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 03:42:15	EP	SIM:ESM5	Sell	50	0.5300	-0.3350	5,354.8750	5,353.8750	5,354.3450	5,354.0100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.875 avg_total: 5354.345 curr_cost_per_share: 0.28 curr_half_min_move: 0.61792264527042 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 58.77671250742 destination_price: 5353.875 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.865 init_drift: 0 init_half_min_move: 0.61785556897381 init_liq_cost: 43.25 init_min_duration: 0 init_opt_t_minutes: 1.9600099855548 init_vol_normal: 58.770332219803 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.378 slip_toler: 0 slippage: 0.52999999999975 slippage_sweep: -0.33500000000004 sweep_residual: 0 sweep_to_fill: 5354.01 total_dollar: 267717.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.338339637517 worst_opt_t_minutes: 0
2025-04-17 03:41:18	EP	SIM:ESM5	Buy	50	0.7650	-0.0228	5,354.6250	5,355.5000	5,355.3900	5,355.4128	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5355.39 curr_cost_per_share: 0.78 curr_half_min_move: 0.61755277116014 curr_liq_cost: 39 curr_opt_t_minutes: 0 daily_vol_normal: 58.74153013563 destination_price: 5355.5 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78779069767442 init_drift: 0 init_half_min_move: 0.6174716758952 init_liq_cost: 33.875 init_min_duration: 0 init_opt_t_minutes: 1.6277496662024 init_vol_normal: 58.733816365775 last_aggressive_qty: 9 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.001 slip_toler: 0 slippage: 0.76500000000033 slippage_sweep: -0.022790697674282 sweep_residual: 7 sweep_to_fill: 5355.4127906977 total_dollar: 267769.5 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.336876562299 worst_opt_t_minutes: 0
2025-04-17 03:40:00	EP	SIM:ESM5	Sell	50	0.9400	0.2500	5,356.3750	5,355.6250	5,355.4350	5,355.6850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.375 avg_total: 5355.435 curr_cost_per_share: 0.79 curr_half_min_move: 0.61732933466389 curr_liq_cost: 39.5 curr_opt_t_minutes: 0.17629921627906 daily_vol_normal: 58.720276888472 destination_price: 5355.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.61732653715246 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.249304454558 init_vol_normal: 58.72001078959 last_aggressive_qty: 10 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.197 slip_toler: 0 slippage: 0.9399999999996 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5355.685 total_dollar: 267771.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.347118088826 worst_opt_t_minutes: 0.61863050480431
2025-04-17 03:38:16	EP	SIM:ESM5	Buy	50	-0.5200	-1.0950	5,356.1250	5,355.5000	5,355.6050	5,356.7000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.125 avg_total: 5355.605 curr_cost_per_share: 0.46 curr_half_min_move: 0.6168247266874 curr_liq_cost: 23 curr_opt_t_minutes: 0 daily_vol_normal: 58.672278650845 destination_price: 5355.5 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.575 init_drift: 0 init_half_min_move: 0.61648299393147 init_liq_cost: 28.75 init_min_duration: 0 init_opt_t_minutes: 0.86994838809193 init_vol_normal: 58.639773080604 last_aggressive_qty: 8 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: 11.006 slip_toler: 0 slippage: -0.52000000000044 slippage_sweep: -1.0950000000003 sweep_residual: 0 sweep_to_fill: 5356.7 total_dollar: 267780.25 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.345655013608 worst_opt_t_minutes: 0
2025-04-17 03:37:14	EP	SIM:ESM5	Sell	50	0.0150	-0.7200	5,356.1250	5,355.3750	5,356.1100	5,355.3900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.125 avg_total: 5356.11 curr_cost_per_share: 0.71 curr_half_min_move: 0.61605696528599 curr_liq_cost: 35.5 curr_opt_t_minutes: 0 daily_vol_normal: 58.599249297559 destination_price: 5355.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.735 init_drift: 0 init_half_min_move: 0.61595185626792 init_liq_cost: 36.75 init_min_duration: 0 init_opt_t_minutes: 1.4239054143628 init_vol_normal: 58.589251342986 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 38.822 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.71999999999935 sweep_residual: 0 sweep_to_fill: 5355.39 total_dollar: 267805.5 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.345655013608 worst_opt_t_minutes: 0
