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

Select Cost Model

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 13:27:44	EP	SIM:ESM5	Sell	50	0.1800	-0.0200	5,934.3750	5,934.3750	5,934.1950	5,934.1750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.375 avg_total: 5934.195 curr_cost_per_share: 0.13 curr_half_min_move: 0.40285699644944 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.10413216159929 daily_vol_normal: 38.319699145431 destination_price: 5934.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40285699644944 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24646665467288 init_vol_normal: 38.319699145431 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.332 slip_toler: 0 slippage: 0.18000000000029 slippage_sweep: -0.019999999999527 sweep_residual: 0 sweep_to_fill: 5934.175 total_dollar: 296709.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.319699145431 worst_opt_t_minutes: 0.10413216159929
2025-06-02 13:27:32	EP	SIM:ESM5	Buy	50	0.2900	0.1550	5,934.3750	5,934.6250	5,934.6650	5,934.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.375 avg_total: 5934.665 curr_cost_per_share: 0.125 curr_half_min_move: 0.40285699644944 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20110662612983 daily_vol_normal: 38.319699145431 destination_price: 5934.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40285699644944 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11229636953533 init_vol_normal: 38.319699145431 last_aggressive_qty: 9 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: 15.26 slip_toler: 0 slippage: 0.28999999999996 slippage_sweep: 0.15499999999975 sweep_residual: 0 sweep_to_fill: 5934.51 total_dollar: 296733.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.319699145431 worst_opt_t_minutes: 0.20110662612983
2025-06-02 13:26:45	EP	SIM:ESM5	Sell	50	0.4300	0.2500	5,935.6250	5,935.6250	5,935.1950	5,935.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.625 avg_total: 5935.195 curr_cost_per_share: 0.125 curr_half_min_move: 0.40294185311009 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096235491167352 daily_vol_normal: 38.3277706987 destination_price: 5935.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40294185311009 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.19955391448462 init_vol_normal: 38.3277706987 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: 12.307 slip_toler: 0 slippage: 0.43000000000029 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5935.445 total_dollar: 296759.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.3277706987 worst_opt_t_minutes: 0.096235491167352
2025-06-02 13:26:32	EP	SIM:ESM5	Buy	50	0.2200	0.0950	5,934.8750	5,935.6250	5,935.0950	5,935.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.875 avg_total: 5935.095 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: 5935.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.4028909391137 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.09625981558157 init_vol_normal: 38.322927766738 last_aggressive_qty: 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: 13.191 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: 0.095000000000255 sweep_residual: 0 sweep_to_fill: 5935 total_dollar: 296754.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.322927766738 worst_opt_t_minutes: 0.20107274198657
2025-06-02 13:25:48	EP	SIM:ESM5	Sell	50	-0.0500	-0.3300	5,934.8750	5,935.1250	5,934.9250	5,934.5950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.875 avg_total: 5934.925 curr_cost_per_share: 0.2 curr_half_min_move: 0.4028909391137 curr_liq_cost: 10 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: 0.28 init_drift: 0 init_half_min_move: 0.4028909391137 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48299325066208 init_vol_normal: 38.322927766738 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.345 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5934.595 total_dollar: 296746.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.322927766738 worst_opt_t_minutes: 0
2025-06-02 13:25:46	EP	SIM:ESM5	Buy	50	0.0650	-0.0800	5,935.1250	5,934.8750	5,935.1900	5,935.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.125 avg_total: 5935.19 curr_cost_per_share: 0.13 curr_half_min_move: 0.40290791044583 curr_liq_cost: 6.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.324542077392 destination_price: 5934.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40290791044583 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12951629615726 init_vol_normal: 38.324542077392 last_aggressive_qty: 2 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.299 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.080000000000837 sweep_residual: 0 sweep_to_fill: 5935.27 total_dollar: 296759.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.324542077392 worst_opt_t_minutes: 0
2025-06-02 13:25:07	EP	SIM:ESM5	Sell	50	-0.0900	-0.2150	5,933.1250	5,933.3750	5,933.2150	5,933.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.125 avg_total: 5933.215 curr_cost_per_share: 0.245 curr_half_min_move: 0.40277213978878 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.311627592162 destination_price: 5933.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40277213978878 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096316608425298 init_vol_normal: 38.311627592162 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.106 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 5933 total_dollar: 296660.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.311627592162 worst_opt_t_minutes: 0
2025-06-02 13:25:05	EP	SIM:ESM5	Buy	50	0.0500	-0.1400	5,933.3750	5,933.1250	5,933.4250	5,933.5650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.375 avg_total: 5933.425 curr_cost_per_share: 0.275 curr_half_min_move: 0.40278911112091 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.069778917607279 daily_vol_normal: 38.313241902815 destination_price: 5933.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40278911112091 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22251114011356 init_vol_normal: 38.313241902815 last_aggressive_qty: last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.547 slip_toler: 0 slippage: 0.050000000000182 slippage_sweep: -0.13999999999942 sweep_residual: 0 sweep_to_fill: 5933.565 total_dollar: 296671.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.313241902815 worst_opt_t_minutes: 0.069778917607279
