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 01:16:02	EP	SIM:ESM5	Sell	50	-0.5150	-0.9200	5,356.3750	5,357.3750	5,356.8900	5,355.9700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.375 avg_total: 5356.89 curr_cost_per_share: 0.66 curr_half_min_move: 0.51144103576215 curr_liq_cost: 33 curr_opt_t_minutes: 0 daily_vol_normal: 48.648197235648 destination_price: 5357.375 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.51136337731393 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 0.62726463552697 init_vol_normal: 48.640810375303 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 4 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.732 slip_toler: 0 slippage: -0.51500000000033 slippage_sweep: -0.92000000000007 sweep_residual: 0 sweep_to_fill: 5355.97 total_dollar: 267844.5 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 31.347118088826 worst_opt_t_minutes: 0
2025-04-17 01:15:46	EP	SIM:ESM5	Buy	50	-0.4650	-1.0750	5,354.1250	5,354.6250	5,353.6600	5,354.7350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.125 avg_total: 5353.66 curr_cost_per_share: 0.575 curr_half_min_move: 0.51042184137698 curr_liq_cost: 28.75 curr_opt_t_minutes: 0.23828677931703 daily_vol_normal: 48.55125161337 destination_price: 5354.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61 init_drift: 0 init_half_min_move: 0.51015613812189 init_liq_cost: 30.5 init_min_duration: 0 init_opt_t_minutes: 1.429728048409 init_vol_normal: 48.525977958234 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 35.599 slip_toler: 0 slippage: -0.46500000000015 slippage_sweep: -1.0749999999998 sweep_residual: 0 sweep_to_fill: 5354.735 total_dollar: 267683 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 31.333950411862 worst_opt_t_minutes: 0.57209809828887
2025-04-17 01:13:47	EP	SIM:ESM5	Sell	50	0.0250	-0.7150	5,352.6250	5,353.3750	5,352.6000	5,351.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.625 avg_total: 5352.6 curr_cost_per_share: 0.73214285714286 curr_half_min_move: 0.50910200531829 curr_liq_cost: 25.625 curr_opt_t_minutes: 0 daily_vol_normal: 48.425708998655 destination_price: 5353.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.74 init_drift: 0 init_half_min_move: 0.50892897246054 init_liq_cost: 37 init_min_duration: 0 init_opt_t_minutes: 2.1142147043464 init_vol_normal: 48.409250138291 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: 56.59 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.71500000000015 sweep_residual: 0 sweep_to_fill: 5351.885 total_dollar: 267630 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 31.325171960552 worst_opt_t_minutes: 0
2025-04-17 01:12:30	EP	SIM:ESM5	Buy	50	0.2850	-0.3981	5,352.8750	5,353.7500	5,353.1600	5,353.5581	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.875 avg_total: 5353.16 curr_cost_per_share: 0.88 curr_half_min_move: 0.50859472560203 curr_liq_cost: 44 curr_opt_t_minutes: 0.12970493655036 daily_vol_normal: 48.377456625527 destination_price: 5353.75 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.68313953488372 init_drift: 0 init_half_min_move: 0.50832300156453 init_liq_cost: 29.375 init_min_duration: 0 init_opt_t_minutes: 1.8060896985892 init_vol_normal: 48.351610274442 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: 43.098 slip_toler: 0 slippage: 0.28499999999985 slippage_sweep: -0.39813953488374 sweep_residual: 7 sweep_to_fill: 5353.5581395349 total_dollar: 267658 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 31.326635035771 worst_opt_t_minutes: 0.30932503812164
2025-04-17 01:10:51	EP	SIM:ESM5	Sell	50	0.7600	0.0814	5,354.6250	5,353.3750	5,353.8650	5,353.9464	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5353.865 curr_cost_per_share: 0.605 curr_half_min_move: 0.50815945598639 curr_liq_cost: 30.25 curr_opt_t_minutes: 0 daily_vol_normal: 48.336053842739 destination_price: 5353.375 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.67857142857143 init_drift: 0 init_half_min_move: 0.50778546641342 init_liq_cost: 28.5 init_min_duration: 0 init_opt_t_minutes: 1.7857909022733 init_vol_normal: 48.300480008734 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 30.519 slip_toler: 0 slippage: 0.76000000000022 slippage_sweep: 0.08142857142866 sweep_residual: 8 sweep_to_fill: 5353.9464285714 total_dollar: 267693.25 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 31.336876562299 worst_opt_t_minutes: 0
