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 02:34:09	EP	SIM:ESM5	Sell	50	0.5750	-0.0700	5,366.1250	5,365.6250	5,365.5500	5,365.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5366.125 avg_total: 5365.55 curr_cost_per_share: 0.465 curr_half_min_move: 0.58700443091359 curr_liq_cost: 23.25 curr_opt_t_minutes: 0 daily_vol_normal: 55.835776436532 destination_price: 5365.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.645 init_drift: 0 init_half_min_move: 0.58680140798229 init_liq_cost: 32.25 init_min_duration: 0 init_opt_t_minutes: 1.2081952801617 init_vol_normal: 55.816464924716 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: 18.171 slip_toler: 0 slippage: 0.57499999999982 slippage_sweep: -0.070000000000618 sweep_residual: 0 sweep_to_fill: 5365.48 total_dollar: 268277.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.404178022339 worst_opt_t_minutes: 0
2025-04-17 02:33:26	EP	SIM:ESM5	Buy	50	0.5450	-0.2050	5,366.2500	5,366.7500	5,366.7950	5,367.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5366.25 avg_total: 5366.795 curr_cost_per_share: 0.645 curr_half_min_move: 0.58669441520633 curr_liq_cost: 32.25 curr_opt_t_minutes: 0.33141448041635 daily_vol_normal: 55.806287787366 destination_price: 5366.75 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75 init_drift: 0 init_half_min_move: 0.58654134361689 init_liq_cost: 37.5 init_min_duration: 0 init_opt_t_minutes: 1.6350282747778 init_vol_normal: 55.791727639952 last_aggressive_qty: 10 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.588 slip_toler: 0 slippage: 0.54500000000007 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5367 total_dollar: 268339.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 31.404909559948 worst_opt_t_minutes: 1.0465082458475
2025-04-17 02:31:51	EP	SIM:ESM5	Sell	50	0.9400	0.1602	5,369.1250	5,368.1250	5,368.1850	5,368.3452	Diagnostics Diagnostics algo_status: 4 arrival_price: 5369.125 avg_total: 5368.185 curr_cost_per_share: 0.715 curr_half_min_move: 0.5863930515147 curr_liq_cost: 35.75 curr_opt_t_minutes: 0 daily_vol_normal: 55.777622116673 destination_price: 5368.125 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.7797619047619 init_drift: 0 init_half_min_move: 0.58611020297139 init_liq_cost: 32.75 init_min_duration: 0 init_opt_t_minutes: 1.7699682036978 init_vol_normal: 55.750717604206 last_aggressive_qty: 6 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.838 slip_toler: 0 slippage: 0.9399999999996 slippage_sweep: 0.16023809523813 sweep_residual: 8 sweep_to_fill: 5368.3452380952 total_dollar: 268409.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.421734924958 worst_opt_t_minutes: 0
2025-04-17 02:31:18	EP	SIM:ESM5	Buy	50	-0.7100	-1.5100	5,368.8750	5,367.7500	5,368.1650	5,369.6750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5368.875 avg_total: 5368.165 curr_cost_per_share: 0.86842105263158 curr_half_min_move: 0.58578518679678 curr_liq_cost: 33 curr_opt_t_minutes: 0 daily_vol_normal: 55.719802112758 destination_price: 5367.75 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.8 init_drift: 0 init_half_min_move: 0.58562149323247 init_liq_cost: 40 init_min_duration: 0 init_opt_t_minutes: 1.8661474629591 init_vol_normal: 55.704231604633 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.883 slip_toler: 0 slippage: -0.71000000000004 slippage_sweep: -1.5100000000002 sweep_residual: 0 sweep_to_fill: 5369.675 total_dollar: 268408.25 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 31.420271849739 worst_opt_t_minutes: 0
2025-04-17 02:29:55	EP	SIM:ESM5	Sell	50	1.2150	0.3608	5,369.7500	5,368.8750	5,368.5350	5,368.8958	Diagnostics Diagnostics algo_status: 4 arrival_price: 5369.75 avg_total: 5368.535 curr_cost_per_share: 0.785 curr_half_min_move: 0.58501902069061 curr_liq_cost: 39.25 curr_opt_t_minutes: 0 daily_vol_normal: 55.646924503724 destination_price: 5368.875 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.85416666666667 init_drift: 0 init_half_min_move: 0.5848477620069 init_liq_cost: 41 init_min_duration: 0 init_opt_t_minutes: 2.1330428206394 init_vol_normal: 55.630634402538 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.541 slip_toler: 0 slippage: 1.2150000000001 slippage_sweep: 0.36083333333318 sweep_residual: 2 sweep_to_fill: 5368.8958333333 total_dollar: 268426.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 31.425392613003 worst_opt_t_minutes: 0
