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
2025-04-20 17:23:58	EP	SIM:ESM5	Sell	50	-0.8300	-1.6336	5,284.7500	5,285.8750	5,285.5800	5,283.9464	Diagnostics Diagnostics algo_status: 4 arrival_price: 5284.75 avg_total: 5285.58 curr_cost_per_share: 0.91666666666667 curr_half_min_move: 0.40452619722727 curr_liq_cost: 27.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.478473281622 destination_price: 5285.875 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.80357142857143 init_drift: 0 init_half_min_move: 0.40350695799443 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 3.96594710428 init_vol_normal: 38.381523393439 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.884 slip_toler: 0 slippage: -0.82999999999993 slippage_sweep: -1.6335714285715 sweep_residual: 22 sweep_to_fill: 5283.9464285714 total_dollar: 264279 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 55.323291498173 worst_opt_t_minutes: 0
2025-04-20 17:22:46	EP	SIM:ESM5	Sell	50	-0.6850	-1.4791	5,286.2500	5,287.5000	5,286.9350	5,285.4559	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.25 avg_total: 5286.935 curr_cost_per_share: 0.67045454545455 curr_half_min_move: 0.40216004067675 curr_liq_cost: 14.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.253404813292 destination_price: 5287.5 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79411764705882 init_drift: 0 init_half_min_move: 0.40183999008981 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 3.9053807868731 init_vol_normal: 38.222961647824 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.516 slip_toler: 0 slippage: -0.6850000000004 slippage_sweep: -1.479117647059 sweep_residual: 16 sweep_to_fill: 5285.4558823529 total_dollar: 264346.75 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 55.33899421585 worst_opt_t_minutes: 0
2025-04-20 17:22:05	EP	SIM:ESM5	Buy	50	-0.0300	-0.9050	5,288.2500	5,288.3750	5,288.2200	5,289.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5288.25 avg_total: 5288.22 curr_cost_per_share: 0.6875 curr_half_min_move: 0.40162653726347 curr_liq_cost: 16.5 curr_opt_t_minutes: 2.4062382312437 daily_vol_normal: 38.202658045903 destination_price: 5288.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.875 init_drift: 0 init_half_min_move: 0.4007548273491 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 4.7671474078563 init_vol_normal: 38.119741125122 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 76.074 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.90499999999975 sweep_residual: 20 sweep_to_fill: 5289.125 total_dollar: 264411 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 55.359931172754 worst_opt_t_minutes: 1.1458682918808
2025-04-20 17:19:10	EP	SIM:ESM5	Sell	50	1.0700	0.3427	5,289.1250	5,288.5000	5,288.0550	5,288.3977	Diagnostics Diagnostics algo_status: 4 arrival_price: 5289.125 avg_total: 5288.055 curr_cost_per_share: 0.65178571428571 curr_half_min_move: 0.39995842490746 curr_liq_cost: 18.25 curr_opt_t_minutes: 0.25682438379189 daily_vol_normal: 38.043987440237 destination_price: 5288.5 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.72727272727273 init_drift: 0 init_half_min_move: 0.399422498847 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 3.3153513093936 init_vol_normal: 37.993010231 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.631 slip_toler: 0 slippage: 1.0699999999997 slippage_sweep: 0.34272727272673 sweep_residual: 28 sweep_to_fill: 5288.3977272727 total_dollar: 264402.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 55.369091091399 worst_opt_t_minutes: 0.12124770450199
2025-04-20 17:18:30	EP	SIM:ESM5	Buy	50	1.0100	0.2725	5,286.5000	5,287.5000	5,287.5100	5,287.2375	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.5 avg_total: 5287.51 curr_cost_per_share: 0.77604166666667 curr_half_min_move: 0.3990383059482 curr_liq_cost: 37.25 curr_opt_t_minutes: 0 daily_vol_normal: 37.956465858119 destination_price: 5287.5 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.7375 init_drift: 0 init_half_min_move: 0.39893009043977 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 3.4176726140682 init_vol_normal: 37.946172414633 last_aggressive_qty: 9 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: 19.667 slip_toler: 0 slippage: 1.0100000000002 slippage_sweep: 0.27250000000004 sweep_residual: 30 sweep_to_fill: 5287.2375 total_dollar: 264375.5 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 55.341611335463 worst_opt_t_minutes: 0
