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 13:03:17	EP	SIM:ESM5	Sell	50	0.0300	-0.1650	5,921.3750	5,921.6250	5,921.3450	5,921.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.345 curr_cost_per_share: 0.265 curr_half_min_move: 0.40197448717865 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.049651428097616 daily_vol_normal: 38.235754991431 destination_price: 5921.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23532726264329 init_vol_normal: 38.235754991431 last_aggressive_qty: last_tactical_qty: 36 level_tactical_limit: mbo_max: mbo_min: model_size: 36 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.325 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5921.18 total_dollar: 296067.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0.049651428097616
2025-06-02 13:03:10	EP	SIM:ESM5	Buy	50	-0.1050	-0.3400	5,921.3750	5,921.1250	5,921.2700	5,921.6100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.27 curr_cost_per_share: 0.265 curr_half_min_move: 0.40197448717865 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.049651428097616 daily_vol_normal: 38.235754991431 destination_price: 5921.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.34177378249771 init_vol_normal: 38.235754991431 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.384 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.33999999999924 sweep_residual: 0 sweep_to_fill: 5921.61 total_dollar: 296063.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0.049651428097616
2025-06-02 13:02:33	EP	SIM:ESM5	Sell	50	-0.3100	-0.5050	5,922.3750	5,922.8750	5,922.6850	5,922.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.375 avg_total: 5922.685 curr_cost_per_share: 0.185 curr_half_min_move: 0.40204237250717 curr_liq_cost: 9.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.242212234047 destination_price: 5922.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40204237250717 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23524779878124 init_vol_normal: 38.242212234047 last_aggressive_qty: 30 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 43 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.225 slip_toler: 0 slippage: -0.3100000000004 slippage_sweep: -0.50500000000011 sweep_residual: 0 sweep_to_fill: 5922.18 total_dollar: 296134.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.242212234047 worst_opt_t_minutes: 0
2025-06-02 13:02:29	EP	SIM:ESM5	Buy	50	-0.0300	-0.3000	5,922.6250	5,922.3750	5,922.5950	5,922.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.625 avg_total: 5922.595 curr_cost_per_share: 0.215 curr_half_min_move: 0.4020593438393 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.2438265447 destination_price: 5922.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.4020593438393 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45096954005868 init_vol_normal: 38.2438265447 last_aggressive_qty: last_tactical_qty: 31 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.246 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5922.895 total_dollar: 296129.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.2438265447 worst_opt_t_minutes: 0
2025-06-02 13:01:53	EP	SIM:ESM5	Sell	50	-0.0600	-0.2650	5,921.8750	5,922.1250	5,921.9350	5,921.6700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5921.935 curr_cost_per_share: 0.195 curr_half_min_move: 0.40200842984291 curr_liq_cost: 9.75 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: 0.205 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.2600383502094 init_vol_normal: 38.238983612739 last_aggressive_qty: last_tactical_qty: 50 level_tactical_limit: mbo_max: mbo_min: model_size: 50 n_kids: 1 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 0.131 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.26500000000033 sweep_residual: 0 sweep_to_fill: 5921.67 total_dollar: 296096.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0
2025-06-02 13:01:52	EP	SIM:ESM5	Buy	50	0.2100	0.0100	5,921.8750	5,921.8750	5,922.0850	5,922.0750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5922.085 curr_cost_per_share: 0.13 curr_half_min_move: 0.40200842984291 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.10457223363567 daily_vol_normal: 38.238983612739 destination_price: 5921.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24750824529152 init_vol_normal: 38.238983612739 last_aggressive_qty: 9 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.441 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5922.075 total_dollar: 296104.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0.10457223363567
2025-06-02 13:01:16	EP	SIM:ESM5	Sell	50	-0.2100	-0.3750	5,919.6250	5,920.2500	5,919.8350	5,919.4600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5919.835 curr_cost_per_share: 0.255 curr_half_min_move: 0.40185568785373 curr_liq_cost: 12.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.224454816854 destination_price: 5920.25 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16858838449339 init_vol_normal: 38.224454816854 last_aggressive_qty: last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.238 slip_toler: 0 slippage: -0.21000000000004 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5919.46 total_dollar: 295991.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0