2025-04-17 01:09:43	EP	SIM:ESM5	Buy	50	-0.3600	-0.9000	5,354.6250	5,353.8750	5,354.2650	5,355.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5354.265 curr_cost_per_share: 0.795 curr_half_min_move: 0.50754901917549 curr_liq_cost: 39.75 curr_opt_t_minutes: 0.28029493355865 daily_vol_normal: 48.277989181713 destination_price: 5353.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.54 init_drift: 0 init_half_min_move: 0.50694121079198 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 1.1346771889659 init_vol_normal: 48.220174536319 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 41.017 slip_toler: 0 slippage: -0.35999999999967 slippage_sweep: -0.89999999999964 sweep_residual: 0 sweep_to_fill: 5355.165 total_dollar: 267713.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 31.336876562299 worst_opt_t_minutes: 0.66527649587102
2025-03-18 15:59:51	EP	SIM:ESM5	Sell	50	-0.0600	-0.3700	5,669.8750	5,669.8750	5,669.9350	5,669.5650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5669.875 avg_total: 5669.935 curr_cost_per_share: 0.145 curr_half_min_move: 0.46408451440944 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.097620684888345 daily_vol_normal: 44.143651784524 destination_price: 5669.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.46408451440944 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.44619965839572 init_vol_normal: 44.143651784524 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 14 order_time_minutes: 0.60844372113546 pov_agg_limit: ready: 1 seconds_spent: 14.95 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.3700000000008 sweep_residual: 0 sweep_to_fill: 5669.565 total_dollar: 283496.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.143651784524 worst_opt_t_minutes: 0.097620684888345
2025-03-18 15:58:38	EP	SIM:ESM5	Sell	50	-0.0400	-0.5050	5,669.8750	5,669.6250	5,669.9150	5,669.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5669.875 avg_total: 5669.915 curr_cost_per_share: 0.33 curr_half_min_move: 0.46408451440944 curr_liq_cost: 16.5 curr_opt_t_minutes: 0.14666120815739 daily_vol_normal: 44.143651784524 destination_price: 5669.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.46408451440944 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 1.0039492313904 init_vol_normal: 44.143651784524 last_aggressive_qty: 10 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 13 order_time_minutes: 1.9480887413025 pov_agg_limit: ready: 1 seconds_spent: 22.137 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.50500000000011 sweep_residual: 0 sweep_to_fill: 5669.41 total_dollar: 283495.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.143651784524 worst_opt_t_minutes: 0.14666120815739
2025-03-18 15:56:49	EP	SIM:ESM5	Sell	50	0.9600	0.4950	5,670.1250	5,669.8750	5,669.1650	5,669.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.125 avg_total: 5669.165 curr_cost_per_share: 0.315 curr_half_min_move: 0.46410497714074 curr_liq_cost: 15.75 curr_opt_t_minutes: 0.11864266999181 daily_vol_normal: 44.145598196561 destination_price: 5669.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.46410497714074 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 1.0038607036155 init_vol_normal: 44.145598196561 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 11 order_time_minutes: 3.8634467760722 pov_agg_limit: ready: 1 seconds_spent: 18.374 slip_toler: 0 slippage: 0.96000000000004 slippage_sweep: 0.49499999999989 sweep_residual: 0 sweep_to_fill: 5669.66 total_dollar: 283458.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.145598196561 worst_opt_t_minutes: 0.11864266999181
2025-03-18 15:55:10	EP	SIM:ESM5	Sell	50	0.2850	-0.1800	5,671.0000	5,670.6250	5,670.7150	5,670.5350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671 avg_total: 5670.715 curr_cost_per_share: 0.355 curr_half_min_move: 0.46417659670027 curr_liq_cost: 17.75 curr_opt_t_minutes: 0 daily_vol_normal: 44.152410638689 destination_price: 5670.625 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.46417659670027 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 1.0035509485982 init_vol_normal: 44.152410638689 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 15 order_time_minutes: 5.1814068833987 pov_agg_limit: ready: 1 seconds_spent: 21.224 slip_toler: 0 slippage: 0.28499999999985 slippage_sweep: -0.18000000000029 sweep_residual: 0 sweep_to_fill: 5670.535 total_dollar: 283535.75 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 44.152410638689 worst_opt_t_minutes: 0
