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 03:16:34	EP	SIM:ESM5	Sell	50	-0.5750	-1.1700	5,358.8750	5,360.2500	5,359.4500	5,358.2800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.875 avg_total: 5359.45 curr_cost_per_share: 0.825 curr_half_min_move: 0.60797906295361 curr_liq_cost: 41.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.830880397847 destination_price: 5360.25 drift: -1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.595 init_drift: 0 init_half_min_move: 0.60790094786877 init_liq_cost: 29.75 init_min_duration: 0 init_opt_t_minutes: 0.95800613514113 init_vol_normal: 57.823450102292 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.965 slip_toler: 0 slippage: -0.57499999999982 slippage_sweep: -1.1700000000001 sweep_residual: 0 sweep_to_fill: 5358.28 total_dollar: 267972.5 total_drift: -1.375 total_filled: 50 total_sent: 50 total_vol: 31.361748841009 worst_opt_t_minutes: 0
2025-04-17 03:14:10	EP	SIM:ESM5	Buy	50	0.8100	0.1500	5,360.8750	5,361.8750	5,361.6850	5,361.5350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.875 avg_total: 5361.685 curr_cost_per_share: 0.575 curr_half_min_move: 0.60739732000843 curr_liq_cost: 28.75 curr_opt_t_minutes: 0 daily_vol_normal: 57.775545093171 destination_price: 5361.875 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66 init_drift: 0 init_half_min_move: 0.60724519206564 init_liq_cost: 33 init_min_duration: 0 init_opt_t_minutes: 1.1812986326151 init_vol_normal: 57.76107470529 last_aggressive_qty: 10 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.203 slip_toler: 0 slippage: 0.8100000000004 slippage_sweep: 0.15000000000055 sweep_residual: 0 sweep_to_fill: 5361.535 total_dollar: 268084.25 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 31.373453442755 worst_opt_t_minutes: 0
2025-04-17 03:13:04	EP	SIM:ESM5	Sell	50	1.0150	0.4650	5,359.6250	5,358.7500	5,358.6100	5,359.0750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.625 avg_total: 5358.61 curr_cost_per_share: 0.605 curr_half_min_move: 0.60673373456387 curr_liq_cost: 30.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.71242494181 destination_price: 5358.75 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.55 init_drift: 0 init_half_min_move: 0.60662129227111 init_liq_cost: 27.5 init_min_duration: 0 init_opt_t_minutes: 0.82203456507644 init_vol_normal: 57.701729447211 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.115 slip_toler: 0 slippage: 1.0150000000003 slippage_sweep: 0.46500000000015 sweep_residual: 0 sweep_to_fill: 5359.075 total_dollar: 267930.5 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 31.366138066664 worst_opt_t_minutes: 0
2025-04-17 03:12:41	EP	SIM:ESM5	Buy	50	0.0900	-0.6250	5,361.1250	5,360.6250	5,361.2150	5,361.8400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.125 avg_total: 5361.215 curr_cost_per_share: 0.67708333333333 curr_half_min_move: 0.60673412491279 curr_liq_cost: 32.5 curr_opt_t_minutes: 0.38258436130184 daily_vol_normal: 57.712462071743 destination_price: 5360.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.715 init_drift: 0 init_half_min_move: 0.60660603023638 init_liq_cost: 35.75 init_min_duration: 0 init_opt_t_minutes: 1.3893083215433 init_vol_normal: 57.700277724678 last_aggressive_qty: 7 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 44.658 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.625 sweep_residual: 0 sweep_to_fill: 5361.84 total_dollar: 268060.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 31.374916517973 worst_opt_t_minutes: 1.2944976312306
2025-04-17 03:10:50	EP	SIM:ESM5	Sell	50	0.4700	-0.3200	5,360.8750	5,361.2500	5,360.4050	5,360.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.875 avg_total: 5360.405 curr_cost_per_share: 0.475 curr_half_min_move: 0.60591265939377 curr_liq_cost: 23.75 curr_opt_t_minutes: 0.16059863341103 daily_vol_normal: 57.634324390569 destination_price: 5361.25 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79 init_drift: 0 init_half_min_move: 0.60561044451709 init_liq_cost: 39.5 init_min_duration: 0 init_opt_t_minutes: 1.7016391524765 init_vol_normal: 57.605577755277 last_aggressive_qty: 8 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27.99 slip_toler: 0 slippage: 0.47000000000025 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5360.085 total_dollar: 268020.25 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 31.373453442755 worst_opt_t_minutes: 0.54197543883322
