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
2025-06-02 13:33:48	EP	SIM:ESM5	Buy	50	0.2450	-0.0950	5,935.8750	5,936.3750	5,936.1200	5,936.2150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.875 avg_total: 5936.12 curr_cost_per_share: 0.135 curr_half_min_move: 0.40295882444222 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.22473537991697 daily_vol_normal: 38.329385009354 destination_price: 5936.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.40295882444222 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.71192868576211 init_vol_normal: 38.329385009354 last_aggressive_qty: 17 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.745 slip_toler: 0 slippage: 0.24499999999989 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5936.215 total_dollar: 296806 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.329385009354 worst_opt_t_minutes: 0.22473537991697
2025-06-02 13:33:03	EP	SIM:ESM5	Sell	50	0.0150	-0.1750	5,936.3750	5,936.6250	5,936.3600	5,936.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.36 curr_cost_per_share: 0.25 curr_half_min_move: 0.40299276710648 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.332613630661 destination_price: 5936.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22228630096564 init_vol_normal: 38.332613630661 last_aggressive_qty: last_tactical_qty: 40 level_tactical_limit: mbo_max: mbo_min: model_size: 40 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.335 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.17499999999927 sweep_residual: 0 sweep_to_fill: 5936.185 total_dollar: 296818 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0
2025-06-02 13:32:57	EP	SIM:ESM5	Buy	50	-0.0150	-0.2350	5,936.6250	5,936.3750	5,936.6100	5,936.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.61 curr_cost_per_share: 0.215 curr_half_min_move: 0.40300973843861 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.334227941315 destination_price: 5936.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40300973843861 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29799863878439 init_vol_normal: 38.334227941315 last_aggressive_qty: last_tactical_qty: 28 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.291 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.23500000000058 sweep_residual: 0 sweep_to_fill: 5936.845 total_dollar: 296830.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0
2025-06-02 13:32:24	EP	SIM:ESM5	Sell	50	0.0300	-0.1800	5,937.1250	5,937.3750	5,937.0950	5,936.9150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.125 avg_total: 5937.095 curr_cost_per_share: 0.23 curr_half_min_move: 0.40304368110287 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.337456562623 destination_price: 5937.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40304368110287 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27147782186195 init_vol_normal: 38.337456562623 last_aggressive_qty: 15 last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.393 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.18000000000029 sweep_residual: 0 sweep_to_fill: 5936.915 total_dollar: 296854.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.337456562623 worst_opt_t_minutes: 0
2025-06-02 13:32:17	EP	SIM:ESM5	Buy	50	0.1400	-0.1650	5,937.1250	5,937.1250	5,937.2650	5,937.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.125 avg_total: 5937.265 curr_cost_per_share: 0.125 curr_half_min_move: 0.40304368110287 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.09618686999077 daily_vol_normal: 38.337456562623 destination_price: 5937.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.40304368110287 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.57265814917705 init_vol_normal: 38.337456562623 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.238 slip_toler: 0 slippage: 0.14000000000033 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5937.43 total_dollar: 296863.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.337456562623 worst_opt_t_minutes: 0.09618686999077
2025-06-02 13:31:41	EP	SIM:ESM5	Sell	50	0.2800	0.1550	5,936.1250	5,935.8750	5,935.8450	5,936.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5935.845 curr_cost_per_share: 0.125 curr_half_min_move: 0.40297579577435 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20098806908483 daily_vol_normal: 38.330999320008 destination_price: 5935.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40297579577435 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096219280013071 init_vol_normal: 38.330999320008 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.216 slip_toler: 0 slippage: 0.27999999999975 slippage_sweep: 0.15499999999975 sweep_residual: 0 sweep_to_fill: 5936 total_dollar: 296792.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0.20098806908483
2025-06-02 13:31:27	EP	SIM:ESM5	Buy	50	0.1100	-0.0150	5,936.3750	5,936.3750	5,936.4850	5,936.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.485 curr_cost_per_share: 0.125 curr_half_min_move: 0.40299276710648 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096211175971972 daily_vol_normal: 38.332613630661 destination_price: 5936.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096211175971972 init_vol_normal: 38.332613630661 last_aggressive_qty: last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.186 slip_toler: 0 slippage: 0.10999999999967 slippage_sweep: -0.015000000000327 sweep_residual: 0 sweep_to_fill: 5936.5 total_dollar: 296824.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0.096211175971972
2025-06-02 13:30:47	EP	SIM:ESM5	Sell	50	0.2050	-0.0400	5,936.3750	5,936.1250	5,936.1700	5,936.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.17 curr_cost_per_share: 0.125 curr_half_min_move: 0.40299276710648 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2009711409227 daily_vol_normal: 38.332613630661 destination_price: 5936.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.36960485361393 init_vol_normal: 38.332613630661 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.69 slip_toler: 0 slippage: 0.20499999999993 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 5936.13 total_dollar: 296808.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0.2009711409227
