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 13:16:10	EP	SIM:ESM5	Sell	50	-0.1850	-0.3100	5,927.6250	5,927.6250	5,927.8100	5,927.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5927.625 avg_total: 5927.81 curr_cost_per_share: 0.125 curr_half_min_move: 0.40239877048191 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096495427803706 daily_vol_normal: 38.276112757777 destination_price: 5927.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40239877048191 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096495427803706 init_vol_normal: 38.276112757777 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.268 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.3100000000004 sweep_residual: 0 sweep_to_fill: 5927.5 total_dollar: 296390.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.276112757777 worst_opt_t_minutes: 0.096495427803706
2025-06-02 13:16:00	EP	SIM:ESM5	Buy	50	-0.1400	-0.2650	5,927.8750	5,927.8750	5,927.7350	5,928.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5927.875 avg_total: 5927.735 curr_cost_per_share: 0.125 curr_half_min_move: 0.40241574181404 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096487288850622 daily_vol_normal: 38.277727068431 destination_price: 5927.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40241574181404 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096487288850622 init_vol_normal: 38.277727068431 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.143 slip_toler: 0 slippage: -0.14000000000033 slippage_sweep: -0.26500000000033 sweep_residual: 0 sweep_to_fill: 5928 total_dollar: 296386.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.277727068431 worst_opt_t_minutes: 0.096487288850622
2025-06-02 13:15:24	EP	SIM:ESM5	Sell	50	-0.0300	-0.2500	5,925.6250	5,925.8750	5,925.6550	5,925.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5925.625 avg_total: 5925.655 curr_cost_per_share: 0.2 curr_half_min_move: 0.40226299982487 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.263198272546 destination_price: 5925.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40226299982487 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29910604182153 init_vol_normal: 38.263198272546 last_aggressive_qty: last_tactical_qty: 33 level_tactical_limit: mbo_max: mbo_min: model_size: 33 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.2 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5925.405 total_dollar: 296282.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.263198272546 worst_opt_t_minutes: 0
2025-06-02 13:15:18	EP	SIM:ESM5	Buy	50	0.7650	0.6050	5,923.6250	5,925.6250	5,924.3900	5,923.7850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.625 avg_total: 5924.39 curr_cost_per_share: 0.14 curr_half_min_move: 0.40212722916782 curr_liq_cost: 7 curr_opt_t_minutes: 0.23804278780483 daily_vol_normal: 38.250283787316 destination_price: 5925.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.40212722916782 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15831169635405 init_vol_normal: 38.250283787316 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.298 slip_toler: 0 slippage: 0.76500000000033 slippage_sweep: 0.60500000000047 sweep_residual: 0 sweep_to_fill: 5923.785 total_dollar: 296219.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.250283787316 worst_opt_t_minutes: 0.23804278780483
2025-06-02 13:14:28	EP	SIM:ESM5	Sell	50	-0.5350	-0.8150	5,923.6250	5,924.3750	5,924.1600	5,923.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.625 avg_total: 5924.16 curr_cost_per_share: 0.215 curr_half_min_move: 0.40212722916782 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.250283787316 destination_price: 5924.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40212722916782 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48482957008429 init_vol_normal: 38.250283787316 last_aggressive_qty: 12 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.239 slip_toler: 0 slippage: -0.53499999999985 slippage_sweep: -0.8149999999996 sweep_residual: 0 sweep_to_fill: 5923.345 total_dollar: 296208 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.250283787316 worst_opt_t_minutes: 0
2025-06-02 13:14:26	EP	SIM:ESM5	Buy	50	0.9900	0.6950	5,921.6250	5,923.3750	5,922.6150	5,921.9200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.625 avg_total: 5922.615 curr_cost_per_share: 0.125 curr_half_min_move: 0.40199145851078 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20197357393809 daily_vol_normal: 38.237369302085 destination_price: 5923.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.40199145851078 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.53853059480426 init_vol_normal: 38.237369302085 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 26.802 slip_toler: 0 slippage: 0.98999999999978 slippage_sweep: 0.69499999999971 sweep_residual: 0 sweep_to_fill: 5921.92 total_dollar: 296130.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.237369302085 worst_opt_t_minutes: 0.20197357393809
2025-06-02 13:13:27	EP	SIM:ESM5	Sell	50	-0.1200	-0.4000	5,920.3750	5,920.6250	5,920.4950	5,920.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.375 avg_total: 5920.495 curr_cost_per_share: 0.18 curr_half_min_move: 0.40190660185012 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 38.229297748816 destination_price: 5920.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40190660185012 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48536201223308 init_vol_normal: 38.229297748816 last_aggressive_qty: 30 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.378 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.39999999999964 sweep_residual: 0 sweep_to_fill: 5920.095 total_dollar: 296024.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.229297748816 worst_opt_t_minutes: 0
