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
2025-06-02 13:45:25	EP	SIM:ESM5	Buy	50	-0.0350	-0.3950	5,935.6250	5,935.3750	5,935.5900	5,935.9850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.625 avg_total: 5935.59 curr_cost_per_share: 0.16 curr_half_min_move: 0.40294185311009 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 38.3277706987 destination_price: 5935.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.36 init_drift: 0 init_half_min_move: 0.40294185311009 init_liq_cost: 18 init_min_duration: 0 init_opt_t_minutes: 0.79821565793848 init_vol_normal: 38.3277706987 last_aggressive_qty: last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.175 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.39499999999953 sweep_residual: 0 sweep_to_fill: 5935.985 total_dollar: 296779.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.3277706987 worst_opt_t_minutes: 0
2025-06-02 13:44:52	EP	SIM:ESM5	Sell	50	0.8950	0.7300	5,937.3750	5,935.8750	5,936.4800	5,937.2100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.375 avg_total: 5936.48 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: 5935.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.403060652435 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16758188892436 init_vol_normal: 38.339070873277 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.174 slip_toler: 0 slippage: 0.89500000000044 slippage_sweep: 0.73000000000047 sweep_residual: 0 sweep_to_fill: 5937.21 total_dollar: 296824 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.339070873277 worst_opt_t_minutes: 0.20090344965621
2025-06-02 13:44:39	EP	SIM:ESM5	Buy	50	0.1250	-0.0700	5,937.3750	5,937.3750	5,937.5000	5,937.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.375 avg_total: 5937.5 curr_cost_per_share: 0.145 curr_half_min_move: 0.403060652435 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.12941815297097 daily_vol_normal: 38.339070873277 destination_price: 5937.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.403060652435 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23406065477866 init_vol_normal: 38.339070873277 last_aggressive_qty: 1 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.369 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5937.57 total_dollar: 296875 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.339070873277 worst_opt_t_minutes: 0.12941815297097
2025-06-02 13:43:58	EP	SIM:ESM5	Sell	50	-0.0900	-0.2150	5,936.1250	5,936.3750	5,936.2150	5,936.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5936.215 curr_cost_per_share: 0.25 curr_half_min_move: 0.40297579577435 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 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: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.11 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 5936 total_dollar: 296810.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0
2025-06-02 13:43:57	EP	SIM:ESM5	Buy	50	0.3750	0.2500	5,935.3750	5,936.3750	5,935.7500	5,935.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.375 avg_total: 5935.75 curr_cost_per_share: 0.125 curr_half_min_move: 0.40292488177796 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20103886640622 daily_vol_normal: 38.326156388046 destination_price: 5936.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40292488177796 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: 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: 12.249 slip_toler: 0 slippage: 0.375 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5935.5 total_dollar: 296787.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.326156388046 worst_opt_t_minutes: 0.20103886640622
2025-06-02 13:43:13	EP	SIM:ESM5	Sell	50	-0.1200	-0.2450	5,935.1250	5,935.3750	5,935.2450	5,935.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.125 avg_total: 5935.245 curr_cost_per_share: 0.24 curr_half_min_move: 0.40290791044583 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.324542077392 destination_price: 5935.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40290791044583 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096251706418894 init_vol_normal: 38.324542077392 last_aggressive_qty: 12 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.12 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5935 total_dollar: 296762.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.324542077392 worst_opt_t_minutes: 0
2025-06-02 13:43:11	EP	SIM:ESM5	Buy	50	-0.0500	-0.1750	5,935.1250	5,934.8750	5,935.0750	5,935.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.125 avg_total: 5935.075 curr_cost_per_share: 0.18 curr_half_min_move: 0.40290791044583 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 38.324542077392 destination_price: 5934.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40290791044583 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096251706418894 init_vol_normal: 38.324542077392 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: 6.179 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 5935.25 total_dollar: 296753.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.324542077392 worst_opt_t_minutes: 0
2025-06-02 13:42:35	EP	SIM:ESM5	Sell	50	-0.0200	-0.1450	5,934.6250	5,934.8750	5,934.6450	5,934.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.625 avg_total: 5934.645 curr_cost_per_share: 0.19 curr_half_min_move: 0.40287396778157 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.321313456085 destination_price: 5934.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40287396778157 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096267925769078 init_vol_normal: 38.321313456085 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: 3.129 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.14500000000044 sweep_residual: 0 sweep_to_fill: 5934.5 total_dollar: 296732.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.321313456085 worst_opt_t_minutes: 0