2025-04-17 03:36:01	EP	SIM:ESM5	Buy	50	0.7050	0.0100	5,356.2500	5,357.1250	5,356.9550	5,356.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.25 avg_total: 5356.955 curr_cost_per_share: 0.655 curr_half_min_move: 0.61576719107251 curr_liq_cost: 32.75 curr_opt_t_minutes: 0 daily_vol_normal: 58.571686016348 destination_price: 5357.125 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.61571250731252 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 1.2741297540975 init_vol_normal: 58.56648450502 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.004 slip_toler: 0 slippage: 0.70499999999993 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5356.945 total_dollar: 267847.75 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.346386551217 worst_opt_t_minutes: 0
2025-04-17 03:33:22	EP	SIM:ESM5	Sell	50	0.7250	-0.0402	5,360.1250	5,359.3750	5,359.4000	5,359.3598	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.125 avg_total: 5359.4 curr_cost_per_share: 0.79941860465116 curr_half_min_move: 0.61517504094388 curr_liq_cost: 34.375 curr_opt_t_minutes: 0.20242413999421 daily_vol_normal: 58.515360781891 destination_price: 5359.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76524390243902 init_drift: 0 init_half_min_move: 0.61505573702068 init_liq_cost: 31.375 init_min_duration: 0 init_opt_t_minutes: 1.5479994710305 init_vol_normal: 58.504012609998 last_aggressive_qty: 9 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.247 slip_toler: 0 slippage: 0.72500000000036 slippage_sweep: -0.040243902438306 sweep_residual: 9 sweep_to_fill: 5359.3597560976 total_dollar: 267970 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.3690642171 worst_opt_t_minutes: 0.70436691820443
2025-04-17 03:32:43	EP	SIM:ESM5	Buy	50	-0.4000	-1.1050	5,360.1250	5,359.1250	5,359.7250	5,360.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.125 avg_total: 5359.725 curr_cost_per_share: 0.75 curr_half_min_move: 0.61485627986905 curr_liq_cost: 33 curr_opt_t_minutes: 0 daily_vol_normal: 58.485040274628 destination_price: 5359.125 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.705 init_drift: 0 init_half_min_move: 0.61468632942672 init_liq_cost: 35.25 init_min_duration: 0 init_opt_t_minutes: 1.3154402456128 init_vol_normal: 58.468874613172 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27.49 slip_toler: 0 slippage: -0.39999999999964 slippage_sweep: -1.1049999999996 sweep_residual: 0 sweep_to_fill: 5360.83 total_dollar: 267986.25 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 31.3690642171 worst_opt_t_minutes: 0
2025-04-17 03:29:10	EP	SIM:ESM5	Sell	50	0.5450	-0.1310	5,361.1250	5,361.5000	5,360.5800	5,360.4490	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.125 avg_total: 5360.58 curr_cost_per_share: 0.555 curr_half_min_move: 0.61322825409431 curr_liq_cost: 27.75 curr_opt_t_minutes: 0.297722753458 daily_vol_normal: 58.330182698766 destination_price: 5361.5 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.67602040816327 init_drift: 0 init_half_min_move: 0.61300426037265 init_liq_cost: 33.125 init_min_duration: 0 init_opt_t_minutes: 1.2161653567372 init_vol_normal: 58.308876448409 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.334 slip_toler: 0 slippage: 0.54500000000007 slippage_sweep: -0.13102040816284 sweep_residual: 1 sweep_to_fill: 5360.4489795918 total_dollar: 268029 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 31.374916517973 worst_opt_t_minutes: 1.029043046646
2025-04-17 03:28:04	EP	SIM:ESM5	Buy	50	0.5050	-0.2137	5,359.6250	5,360.3750	5,360.1300	5,360.3438	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.625 avg_total: 5360.13 curr_cost_per_share: 0.715 curr_half_min_move: 0.61268764749585 curr_liq_cost: 35.75 curr_opt_t_minutes: 0 daily_vol_normal: 58.278760277431 destination_price: 5360.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.71875 init_drift: 0 init_half_min_move: 0.61250159906215 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.3770232139622 init_vol_normal: 58.261063377369 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.669 slip_toler: 0 slippage: 0.50500000000011 slippage_sweep: -0.21374999999989 sweep_residual: 2 sweep_to_fill: 5360.34375 total_dollar: 268006.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.366138066664 worst_opt_t_minutes: 0
