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 13:09:35	EP	SIM:ESM5	Buy	50	0.8900	0.6600	5,919.6250	5,919.1250	5,920.5150	5,919.8550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5920.515 curr_cost_per_share: 0.33 curr_half_min_move: 0.40185568785373 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.224454816854 destination_price: 5919.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32757853222039 init_vol_normal: 38.224454816854 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.89 slip_toler: 0 slippage: 0.89000000000033 slippage_sweep: 0.66000000000076 sweep_residual: 0 sweep_to_fill: 5919.855 total_dollar: 296025.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0
2025-06-02 13:08:43	EP	SIM:ESM5	Sell	50	-0.1250	-0.3650	5,921.8750	5,922.1250	5,922.0000	5,921.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5922 curr_cost_per_share: 0.125 curr_half_min_move: 0.40200842984291 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.238983612739 destination_price: 5922.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35641187321979 init_vol_normal: 38.238983612739 last_aggressive_qty: 19 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: 2.091 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 5921.635 total_dollar: 296100 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0
2025-06-02 13:08:36	EP	SIM:ESM5	Buy	50	-0.3650	-0.6350	5,922.3750	5,921.8750	5,922.0100	5,922.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.375 avg_total: 5922.01 curr_cost_per_share: 0.15 curr_half_min_move: 0.40204237250717 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.242212234047 destination_price: 5921.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40204237250717 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45100761423149 init_vol_normal: 38.242212234047 last_aggressive_qty: 30 last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.498 slip_toler: 0 slippage: -0.36499999999978 slippage_sweep: -0.63500000000022 sweep_residual: 0 sweep_to_fill: 5922.645 total_dollar: 296100.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.242212234047 worst_opt_t_minutes: 0
2025-06-02 13:08:04	EP	SIM:ESM5	Sell	50	-0.1200	-0.4300	5,922.3750	5,922.6250	5,922.4950	5,922.0650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.375 avg_total: 5922.495 curr_cost_per_share: 0.19 curr_half_min_move: 0.40204237250717 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.242212234047 destination_price: 5922.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40204237250717 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59453815812958 init_vol_normal: 38.242212234047 last_aggressive_qty: 14 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.567 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.43000000000029 sweep_residual: 0 sweep_to_fill: 5922.065 total_dollar: 296124.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.242212234047 worst_opt_t_minutes: 0
2025-06-02 13:08:02	EP	SIM:ESM5	Buy	50	0.1700	0.0350	5,922.1250	5,922.3750	5,922.2950	5,922.2600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.125 avg_total: 5922.295 curr_cost_per_share: 0.125 curr_half_min_move: 0.40202540117504 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2019394704621 daily_vol_normal: 38.240597923393 destination_price: 5922.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40202540117504 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11276142330656 init_vol_normal: 38.240597923393 last_aggressive_qty: 6 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.202 slip_toler: 0 slippage: 0.17000000000007 slippage_sweep: 0.034999999999854 sweep_residual: 0 sweep_to_fill: 5922.26 total_dollar: 296114.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.240597923393 worst_opt_t_minutes: 0.2019394704621
2025-06-02 13:07:18	EP	SIM:ESM5	Sell	50	-0.0550	-0.3450	5,922.1250	5,922.3750	5,922.1800	5,921.8350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.125 avg_total: 5922.18 curr_cost_per_share: 0.15 curr_half_min_move: 0.40202540117504 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.240597923393 destination_price: 5922.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40202540117504 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52034215089613 init_vol_normal: 38.240597923393 last_aggressive_qty: 37 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 43 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.257 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5921.835 total_dollar: 296109 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.240597923393 worst_opt_t_minutes: 0
2025-06-02 13:07:15	EP	SIM:ESM5	Buy	50	-0.0450	-0.2600	5,922.3750	5,922.1250	5,922.3300	5,922.5900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.375 avg_total: 5922.33 curr_cost_per_share: 0.205 curr_half_min_move: 0.40204237250717 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.242212234047 destination_price: 5922.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40204237250717 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28597842205556 init_vol_normal: 38.242212234047 last_aggressive_qty: 17 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.37 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 5922.59 total_dollar: 296116.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.242212234047 worst_opt_t_minutes: 0
