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 13:50:50	EP	SIM:ESM5	Sell	50	-0.0400	-0.1650	5,935.3750	5,935.6250	5,935.4150	5,935.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.375 avg_total: 5935.415 curr_cost_per_share: 0.21 curr_half_min_move: 0.40292488177796 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.326156388046 destination_price: 5935.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40292488177796 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096243598280879 init_vol_normal: 38.326156388046 last_aggressive_qty: last_tactical_qty: 35 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.127 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5935.25 total_dollar: 296770.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.326156388046 worst_opt_t_minutes: 0
2025-06-02 13:50:45	EP	SIM:ESM5	Buy	50	-0.2500	-0.3750	5,935.8750	5,935.3750	5,935.6250	5,936.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.875 avg_total: 5935.625 curr_cost_per_share: 0.25 curr_half_min_move: 0.40295882444222 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.329385009354 destination_price: 5935.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40295882444222 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09622738507814 init_vol_normal: 38.329385009354 last_aggressive_qty: last_tactical_qty: 34 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.207 slip_toler: 0 slippage: -0.25 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5936 total_dollar: 296781.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.329385009354 worst_opt_t_minutes: 0
2025-06-02 13:50:12	EP	SIM:ESM5	Sell	50	0.8450	0.7200	5,935.6250	5,934.1250	5,934.7800	5,935.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.625 avg_total: 5934.78 curr_cost_per_share: 0.125 curr_half_min_move: 0.40294185311009 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20102193182623 daily_vol_normal: 38.3277706987 destination_price: 5934.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40294185311009 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096235491167352 init_vol_normal: 38.3277706987 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.324 slip_toler: 0 slippage: 0.84500000000025 slippage_sweep: 0.72000000000025 sweep_residual: 0 sweep_to_fill: 5935.5 total_dollar: 296739 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.3277706987 worst_opt_t_minutes: 0.20102193182623
2025-06-02 13:49:56	EP	SIM:ESM5	Buy	50	-0.1650	-0.4350	5,936.1250	5,935.6250	5,935.9600	5,936.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5935.96 curr_cost_per_share: 0.335 curr_half_min_move: 0.40297579577435 curr_liq_cost: 16.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.330999320008 destination_price: 5935.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40297579577435 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.44892067282898 init_vol_normal: 38.330999320008 last_aggressive_qty: last_tactical_qty: 47 level_tactical_limit: mbo_max: mbo_min: model_size: 47 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.48 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.4350000000004 sweep_residual: 0 sweep_to_fill: 5936.395 total_dollar: 296798 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0
2025-06-02 13:49:22	EP	SIM:ESM5	Sell	50	-0.0150	-0.1400	5,935.8750	5,936.1250	5,935.8900	5,935.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.875 avg_total: 5935.89 curr_cost_per_share: 0.15 curr_half_min_move: 0.40295882444222 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.329385009354 destination_price: 5936.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40295882444222 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09622738507814 init_vol_normal: 38.329385009354 last_aggressive_qty: 12 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.164 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.14000000000033 sweep_residual: 0 sweep_to_fill: 5935.75 total_dollar: 296794.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.329385009354 worst_opt_t_minutes: 0
2025-06-02 13:49:18	EP	SIM:ESM5	Buy	50	0.0550	-0.2050	5,936.1250	5,935.8750	5,936.1800	5,936.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5936.18 curr_cost_per_share: 0.3 curr_half_min_move: 0.40297579577435 curr_liq_cost: 15 curr_opt_t_minutes: 0.12271029708952 daily_vol_normal: 38.330999320008 destination_price: 5935.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40297579577435 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41628309304855 init_vol_normal: 38.330999320008 last_aggressive_qty: last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.468 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5936.385 total_dollar: 296809 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0.12271029708952
2025-06-02 13:48:38	EP	SIM:ESM5	Sell	50	0.1250	-0.0350	5,936.3750	5,936.3750	5,936.2500	5,936.2150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.25 curr_cost_per_share: 0.125 curr_half_min_move: 0.40299276710648 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096211175971972 daily_vol_normal: 38.332613630661 destination_price: 5936.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15763239071248 init_vol_normal: 38.332613630661 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.218 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 5936.215 total_dollar: 296812.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0.096211175971972