2025-06-02 13:24:30	EP	SIM:ESM5	Sell	50	-0.1000	-0.2250	5,933.6250	5,933.8750	5,933.7250	5,933.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.625 avg_total: 5933.725 curr_cost_per_share: 0.135 curr_half_min_move: 0.40280608245304 curr_liq_cost: 6.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.314856213469 destination_price: 5933.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40280608245304 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096300376770898 init_vol_normal: 38.314856213469 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.095 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.22500000000036 sweep_residual: 0 sweep_to_fill: 5933.5 total_dollar: 296686.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.314856213469 worst_opt_t_minutes: 0
2025-06-02 13:24:27	EP	SIM:ESM5	Buy	50	0.0750	-0.1100	5,933.8750	5,933.6250	5,933.9500	5,934.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.875 avg_total: 5933.95 curr_cost_per_share: 0.295 curr_half_min_move: 0.40282305378517 curr_liq_cost: 14.75 curr_opt_t_minutes: 0.1117626764162 daily_vol_normal: 38.316470524123 destination_price: 5933.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40282305378517 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21091857174129 init_vol_normal: 38.316470524123 last_aggressive_qty: last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.211 slip_toler: 0 slippage: 0.074999999999818 slippage_sweep: -0.11000000000058 sweep_residual: 0 sweep_to_fill: 5934.06 total_dollar: 296697.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.316470524123 worst_opt_t_minutes: 0.1117626764162
2025-06-02 13:23:50	EP	SIM:ESM5	Sell	50	0.4100	0.2450	5,934.6250	5,934.6250	5,934.2150	5,934.4600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5934.625 avg_total: 5934.215 curr_cost_per_share: 0.145 curr_half_min_move: 0.40287396778157 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.12953812091487 daily_vol_normal: 38.321313456085 destination_price: 5934.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.40287396778157 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16773723386004 init_vol_normal: 38.321313456085 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.245 slip_toler: 0 slippage: 0.40999999999985 slippage_sweep: 0.24499999999989 sweep_residual: 0 sweep_to_fill: 5934.46 total_dollar: 296710.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.321313456085 worst_opt_t_minutes: 0.12953812091487
2025-06-02 13:23:36	EP	SIM:ESM5	Buy	50	-0.0300	-0.2450	5,935.1250	5,934.8750	5,935.0950	5,935.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5935.125 avg_total: 5935.095 curr_cost_per_share: 0.17 curr_half_min_move: 0.40290791044583 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.324542077392 destination_price: 5934.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40290791044583 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28475104826966 init_vol_normal: 38.324542077392 last_aggressive_qty: 19 last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 38 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.289 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5935.34 total_dollar: 296754.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.324542077392 worst_opt_t_minutes: 0
2025-06-02 13:23:02	EP	SIM:ESM5	Sell	50	-0.1150	-0.3600	5,936.1250	5,936.3750	5,936.2400	5,935.8800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.125 avg_total: 5936.24 curr_cost_per_share: 0.2 curr_half_min_move: 0.40297579577435 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.330999320008 destination_price: 5936.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40297579577435 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.36963598609821 init_vol_normal: 38.330999320008 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.358 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.35999999999967 sweep_residual: 0 sweep_to_fill: 5935.88 total_dollar: 296812 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.330999320008 worst_opt_t_minutes: 0
2025-06-02 13:22:56	EP	SIM:ESM5	Buy	50	-0.1000	-0.2300	5,936.3750	5,936.1250	5,936.2750	5,936.5050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.375 avg_total: 5936.275 curr_cost_per_share: 0.15 curr_half_min_move: 0.40299276710648 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.332613630661 destination_price: 5936.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.40299276710648 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10406200793128 init_vol_normal: 38.332613630661 last_aggressive_qty: 25 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 45 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.252 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.23000000000047 sweep_residual: 0 sweep_to_fill: 5936.505 total_dollar: 296813.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.332613630661 worst_opt_t_minutes: 0
2025-06-02 13:22:24	EP	SIM:ESM5	Sell	50	-0.1200	-0.2450	5,936.6250	5,936.8750	5,936.7450	5,936.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5936.625 avg_total: 5936.745 curr_cost_per_share: 0.135 curr_half_min_move: 0.40300973843861 curr_liq_cost: 6.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.334227941315 destination_price: 5936.875 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: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.096 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5936.5 total_dollar: 296837.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.334227941315 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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