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
2025-03-18 15:48:24	EP	SIM:ESM5	Buy	50	0.1750	-0.1450	5,670.6250	5,670.8750	5,670.8000	5,670.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.625 avg_total: 5670.8 curr_cost_per_share: 0.15 curr_half_min_move: 0.46414590260333 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 44.149491020634 destination_price: 5670.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.46414590260333 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.47532528226951 init_vol_normal: 44.149491020634 last_aggressive_qty: 10 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.531 slip_toler: 0 slippage: 0.17500000000018 slippage_sweep: -0.14499999999953 sweep_residual: 0 sweep_to_fill: 5670.945 total_dollar: 283540 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.149491020634 worst_opt_t_minutes: 0
2025-03-18 15:40:35	EP	SIM:ESM5	Buy	50	0.2000	-0.1300	5,671.6250	5,671.8750	5,671.8250	5,671.9550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.825 curr_cost_per_share: 0.155 curr_half_min_move: 0.19759605974665 curr_liq_cost: 7.75 curr_opt_t_minutes: 0 daily_vol_normal: 18.795308579839 destination_price: 5671.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.19759605974665 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 2.7891464574499 init_vol_normal: 18.795308579839 last_aggressive_qty: 15 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.543 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5671.955 total_dollar: 283591.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0
2025-03-18 15:39:42	EP	SIM:ESM5	Sell	50	0.0950	-0.2500	5,671.3750	5,671.1250	5,671.2800	5,671.0300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.375 avg_total: 5671.28 curr_cost_per_share: 0.37 curr_half_min_move: 0.20672623109225 curr_liq_cost: 18.5 curr_opt_t_minutes: 1.1643475881001 daily_vol_normal: 19.663769155659 destination_price: 5671.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.20986514288244 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 2.7024493776894 init_vol_normal: 19.962341990447 last_aggressive_qty: 1 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 33.238 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5671.03 total_dollar: 283564 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.155330256744 worst_opt_t_minutes: 0.23091381017981
2025-03-18 15:38:47	EP	SIM:ESM5	Buy	50	-0.0250	-0.3800	5,671.1250	5,671.1250	5,671.1000	5,671.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.125 avg_total: 5671.1 curr_cost_per_share: 0.265 curr_half_min_move: 0.21736496907499 curr_liq_cost: 13.25 curr_opt_t_minutes: 1.4863210907651 daily_vol_normal: 20.675724371476 destination_price: 5671.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.22066600248629 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 2.5881285945618 init_vol_normal: 20.98971819138 last_aggressive_qty: 4 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 22.79 slip_toler: 0 slippage: -0.024999999999636 slippage_sweep: -0.3799999999992 sweep_residual: 0 sweep_to_fill: 5671.48 total_dollar: 283555 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.153383844707 worst_opt_t_minutes: 0.32591633104695
2025-03-18 15:37:38	EP	SIM:ESM5	Sell	50	0.1800	-0.2900	5,671.6250	5,671.6250	5,671.4450	5,671.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.445 curr_cost_per_share: 0.225 curr_half_min_move: 0.22858521029404 curr_liq_cost: 11.25 curr_opt_t_minutes: 0.96887730011854 daily_vol_normal: 21.742992090897 destination_price: 5671.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.22973617896361 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 4.1853996041956 init_vol_normal: 21.85247206402 last_aggressive_qty: 20 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.034 slip_toler: 0 slippage: 0.18000000000029 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5671.155 total_dollar: 283572.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0.23491071917392
2025-03-18 15:37:02	EP	SIM:ESM5	Buy	50	-0.0750	-0.5000	5,671.6250	5,671.3750	5,671.5500	5,672.0500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.55 curr_cost_per_share: 0.215 curr_half_min_move: 0.23205610782424 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 22.073143361184 destination_price: 5671.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.23558052907656 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 3.2546108992015 init_vol_normal: 22.408385800166 last_aggressive_qty: 17 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.594 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.5 sweep_residual: 0 sweep_to_fill: 5672.05 total_dollar: 283577.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0
2025-03-18 15:35:46	EP	SIM:ESM5	Sell	50	0.3550	-0.0950	5,671.6250	5,671.3750	5,671.2700	5,671.1750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.27 curr_cost_per_share: 0.305 curr_half_min_move: 0.2502202601159 curr_liq_cost: 15.25 curr_opt_t_minutes: 0.34754097354173 daily_vol_normal: 23.800914895954 destination_price: 5671.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.25530015269299 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 3.1068685469735 init_vol_normal: 24.284113542027 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.023 slip_toler: 0 slippage: 0.35499999999956 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5671.175 total_dollar: 283563.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0.1009691625121
2025-03-18 15:34:35	EP	SIM:ESM5	Sell	50	0.5200	0.0650	5,671.6250	5,671.1250	5,671.1050	5,671.1700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.105 curr_cost_per_share: 0.34 curr_half_min_move: 0.26577162310868 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 25.280158291097 destination_price: 5671.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.455 init_drift: 0 init_half_min_move: 0.2684556703061 init_liq_cost: 22.75 init_min_duration: 0 init_opt_t_minutes: 2.8726163647076 init_vol_normal: 25.535464471711 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.987 slip_toler: 0 slippage: 0.52000000000044 slippage_sweep: 0.065000000000509 sweep_residual: 0 sweep_to_fill: 5671.17 total_dollar: 283555.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0
