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 13:22:22	EP	SIM:ESM5	Buy	50	-0.1450	-0.3450	5,937.1250	5,936.6250	5,936.9800	5,937.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5937.125 avg_total: 5936.98 curr_cost_per_share: 0.245 curr_half_min_move: 0.40304368110287 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.337456562623 destination_price: 5936.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40304368110287 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24623838717637 init_vol_normal: 38.337456562623 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: 1.105 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5937.325 total_dollar: 296849 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.337456562623 worst_opt_t_minutes: 0
2025-06-02 13:21:50	EP	SIM:ESM5	Sell	50	-0.6000	-0.7950	5,932.6250	5,933.3750	5,933.2250	5,932.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5932.625 avg_total: 5933.225 curr_cost_per_share: 0.16 curr_half_min_move: 0.40273819712452 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 38.308398970854 destination_price: 5933.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40273819712452 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23443560960586 init_vol_normal: 38.308398970854 last_aggressive_qty: 41 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.336 slip_toler: 0 slippage: -0.60000000000036 slippage_sweep: -0.79500000000007 sweep_residual: 0 sweep_to_fill: 5932.43 total_dollar: 296661.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.308398970854 worst_opt_t_minutes: 0
2025-06-02 13:21:49	EP	SIM:ESM5	Buy	50	0.5800	0.4450	5,932.6250	5,932.6250	5,933.2050	5,932.7600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5932.625 avg_total: 5933.205 curr_cost_per_share: 0.13 curr_half_min_move: 0.40273819712452 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.10419360426927 daily_vol_normal: 38.308398970854 destination_price: 5932.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40273819712452 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11236262945607 init_vol_normal: 38.308398970854 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.283 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: 0.44499999999971 sweep_residual: 0 sweep_to_fill: 5932.76 total_dollar: 296660.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.308398970854 worst_opt_t_minutes: 0.10419360426927
2025-06-02 13:21:01	EP	SIM:ESM5	Sell	50	-0.2250	-0.5150	5,931.3750	5,931.8750	5,931.6000	5,931.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5931.375 avg_total: 5931.6 curr_cost_per_share: 0.28 curr_half_min_move: 0.40265334046387 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 38.300327417585 destination_price: 5931.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40265334046387 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.5187204655965 init_vol_normal: 38.300327417585 last_aggressive_qty: last_tactical_qty: 34 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.323 slip_toler: 0 slippage: -0.22500000000036 slippage_sweep: -0.51500000000033 sweep_residual: 0 sweep_to_fill: 5931.085 total_dollar: 296580 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.300327417585 worst_opt_t_minutes: 0
2025-06-02 13:20:53	EP	SIM:ESM5	Buy	50	0.7500	0.4850	5,929.6250	5,931.6250	5,930.3750	5,929.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5929.625 avg_total: 5930.375 curr_cost_per_share: 0.15 curr_half_min_move: 0.40253454113895 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.26318889617725 daily_vol_normal: 38.289027243008 destination_price: 5931.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40253454113895 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43339654256989 init_vol_normal: 38.289027243008 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.599 slip_toler: 0 slippage: 0.75 slippage_sweep: 0.48499999999967 sweep_residual: 0 sweep_to_fill: 5929.89 total_dollar: 296518.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.289027243008 worst_opt_t_minutes: 0.26318889617725
2025-06-02 13:20:06	EP	SIM:ESM5	Sell	50	0.0100	-0.1950	5,928.3750	5,928.6250	5,928.3650	5,928.1700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5928.375 avg_total: 5928.365 curr_cost_per_share: 0.24 curr_half_min_move: 0.4024496844783 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.280955689739 destination_price: 5928.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.4024496844783 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.25946843934404 init_vol_normal: 38.280955689739 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.349 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.19499999999971 sweep_residual: 0 sweep_to_fill: 5928.17 total_dollar: 296418.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.280955689739 worst_opt_t_minutes: 0
2025-06-02 13:20:02	EP	SIM:ESM5	Buy	50	-0.4000	-0.7200	5,929.1250	5,928.3750	5,928.7250	5,929.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5929.125 avg_total: 5928.725 curr_cost_per_share: 0.34 curr_half_min_move: 0.40250059847469 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 38.2857986217 destination_price: 5928.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.40250059847469 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.63207250019593 init_vol_normal: 38.2857986217 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: 1.141 slip_toler: 0 slippage: -0.39999999999964 slippage_sweep: -0.71999999999935 sweep_residual: 0 sweep_to_fill: 5929.445 total_dollar: 296436.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.2857986217 worst_opt_t_minutes: 0
2025-06-02 13:19:31	EP	SIM:ESM5	Sell	50	1.2350	0.9500	5,932.8750	5,931.1250	5,931.6400	5,932.5900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5932.875 avg_total: 5931.64 curr_cost_per_share: 0.125 curr_half_min_move: 0.40275516845665 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20120832996594 daily_vol_normal: 38.310013281508 destination_price: 5931.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40275516845665 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50073445455441 init_vol_normal: 38.310013281508 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: 17.434 slip_toler: 0 slippage: 1.2349999999997 slippage_sweep: 0.94999999999982 sweep_residual: 0 sweep_to_fill: 5932.59 total_dollar: 296582 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.310013281508 worst_opt_t_minutes: 0.20120832996594