2025-06-02 13:06:40	EP	SIM:ESM5	Sell	50	-0.2850	-0.5300	5,921.3750	5,921.8750	5,921.6600	5,921.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.66 curr_cost_per_share: 0.265 curr_half_min_move: 0.40197448717865 curr_liq_cost: 13.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.235754991431 destination_price: 5921.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37147978803849 init_vol_normal: 38.235754991431 last_aggressive_qty: last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.188 slip_toler: 0 slippage: -0.28499999999985 slippage_sweep: -0.52999999999975 sweep_residual: 0 sweep_to_fill: 5921.13 total_dollar: 296083 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0
2025-06-02 13:06:38	EP	SIM:ESM5	Buy	50	0.3350	0.1100	5,921.3750	5,921.3750	5,921.7100	5,921.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.71 curr_cost_per_share: 0.245 curr_half_min_move: 0.40197448717865 curr_liq_cost: 12.25 curr_opt_t_minutes: 0.37147978803849 daily_vol_normal: 38.235754991431 destination_price: 5921.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31330552718781 init_vol_normal: 38.235754991431 last_aggressive_qty: 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: 26.427 slip_toler: 0 slippage: 0.33500000000004 slippage_sweep: 0.10999999999967 sweep_residual: 0 sweep_to_fill: 5921.6 total_dollar: 296085.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0.37147978803849
2025-06-02 13:05:41	EP	SIM:ESM5	Sell	50	-0.1300	-0.2900	5,920.6250	5,921.1250	5,920.7550	5,920.4650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.755 curr_cost_per_share: 0.235 curr_half_min_move: 0.40192357318225 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5921.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15847217110618 init_vol_normal: 38.23091205947 last_aggressive_qty: last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.257 slip_toler: 0 slippage: -0.13000000000011 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5920.465 total_dollar: 296037.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 13:05:33	EP	SIM:ESM5	Buy	50	-0.0650	-0.3550	5,920.8750	5,920.6250	5,920.8100	5,921.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.875 avg_total: 5920.81 curr_cost_per_share: 0.25 curr_half_min_move: 0.40194054451438 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.232526370124 destination_price: 5920.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40194054451438 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52056188069855 init_vol_normal: 38.232526370124 last_aggressive_qty: last_tactical_qty: 29 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.379 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.35499999999956 sweep_residual: 0 sweep_to_fill: 5921.165 total_dollar: 296040.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.232526370124 worst_opt_t_minutes: 0
2025-06-02 13:04:56	EP	SIM:ESM5	Sell	50	-0.2550	-0.4400	5,919.8750	5,920.1250	5,920.1300	5,919.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5920.13 curr_cost_per_share: 0.15 curr_half_min_move: 0.40187265918586 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5920.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21191736027502 init_vol_normal: 38.226069127508 last_aggressive_qty: 16 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: 4.281 slip_toler: 0 slippage: -0.25500000000011 slippage_sweep: -0.44000000000051 sweep_residual: 0 sweep_to_fill: 5919.69 total_dollar: 296006.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 13:04:47	EP	SIM:ESM5	Buy	50	0.4900	0.2750	5,919.1250	5,919.3750	5,919.6150	5,919.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5919.615 curr_cost_per_share: 0.19 curr_half_min_move: 0.40182174518947 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.37936635518012 daily_vol_normal: 38.221226195547 destination_price: 5919.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28629255126609 init_vol_normal: 38.221226195547 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.448 slip_toler: 0 slippage: 0.48999999999978 slippage_sweep: 0.27499999999964 sweep_residual: 0 sweep_to_fill: 5919.34 total_dollar: 295980.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0.37936635518012
2025-06-02 13:03:53	EP	SIM:ESM5	Sell	50	-0.1100	-0.3400	5,920.1250	5,920.5000	5,920.2350	5,919.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.125 avg_total: 5920.235 curr_cost_per_share: 0.265 curr_half_min_move: 0.40188963051799 curr_liq_cost: 13.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.227683438162 destination_price: 5920.5 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40188963051799 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32752320151386 init_vol_normal: 38.227683438162 last_aggressive_qty: 45 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 47 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.262 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.33999999999924 sweep_residual: 0 sweep_to_fill: 5919.895 total_dollar: 296011.75 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 38.227683438162 worst_opt_t_minutes: 0
2025-06-02 13:03:49	EP	SIM:ESM5	Buy	50	-0.2400	-0.4250	5,920.6250	5,920.1250	5,920.3850	5,920.8100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.385 curr_cost_per_share: 0.25 curr_half_min_move: 0.40192357318225 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5920.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21186367406675 init_vol_normal: 38.23091205947 last_aggressive_qty: last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.243 slip_toler: 0 slippage: -0.23999999999978 slippage_sweep: -0.42500000000018 sweep_residual: 0 sweep_to_fill: 5920.81 total_dollar: 296019.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 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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