2025-04-17 02:29:31	EP	SIM:ESM5	Buy	50	0.2250	-0.4350	5,369.7500	5,370.7500	5,369.9750	5,370.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5369.75 avg_total: 5369.975 curr_cost_per_share: 0.655 curr_half_min_move: 0.58466470023804 curr_liq_cost: 32.75 curr_opt_t_minutes: 0 daily_vol_normal: 55.613221593601 destination_price: 5370.75 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66 init_drift: 0 init_half_min_move: 0.58407801336507 init_liq_cost: 33 init_min_duration: 0 init_opt_t_minutes: 1.2768684452806 init_vol_normal: 55.55741602323 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.9 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: -0.43499999999949 sweep_residual: 0 sweep_to_fill: 5370.41 total_dollar: 268498.75 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 31.425392613003 worst_opt_t_minutes: 0
2025-04-17 02:27:59	EP	SIM:ESM5	Sell	50	0.9150	0.0959	5,365.2500	5,365.8750	5,364.3350	5,364.4309	Diagnostics Diagnostics algo_status: 4 arrival_price: 5365.25 avg_total: 5364.335 curr_cost_per_share: 0.79642857142857 curr_half_min_move: 0.58249158026006 curr_liq_cost: 27.875 curr_opt_t_minutes: 0.49649759258742 daily_vol_normal: 55.406514736089 destination_price: 5365.875 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.81914893617021 init_drift: 0 init_half_min_move: 0.58197250059329 init_liq_cost: 38.5 init_min_duration: 0 init_opt_t_minutes: 1.9811657688228 init_vol_normal: 55.357139953378 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 38.542 slip_toler: 0 slippage: 0.91499999999996 slippage_sweep: 0.095851063830196 sweep_residual: 3 sweep_to_fill: 5364.4308510638 total_dollar: 268216.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 31.399057259075 worst_opt_t_minutes: 1.545986133266
2025-04-17 02:26:50	EP	SIM:ESM5	Buy	50	0.2000	-0.5036	5,363.8750	5,364.3750	5,364.0750	5,364.5786	Diagnostics Diagnostics algo_status: 4 arrival_price: 5363.875 avg_total: 5364.075 curr_cost_per_share: 0.71 curr_half_min_move: 0.58156809554335 curr_liq_cost: 35.5 curr_opt_t_minutes: 0.50361093206954 daily_vol_normal: 55.318673003609 destination_price: 5364.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.70357142857143 init_drift: 0 init_half_min_move: 0.58110020054751 init_liq_cost: 24.625 init_min_duration: 0 init_opt_t_minutes: 1.4659337342534 init_vol_normal: 55.274166899382 last_aggressive_qty: 5 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 43.803 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.50357142857138 sweep_residual: 15 sweep_to_fill: 5364.5785714286 total_dollar: 268203.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 31.391010345374 worst_opt_t_minutes: 1.5639687391162
2025-04-17 02:25:10	EP	SIM:ESM5	Sell	50	-0.5250	-1.2788	5,361.3750	5,362.3750	5,361.9000	5,360.6212	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.375 avg_total: 5361.9 curr_cost_per_share: 0.72383720930233 curr_half_min_move: 0.57976944639801 curr_liq_cost: 31.125 curr_opt_t_minutes: 0 daily_vol_normal: 55.147585757452 destination_price: 5362.375 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75378787878788 init_drift: 0 init_half_min_move: 0.57926591441683 init_liq_cost: 24.875 init_min_duration: 0 init_opt_t_minutes: 1.6933329167309 init_vol_normal: 55.099689868342 last_aggressive_qty: 5 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: 23.896 slip_toler: 0 slippage: -0.52499999999964 slippage_sweep: -1.2787878787876 sweep_residual: 17 sweep_to_fill: 5360.6212121212 total_dollar: 268095 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.376379593192 worst_opt_t_minutes: 0
2025-04-17 02:24:02	EP	SIM:ESM5	Buy	50	-0.0650	-0.6200	5,361.3750	5,360.3750	5,361.3100	5,361.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5361.375 avg_total: 5361.31 curr_cost_per_share: 0.68895348837209 curr_half_min_move: 0.57881242285279 curr_liq_cost: 29.625 curr_opt_t_minutes: 0 daily_vol_normal: 55.056553816462 destination_price: 5360.375 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.5785945849437 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 0.92010467364055 init_vol_normal: 55.035833106106 last_aggressive_qty: 6 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.058 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.61999999999989 sweep_residual: 0 sweep_to_fill: 5361.93 total_dollar: 268065.5 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 31.376379593192 worst_opt_t_minutes: 0