2025-04-17 03:24:57	EP	SIM:ESM5	Buy	50	0.2850	-0.5200	5,356.8750	5,357.5000	5,357.1600	5,357.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.875 avg_total: 5357.16 curr_cost_per_share: 0.435 curr_half_min_move: 0.61138627942973 curr_liq_cost: 21.75 curr_opt_t_minutes: 0 daily_vol_normal: 58.154974335495 destination_price: 5357.5 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.805 init_drift: 0 init_half_min_move: 0.61128176073418 init_liq_cost: 40.25 init_min_duration: 0 init_opt_t_minutes: 1.7342387483489 init_vol_normal: 58.145032532315 last_aggressive_qty: 13 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.416 slip_toler: 0 slippage: 0.28499999999985 slippage_sweep: -0.52000000000044 sweep_residual: 0 sweep_to_fill: 5357.68 total_dollar: 267858 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.350044239263 worst_opt_t_minutes: 0
2025-04-17 03:23:31	EP	SIM:ESM5	Sell	50	0.9050	0.1450	5,358.1250	5,357.0000	5,357.2200	5,357.3650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.125 avg_total: 5357.22 curr_cost_per_share: 0.74 curr_half_min_move: 0.61104709322001 curr_liq_cost: 37 curr_opt_t_minutes: 0 daily_vol_normal: 58.12271099236 destination_price: 5357 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76 init_drift: 0 init_half_min_move: 0.61088878662087 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 1.5477573598517 init_vol_normal: 58.107652891582 last_aggressive_qty: 8 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: 15.344 slip_toler: 0 slippage: 0.90499999999975 slippage_sweep: 0.14499999999953 sweep_residual: 0 sweep_to_fill: 5357.365 total_dollar: 267861 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.357359615354 worst_opt_t_minutes: 0
2025-04-17 03:22:27	EP	SIM:ESM5	Buy	50	0.7500	0.0050	5,357.1250	5,358.0000	5,357.8750	5,357.8700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5357.125 avg_total: 5357.875 curr_cost_per_share: 0.64 curr_half_min_move: 0.61046239474129 curr_liq_cost: 32 curr_opt_t_minutes: 0 daily_vol_normal: 58.067094557762 destination_price: 5358 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.745 init_drift: 0 init_half_min_move: 0.61017378890747 init_liq_cost: 37.25 init_min_duration: 0 init_opt_t_minutes: 1.4907521688331 init_vol_normal: 58.039642412656 last_aggressive_qty: 4 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.08 slip_toler: 0 slippage: 0.75 slippage_sweep: 0.0050000000001091 sweep_residual: 0 sweep_to_fill: 5357.87 total_dollar: 267893.75 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.351507314481 worst_opt_t_minutes: 0
2025-04-17 03:19:38	EP	SIM:ESM5	Sell	50	0.6100	-0.1300	5,360.3750	5,359.2500	5,359.7650	5,359.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.375 avg_total: 5359.765 curr_cost_per_share: 0.77 curr_half_min_move: 0.60939347256278 curr_liq_cost: 38.5 curr_opt_t_minutes: 0 daily_vol_normal: 57.965418834983 destination_price: 5359.25 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.74 init_drift: 0 init_half_min_move: 0.60914402961451 init_liq_cost: 37 init_min_duration: 0 init_opt_t_minutes: 1.4757862361612 init_vol_normal: 57.941691857878 last_aggressive_qty: 4 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 37.804 slip_toler: 0 slippage: 0.60999999999967 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5359.635 total_dollar: 267988.25 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.370527292319 worst_opt_t_minutes: 0
2025-04-17 03:18:04	EP	SIM:ESM5	Sell	50	-0.4300	-1.0100	5,358.7500	5,359.5000	5,359.1800	5,358.1700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.75 avg_total: 5359.18 curr_cost_per_share: 0.835 curr_half_min_move: 0.60860483630675 curr_liq_cost: 41.75 curr_opt_t_minutes: 0.30191245799587 daily_vol_normal: 57.89040386855 destination_price: 5359.5 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.60839910894009 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 0.90882203550373 init_vol_normal: 57.870835111234 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.936 slip_toler: 0 slippage: -0.43000000000029 slippage_sweep: -1.0100000000002 sweep_residual: 0 sweep_to_fill: 5358.17 total_dollar: 267959 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.3610173034 worst_opt_t_minutes: 1.0287596181558

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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