2025-04-17 03:09:54	EP	SIM:ESM5	Buy	50	1.0300	0.4050	5,361.2500	5,362.3750	5,362.2800	5,361.8750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.25 avg_total: 5362.28 curr_cost_per_share: 0.545 curr_half_min_move: 0.60546890830388 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.592114851179 destination_price: 5362.375 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.625 init_drift: 0 init_half_min_move: 0.60529916821028 init_liq_cost: 31.25 init_min_duration: 0 init_opt_t_minutes: 1.0661538522677 init_vol_normal: 57.575969198064 last_aggressive_qty: 10 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.833 slip_toler: 0 slippage: 1.0299999999997 slippage_sweep: 0.40499999999975 sweep_residual: 0 sweep_to_fill: 5361.875 total_dollar: 268114 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 31.375648055582 worst_opt_t_minutes: 0
2025-04-17 03:08:35	EP	SIM:ESM5	Sell	50	-0.2400	-1.0100	5,360.8750	5,361.7500	5,361.1150	5,360.1050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.875 avg_total: 5361.115 curr_cost_per_share: 0.625 curr_half_min_move: 0.60450449017804 curr_liq_cost: 31.25 curr_opt_t_minutes: 0 daily_vol_normal: 57.500379538753 destination_price: 5361.75 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.77 init_drift: 0 init_half_min_move: 0.60443306217418 init_liq_cost: 38.5 init_min_duration: 0 init_opt_t_minutes: 1.6228748364921 init_vol_normal: 57.493585317373 last_aggressive_qty: 3 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: 16.504 slip_toler: 0 slippage: -0.23999999999978 slippage_sweep: -1.0100000000002 sweep_residual: 0 sweep_to_fill: 5360.105 total_dollar: 268055.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 31.373453442755 worst_opt_t_minutes: 0
2025-04-17 03:07:27	EP	SIM:ESM5	Sell	50	-0.3200	-1.0572	5,359.6250	5,360.5000	5,359.9450	5,358.8878	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.625 avg_total: 5359.945 curr_cost_per_share: 0.8 curr_half_min_move: 0.60372324574591 curr_liq_cost: 40 curr_opt_t_minutes: 0 daily_vol_normal: 57.426067681538 destination_price: 5360.5 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73724489795918 init_drift: 0 init_half_min_move: 0.60362741540721 init_liq_cost: 36.125 init_min_duration: 0 init_opt_t_minutes: 1.4917142518493 init_vol_normal: 57.416952313603 last_aggressive_qty: 4 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: 20.49 slip_toler: 0 slippage: -0.31999999999971 slippage_sweep: -1.0572448979592 sweep_residual: 1 sweep_to_fill: 5358.887755102 total_dollar: 267997.25 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 31.366138066664 worst_opt_t_minutes: 0
2025-04-17 03:06:54	EP	SIM:ESM5	Buy	50	0.1350	-0.4950	5,358.5000	5,358.1250	5,358.6350	5,359.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.5 avg_total: 5358.635 curr_cost_per_share: 0.68622448979592 curr_half_min_move: 0.60335474472656 curr_liq_cost: 33.625 curr_opt_t_minutes: 0.62076864831875 daily_vol_normal: 57.391015917957 destination_price: 5358.125 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63 init_drift: 0 init_half_min_move: 0.60311140380728 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 1.0911539226591 init_vol_normal: 57.367869364965 last_aggressive_qty: 6 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: 38.256 slip_toler: 0 slippage: 0.13500000000022 slippage_sweep: -0.49499999999989 sweep_residual: 0 sweep_to_fill: 5359.13 total_dollar: 267931.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 31.359554228182 worst_opt_t_minutes: 2.0791117787101
2025-04-17 03:05:26	EP	SIM:ESM5	Sell	50	-0.8200	-1.6050	5,358.8750	5,360.3750	5,359.6950	5,358.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.875 avg_total: 5359.695 curr_cost_per_share: 0.735 curr_half_min_move: 0.60282577589365 curr_liq_cost: 36.75 curr_opt_t_minutes: 0 daily_vol_normal: 57.340700479195 destination_price: 5360.375 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.785 init_drift: 0 init_half_min_move: 0.60266105297539 init_liq_cost: 39.25 init_min_duration: 0 init_opt_t_minutes: 1.6966531251078 init_vol_normal: 57.325032059072 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.742 slip_toler: 0 slippage: -0.81999999999971 slippage_sweep: -1.6049999999996 sweep_residual: 0 sweep_to_fill: 5358.09 total_dollar: 267984.75 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 31.361748841009 worst_opt_t_minutes: 0