2025-04-17 02:22:24	EP	SIM:ESM5	Sell	50	-0.1600	-0.9450	5,358.7500	5,359.7500	5,358.9100	5,357.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5358.75 avg_total: 5358.91 curr_cost_per_share: 0.88157894736842 curr_half_min_move: 0.57703393591302 curr_liq_cost: 33.5 curr_opt_t_minutes: 0 daily_vol_normal: 54.887384396379 destination_price: 5359.75 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.785 init_drift: 0 init_half_min_move: 0.5768094307885 init_liq_cost: 39.25 init_min_duration: 0 init_opt_t_minutes: 1.8521434008936 init_vol_normal: 54.866029501456 last_aggressive_qty: 7 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.497 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.94499999999971 sweep_residual: 0 sweep_to_fill: 5357.965 total_dollar: 267945.5 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.3610173034 worst_opt_t_minutes: 0
2025-04-17 02:21:26	EP	SIM:ESM5	Buy	50	0.9700	0.2900	5,359.8750	5,360.7500	5,360.8450	5,360.5550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5359.875 avg_total: 5360.845 curr_cost_per_share: 0.685 curr_half_min_move: 0.57630320123554 curr_liq_cost: 34.25 curr_opt_t_minutes: 0 daily_vol_normal: 54.817877019709 destination_price: 5360.75 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.68 init_drift: 0 init_half_min_move: 0.57513026185536 init_liq_cost: 34 init_min_duration: 0 init_opt_t_minutes: 1.3979298746306 init_vol_normal: 54.706307195775 last_aggressive_qty: 12 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.013 slip_toler: 0 slippage: 0.97000000000025 slippage_sweep: 0.28999999999996 sweep_residual: 0 sweep_to_fill: 5360.555 total_dollar: 268042.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.367601141882 worst_opt_t_minutes: 0
2025-04-17 02:20:19	EP	SIM:ESM5	Sell	50	1.5050	0.7250	5,364.0000	5,362.2500	5,362.4950	5,363.2200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5364 avg_total: 5362.495 curr_cost_per_share: 0.765 curr_half_min_move: 0.57412557081068 curr_liq_cost: 38.25 curr_opt_t_minutes: 0 daily_vol_normal: 54.610741129142 destination_price: 5362.25 drift: -1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78 init_drift: 0 init_half_min_move: 0.57341960564124 init_liq_cost: 39 init_min_duration: 0 init_opt_t_minutes: 1.8503084405553 init_vol_normal: 54.543589824489 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.197 slip_toler: 0 slippage: 1.5050000000001 slippage_sweep: 0.72500000000036 sweep_residual: 0 sweep_to_fill: 5363.22 total_dollar: 268124.75 total_drift: -1.75 total_filled: 50 total_sent: 50 total_vol: 31.391741882983 worst_opt_t_minutes: 0
2025-04-17 02:18:43	EP	SIM:ESM5	Sell	50	0.0550	-0.7079	5,368.8750	5,365.5000	5,368.8200	5,368.1121	Diagnostics Diagnostics algo_status: 4 arrival_price: 5368.875 avg_total: 5368.82 curr_cost_per_share: 0.815 curr_half_min_move: 0.56125144941564 curr_liq_cost: 40.75 curr_opt_t_minutes: 0 daily_vol_normal: 53.386156566959 destination_price: 5365.5 drift: -3.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76293103448276 init_drift: 0 init_half_min_move: 0.55950618517758 init_liq_cost: 22.125 init_min_duration: 0 init_opt_t_minutes: 1.8593484203966 init_vol_normal: 53.220147285449 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.537 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.7079310344825 sweep_residual: 21 sweep_to_fill: 5368.1120689655 total_dollar: 268441 total_drift: -3.375 total_filled: 50 total_sent: 50 total_vol: 31.420271849739 worst_opt_t_minutes: 0
2025-04-17 02:16:51	EP	SIM:ESM5	Buy	50	0.5450	-0.0500	5,352.2500	5,353.3750	5,352.7950	5,352.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.25 avg_total: 5352.795 curr_cost_per_share: 0.585 curr_half_min_move: 0.54619474475166 curr_liq_cost: 29.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.953965000397 destination_price: 5353.375 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.595 init_drift: 0 init_half_min_move: 0.54601924656804 init_liq_cost: 29.75 init_min_duration: 0 init_opt_t_minutes: 1.187457373871 init_vol_normal: 51.937271638593 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.326 slip_toler: 0 slippage: 0.54500000000007 slippage_sweep: -0.050000000000182 sweep_residual: 0 sweep_to_fill: 5352.845 total_dollar: 267639.75 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 31.322977347725 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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