2025-06-02 13:19:13	EP	SIM:ESM5	Buy	50	-0.2450	-0.3800	5,933.1250	5,932.6250	5,932.8800	5,933.2600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5933.125 avg_total: 5932.88 curr_cost_per_share: 0.315 curr_half_min_move: 0.40277213978878 curr_liq_cost: 15.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.311627592162 destination_price: 5932.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40277213978878 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11234369206727 init_vol_normal: 38.311627592162 last_aggressive_qty: last_tactical_qty: 35 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.262 slip_toler: 0 slippage: -0.24499999999989 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 5933.26 total_dollar: 296644 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.311627592162 worst_opt_t_minutes: 0
2025-06-02 13:18:40	EP	SIM:ESM5	Sell	50	-0.1500	-0.5000	5,929.1250	5,929.6250	5,929.2750	5,928.7750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5929.125 avg_total: 5929.275 curr_cost_per_share: 0.23 curr_half_min_move: 0.40250059847469 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.2857986217 destination_price: 5929.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.40250059847469 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 0.75614141869142 init_vol_normal: 38.2857986217 last_aggressive_qty: last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.28 slip_toler: 0 slippage: -0.14999999999964 slippage_sweep: -0.5 sweep_residual: 0 sweep_to_fill: 5928.775 total_dollar: 296463.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.2857986217 worst_opt_t_minutes: 0
2025-06-02 13:18:33	EP	SIM:ESM5	Buy	50	0.9050	0.6000	5,928.3750	5,929.1250	5,929.2800	5,928.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5928.375 avg_total: 5929.28 curr_cost_per_share: 0.125 curr_half_min_move: 0.4024496844783 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20151390480765 daily_vol_normal: 38.280955689739 destination_price: 5929.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.4024496844783 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.57434982914882 init_vol_normal: 38.280955689739 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.385 slip_toler: 0 slippage: 0.90499999999975 slippage_sweep: 0.59999999999945 sweep_residual: 0 sweep_to_fill: 5928.68 total_dollar: 296464 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.280955689739 worst_opt_t_minutes: 0.20151390480765
2025-06-02 13:17:45	EP	SIM:ESM5	Sell	50	0.3700	0.1100	5,928.6250	5,927.8750	5,928.2550	5,928.3650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5928.625 avg_total: 5928.255 curr_cost_per_share: 0.145 curr_half_min_move: 0.40246665581043 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.25030552834287 daily_vol_normal: 38.282570000393 destination_price: 5927.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40246665581043 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41733699610937 init_vol_normal: 38.282570000393 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 20.438 slip_toler: 0 slippage: 0.36999999999989 slippage_sweep: 0.10999999999967 sweep_residual: 0 sweep_to_fill: 5928.365 total_dollar: 296412.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.282570000393 worst_opt_t_minutes: 0.25030552834287
2025-06-02 13:17:24	EP	SIM:ESM5	Buy	50	-0.1150	-0.3500	5,928.8750	5,928.6250	5,928.7600	5,929.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5928.875 avg_total: 5928.76 curr_cost_per_share: 0.205 curr_half_min_move: 0.40248362714256 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.284184311046 destination_price: 5928.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40248362714256 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.34090964483748 init_vol_normal: 38.284184311046 last_aggressive_qty: 33 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.357 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.34999999999945 sweep_residual: 0 sweep_to_fill: 5929.11 total_dollar: 296438 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.284184311046 worst_opt_t_minutes: 0
2025-06-02 13:16:50	EP	SIM:ESM5	Sell	50	-0.1100	-0.4350	5,928.3750	5,928.8750	5,928.4850	5,928.0500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5928.375 avg_total: 5928.485 curr_cost_per_share: 0.32 curr_half_min_move: 0.4024496844783 curr_liq_cost: 16 curr_opt_t_minutes: 0 daily_vol_normal: 38.280955689739 destination_price: 5928.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.4024496844783 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 0.6521440548653 init_vol_normal: 38.280955689739 last_aggressive_qty: 21 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.34 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.43499999999949 sweep_residual: 0 sweep_to_fill: 5928.05 total_dollar: 296424.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.280955689739 worst_opt_t_minutes: 0
2025-06-02 13:16:43	EP	SIM:ESM5	Buy	50	-0.1800	-0.3300	5,928.8750	5,928.3750	5,928.6950	5,929.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5928.875 avg_total: 5928.695 curr_cost_per_share: 0.2 curr_half_min_move: 0.40248362714256 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.284184311046 destination_price: 5928.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.40248362714256 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13889483040006 init_vol_normal: 38.284184311046 last_aggressive_qty: 3 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.148 slip_toler: 0 slippage: -0.18000000000029 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5929.025 total_dollar: 296434.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.284184311046 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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