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 01:38:10	EP	SIM:ESM5	Buy	50	0.8900	0.2500	5,352.5000	5,353.6250	5,353.3900	5,353.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.5 avg_total: 5353.39 curr_cost_per_share: 0.67 curr_half_min_move: 0.5206650909247 curr_liq_cost: 33.5 curr_opt_t_minutes: 0 daily_vol_normal: 49.525588026537 destination_price: 5353.625 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64 init_drift: 0 init_half_min_move: 0.52063358409456 init_liq_cost: 32 init_min_duration: 0 init_opt_t_minutes: 1.5111082938251 init_vol_normal: 49.522591101419 last_aggressive_qty: 7 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.567 slip_toler: 0 slippage: 0.89000000000033 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5353.14 total_dollar: 267669.5 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 31.324440422943 worst_opt_t_minutes: 0
2025-04-17 01:36:57	EP	SIM:ESM5	Sell	50	-0.1350	-0.8800	5,352.3750	5,352.6250	5,352.5100	5,351.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.375 avg_total: 5352.51 curr_cost_per_share: 0.525 curr_half_min_move: 0.52042073694959 curr_liq_cost: 26.25 curr_opt_t_minutes: 0.55363139986747 daily_vol_normal: 49.502345111821 destination_price: 5352.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.745 init_drift: 0 init_half_min_move: 0.52018011743073 init_liq_cost: 37.25 init_min_duration: 0 init_opt_t_minutes: 2.0511860241272 init_vol_normal: 49.479457418043 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 56.373 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.88000000000011 sweep_residual: 0 sweep_to_fill: 5351.63 total_dollar: 267625.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 31.323708885334 worst_opt_t_minutes: 1.382693440825
2025-04-17 01:35:46	EP	SIM:ESM5	Buy	50	-0.3650	-1.1250	5,354.5000	5,353.6250	5,354.1350	5,355.2600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.5 avg_total: 5354.135 curr_cost_per_share: 0.22 curr_half_min_move: 0.52022228026982 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 49.483467941189 destination_price: 5353.625 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76 init_drift: 0 init_half_min_move: 0.5199167643483 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 2.1367786819854 init_vol_normal: 49.45440731099 last_aggressive_qty: 4 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: 33.772 slip_toler: 0 slippage: -0.36499999999978 slippage_sweep: -1.125 sweep_residual: 0 sweep_to_fill: 5355.26 total_dollar: 267706.75 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.336145024689 worst_opt_t_minutes: 0
2025-04-17 01:33:22	EP	SIM:ESM5	Sell	50	0.5250	-0.2200	5,354.5000	5,354.8750	5,353.9750	5,353.7550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.5 avg_total: 5353.975 curr_cost_per_share: 0.72619047619048 curr_half_min_move: 0.51896079354136 curr_liq_cost: 30.5 curr_opt_t_minutes: 0.99323859880481 daily_vol_normal: 49.363475506314 destination_price: 5354.875 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.745 init_drift: 0 init_half_min_move: 0.51868616126735 init_liq_cost: 37.25 init_min_duration: 0 init_opt_t_minutes: 2.0630189796052 init_vol_normal: 49.337352524193 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 63.843 slip_toler: 0 slippage: 0.52499999999964 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5353.755 total_dollar: 267698.75 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 31.336145024689 worst_opt_t_minutes: 2.4647558727801
2025-04-17 01:31:35	EP	SIM:ESM5	Buy	50	-0.4050	-1.2050	5,356.1250	5,355.0000	5,355.7200	5,356.9250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.125 avg_total: 5355.72 curr_cost_per_share: 0.80851063829787 curr_half_min_move: 0.51867371906238 curr_liq_cost: 38 curr_opt_t_minutes: 0 daily_vol_normal: 49.336169023458 destination_price: 5355 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.8 init_drift: 0 init_half_min_move: 0.51847555273183 init_liq_cost: 40 init_min_duration: 0 init_opt_t_minutes: 2.3808027058688 init_vol_normal: 49.317319470802 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 29.046 slip_toler: 0 slippage: -0.40499999999975 slippage_sweep: -1.2049999999999 sweep_residual: 0 sweep_to_fill: 5356.925 total_dollar: 267786 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 31.345655013608 worst_opt_t_minutes: 0