2025-06-02 13:30:32	EP	SIM:ESM5	Buy	50	-0.1050	-0.2300	5,936.6250	5,936.3750	5,936.5200	5,936.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.52 curr_cost_per_share: 0.18 curr_half_min_move: 0.40300973843861 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 38.334227941315 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: 0.40300973843861 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09620307295467 init_vol_normal: 38.334227941315 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.116 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.22999999999956 sweep_residual: 0 sweep_to_fill: 5936.75 total_dollar: 296826 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 worst_opt_t_minutes: 0
2025-06-02 13:29:59	EP	SIM:ESM5	Sell	50	-0.2150	-0.4050	5,935.3750	5,935.8750	5,935.5900	5,935.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.375 avg_total: 5935.59 curr_cost_per_share: 0.255 curr_half_min_move: 0.40292488177796 curr_liq_cost: 12.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.326156388046 destination_price: 5935.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40292488177796 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22236120946814 init_vol_normal: 38.326156388046 last_aggressive_qty: last_tactical_qty: 44 level_tactical_limit: mbo_max: mbo_min: model_size: 44 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.322 slip_toler: 0 slippage: -0.21500000000015 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 5935.185 total_dollar: 296779.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.326156388046 worst_opt_t_minutes: 0
2025-06-02 13:29:57	EP	SIM:ESM5	Buy	50	-0.1100	-0.3100	5,935.6250	5,935.3750	5,935.5150	5,935.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.625 avg_total: 5935.515 curr_cost_per_share: 0.195 curr_half_min_move: 0.40294185311009 curr_liq_cost: 9.75 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: 0.2 init_drift: 0 init_half_min_move: 0.40294185311009 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24636285738842 init_vol_normal: 38.3277706987 last_aggressive_qty: last_tactical_qty: 34 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.334 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.30999999999949 sweep_residual: 0 sweep_to_fill: 5935.825 total_dollar: 296775.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.3277706987 worst_opt_t_minutes: 0
2025-06-02 13:29:21	EP	SIM:ESM5	Sell	50	-0.1200	-0.3150	5,935.8750	5,936.1250	5,935.9950	5,935.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.875 avg_total: 5935.995 curr_cost_per_share: 0.125 curr_half_min_move: 0.40295882444222 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.329385009354 destination_price: 5936.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40295882444222 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23417896432616 init_vol_normal: 38.329385009354 last_aggressive_qty: 35 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.109 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.3149999999996 sweep_residual: 0 sweep_to_fill: 5935.68 total_dollar: 296799.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.329385009354 worst_opt_t_minutes: 0
2025-06-02 13:29:20	EP	SIM:ESM5	Buy	50	0.5800	0.4300	5,934.8750	5,935.8750	5,935.4550	5,935.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.875 avg_total: 5935.455 curr_cost_per_share: 0.125 curr_half_min_move: 0.4028909391137 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20107274198657 daily_vol_normal: 38.322927766738 destination_price: 5935.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.4028909391137 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13861413443746 init_vol_normal: 38.322927766738 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.258 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: 0.43000000000029 sweep_residual: 0 sweep_to_fill: 5935.025 total_dollar: 296772.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.322927766738 worst_opt_t_minutes: 0.20107274198657
2025-06-02 13:28:37	EP	SIM:ESM5	Sell	50	-0.0450	-0.3800	5,934.8750	5,935.1250	5,934.9200	5,934.5400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.875 avg_total: 5934.92 curr_cost_per_share: 0.25 curr_half_min_move: 0.4028909391137 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.322927766738 destination_price: 5935.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.4028909391137 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.69137649943307 init_vol_normal: 38.322927766738 last_aggressive_qty: 7 last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.508 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 5934.54 total_dollar: 296746 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.322927766738 worst_opt_t_minutes: 0
2025-06-02 13:28:32	EP	SIM:ESM5	Buy	50	0.4500	0.3250	5,934.1250	5,934.8750	5,934.5750	5,934.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.125 avg_total: 5934.575 curr_cost_per_share: 0.125 curr_half_min_move: 0.4028400251173 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20112357141346 daily_vol_normal: 38.318084834777 destination_price: 5934.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.4028400251173 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096284149219285 init_vol_normal: 38.318084834777 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.256 slip_toler: 0 slippage: 0.44999999999982 slippage_sweep: 0.32499999999982 sweep_residual: 0 sweep_to_fill: 5934.25 total_dollar: 296728.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.318084834777 worst_opt_t_minutes: 0.20112357141346

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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