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 02:14:56	EP	SIM:ESM5	Buy	50	-0.4300	-1.2050	5,353.7500	5,352.6250	5,353.3200	5,354.5250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5353.75 avg_total: 5353.32 curr_cost_per_share: 0.68055555555556 curr_half_min_move: 0.54489563481551 curr_liq_cost: 30.625 curr_opt_t_minutes: 0 daily_vol_normal: 51.830393851456 destination_price: 5352.625 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.775 init_drift: 0 init_half_min_move: 0.54482590411513 init_liq_cost: 38.75 init_min_duration: 0 init_opt_t_minutes: 2.0234287135381 init_vol_normal: 51.823761077337 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.028 slip_toler: 0 slippage: -0.43000000000029 slippage_sweep: -1.2049999999999 sweep_residual: 0 sweep_to_fill: 5354.525 total_dollar: 267666 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 31.331755799035 worst_opt_t_minutes: 0
2025-04-17 02:13:32	EP	SIM:ESM5	Sell	50	-0.7950	-1.3750	5,350.3750	5,352.3750	5,351.1700	5,349.7950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.375 avg_total: 5351.17 curr_cost_per_share: 0.79347826086957 curr_half_min_move: 0.54378029765711 curr_liq_cost: 36.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.724303142514 destination_price: 5352.375 drift: -2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.54365803808703 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 1.1381627295789 init_vol_normal: 51.712673829918 last_aggressive_qty: 6 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.133 slip_toler: 0 slippage: -0.79500000000007 slippage_sweep: -1.375 sweep_residual: 0 sweep_to_fill: 5349.795 total_dollar: 267558.5 total_drift: -2 total_filled: 50 total_sent: 50 total_vol: 31.312004283588 worst_opt_t_minutes: 0
2025-04-17 02:12:37	EP	SIM:ESM5	Buy	50	-1.2250	-2.0728	5,352.5000	5,351.2500	5,351.2750	5,353.3478	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.5 avg_total: 5351.275 curr_cost_per_share: 0.80232558139535 curr_half_min_move: 0.54341947639997 curr_liq_cost: 34.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.689981876802 destination_price: 5351.25 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.84782608695652 init_drift: 0 init_half_min_move: 0.54335591598248 init_liq_cost: 39 init_min_duration: 0 init_opt_t_minutes: 2.4346960478342 init_vol_normal: 51.683936019098 last_aggressive_qty: 3 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: 9.007 slip_toler: 0 slippage: -1.2250000000004 slippage_sweep: -2.0728260869573 sweep_residual: 4 sweep_to_fill: 5353.347826087 total_dollar: 267563.75 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 31.324440422943 worst_opt_t_minutes: 0
2025-04-17 02:11:20	EP	SIM:ESM5	Buy	50	1.2600	0.5100	5,350.3750	5,351.8750	5,351.6350	5,351.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.375 avg_total: 5351.635 curr_cost_per_share: 0.625 curr_half_min_move: 0.54242811986256 curr_liq_cost: 31.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.595684186569 destination_price: 5351.875 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.75 init_drift: 0 init_half_min_move: 0.54227213100015 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 1.9128810118444 init_vol_normal: 51.580846548573 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.868 slip_toler: 0 slippage: 1.2600000000002 slippage_sweep: 0.51000000000022 sweep_residual: 8 sweep_to_fill: 5351.125 total_dollar: 267581.75 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 31.312004283588 worst_opt_t_minutes: 0
2025-04-17 02:10:20	EP	SIM:ESM5	Sell	50	-0.4650	-1.2800	5,351.2500	5,353.0000	5,351.7150	5,350.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.25 avg_total: 5351.715 curr_cost_per_share: 0.94270833333333 curr_half_min_move: 0.5418990468678 curr_liq_cost: 45.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.545358839948 destination_price: 5353 drift: -1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.815 init_drift: 0 init_half_min_move: 0.54138883167359 init_liq_cost: 40.75 init_min_duration: 0 init_opt_t_minutes: 2.2661916372646 init_vol_normal: 51.496827244583 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: 25.749 slip_toler: 0 slippage: -0.46500000000015 slippage_sweep: -1.2799999999997 sweep_residual: 0 sweep_to_fill: 5350.435 total_dollar: 267585.75 total_drift: -1.75 total_filled: 50 total_sent: 50 total_vol: 31.317125046852 worst_opt_t_minutes: 0