2025-04-17 01:30:07	EP	SIM:ESM5	Sell	50	-0.2250	-0.9494	5,356.5000	5,355.8750	5,356.7250	5,355.7756	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.5 avg_total: 5356.725 curr_cost_per_share: 0.79722222222222 curr_half_min_move: 0.51727755169677 curr_liq_cost: 35.875 curr_opt_t_minutes: 0.63250781699765 daily_vol_normal: 49.203365785887 destination_price: 5355.875 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.72435897435897 init_drift: 0 init_half_min_move: 0.51684507762034 init_liq_cost: 28.25 init_min_duration: 0 init_opt_t_minutes: 1.9642054935297 init_vol_normal: 49.162228914384 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 49.426 slip_toler: 0 slippage: -0.22500000000036 slippage_sweep: -0.94935897435971 sweep_residual: 11 sweep_to_fill: 5355.7756410256 total_dollar: 267836.25 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 31.347849626436 worst_opt_t_minutes: 1.5582603188761
2025-04-17 01:29:01	EP	SIM:ESM5	Buy	50	0.1600	-0.6650	5,355.0000	5,355.3750	5,355.1600	5,355.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5355 avg_total: 5355.16 curr_cost_per_share: 0.655 curr_half_min_move: 0.51646306841935 curr_liq_cost: 32.75 curr_opt_t_minutes: 0.73390763163877 daily_vol_normal: 49.125892254523 destination_price: 5355.375 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.825 init_drift: 0 init_half_min_move: 0.51610346014305 init_liq_cost: 41.25 init_min_duration: 0 init_opt_t_minutes: 2.5552556403869 init_vol_normal: 49.091686367373 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 58.439 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.66499999999996 sweep_residual: 0 sweep_to_fill: 5355.825 total_dollar: 267758 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 31.339071175126 worst_opt_t_minutes: 1.8033916939445
2025-04-17 01:27:06	EP	SIM:ESM5	Sell	50	0.7050	0.0100	5,354.0000	5,353.3750	5,353.2950	5,353.3050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354 avg_total: 5353.295 curr_cost_per_share: 0.615 curr_half_min_move: 0.51588659477796 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 49.07105816526 destination_price: 5353.375 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.51576606654949 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 1.8157835536627 init_vol_normal: 49.059593537627 last_aggressive_qty: 8 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.668 slip_toler: 0 slippage: 0.70499999999993 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5353.305 total_dollar: 267664.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 31.333218874253 worst_opt_t_minutes: 0
2025-04-17 01:26:14	EP	SIM:ESM5	Buy	50	-0.0200	-0.7000	5,354.6250	5,354.8750	5,354.6050	5,355.3050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5354.605 curr_cost_per_share: 0.65 curr_half_min_move: 0.5156705695913 curr_liq_cost: 32.5 curr_opt_t_minutes: 0.99887203510416 daily_vol_normal: 49.050509880798 destination_price: 5354.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.68 init_drift: 0 init_half_min_move: 0.5154494841299 init_liq_cost: 34 init_min_duration: 0 init_opt_t_minutes: 1.7403861030001 init_vol_normal: 49.029480263736 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 82.267 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.70000000000073 sweep_residual: 0 sweep_to_fill: 5355.305 total_dollar: 267730.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 31.336876562299 worst_opt_t_minutes: 2.4472903249103
2025-04-17 01:23:59	EP	SIM:ESM5	Sell	50	-0.5300	-1.3350	5,356.3750	5,357.3750	5,356.9050	5,355.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.375 avg_total: 5356.905 curr_cost_per_share: 0.415 curr_half_min_move: 0.51500778108826 curr_liq_cost: 20.75 curr_opt_t_minutes: 0 daily_vol_normal: 48.987465534398 destination_price: 5357.375 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.805 init_drift: 0 init_half_min_move: 0.51496252100125 init_liq_cost: 40.25 init_min_duration: 0 init_opt_t_minutes: 2.4436585164228 init_vol_normal: 48.983160401478 last_aggressive_qty: 8 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.003 slip_toler: 0 slippage: -0.52999999999975 slippage_sweep: -1.335 sweep_residual: 0 sweep_to_fill: 5355.57 total_dollar: 267845.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.347118088826 worst_opt_t_minutes: 0
