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
2025-03-18 15:28:34	EP	SIM:ESM5	Sell	50	-0.1050	-0.3650	5,670.1250	5,670.6250	5,670.2300	5,669.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5670.125 avg_total: 5670.23 curr_cost_per_share: 0.23 curr_half_min_move: 0.45259006604548 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 43.050301521201 destination_price: 5670.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.46177928835985 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.31701352823755 init_vol_normal: 43.924379016616 last_aggressive_qty: 9 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.39 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 5669.865 total_dollar: 283511.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 44.145598196561 worst_opt_t_minutes: 0
2025-03-18 15:28:23	EP	SIM:ESM5	Buy	50	-0.0900	-0.2350	5,669.8750	5,669.6250	5,669.7850	5,670.0200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5669.875 avg_total: 5669.785 curr_cost_per_share: 0.245 curr_half_min_move: 0.46175892816989 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 43.922442358296 destination_price: 5669.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.46408451440944 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.097620684888345 init_vol_normal: 44.143651784524 last_aggressive_qty: 39 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 5 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.194 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.23500000000058 sweep_residual: 0 sweep_to_fill: 5670.02 total_dollar: 283489.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 44.143651784524 worst_opt_t_minutes: 0
2025-03-18 15:10:34	EP	SIM:ESM5	Sell	50	-0.0150	-0.2150	5,675.8750	5,676.1250	5,675.8900	5,675.6750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5675.875 avg_total: 5675.89 curr_cost_per_share: 0.135 curr_half_min_move: 0.33515942463442 curr_liq_cost: 6.75 curr_opt_t_minutes: 0 daily_vol_normal: 31.880315920885 destination_price: 5676.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.33684748577433 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.35252780028019 init_vol_normal: 32.040884051985 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.196 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 5675.675 total_dollar: 283794.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.190365673403 worst_opt_t_minutes: 0
2025-03-18 15:10:23	EP	SIM:ESM5	Buy	50	0.1150	-0.0100	5,676.1250	5,676.1250	5,676.2400	5,676.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5676.125 avg_total: 5676.24 curr_cost_per_share: 0.14 curr_half_min_move: 0.34026464009982 curr_liq_cost: 7 curr_opt_t_minutes: 0.16928654099731 daily_vol_normal: 32.365923276425 destination_price: 5676.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.34026464009982 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.13495419403485 init_vol_normal: 32.365923276425 last_aggressive_qty: 11 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.188 slip_toler: 0 slippage: 0.11499999999978 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5676.25 total_dollar: 283812 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 44.19231208544 worst_opt_t_minutes: 0.090804000839224
2025-03-18 15:07:07	EP	SIM:ESM5	Sell	50	0.3400	0.1050	5,673.8750	5,673.6250	5,673.5350	5,673.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5673.875 avg_total: 5673.535 curr_cost_per_share: 0.19 curr_half_min_move: 0.4483983269355 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 42.651583904264 destination_price: 5673.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.4483983269355 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.27466780544312 init_vol_normal: 42.651583904264 last_aggressive_qty: 16 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: 0.34000000000015 slippage_sweep: 0.10500000000047 sweep_residual: 0 sweep_to_fill: 5673.64 total_dollar: 283676.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 44.17479437711 worst_opt_t_minutes: 0
2025-02-14 02:11:31	EP	SIM:ESH5	Buy	50	-0.1350	-0.4250	6,139.1250	6,138.6250	6,138.9900	6,139.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 6139.125 avg_total: 6138.99 curr_cost_per_share: 0.41 curr_half_min_move: 0.12250835611882 curr_liq_cost: 20.5 curr_opt_t_minutes: 0 daily_vol_normal: 11.652977087773 destination_price: 6138.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.1221200816085 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 5.6392561792367 init_vol_normal: 11.616044472596 last_aggressive_qty: 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: 30.088 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.42500000000018 sweep_residual: 0 sweep_to_fill: 6139.415 total_dollar: 306949.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 6.7675819109199 worst_opt_t_minutes: 0
2025-02-14 02:08:56	EP	SIM:ESH5	Buy	50	-0.1650	-0.4100	6,139.3750	6,139.0000	6,139.2100	6,139.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6139.375 avg_total: 6139.21 curr_cost_per_share: 0.34 curr_half_min_move: 0.11899431162332 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 11.318721684397 destination_price: 6139 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.11868912972615 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 4.2609876735501 init_vol_normal: 11.289692826546 last_aggressive_qty: 22 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 5 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.314 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 6139.62 total_dollar: 306960.5 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 6.7678575032034 worst_opt_t_minutes: 0
2025-02-14 02:01:15	EP	SIM:ESH5	Sell	50	0.4650	-0.0350	6,141.0000	6,140.5000	6,140.5350	6,140.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 6141 avg_total: 6140.535 curr_cost_per_share: 0.395 curr_half_min_move: 0.11121785613632 curr_liq_cost: 19.75 curr_opt_t_minutes: 0 daily_vol_normal: 10.579026364951 destination_price: 6140.5 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.5 init_drift: 0 init_half_min_move: 0.11089128817919 init_liq_cost: 25 init_min_duration: 0 init_opt_t_minutes: 20.330363868557 init_vol_normal: 10.547963268175 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.694 slip_toler: 0 slippage: 0.46500000000015 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 6140.5 total_dollar: 307026.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 6.7696488530465 worst_opt_t_minutes: 0