2025-04-17 03:04:49	EP	SIM:ESM5	Buy	50	-0.7500	-1.4400	5,359.2500	5,358.0000	5,358.5000	5,359.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.25 avg_total: 5358.5 curr_cost_per_share: 0.81 curr_half_min_move: 0.60250397605928 curr_liq_cost: 40.5 curr_opt_t_minutes: 0 daily_vol_normal: 57.310090925565 destination_price: 5358 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.60214558671557 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.3130920326096 init_vol_normal: 57.276000983107 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.202 slip_toler: 0 slippage: -0.75 slippage_sweep: -1.4399999999996 sweep_residual: 0 sweep_to_fill: 5359.94 total_dollar: 267925 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 31.363943453836 worst_opt_t_minutes: 0
2025-04-17 03:01:53	EP	SIM:ESM5	Sell	50	-0.4900	-1.2250	5,358.7500	5,359.8750	5,359.2400	5,358.0150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.75 avg_total: 5359.24 curr_cost_per_share: 0.695 curr_half_min_move: 0.59997711754562 curr_liq_cost: 34.75 curr_opt_t_minutes: 0 daily_vol_normal: 57.06973650978 destination_price: 5359.875 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.735 init_drift: 0 init_half_min_move: 0.5997828174069 init_liq_cost: 36.75 init_min_duration: 0 init_opt_t_minutes: 1.5017119555633 init_vol_normal: 57.051254708731 last_aggressive_qty: 6 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: 17.469 slip_toler: 0 slippage: -0.48999999999978 slippage_sweep: -1.2249999999995 sweep_residual: 0 sweep_to_fill: 5358.015 total_dollar: 267962 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.3610173034 worst_opt_t_minutes: 0
2025-04-17 03:01:11	EP	SIM:ESM5	Buy	50	-0.1750	-0.9500	5,359.0000	5,358.2500	5,358.8250	5,359.7750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359 avg_total: 5358.825 curr_cost_per_share: 0.71 curr_half_min_move: 0.59944780901802 curr_liq_cost: 35.5 curr_opt_t_minutes: 0 daily_vol_normal: 57.01938875931 destination_price: 5358.25 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.775 init_drift: 0 init_half_min_move: 0.59932103602748 init_liq_cost: 38.75 init_min_duration: 0 init_opt_t_minutes: 1.6721851480585 init_vol_normal: 57.007330130813 last_aggressive_qty: 6 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: 22.267 slip_toler: 0 slippage: -0.17500000000018 slippage_sweep: -0.94999999999982 sweep_residual: 0 sweep_to_fill: 5359.775 total_dollar: 267941.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.362480378618 worst_opt_t_minutes: 0
2025-04-17 02:57:45	EP	SIM:ESM5	Sell	50	-0.2850	-0.9950	5,359.5000	5,360.1250	5,359.7850	5,358.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.5 avg_total: 5359.785 curr_cost_per_share: 0.71739130434783 curr_half_min_move: 0.59769276656871 curr_liq_cost: 33 curr_opt_t_minutes: 0.26827235109521 daily_vol_normal: 56.852449375763 destination_price: 5360.125 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.71 init_drift: 0 init_half_min_move: 0.59764364734011 init_liq_cost: 35.5 init_min_duration: 0 init_opt_t_minutes: 1.4113414037666 init_vol_normal: 56.847777161853 last_aggressive_qty: 7 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.504 slip_toler: 0 slippage: -0.28499999999985 slippage_sweep: -0.99499999999989 sweep_residual: 0 sweep_to_fill: 5358.79 total_dollar: 267989.25 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 31.365406529055 worst_opt_t_minutes: 0.8813987576055
2025-04-17 02:56:57	EP	SIM:ESM5	Buy	50	-0.4800	-1.2649	5,360.7500	5,360.0000	5,360.2700	5,361.5349	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.75 avg_total: 5360.27 curr_cost_per_share: 0.8 curr_half_min_move: 0.59765875329369 curr_liq_cost: 40 curr_opt_t_minutes: 0.21607906983754 daily_vol_normal: 56.849214037969 destination_price: 5360 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78488372093023 init_drift: 0 init_half_min_move: 0.59754604263206 init_liq_cost: 33.75 init_min_duration: 0 init_opt_t_minutes: 1.7253129976624 init_vol_normal: 56.838493016162 last_aggressive_qty: 11 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.195 slip_toler: 0 slippage: -0.47999999999956 slippage_sweep: -1.2648837209299 sweep_residual: 7 sweep_to_fill: 5361.5348837209 total_dollar: 268013.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.372721905146 worst_opt_t_minutes: 0.70950789362488

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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