.715 curr_cost_per_share: 0.125 curr_half_min_move: 0.40300973843861 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.334227941315 destination_price: 5936.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09620307295467 init_vol_normal: 38.334227941315 last_aggressive_qty: 2 last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.115 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 5936.5 total_dollar: 296835.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0
2025-06-02 13:52:47	EP	SIM:ESM5	Buy	50	-0.1200	-0.2700	5,936.8750	5,936.6250	5,936.7550	5,937.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.875 avg_total: 5936.755 curr_cost_per_share: 0.155 curr_half_min_move: 0.40302670977074 curr_liq_cost: 7.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.335842251969 destination_price: 5936.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.40302670977074 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13852075818383 init_vol_normal: 38.335842251969 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: 1.145 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.26999999999953 sweep_residual: 0 sweep_to_fill: 5937.025 total_dollar: 296837.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.335842251969 worst_opt_t_minutes: 0
2025-06-02 13:52:15	EP	SIM:ESM5	Sell	50	0.1250	-0.0650	5,937.1250	5,937.3750	5,937.0000	5,936.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.125 avg_total: 5937 curr_cost_per_share: 0.125 curr_half_min_move: 0.40304368110287 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.337456562623 destination_price: 5937.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40304368110287 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22223014442668 init_vol_normal: 38.337456562623 last_aggressive_qty: last_tactical_qty: 29 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.154 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.0649999999996 sweep_residual: 0 sweep_to_fill: 5936.935 total_dollar: 296850 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.337456562623 worst_opt_t_minutes: 0
2025-06-02 13:52:07	EP	SIM:ESM5	Buy	50	0.0400	-0.0850	5,937.3750	5,937.1250	5,937.4150	5,937.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.375 avg_total: 5937.415 curr_cost_per_share: 0.23 curr_half_min_move: 0.403060652435 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.339070873277 destination_price: 5937.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.403060652435 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096178770043827 init_vol_normal: 38.339070873277 last_aggressive_qty: 1 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.398 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.085000000000036 sweep_residual: 0 sweep_to_fill: 5937.5 total_dollar: 296870.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.339070873277 worst_opt_t_minutes: 0
2025-06-02 13:51:26	EP	SIM:ESM5	Sell	50	-0.1800	-0.3950	5,936.3750	5,936.8750	5,936.5550	5,936.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.555 curr_cost_per_share: 0.17 curr_half_min_move: 0.40299276710648 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.332613630661 destination_price: 5936.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28463114299548 init_vol_normal: 38.332613630661 last_aggressive_qty: 12 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.282 slip_toler: 0 slippage: -0.18000000000029 slippage_sweep: -0.39500000000044 sweep_residual: 0 sweep_to_fill: 5936.16 total_dollar: 296827.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0
2025-06-02 13:51:24	EP	SIM:ESM5	Buy	50	-0.1250	-0.2800	5,936.6250	5,936.3750	5,936.5000	5,936.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.5 curr_cost_per_share: 0.235 curr_half_min_move: 0.40300973843861 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.334227941315 destination_price: 5936.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.1479218449751 init_vol_normal: 38.334227941315 last_aggressive_qty: last_tactical_qty: 31 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.119 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.27999999999975 sweep_residual: 0 sweep_to_fill: 5936.78 total_dollar: 296825 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 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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