2025-04-17 01:23:28	EP	SIM:ESM5	Buy	50	1.4850	0.7950	5,355.1250	5,356.6250	5,356.6100	5,355.8150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5355.125 avg_total: 5356.61 curr_cost_per_share: 0.74 curr_half_min_move: 0.51477696502887 curr_liq_cost: 37 curr_opt_t_minutes: 0 daily_vol_normal: 48.965510344265 destination_price: 5356.625 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.51465285663884 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.7975020983446 init_vol_normal: 48.953705172183 last_aggressive_qty: 9 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.324 slip_toler: 0 slippage: 1.4849999999997 slippage_sweep: 0.79500000000007 sweep_residual: 0 sweep_to_fill: 5355.815 total_dollar: 267830.5 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 31.339802712735 worst_opt_t_minutes: 0
2025-04-17 01:22:33	EP	SIM:ESM5	Sell	50	-0.8250	-1.5150	5,352.3750	5,353.8750	5,353.2000	5,351.6850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.375 avg_total: 5353.2 curr_cost_per_share: 0.74166666666667 curr_half_min_move: 0.51414029758078 curr_liq_cost: 33.375 curr_opt_t_minutes: 0 daily_vol_normal: 48.904950628828 destination_price: 5353.875 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.51402440855538 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.8019000501884 init_vol_normal: 48.893927281519 last_aggressive_qty: 7 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 34.287 slip_toler: 0 slippage: -0.82499999999982 slippage_sweep: -1.5149999999994 sweep_residual: 0 sweep_to_fill: 5351.685 total_dollar: 267660 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 31.323708885334 worst_opt_t_minutes: 0
2025-04-17 01:20:36	EP	SIM:ESM5	Buy	50	0.3800	-0.1400	5,352.0000	5,352.6250	5,352.3800	5,352.5200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352 avg_total: 5352.38 curr_cost_per_share: 0.59 curr_half_min_move: 0.51366917748507 curr_liq_cost: 29.5 curr_opt_t_minutes: 0 daily_vol_normal: 48.86013775357 destination_price: 5352.625 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.52 init_drift: 0 init_half_min_move: 0.51348255607044 init_liq_cost: 26 init_min_duration: 0 init_opt_t_minutes: 1.0255463622012 init_vol_normal: 48.842386351644 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.608 slip_toler: 0 slippage: 0.38000000000011 slippage_sweep: -0.14000000000033 sweep_residual: 0 sweep_to_fill: 5352.52 total_dollar: 267619 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.321514272507 worst_opt_t_minutes: 0
2025-04-17 01:19:11	EP	SIM:ESM5	Sell	50	0.9700	0.2037	5,353.1250	5,351.8750	5,352.1550	5,352.3587	Diagnostics Diagnostics algo_status: 4 arrival_price: 5353.125 avg_total: 5352.155 curr_cost_per_share: 0.595 curr_half_min_move: 0.51282819605272 curr_liq_cost: 29.75 curr_opt_t_minutes: 0 daily_vol_normal: 48.780143721547 destination_price: 5351.875 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.76630434782609 init_drift: 0 init_half_min_move: 0.51234810357854 init_liq_cost: 35.25 init_min_duration: 0 init_opt_t_minutes: 2.2370326008276 init_vol_normal: 48.734477394948 last_aggressive_qty: 14 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 42.634 slip_toler: 0 slippage: 0.97000000000025 slippage_sweep: 0.20369565217425 sweep_residual: 4 sweep_to_fill: 5352.3586956522 total_dollar: 267607.75 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 31.328098110989 worst_opt_t_minutes: 0
2025-04-17 01:17:39	EP	SIM:ESM5	Buy	50	-0.1300	-0.8650	5,354.6250	5,354.0000	5,354.4950	5,355.3600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5354.495 curr_cost_per_share: 0.755 curr_half_min_move: 0.51211064454576 curr_liq_cost: 37.75 curr_opt_t_minutes: 0.49223870380037 daily_vol_normal: 48.711890326148 destination_price: 5354 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.735 init_drift: 0 init_half_min_move: 0.51171760484574 init_liq_cost: 36.75 init_min_duration: 0 init_opt_t_minutes: 2.0630699877434 init_vol_normal: 48.674504446817 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 52.253 slip_toler: 0 slippage: -0.13000000000011 slippage_sweep: -0.86499999999978 sweep_residual: 0 sweep_to_fill: 5355.36 total_dollar: 267724.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 31.336876562299 worst_opt_t_minutes: 1.1894174647757

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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