2025-04-17 02:08:43	EP	SIM:ESM5	Sell	50	1.1500	0.3821	5,351.3750	5,350.1250	5,350.2250	5,350.6071	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.375 avg_total: 5350.225 curr_cost_per_share: 0.80585106382979 curr_half_min_move: 0.54065898199474 curr_liq_cost: 37.875 curr_opt_t_minutes: 0 daily_vol_normal: 51.427404048855 destination_price: 5350.125 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76785714285714 init_drift: 0 init_half_min_move: 0.54035219543603 init_liq_cost: 32.25 init_min_duration: 0 init_opt_t_minutes: 2.0193286938894 init_vol_normal: 51.398222555831 last_aggressive_qty: 5 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: 16.79 slip_toler: 0 slippage: 1.1499999999996 slippage_sweep: 0.38214285714275 sweep_residual: 8 sweep_to_fill: 5350.6071428571 total_dollar: 267511.25 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 31.317856584461 worst_opt_t_minutes: 0
2025-04-17 02:07:47	EP	SIM:ESM5	Buy	50	0.2650	-0.5100	5,349.5000	5,348.7500	5,349.7650	5,350.2750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.5 avg_total: 5349.765 curr_cost_per_share: 0.88 curr_half_min_move: 0.53996619165698 curr_liq_cost: 44 curr_opt_t_minutes: 0.54164026496536 daily_vol_normal: 51.361505932283 destination_price: 5348.75 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.775 init_drift: 0 init_half_min_move: 0.53963991410882 init_liq_cost: 38.75 init_min_duration: 0 init_opt_t_minutes: 2.0625062631343 init_vol_normal: 51.330470459166 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 49.666 slip_toler: 0 slippage: 0.26500000000033 slippage_sweep: -0.50999999999931 sweep_residual: 0 sweep_to_fill: 5350.275 total_dollar: 267488.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.306883520324 worst_opt_t_minutes: 1.4578296026723
2025-04-17 02:06:02	EP	SIM:ESM5	Sell	50	-0.4650	-1.0900	5,350.5000	5,351.7500	5,350.9650	5,349.8750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.5 avg_total: 5350.965 curr_cost_per_share: 0.88586956521739 curr_half_min_move: 0.53908132594783 curr_liq_cost: 40.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.277337634209 destination_price: 5351.75 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.625 init_drift: 0 init_half_min_move: 0.53873531834312 init_liq_cost: 31.25 init_min_duration: 0 init_opt_t_minutes: 1.3458886753659 init_vol_normal: 51.244425440971 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.458 slip_toler: 0 slippage: -0.46500000000015 slippage_sweep: -1.0900000000001 sweep_residual: 0 sweep_to_fill: 5349.875 total_dollar: 267548.25 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 31.312735821197 worst_opt_t_minutes: 0
2025-04-17 02:04:59	EP	SIM:ESM5	Buy	50	1.9000	1.2000	5,348.7500	5,350.8750	5,350.6500	5,349.4500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.75 avg_total: 5350.65 curr_cost_per_share: 0.79360465116279 curr_half_min_move: 0.53799331892007 curr_liq_cost: 34.125 curr_opt_t_minutes: 0 daily_vol_normal: 51.173846563334 destination_price: 5350.875 drift: 2.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.7 init_drift: 0 init_half_min_move: 0.53780230650547 init_liq_cost: 35 init_min_duration: 0 init_opt_t_minutes: 1.6941457049146 init_vol_normal: 51.155677490126 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: 15.517 slip_toler: 0 slippage: 1.8999999999996 slippage_sweep: 1.1999999999998 sweep_residual: 0 sweep_to_fill: 5349.45 total_dollar: 267532.5 total_drift: 2.125 total_filled: 50 total_sent: 50 total_vol: 31.302494294669 worst_opt_t_minutes: 0
2025-04-17 02:03:43	EP	SIM:ESM5	Sell	50	1.0300	0.2850	5,352.2500	5,351.5000	5,351.2200	5,351.5050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.25 avg_total: 5351.22 curr_cost_per_share: 0.75 curr_half_min_move: 0.53723811932504 curr_liq_cost: 37.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.102012087251 destination_price: 5351.5 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.745 init_drift: 0 init_half_min_move: 0.53707733728275 init_liq_cost: 37.25 init_min_duration: 0 init_opt_t_minutes: 1.9241498501574 init_vol_normal: 51.086718522678 last_aggressive_qty: 3 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.477 slip_toler: 0 slippage: 1.0299999999997 slippage_sweep: 0.28499999999985 sweep_residual: 0 sweep_to_fill: 5351.505 total_dollar: 267561 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.322977347725 worst_opt_t_minutes: 0