2025-04-20 17:15:46	EP	SIM:ESM5	Sell	50	0.0000	-0.6588	5,286.6250	5,287.5000	5,286.6250	5,285.9662	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.625 avg_total: 5286.625 curr_cost_per_share: 0.71052631578947 curr_half_min_move: 0.39690250028756 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 37.753308333066 destination_price: 5287.5 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65878378378378 init_drift: 0 init_half_min_move: 0.39594644589415 init_liq_cost: 24.375 init_min_duration: 0 init_opt_t_minutes: 2.768298405798 init_vol_normal: 37.662368577657 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 52.548 slip_toler: 0 slippage: 0 slippage_sweep: -0.6587837837842 sweep_residual: 13 sweep_to_fill: 5285.9662162162 total_dollar: 264331.25 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 55.34291989527 worst_opt_t_minutes: 0
2025-04-20 17:13:32	EP	SIM:ESM5	Sell	50	1.1000	0.3438	5,288.2500	5,286.6250	5,287.1500	5,287.4938	Diagnostics Diagnostics algo_status: 4 arrival_price: 5288.25 avg_total: 5287.15 curr_cost_per_share: 0.78125 curr_half_min_move: 0.39552467925546 curr_liq_cost: 31.25 curr_opt_t_minutes: 0 daily_vol_normal: 37.62225019608 destination_price: 5286.625 drift: -1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75625 init_drift: 0 init_half_min_move: 0.39484291729204 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 3.668445498927 init_vol_normal: 37.557401096878 last_aggressive_qty: 14 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: 16.114 slip_toler: 0 slippage: 1.1000000000004 slippage_sweep: 0.34375 sweep_residual: 10 sweep_to_fill: 5287.49375 total_dollar: 264357.5 total_drift: -1.625 total_filled: 50 total_sent: 50 total_vol: 55.359931172754 worst_opt_t_minutes: 0
2025-04-20 17:12:45	EP	SIM:ESM5	Buy	50	1.3900	0.5377	5,285.5000	5,286.6250	5,286.8900	5,286.3523	Diagnostics Diagnostics algo_status: 4 arrival_price: 5285.5 avg_total: 5286.89 curr_cost_per_share: 0.625 curr_half_min_move: 0.39403575424608 curr_liq_cost: 15.625 curr_opt_t_minutes: 0 daily_vol_normal: 37.48062386487 destination_price: 5286.625 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.85227272727273 init_drift: 0 init_half_min_move: 0.39375961694146 init_liq_cost: 18.75 init_min_duration: 0 init_opt_t_minutes: 4.6848407724414 init_vol_normal: 37.454357724455 last_aggressive_qty: 9 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: 11.279 slip_toler: 0 slippage: 1.3900000000003 slippage_sweep: 0.53772727272735 sweep_residual: 28 sweep_to_fill: 5286.3522727273 total_dollar: 264344.5 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 55.331142857011 worst_opt_t_minutes: 0
2025-04-20 17:11:43	EP	SIM:ESM5	Sell	50	-1.1150	-1.8962	5,281.5000	5,283.8750	5,282.6150	5,280.7188	Diagnostics Diagnostics algo_status: 4 arrival_price: 5281.5 avg_total: 5282.615 curr_cost_per_share: 0.65625 curr_half_min_move: 0.39195722204311 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 37.282914182815 destination_price: 5283.875 drift: -2.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78125 init_drift: 0 init_half_min_move: 0.39162004145541 init_liq_cost: 18.75 init_min_duration: 0 init_opt_t_minutes: 3.9796991525928 init_vol_normal: 37.250841614156 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: 14.727 slip_toler: 0 slippage: -1.1149999999998 slippage_sweep: -1.8962499999998 sweep_residual: 26 sweep_to_fill: 5280.71875 total_dollar: 264130.75 total_drift: -2.375 total_filled: 50 total_sent: 50 total_vol: 55.289268943204 worst_opt_t_minutes: 0
2025-04-20 17:11:07	EP	SIM:ESM5	Buy	50	-0.7550	-1.7050	5,280.8750	5,279.5000	5,280.1200	5,281.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5280.875 avg_total: 5280.12 curr_cost_per_share: 0.77 curr_half_min_move: 0.39120523878131 curr_liq_cost: 38.5 curr_opt_t_minutes: 0 daily_vol_normal: 37.211385643882 destination_price: 5279.5 drift: 1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.95 init_drift: 0 init_half_min_move: 0.39007119429904 init_liq_cost: 47.5 init_min_duration: 0 init_opt_t_minutes: 5.9314305613659 init_vol_normal: 37.103515497004 last_aggressive_qty: 6 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.673 slip_toler: 0 slippage: -0.75500000000011 slippage_sweep: -1.7049999999999 sweep_residual: 0 sweep_to_fill: 5281.825 total_dollar: 264006 total_drift: 1.375 total_filled: 50 total_sent: 50 total_vol: 55.282726144172 worst_opt_t_minutes: 0