2025-06-02 13:13:24	EP	SIM:ESM5	Buy	50	-0.0150	-0.3500	5,920.6250	5,920.3750	5,920.6100	5,920.9600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.61 curr_cost_per_share: 0.275 curr_half_min_move: 0.40192357318225 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.070079777451897 daily_vol_normal: 38.23091205947 destination_price: 5920.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.69470857040589 init_vol_normal: 38.23091205947 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: 6.519 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.35000000000036 sweep_residual: 0 sweep_to_fill: 5920.96 total_dollar: 296030.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0.070079777451897
2025-06-02 13:12:47	EP	SIM:ESM5	Sell	50	0.2550	0.0750	5,918.8750	5,918.8750	5,918.6200	5,918.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.875 avg_total: 5918.62 curr_cost_per_share: 0.19 curr_half_min_move: 0.40180477385734 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.22360268658034 daily_vol_normal: 38.219611884893 destination_price: 5918.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40180477385734 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.20068495970092 init_vol_normal: 38.219611884893 last_aggressive_qty: 2 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.411 slip_toler: 0 slippage: 0.25500000000011 slippage_sweep: 0.074999999999818 sweep_residual: 0 sweep_to_fill: 5918.695 total_dollar: 295931 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.219611884893 worst_opt_t_minutes: 0.22360268658034
2025-06-02 13:12:26	EP	SIM:ESM5	Buy	50	-0.1350	-0.3450	5,919.3750	5,919.1250	5,919.2400	5,919.5850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.24 curr_cost_per_share: 0.195 curr_half_min_move: 0.4018387165216 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.222840506201 destination_price: 5919.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27310838459127 init_vol_normal: 38.222840506201 last_aggressive_qty: 29 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: 3.302 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5919.585 total_dollar: 295962 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0
2025-06-02 13:11:52	EP	SIM:ESM5	Sell	50	-0.1200	-0.3300	5,919.3750	5,919.7500	5,919.4950	5,919.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.495 curr_cost_per_share: 0.3 curr_half_min_move: 0.4018387165216 curr_liq_cost: 15 curr_opt_t_minutes: 0 daily_vol_normal: 38.222840506201 destination_price: 5919.75 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27310838459127 init_vol_normal: 38.222840506201 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.299 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5919.165 total_dollar: 295974.75 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0
2025-06-02 13:11:46	EP	SIM:ESM5	Buy	50	0.2500	0.0550	5,919.3750	5,919.3750	5,919.6250	5,919.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.625 curr_cost_per_share: 0.215 curr_half_min_move: 0.4018387165216 curr_liq_cost: 10.75 curr_opt_t_minutes: 0.28626836910956 daily_vol_normal: 38.222840506201 destination_price: 5919.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.2354863112037 init_vol_normal: 38.222840506201 last_aggressive_qty: 6 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.488 slip_toler: 0 slippage: 0.25 slippage_sweep: 0.055000000000291 sweep_residual: 0 sweep_to_fill: 5919.57 total_dollar: 295981.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0.28626836910956
2025-06-02 13:10:54	EP	SIM:ESM5	Sell	50	-0.2100	-0.4200	5,919.1250	5,919.6250	5,919.3350	5,918.9150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5919.335 curr_cost_per_share: 0.27 curr_half_min_move: 0.40182174518947 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.221226195547 destination_price: 5919.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27313145507484 init_vol_normal: 38.221226195547 last_aggressive_qty: 31 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.352 slip_toler: 0 slippage: -0.21000000000004 slippage_sweep: -0.42000000000007 sweep_residual: 0 sweep_to_fill: 5918.915 total_dollar: 295966.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0
2025-06-02 13:10:51	EP	SIM:ESM5	Buy	50	0.4500	0.2200	5,919.1250	5,919.1250	5,919.5750	5,919.3550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5919.575 curr_cost_per_share: 0.195 curr_half_min_move: 0.40182174518947 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.23550620361045 daily_vol_normal: 38.221226195547 destination_price: 5919.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32763387694918 init_vol_normal: 38.221226195547 last_aggressive_qty: 4 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.547 slip_toler: 0 slippage: 0.44999999999982 slippage_sweep: 0.22000000000025 sweep_residual: 0 sweep_to_fill: 5919.355 total_dollar: 295978.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0.23550620361045
2025-06-02 13:10:03	EP	SIM:ESM5	Sell	50	0.9000	0.5550	5,919.1250	5,919.1250	5,918.2250	5,918.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5918.225 curr_cost_per_share: 0.255 curr_half_min_move: 0.40182174518947 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.40272954345218 daily_vol_normal: 38.221226195547 destination_price: 5919.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.73717622313566 init_vol_normal: 38.221226195547 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 27.443 slip_toler: 0 slippage: 0.89999999999964 slippage_sweep: 0.55499999999938 sweep_residual: 0 sweep_to_fill: 5918.78 total_dollar: 295911.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0.40272954345218

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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