2025-03-18 15:33:54	EP	SIM:ESM5	Buy	50	0.1050	-0.2300	5,671.8750	5,671.6250	5,671.9800	5,672.2100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.875 avg_total: 5671.98 curr_cost_per_share: 0.305 curr_half_min_move: 0.27117878187417 curr_liq_cost: 15.25 curr_opt_t_minutes: 0.29589630684743 daily_vol_normal: 25.794486449603 destination_price: 5671.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.27947881009268 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 1.4367851908148 init_vol_normal: 26.583983931426 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 22.791 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.23000000000047 sweep_residual: 0 sweep_to_fill: 5672.21 total_dollar: 283599 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.159223080817 worst_opt_t_minutes: 0.10096026184545
2025-03-18 15:32:45	EP	SIM:ESM5	Sell	50	0.3350	-0.1350	5,671.6250	5,671.3750	5,671.2900	5,671.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.29 curr_cost_per_share: 0.325 curr_half_min_move: 0.28801877050584 curr_liq_cost: 16.25 curr_opt_t_minutes: 0.35597825635913 daily_vol_normal: 27.396303728849 destination_price: 5671.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.29239270385275 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 2.583822365427 init_vol_normal: 27.812351635211 last_aggressive_qty: 19 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.075 slip_toler: 0 slippage: 0.33500000000004 slippage_sweep: -0.13500000000022 sweep_residual: 0 sweep_to_fill: 5671.155 total_dollar: 283564.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0.13702596018247
2025-03-18 15:32:05	EP	SIM:ESM5	Buy	50	0.3250	-0.1150	5,671.6250	5,671.8750	5,671.9500	5,672.0650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.95 curr_cost_per_share: 0.33 curr_half_min_move: 0.30438544100282 curr_liq_cost: 16.5 curr_opt_t_minutes: 0.34092720700261 daily_vol_normal: 28.953099055688 destination_price: 5671.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.44 init_drift: 0 init_half_min_move: 0.30438544100282 init_liq_cost: 22 init_min_duration: 0 init_opt_t_minutes: 2.0895732554831 init_vol_normal: 28.953099055688 last_aggressive_qty: 4 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.836 slip_toler: 0 slippage: 0.32499999999982 slippage_sweep: -0.11499999999978 sweep_residual: 0 sweep_to_fill: 5672.065 total_dollar: 283597.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0.14657071644891
2025-03-18 15:31:18	EP	SIM:ESM5	Sell	50	0.0700	-0.4100	5,671.1250	5,671.1250	5,671.0550	5,670.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.125 avg_total: 5671.055 curr_cost_per_share: 0.35 curr_half_min_move: 0.32983727780799 curr_liq_cost: 17.5 curr_opt_t_minutes: 1.1259953931568 daily_vol_normal: 31.374074085707 destination_price: 5671.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48 init_drift: 0 init_half_min_move: 0.3433663700676 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 1.9541907809413 init_vol_normal: 32.660959381651 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 34.301 slip_toler: 0 slippage: 0.069999999999709 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 5670.645 total_dollar: 283552.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.153383844707 worst_opt_t_minutes: 0.5685261737736
2025-03-18 15:30:36	EP	SIM:ESM5	Buy	50	0.3050	0.0500	5,671.3750	5,671.6250	5,671.6800	5,671.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.375 avg_total: 5671.68 curr_cost_per_share: 0.245 curr_half_min_move: 0.34859717385245 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 33.158512679945 destination_price: 5671.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.36840806703679 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.47909550708794 init_vol_normal: 35.042921969884 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.47 slip_toler: 0 slippage: 0.30500000000029 slippage_sweep: 0.050000000000182 sweep_residual: 0 sweep_to_fill: 5671.63 total_dollar: 283584 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.155330256744 worst_opt_t_minutes: 0
2025-03-18 15:29:26	EP	SIM:ESM5	Sell	50	0.3600	0.0600	5,671.6250	5,671.3750	5,671.2650	5,671.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.265 curr_cost_per_share: 0.245 curr_half_min_move: 0.39726652537932 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 37.787934347062 destination_price: 5671.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.39726652537932 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.57026742661471 init_vol_normal: 37.787934347062 last_aggressive_qty: 25 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.411 slip_toler: 0 slippage: 0.35999999999967 slippage_sweep: 0.059999999999491 sweep_residual: 0 sweep_to_fill: 5671.325 total_dollar: 283563.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 worst_opt_t_minutes: 0
2025-03-18 15:29:15	EP	SIM:ESM5	Buy	50	-0.0650	-0.3100	5,671.6250	5,671.3750	5,671.5600	5,671.8700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5671.625 avg_total: 5671.56 curr_cost_per_share: 0.225 curr_half_min_move: 0.39926753470579 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 37.978270064335 destination_price: 5671.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40737389756013 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.36169772101272 init_vol_normal: 38.749346124773 last_aggressive_qty: 31 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 5 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.334 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.30999999999949 sweep_residual: 0 sweep_to_fill: 5671.87 total_dollar: 283578 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.157276668781 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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