2025-04-20 17:09:26	EP	SIM:ESM5	Buy	50	-0.6950	-1.4450	5,288.2500	5,287.2500	5,287.5550	5,289.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5288.25 avg_total: 5287.555 curr_cost_per_share: 0.61842105263158 curr_half_min_move: 0.38527253147598 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 36.647067384396 destination_price: 5287.25 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75 init_drift: 0 init_half_min_move: 0.38498099737522 init_liq_cost: 33 init_min_duration: 0 init_opt_t_minutes: 3.7952810339799 init_vol_normal: 36.619336702963 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.136 slip_toler: 0 slippage: -0.69499999999971 slippage_sweep: -1.4449999999997 sweep_residual: 6 sweep_to_fill: 5289 total_dollar: 264377.75 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 55.359931172754 worst_opt_t_minutes: 0
2025-04-20 17:08:17	EP	SIM:ESM5	Sell	50	1.6300	0.7967	5,287.0000	5,286.0000	5,285.3700	5,286.1667	Diagnostics Diagnostics algo_status: 4 arrival_price: 5287 avg_total: 5285.37 curr_cost_per_share: 0.70238095238095 curr_half_min_move: 0.38343365591556 curr_liq_cost: 14.75 curr_opt_t_minutes: 0 daily_vol_normal: 36.472153807464 destination_price: 5286 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.83333333333333 init_drift: 0 init_half_min_move: 0.38072153088085 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 4.7909609575133 init_vol_normal: 36.214176867034 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.641 slip_toler: 0 slippage: 1.6300000000001 slippage_sweep: 0.79666666666708 sweep_residual: 35 sweep_to_fill: 5286.1666666667 total_dollar: 264268.5 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 55.346845574689 worst_opt_t_minutes: 0
2025-04-20 17:06:21	EP	SIM:ESM5	Sell	50	1.1950	0.5533	5,288.7500	5,287.6250	5,287.5550	5,288.1083	Diagnostics Diagnostics algo_status: 4 arrival_price: 5288.75 avg_total: 5287.555 curr_cost_per_share: 1.0480769230769 curr_half_min_move: 0.37599616885165 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 35.764701115321 destination_price: 5287.625 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64166666666667 init_drift: 0 init_half_min_move: 0.37574113501763 init_liq_cost: 19.25 init_min_duration: 0 init_opt_t_minutes: 2.9163622794763 init_vol_normal: 35.740442333972 last_aggressive_qty: 1 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.581 slip_toler: 0 slippage: 1.1949999999997 slippage_sweep: 0.55333333333328 sweep_residual: 20 sweep_to_fill: 5288.1083333333 total_dollar: 264377.75 total_drift: -1.125 total_filled: 50 total_sent: 50 total_vol: 55.36516541198 worst_opt_t_minutes: 0
2025-04-20 17:05:47	EP	SIM:ESM5	Buy	50	1.3150	0.5531	5,286.5000	5,287.5000	5,287.8150	5,287.2619	Diagnostics Diagnostics algo_status: 4 arrival_price: 5286.5 avg_total: 5287.815 curr_cost_per_share: 0.875 curr_half_min_move: 0.37405018143231 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 35.579599073884 destination_price: 5287.5 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76190476190476 init_drift: 0 init_half_min_move: 0.37328532221501 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 4.1660027157143 init_vol_normal: 35.506845775929 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.534 slip_toler: 0 slippage: 1.3149999999996 slippage_sweep: 0.55309523809501 sweep_residual: 29 sweep_to_fill: 5287.2619047619 total_dollar: 264390.75 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 55.341611335463 worst_opt_t_minutes: 0
2025-04-20 17:04:47	EP	SIM:ESM5	Sell	50	-0.1650	-1.1025	5,293.2500	5,292.5000	5,293.4150	5,292.3125	Diagnostics Diagnostics algo_status: 4 arrival_price: 5293.25 avg_total: 5293.415 curr_cost_per_share: 0.81060606060606 curr_half_min_move: 0.37200869681222 curr_liq_cost: 26.75 curr_opt_t_minutes: 0.63349168796229 daily_vol_normal: 35.385413352545 destination_price: 5292.5 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.9375 init_drift: 0 init_half_min_move: 0.37063690532294 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 6.398014658564 init_vol_normal: 35.254928744799 last_aggressive_qty: 5 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: 33.697 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -1.1025 sweep_residual: 26 sweep_to_fill: 5292.3125 total_dollar: 264670.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 55.412273565013 worst_opt_t_minutes: 0.25833159651794

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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