2025-04-17 02:02:47	EP	SIM:ESM5	Buy	50	1.3000	0.6050	5,352.6250	5,353.5000	5,353.9250	5,353.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.625 avg_total: 5353.925 curr_cost_per_share: 0.859375 curr_half_min_move: 0.5368224155296 curr_liq_cost: 41.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.062470402446 destination_price: 5353.5 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.5364185738399 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 1.6786571122414 init_vol_normal: 51.024057039421 last_aggressive_qty: 3 last_tactical_qty: 28 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.451 slip_toler: 0 slippage: 1.3000000000002 slippage_sweep: 0.60500000000047 sweep_residual: 0 sweep_to_fill: 5353.32 total_dollar: 267696.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.325171960552 worst_opt_t_minutes: 0
2025-04-17 02:01:24	EP	SIM:ESM5	Sell	50	-0.7000	-1.4964	5,352.1250	5,353.6250	5,352.8250	5,351.3286	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.125 avg_total: 5352.825 curr_cost_per_share: 0.78125 curr_half_min_move: 0.53546174404094 curr_liq_cost: 31.25 curr_opt_t_minutes: 0 daily_vol_normal: 50.933043527548 destination_price: 5353.625 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.79642857142857 init_drift: 0 init_half_min_move: 0.53540370862065 init_liq_cost: 27.875 init_min_duration: 0 init_opt_t_minutes: 2.212742682249 init_vol_normal: 50.927523206777 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.119 slip_toler: 0 slippage: -0.69999999999982 slippage_sweep: -1.4964285714286 sweep_residual: 15 sweep_to_fill: 5351.3285714286 total_dollar: 267641.25 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 31.322245810116 worst_opt_t_minutes: 0
2025-04-17 02:00:52	EP	SIM:ESM5	Buy	50	0.9250	0.1953	5,352.1250	5,353.1250	5,353.0500	5,352.8547	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.125 avg_total: 5353.05 curr_cost_per_share: 0.73958333333333 curr_half_min_move: 0.535139202754 curr_liq_cost: 35.5 curr_opt_t_minutes: 0 daily_vol_normal: 50.902363447058 destination_price: 5353.125 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.7296511627907 init_drift: 0 init_half_min_move: 0.53486808182912 init_liq_cost: 31.375 init_min_duration: 0 init_opt_t_minutes: 1.8609606642342 init_vol_normal: 50.876574463957 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.565 slip_toler: 0 slippage: 0.92500000000018 slippage_sweep: 0.19534883720917 sweep_residual: 7 sweep_to_fill: 5352.8546511628 total_dollar: 267652.5 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 31.322245810116 worst_opt_t_minutes: 0
2025-04-17 01:59:48	EP	SIM:ESM5	Sell	50	-0.3500	-1.1320	5,349.6250	5,350.1250	5,349.9750	5,348.8430	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.625 avg_total: 5349.975 curr_cost_per_share: 0.66 curr_half_min_move: 0.53278540128509 curr_liq_cost: 33 curr_opt_t_minutes: 0.4451073554933 daily_vol_normal: 50.6784701923 destination_price: 5350.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78197674418605 init_drift: 0 init_half_min_move: 0.53253902279566 init_liq_cost: 33.625 init_min_duration: 0 init_opt_t_minutes: 2.1561789448323 init_vol_normal: 50.655034706075 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 31 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 36.308 slip_toler: 0 slippage: -0.35000000000036 slippage_sweep: -1.1319767441864 sweep_residual: 7 sweep_to_fill: 5348.8430232558 total_dollar: 267498.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 31.307615057933 worst_opt_t_minutes: 1.1663040766069
2025-04-17 01:58:47	EP	SIM:ESM5	Buy	50	-0.3800	-1.1181	5,350.1250	5,348.5000	5,349.7450	5,350.8631	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.125 avg_total: 5349.745 curr_cost_per_share: 0.865 curr_half_min_move: 0.53228379054755 curr_liq_cost: 43.25 curr_opt_t_minutes: 0 daily_vol_normal: 50.630757051607 destination_price: 5348.5 drift: 1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73809523809524 init_drift: 0 init_half_min_move: 0.53210207046111 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 1.9241322077949 init_vol_normal: 50.613471863308 last_aggressive_qty: 8 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: 39.31 slip_toler: 0 slippage: -0.38000000000011 slippage_sweep: -1.1180952380955 sweep_residual: 8 sweep_to_fill: 5350.8630952381 total_dollar: 267487.25 total_drift: 1.625 total_filled: 50 total_sent: 50 total_vol: 31.31054120837 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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