2025-06-02 13:42:31	EP	SIM:ESM5	Buy	50	-0.0300	-0.3050	5,934.8750	5,934.6250	5,934.8450	5,935.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.875 avg_total: 5934.845 curr_cost_per_share: 0.235 curr_half_min_move: 0.4028909391137 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.322927766738 destination_price: 5934.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.4028909391137 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.4658975074148 init_vol_normal: 38.322927766738 last_aggressive_qty: last_tactical_qty: 50 level_tactical_limit: mbo_max: mbo_min: model_size: 50 n_kids: 1 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 0.102 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.30499999999938 sweep_residual: 0 sweep_to_fill: 5935.15 total_dollar: 296742.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.322927766738 worst_opt_t_minutes: 0
2025-06-02 13:42:00	EP	SIM:ESM5	Sell	50	-0.0200	-0.1450	5,935.1250	5,935.3750	5,935.1450	5,935.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.125 avg_total: 5935.145 curr_cost_per_share: 0.14 curr_half_min_move: 0.40290791044583 curr_liq_cost: 7 curr_opt_t_minutes: 0 daily_vol_normal: 38.324542077392 destination_price: 5935.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40290791044583 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096251706418894 init_vol_normal: 38.324542077392 last_aggressive_qty: 16 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.117 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.14500000000044 sweep_residual: 0 sweep_to_fill: 5935 total_dollar: 296757.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.324542077392 worst_opt_t_minutes: 0
2025-06-02 13:41:56	EP	SIM:ESM5	Buy	50	0.4350	0.2500	5,934.3750	5,935.1250	5,934.8100	5,934.5600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.375 avg_total: 5934.81 curr_cost_per_share: 0.125 curr_half_min_move: 0.40285699644944 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20110662612983 daily_vol_normal: 38.319699145431 destination_price: 5935.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40285699644944 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21088303140448 init_vol_normal: 38.319699145431 last_aggressive_qty: 3 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.513 slip_toler: 0 slippage: 0.4350000000004 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5934.56 total_dollar: 296740.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.319699145431 worst_opt_t_minutes: 0.20110662612983
2025-06-02 13:41:11	EP	SIM:ESM5	Sell	50	-0.0400	-0.1900	5,933.1250	5,933.3750	5,933.1650	5,932.9750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.125 avg_total: 5933.165 curr_cost_per_share: 0.21 curr_half_min_move: 0.40277213978878 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.311627592162 destination_price: 5933.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.40277213978878 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13869591613243 init_vol_normal: 38.311627592162 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.1 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.1899999999996 sweep_residual: 0 sweep_to_fill: 5932.975 total_dollar: 296658.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.311627592162 worst_opt_t_minutes: 0
2025-06-02 13:41:09	EP	SIM:ESM5	Buy	50	-0.1200	-0.2450	5,933.3750	5,933.1250	5,933.2550	5,933.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.375 avg_total: 5933.255 curr_cost_per_share: 0.125 curr_half_min_move: 0.40278911112091 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.313241902815 destination_price: 5933.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40278911112091 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096308492085163 init_vol_normal: 38.313241902815 last_aggressive_qty: 20 last_tactical_qty: 29 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.132 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5933.5 total_dollar: 296662.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.313241902815 worst_opt_t_minutes: 0
2025-06-02 13:40:37	EP	SIM:ESM5	Sell	50	0.4550	0.1550	5,933.6250	5,933.8750	5,933.1700	5,933.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.625 avg_total: 5933.17 curr_cost_per_share: 0.29 curr_half_min_move: 0.40280608245304 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.10097083522336 daily_vol_normal: 38.314856213469 destination_price: 5933.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40280608245304 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55469017020037 init_vol_normal: 38.314856213469 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: 11.273 slip_toler: 0 slippage: 0.45499999999993 slippage_sweep: 0.15499999999975 sweep_residual: 0 sweep_to_fill: 5933.325 total_dollar: 296658.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.314856213469 worst_opt_t_minutes: 0.10097083522336
2025-06-02 13:40:24	EP	SIM:ESM5	Buy	50	0.3200	0.1450	5,934.1250	5,933.8750	5,934.4450	5,934.3000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.125 avg_total: 5934.445 curr_cost_per_share: 0.275 curr_half_min_move: 0.4028400251173 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.069761280337754 daily_vol_normal: 38.318084834777 destination_price: 5933.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.4028400251173 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.1887169324698 init_vol_normal: 38.318084834777 last_aggressive_qty: 1 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.65 slip_toler: 0 slippage: 0.31999999999971 slippage_sweep: 0.14499999999953 sweep_residual: 0 sweep_to_fill: 5934.3 total_dollar: 296722.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.318084834777 worst_opt_t_minutes: 0.069761280337754

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect