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 02:55:58	EP	SIM:ESM5	Sell	50	1.0250	0.1739	5,362.0000	5,361.0000	5,360.9750	5,361.1489	Diagnostics Diagnostics algo_status: 4 arrival_price: 5362 avg_total: 5360.975 curr_cost_per_share: 0.775 curr_half_min_move: 0.59717944570094 curr_liq_cost: 38.75 curr_opt_t_minutes: 0 daily_vol_normal: 56.803622369178 destination_price: 5361 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.85106382978723 init_drift: 0 init_half_min_move: 0.59702472250524 init_liq_cost: 40 init_min_duration: 0 init_opt_t_minutes: 2.0320745463489 init_vol_normal: 56.788905121216 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.508 slip_toler: 0 slippage: 1.0249999999996 slippage_sweep: 0.17393617021207 sweep_residual: 3 sweep_to_fill: 5361.1489361702 total_dollar: 268048.75 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.380037281237 worst_opt_t_minutes: 0
2025-04-17 02:55:15	EP	SIM:ESM5	Buy	50	0.5750	0.0350	5,362.5000	5,363.1250	5,363.0750	5,363.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5362.5 avg_total: 5363.075 curr_cost_per_share: 0.655 curr_half_min_move: 0.59681426845238 curr_liq_cost: 32.75 curr_opt_t_minutes: 0.12307666432321 daily_vol_normal: 56.768886762194 destination_price: 5363.125 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.54 init_drift: 0 init_half_min_move: 0.5966116803936 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 0.81922654537994 init_vol_normal: 56.74961661539 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 38.142 slip_toler: 0 slippage: 0.57499999999982 slippage_sweep: 0.034999999999854 sweep_residual: 0 sweep_to_fill: 5363.04 total_dollar: 268153.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.382963431674 worst_opt_t_minutes: 0.40272498254371
2025-04-17 02:53:55	EP	SIM:ESM5	Sell	50	-0.2050	-0.9550	5,361.1250	5,361.5000	5,361.3300	5,360.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.125 avg_total: 5361.33 curr_cost_per_share: 0.605 curr_half_min_move: 0.59604755099998 curr_liq_cost: 30.25 curr_opt_t_minutes: 0.42612215211624 daily_vol_normal: 56.695956709187 destination_price: 5361.5 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75 init_drift: 0 init_half_min_move: 0.59585919139188 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 1.5842920428173 init_vol_normal: 56.678039970549 last_aggressive_qty: 5 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.891 slip_toler: 0 slippage: -0.20499999999993 slippage_sweep: -0.95499999999993 sweep_residual: 8 sweep_to_fill: 5360.375 total_dollar: 268066.5 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 31.374916517973 worst_opt_t_minutes: 1.3914677020166
2025-04-17 02:50:57	EP	SIM:ESM5	Buy	50	-0.0750	-0.8000	5,361.8750	5,361.2500	5,361.8000	5,362.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.875 avg_total: 5361.8 curr_cost_per_share: 0.695 curr_half_min_move: 0.5948792250656 curr_liq_cost: 34.75 curr_opt_t_minutes: 0.21749041604286 daily_vol_normal: 56.584825715549 destination_price: 5361.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.725 init_drift: 0 init_half_min_move: 0.59479793638756 init_liq_cost: 36.25 init_min_duration: 0 init_opt_t_minutes: 1.485720469719 init_vol_normal: 56.577093548269 last_aggressive_qty: 3 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.615 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.80000000000018 sweep_residual: 0 sweep_to_fill: 5362.6 total_dollar: 268090 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.379305743628 worst_opt_t_minutes: 0.70721819861935
2025-04-17 02:49:45	EP	SIM:ESM5	Sell	50	0.9200	0.1856	5,362.1250	5,361.3750	5,361.2050	5,361.3906	Diagnostics Diagnostics algo_status: 4 arrival_price: 5362.125 avg_total: 5361.205 curr_cost_per_share: 0.77393617021277 curr_half_min_move: 0.59441600528001 curr_liq_cost: 36.375 curr_opt_t_minutes: 0.14279738100746 daily_vol_normal: 56.540764316644 destination_price: 5361.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.734375 init_drift: 0 init_half_min_move: 0.59424311880812 init_liq_cost: 35.25 init_min_duration: 0 init_opt_t_minutes: 1.5272405448549 init_vol_normal: 56.524319380482 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.35 slip_toler: 0 slippage: 0.92000000000007 slippage_sweep: 0.18562500000007 sweep_residual: 2 sweep_to_fill: 5361.390625 total_dollar: 268060.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.380768818846 worst_opt_t_minutes: 0.4635711854102
2025-04-17 02:48:15	EP	SIM:ESM5	Sell	50	-0.3750	-1.1300	5,361.2500	5,362.2500	5,361.6250	5,360.4950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.25 avg_total: 5361.625 curr_cost_per_share: 0.87209302325581 curr_half_min_move: 0.59358950304549 curr_liq_cost: 37.5 curr_opt_t_minutes: 0 daily_vol_normal: 56.462147543822 destination_price: 5362.25 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.755 init_drift: 0 init_half_min_move: 0.59335674261728 init_liq_cost: 37.75 init_min_duration: 0 init_opt_t_minutes: 1.6190570034427 init_vol_normal: 56.440007405608 last_aggressive_qty: 4 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 61.41 slip_toler: 0 slippage: -0.375 slippage_sweep: -1.1300000000001 sweep_residual: 0 sweep_to_fill: 5360.495 total_dollar: 268081.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.375648055582 worst_opt_t_minutes: 0
2025-04-17 02:46:30	EP	SIM:ESM5	Buy	50	0.3550	-0.2450	5,362.1250	5,362.3750	5,362.4800	5,362.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5362.125 avg_total: 5362.48 curr_cost_per_share: 0.54 curr_half_min_move: 0.59318587311343 curr_liq_cost: 27 curr_opt_t_minutes: 0.46090205439997 daily_vol_normal: 56.423754323153 destination_price: 5362.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.59298787714052 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 1.0237899712675 init_vol_normal: 56.404920974891 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 29.862 slip_toler: 0 slippage: 0.35499999999956 slippage_sweep: -0.2450000000008 sweep_residual: 0 sweep_to_fill: 5362.725 total_dollar: 268124 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 31.380768818846 worst_opt_t_minutes: 1.490065792586
2025-04-17 02:44:46	EP	SIM:ESM5	Sell	50	1.1150	0.2900	5,361.5000	5,360.3750	5,360.3850	5,360.6750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.5 avg_total: 5360.385 curr_cost_per_share: 0.78289473684211 curr_half_min_move: 0.59201058570122 curr_liq_cost: 29.75 curr_opt_t_minutes: 0 daily_vol_normal: 56.311961154753 destination_price: 5360.375 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.825 init_drift: 0 init_half_min_move: 0.59161804231304 init_liq_cost: 33 init_min_duration: 0 init_opt_t_minutes: 1.9445766971416 init_vol_normal: 56.274622484532 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: 17.042 slip_toler: 0 slippage: 1.1149999999998 slippage_sweep: 0.28999999999996 sweep_residual: 10 sweep_to_fill: 5360.675 total_dollar: 268019.25 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.377111130801 worst_opt_t_minutes: 0
2025-04-17 02:43:41	EP	SIM:ESM5	Sell	50	-0.0700	-0.8300	5,360.3750	5,360.8750	5,360.4450	5,359.6150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5360.375 avg_total: 5360.445 curr_cost_per_share: 0.81770833333333 curr_half_min_move: 0.59123108573628 curr_liq_cost: 39.25 curr_opt_t_minutes: 0.80557725544113 daily_vol_normal: 56.237815231004 destination_price: 5360.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76 init_drift: 0 init_half_min_move: 0.59100323133833 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 1.6536647682131 init_vol_normal: 56.216141753678 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 26 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 49.068 slip_toler: 0 slippage: -0.069999999999709 slippage_sweep: -0.82999999999993 sweep_residual: 0 sweep_to_fill: 5359.615 total_dollar: 268022.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.370527292319 worst_opt_t_minutes: 2.58893078519
2025-04-17 02:40:59	EP	SIM:ESM5	Sell	50	0.0550	-0.6325	5,359.3750	5,359.8750	5,359.3200	5,358.6875	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.375 avg_total: 5359.32 curr_cost_per_share: 0.755 curr_half_min_move: 0.59012866884797 curr_liq_cost: 37.75 curr_opt_t_minutes: 0.6146359511477 daily_vol_normal: 56.132953496281 destination_price: 5359.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6875 init_drift: 0 init_half_min_move: 0.58979057669905 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 1.358781878478 init_vol_normal: 56.100794220051 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 37.551 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.63249999999971 sweep_residual: 6 sweep_to_fill: 5358.6875 total_dollar: 267966 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.364674991445 worst_opt_t_minutes: 1.9686665558034
2025-04-17 02:40:05	EP	SIM:ESM5	Buy	50	-0.1600	-0.9200	5,361.1250	5,360.3750	5,360.9650	5,361.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.125 avg_total: 5360.965 curr_cost_per_share: 0.73863636363636 curr_half_min_move: 0.58984405896594 curr_liq_cost: 32.5 curr_opt_t_minutes: 0 daily_vol_normal: 56.105881445531 destination_price: 5360.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76 init_drift: 0 init_half_min_move: 0.58966691477459 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 1.6611684064093 init_vol_normal: 56.08903151571 last_aggressive_qty: 1 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.761 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.92000000000007 sweep_residual: 0 sweep_to_fill: 5361.885 total_dollar: 268048.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.374916517973 worst_opt_t_minutes: 0
2025-04-17 02:38:23	EP	SIM:ESM5	Sell	50	-0.1650	-0.8998	5,361.6250	5,362.7500	5,361.7900	5,360.8902	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.625 avg_total: 5361.79 curr_cost_per_share: 0.615 curr_half_min_move: 0.58954332094285 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 56.077275288338 destination_price: 5362.75 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73475609756098 init_drift: 0 init_half_min_move: 0.58910521572864 init_liq_cost: 30.125 init_min_duration: 0 init_opt_t_minutes: 1.5556097699042 init_vol_normal: 56.035602783826 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.661 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.89975609756129 sweep_residual: 9 sweep_to_fill: 5360.8902439024 total_dollar: 268089.5 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 31.37784266841 worst_opt_t_minutes: 0
2025-04-17 02:37:41	EP	SIM:ESM5	Buy	50	-0.5900	-1.3100	5,363.3750	5,362.5000	5,362.7850	5,364.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5363.375 avg_total: 5362.785 curr_cost_per_share: 0.64 curr_half_min_move: 0.58910689855558 curr_liq_cost: 32 curr_opt_t_minutes: 0 daily_vol_normal: 56.035762854081 destination_price: 5362.5 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.72 init_drift: 0 init_half_min_move: 0.5890497327764 init_liq_cost: 36 init_min_duration: 0 init_opt_t_minutes: 1.4940360136465 init_vol_normal: 56.030325253446 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.124 slip_toler: 0 slippage: -0.59000000000015 slippage_sweep: -1.3100000000004 sweep_residual: 0 sweep_to_fill: 5364.095 total_dollar: 268139.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.388084194938 worst_opt_t_minutes: 0
2025-04-17 02:36:30	EP	SIM:ESM5	Sell	50	0.4900	-0.2520	5,364.3750	5,363.8750	5,363.8850	5,363.6330	Diagnostics Diagnostics algo_status: 4 arrival_price: 5364.375 avg_total: 5363.885 curr_cost_per_share: 0.72 curr_half_min_move: 0.58885751885751 curr_liq_cost: 36 curr_opt_t_minutes: 0.51825290957759 daily_vol_normal: 56.012041893324 destination_price: 5363.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.74202127659574 init_drift: 0 init_half_min_move: 0.58834256954039 init_liq_cost: 34.875 init_min_duration: 0 init_opt_t_minutes: 1.5906409938902 init_vol_normal: 55.963059988875 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 57.404 slip_toler: 0 slippage: 0.48999999999978 slippage_sweep: -0.25202127659577 sweep_residual: 3 sweep_to_fill: 5363.6329787234 total_dollar: 268194.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.393936495811 worst_opt_t_minutes: 1.6497305166537
2025-04-17 02:35:20	EP	SIM:ESM5	Buy	50	-1.3600	-2.0350	5,365.6250	5,362.7500	5,364.2650	5,366.3000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5365.625 avg_total: 5364.265 curr_cost_per_share: 0.72 curr_half_min_move: 0.58790966296033 curr_liq_cost: 36 curr_opt_t_minutes: 0 daily_vol_normal: 55.921881977689 destination_price: 5362.75 drift: 2.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.675 init_drift: 0 init_half_min_move: 0.58731150097993 init_liq_cost: 33.75 init_min_duration: 0 init_opt_t_minutes: 1.3209018083383 init_vol_normal: 55.864984896761 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.327 slip_toler: 0 slippage: -1.3599999999997 slippage_sweep: -2.0349999999999 sweep_residual: 0 sweep_to_fill: 5366.3 total_dollar: 268213.25 total_drift: 2.875 total_filled: 50 total_sent: 50 total_vol: 31.401251871902 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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