2025-02-14 02:00:52	EP	SIM:ESH5	Buy	50	-0.1600	-0.4750	6,141.6250	6,141.1250	6,141.4650	6,141.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6141.625 avg_total: 6141.465 curr_cost_per_share: 0.49 curr_half_min_move: 0.11059847863405 curr_liq_cost: 24.5 curr_opt_t_minutes: 0 daily_vol_normal: 10.520111266656 destination_price: 6141.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.11009764008347 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 8.1858746011422 init_vol_normal: 10.472471576275 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.648 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.47499999999945 sweep_residual: 0 sweep_to_fill: 6141.94 total_dollar: 307073.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 6.7703378337554 worst_opt_t_minutes: 0
2025-02-14 01:59:45	EP	SIM:ESH5	Buy	50	0.5350	0.1700	6,142.6250	6,143.1250	6,143.1600	6,142.9900	Diagnostics Diagnostics algo_status: 4 arrival_price: 6142.625 avg_total: 6143.16 curr_cost_per_share: 0.34 curr_half_min_move: 0.10785743766153 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 10.259383846411 destination_price: 6143.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.365 init_drift: 0 init_half_min_move: 0.10752068922989 init_liq_cost: 18.25 init_min_duration: 0 init_opt_t_minutes: 11.523957544945 init_vol_normal: 10.227352384373 last_aggressive_qty: 13 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.403 slip_toler: 0 slippage: 0.53499999999985 slippage_sweep: 0.17000000000007 sweep_residual: 0 sweep_to_fill: 6142.99 total_dollar: 307158 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 6.7714402028896 worst_opt_t_minutes: 0
2025-02-14 01:16:05	EP	SIM:ESH5	Buy	50	0.5800	0.2550	6,145.8750	6,146.3750	6,146.4550	6,146.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 6145.875 avg_total: 6146.455 curr_cost_per_share: 0.38 curr_half_min_move: 0.079697478861376 curr_liq_cost: 19 curr_opt_t_minutes: 0 daily_vol_normal: 7.58081264452 destination_price: 6146.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.078891664991943 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 16.970884519408 init_vol_normal: 7.5041637459877 last_aggressive_qty: 6 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 55.77 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: 0.25500000000011 sweep_residual: 0 sweep_to_fill: 6146.2 total_dollar: 307322.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 6.7750229025757 worst_opt_t_minutes: 0
2025-02-14 01:10:45	EP	SIM:ESH5	Sell	50	0.5650	0.2150	6,145.3750	6,144.8750	6,144.8100	6,145.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6145.375 avg_total: 6144.81 curr_cost_per_share: 0.33 curr_half_min_move: 0.074979588025168 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 7.1320475516016 destination_price: 6144.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.074308673010266 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 22.184879648629 init_vol_normal: 7.0682302125712 last_aggressive_qty: 5 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 42.571 slip_toler: 0 slippage: 0.5649999999996 slippage_sweep: 0.21499999999924 sweep_residual: 0 sweep_to_fill: 6145.025 total_dollar: 307240.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 6.7744717180086 worst_opt_t_minutes: 0
2025-02-14 01:06:38	EP	SIM:ESH5	Buy	50	-0.3050	-0.5900	6,144.1250	6,143.6250	6,143.8200	6,144.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 6144.125 avg_total: 6143.82 curr_cost_per_share: 0.475 curr_half_min_move: 0.069117206165844 curr_liq_cost: 23.75 curr_opt_t_minutes: 0 daily_vol_normal: 6.5744186383525 destination_price: 6143.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.068779033306086 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 17.170288210415 init_vol_normal: 6.5422516849191 last_aggressive_qty: 11 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 32.505 slip_toler: 0 slippage: -0.30500000000029 slippage_sweep: -0.59000000000015 sweep_residual: 0 sweep_to_fill: 6144.41 total_dollar: 307191 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 6.7730937565908 worst_opt_t_minutes: 0
2025-02-14 01:05:26	EP	SIM:ESH5	Buy	50	-0.1850	-0.4950	6,143.8750	6,143.5000	6,143.6900	6,144.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6143.875 avg_total: 6143.69 curr_cost_per_share: 0.37 curr_half_min_move: 0.06798062266837 curr_liq_cost: 18.5 curr_opt_t_minutes: 0 daily_vol_normal: 6.4663069807153 destination_price: 6143.5 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.067777082169834 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 20.919805912271 init_vol_normal: 6.4469462379789 last_aggressive_qty: 17 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.363 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.4950000000008 sweep_residual: 0 sweep_to_fill: 6144.185 total_dollar: 307184.5 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 6.7728181643073 worst_opt_t_minutes: 0
2025-02-14 01:03:23	EP	SIM:ESH5	Sell	50	0.1050	-0.0600	6,142.8750	6,143.3750	6,142.7700	6,142.7100	Diagnostics Diagnostics algo_status: 4 arrival_price: 6142.875 avg_total: 6142.77 curr_cost_per_share: 0.305 curr_half_min_move: 0.06610202144187 curr_liq_cost: 15.25 curr_opt_t_minutes: 0 daily_vol_normal: 6.28761470418 destination_price: 6143.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.065964376616569 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 6.2567523192597 init_vol_normal: 6.2745219483363 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 107.3 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.0600000000004 sweep_residual: 0 sweep_to_fill: 6142.71 total_dollar: 307138.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 6.7717157951731 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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