2025-06-02 13:01:09	EP	SIM:ESM5	Buy	50	-0.1200	-0.3650	5,919.8750	5,919.6250	5,919.7550	5,920.1200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5919.755 curr_cost_per_share: 0.21 curr_half_min_move: 0.40187265918586 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5919.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37166806575626 init_vol_normal: 38.226069127508 last_aggressive_qty: 21 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 36 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.427 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 5920.12 total_dollar: 295987.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 13:00:22	EP	SIM:ESM5	Sell	50	-0.1800	-0.3400	5,919.3750	5,919.8750	5,919.5550	5,919.2150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.555 curr_cost_per_share: 0.27 curr_half_min_move: 0.4018387165216 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.222840506201 destination_price: 5919.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15853910760854 init_vol_normal: 38.222840506201 last_aggressive_qty: last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.173 slip_toler: 0 slippage: -0.18000000000029 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5919.215 total_dollar: 295977.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0
2025-06-02 13:00:17	EP	SIM:ESM5	Buy	50	-0.2200	-0.4050	5,919.8750	5,919.3750	5,919.6550	5,920.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5919.655 curr_cost_per_share: 0.31 curr_half_min_move: 0.40187265918586 curr_liq_cost: 15.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5919.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21191736027502 init_vol_normal: 38.226069127508 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.363 slip_toler: 0 slippage: -0.22000000000025 slippage_sweep: -0.40500000000065 sweep_residual: 0 sweep_to_fill: 5920.06 total_dollar: 295982.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 12:59:43	EP	SIM:ESM5	Sell	50	0.7400	0.5500	5,921.1250	5,919.6250	5,920.3850	5,920.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.125 avg_total: 5920.385 curr_cost_per_share: 0.125 curr_half_min_move: 0.40195751584652 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20200768605388 daily_vol_normal: 38.234140680777 destination_price: 5919.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40195751584652 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22343278290297 init_vol_normal: 38.234140680777 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.403 slip_toler: 0 slippage: 0.73999999999978 slippage_sweep: 0.55000000000018 sweep_residual: 0 sweep_to_fill: 5920.935 total_dollar: 296019.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.234140680777 worst_opt_t_minutes: 0.20200768605388
2025-06-02 12:59:22	EP	SIM:ESM5	Buy	50	0.6000	0.3450	5,920.6250	5,921.1250	5,921.2250	5,920.8800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5921.225 curr_cost_per_share: 0.21 curr_half_min_move: 0.40192357318225 curr_liq_cost: 10.5 curr_opt_t_minutes: 0.44418752320791 daily_vol_normal: 38.23091205947 destination_price: 5921.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.40252550492887 init_vol_normal: 38.23091205947 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 28.478 slip_toler: 0 slippage: 0.60000000000036 slippage_sweep: 0.34500000000025 sweep_residual: 0 sweep_to_fill: 5920.88 total_dollar: 296061.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0.44418752320791
2025-06-02 12:58:24	EP	SIM:ESM5	Sell	50	-0.0100	-0.2700	5,921.1250	5,921.3750	5,921.1350	5,920.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.125 avg_total: 5921.135 curr_cost_per_share: 0.155 curr_half_min_move: 0.40195751584652 curr_liq_cost: 7.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.234140680777 destination_price: 5921.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40195751584652 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41839490648867 init_vol_normal: 38.234140680777 last_aggressive_qty: 9 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.415 slip_toler: 0 slippage: -0.010000000000218 slippage_sweep: -0.27000000000044 sweep_residual: 0 sweep_to_fill: 5920.865 total_dollar: 296056.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.234140680777 worst_opt_t_minutes: 0
2025-06-02 12:58:18	EP	SIM:ESM5	Buy	50	-0.1100	-0.3450	5,921.3750	5,921.1250	5,921.2650	5,921.6100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.265 curr_cost_per_share: 0.245 curr_half_min_move: 0.40197448717865 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.235754991431 destination_price: 5921.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.34177378249771 init_vol_normal: 38.235754991431 last_aggressive_qty: 23 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: 2.36 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.34499999999935 sweep_residual: 0 sweep_to_fill: 5921.61 total_dollar: 296063.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0
2025-06-02 12:57:45	EP	SIM:ESM5	Sell	50	-0.0900	-0.3300	5,920.8750	5,921.1250	5,920.9650	5,920.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.875 avg_total: 5920.965 curr_cost_per_share: 0.19 curr_half_min_move: 0.40194054451438 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.232526370124 destination_price: 5921.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40194054451438 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35653227500876 init_vol_normal: 38.232526370124 last_aggressive_qty: 36 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 39 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.452 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5920.635 total_dollar: 296048.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.232526370124 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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