2025-06-02 13:48:30	EP	SIM:ESM5	Buy	50	-0.0100	-0.2100	5,936.6250	5,936.3750	5,936.6150	5,936.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.615 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: 5936.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24627986676396 init_vol_normal: 38.334227941315 last_aggressive_qty: 9 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.285 slip_toler: 0 slippage: -0.010000000000218 slippage_sweep: -0.21000000000004 sweep_residual: 0 sweep_to_fill: 5936.825 total_dollar: 296830.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0
2025-06-02 13:47:53	EP	SIM:ESM5	Sell	50	0.1850	0.0100	5,936.3750	5,936.1250	5,936.1900	5,936.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.19 curr_cost_per_share: 0.125 curr_half_min_move: 0.40299276710648 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2009711409227 daily_vol_normal: 38.332613630661 destination_price: 5936.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.18857390490506 init_vol_normal: 38.332613630661 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.389 slip_toler: 0 slippage: 0.1850000000004 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5936.2 total_dollar: 296809.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0.2009711409227
2025-06-02 13:47:40	EP	SIM:ESM5	Buy	50	-0.1050	-0.2700	5,936.6250	5,936.3750	5,936.5200	5,936.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.52 curr_cost_per_share: 0.165 curr_half_min_move: 0.40300973843861 curr_liq_cost: 8.25 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: 0.165 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16762423431622 init_vol_normal: 38.334227941315 last_aggressive_qty: 35 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 46 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.192 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.26999999999953 sweep_residual: 0 sweep_to_fill: 5936.79 total_dollar: 296826 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0
2025-06-02 13:47:04	EP	SIM:ESM5	Sell	50	-0.0650	-0.2900	5,935.8750	5,936.1250	5,935.9400	5,935.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.875 avg_total: 5935.94 curr_cost_per_share: 0.175 curr_half_min_move: 0.40295882444222 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.329385009354 destination_price: 5936.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40295882444222 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31177672765317 init_vol_normal: 38.329385009354 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.318 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5935.65 total_dollar: 296797 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.329385009354 worst_opt_t_minutes: 0
2025-06-02 13:46:58	EP	SIM:ESM5	Buy	50	0.0650	-0.0650	5,936.1250	5,935.8750	5,936.1900	5,936.2550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5936.19 curr_cost_per_share: 0.195 curr_half_min_move: 0.40297579577435 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.330999320008 destination_price: 5935.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.40297579577435 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10407077326214 init_vol_normal: 38.330999320008 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.349 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.065000000000509 sweep_residual: 0 sweep_to_fill: 5936.255 total_dollar: 296809.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0
2025-06-02 13:46:15	EP	SIM:ESM5	Sell	50	0.0450	-0.0800	5,936.1250	5,936.3750	5,936.0800	5,936.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5936.08 curr_cost_per_share: 0.27 curr_half_min_move: 0.40297579577435 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.059576359685114 daily_vol_normal: 38.330999320008 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: 0.40297579577435 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096219280013071 init_vol_normal: 38.330999320008 last_aggressive_qty: last_tactical_qty: 28 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.181 slip_toler: 0 slippage: 0.045000000000073 slippage_sweep: -0.079999999999927 sweep_residual: 0 sweep_to_fill: 5936 total_dollar: 296804 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0.059576359685114
2025-06-02 13:46:06	EP	SIM:ESM5	Buy	50	0.0200	-0.3050	5,936.3750	5,936.1250	5,936.3950	5,936.7000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.395 curr_cost_per_share: 0.27 curr_half_min_move: 0.40299276710648 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.059571341883408 daily_vol_normal: 38.332613630661 destination_price: 5936.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 0.65038754957053 init_vol_normal: 38.332613630661 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.623 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.30499999999938 sweep_residual: 0 sweep_to_fill: 5936.7 total_dollar: 296819.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0.059571341883408
2025-06-02 13:45:33	EP	SIM:ESM5	Sell	50	0.0200	-0.2000	5,935.3750	5,935.6250	5,935.3550	5,935.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.375 avg_total: 5935.355 curr_cost_per_share: 0.24 curr_half_min_move: 0.40292488177796 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.326156388046 destination_price: 5935.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40292488177796 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29812417003485 init_vol_normal: 38.326156388046 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.362 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5935.155 total_dollar: 296767.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.326156388046 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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