2025-03-18 15:53:44	EP	SIM:ESM5	Sell	50	0.1250	-0.3600	5,671.1250	5,671.1250	5,671.0000	5,670.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.125 avg_total: 5671 curr_cost_per_share: 0.33 curr_half_min_move: 0.46418682806592 curr_liq_cost: 16.5 curr_opt_t_minutes: 0.50540816590976 daily_vol_normal: 44.153383844707 destination_price: 5671.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.46418682806592 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 1.0916862793951 init_vol_normal: 44.153383844707 last_aggressive_qty: 1 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 21 order_time_minutes: 7.1350754062335 pov_agg_limit: ready: 1 seconds_spent: 37.458 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.35999999999967 sweep_residual: 0 sweep_to_fill: 5670.64 total_dollar: 283550 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.153383844707 worst_opt_t_minutes: 0.50540816590976
2025-03-18 15:52:32	EP	SIM:ESM5	Buy	50	0.1250	-0.3000	5,670.3750	5,670.3750	5,670.5000	5,670.8000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.375 avg_total: 5670.5 curr_cost_per_share: 0.3 curr_half_min_move: 0.46412543987203 curr_liq_cost: 15 curr_opt_t_minutes: 0.41780319981254 daily_vol_normal: 44.147544608597 destination_price: 5670.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.46412543987203 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 0.83850781073488 init_vol_normal: 44.147544608597 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 20 order_time_minutes: 8.0893822232882 pov_agg_limit: ready: 1 seconds_spent: 26.047 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5670.8 total_dollar: 283525 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.147544608597 worst_opt_t_minutes: 0.41780319981254
2025-03-18 15:51:03	EP	SIM:ESM5	Sell	50	-0.2600	-0.6750	5,670.8750	5,671.1250	5,671.1350	5,670.4600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.875 avg_total: 5671.135 curr_cost_per_share: 0.34 curr_half_min_move: 0.46416636533462 curr_liq_cost: 17 curr_opt_t_minutes: 0.1663593588018 daily_vol_normal: 44.151437432671 destination_price: 5671.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.415 init_drift: 0 init_half_min_move: 0.46416636533462 init_liq_cost: 20.75 init_min_duration: 0 init_opt_t_minutes: 0.79937186583495 init_vol_normal: 44.151437432671 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 11 order_time_minutes: 9.1567497769992 pov_agg_limit: ready: 1 seconds_spent: 13.047 slip_toler: 0 slippage: -0.26000000000022 slippage_sweep: -0.67500000000018 sweep_residual: 0 sweep_to_fill: 5670.46 total_dollar: 283556.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.151437432671 worst_opt_t_minutes: 0.1663593588018
2025-03-18 15:50:41	EP	SIM:ESM5	Buy	50	0.4200	0.1350	5,670.3750	5,670.6250	5,670.7950	5,670.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.375 avg_total: 5670.795 curr_cost_per_share: 0.255 curr_half_min_move: 0.46412543987203 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.020742251039566 daily_vol_normal: 44.147544608597 destination_price: 5670.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.46412543987203 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.37706738783081 init_vol_normal: 44.147544608597 last_aggressive_qty: 4 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 6 order_time_minutes: 9.9833431005478 pov_agg_limit: ready: 1 seconds_spent: 3.329 slip_toler: 0 slippage: 0.42000000000007 slippage_sweep: 0.13500000000022 sweep_residual: 0 sweep_to_fill: 5670.66 total_dollar: 283539.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.147544608597 worst_opt_t_minutes: 0.020742251039566
2025-03-18 15:49:07	EP	SIM:ESM5	Sell	50	-0.0850	-0.4800	5,670.8750	5,671.1250	5,670.9600	5,670.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.875 avg_total: 5670.96 curr_cost_per_share: 0.4 curr_half_min_move: 0.46416636533462 curr_liq_cost: 20 curr_opt_t_minutes: 0.30370455813593 daily_vol_normal: 44.151437432671 destination_price: 5671.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.395 init_drift: 0 init_half_min_move: 0.46416636533462 init_liq_cost: 19.75 init_min_duration: 0 init_opt_t_minutes: 0.72418055083117 init_vol_normal: 44.151437432671 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.877 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.48000000000047 sweep_residual: 0 sweep_to_fill: 5670.48 total_dollar: 283548 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.151437432671 worst_opt_t_minutes: 0.30370455813593

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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