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 12:51:05	EP	SIM:ESM5	Sell	50	0.2700	0.0400	5,916.1250	5,916.1250	5,915.8550	5,915.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5915.855 curr_cost_per_share: 0.195 curr_half_min_move: 0.4016180892039 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.23574510922675 daily_vol_normal: 38.201854467701 destination_price: 5916.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.3279662400551 init_vol_normal: 38.201854467701 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.371 slip_toler: 0 slippage: 0.27000000000044 slippage_sweep: 0.040000000000873 sweep_residual: 0 sweep_to_fill: 5915.895 total_dollar: 295792.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0.23574510922675
2025-06-02 12:50:50	EP	SIM:ESM5	Buy	50	0.5150	0.1650	5,915.8750	5,916.1250	5,916.3900	5,916.2250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.875 avg_total: 5916.39 curr_cost_per_share: 0.16 curr_half_min_move: 0.40160111787177 curr_liq_cost: 8 curr_opt_t_minutes: 0.2913984741898 daily_vol_normal: 38.200240157047 destination_price: 5916.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.40160111787177 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 0.75953232658428 init_vol_normal: 38.200240157047 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.504 slip_toler: 0 slippage: 0.51500000000033 slippage_sweep: 0.16499999999996 sweep_residual: 0 sweep_to_fill: 5916.225 total_dollar: 295819.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.200240157047 worst_opt_t_minutes: 0.2913984741898
2025-06-02 12:49:54	EP	SIM:ESM5	Sell	50	0.0850	-0.0700	5,917.6250	5,917.6250	5,917.5400	5,917.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.54 curr_cost_per_share: 0.18 curr_half_min_move: 0.40171991719669 curr_liq_cost: 9 curr_opt_t_minutes: 0.20076975138482 daily_vol_normal: 38.211540331624 destination_price: 5917.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.14887324929075 init_vol_normal: 38.211540331624 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.313 slip_toler: 0 slippage: 0.085000000000036 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5917.47 total_dollar: 295877 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0.20076975138482
2025-06-02 12:49:41	EP	SIM:ESM5	Buy	50	0.0650	-0.1850	5,917.8750	5,917.6250	5,917.9400	5,918.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.875 avg_total: 5917.94 curr_cost_per_share: 0.35 curr_half_min_move: 0.40173688852882 curr_liq_cost: 17.5 curr_opt_t_minutes: 0.24962710925416 daily_vol_normal: 38.213154642278 destination_price: 5917.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40173688852882 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38725460792733 init_vol_normal: 38.213154642278 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.546 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.1850000000004 sweep_residual: 0 sweep_to_fill: 5918.125 total_dollar: 295897 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.213154642278 worst_opt_t_minutes: 0.24962710925416
2025-06-02 12:48:54	EP	SIM:ESM5	Sell	50	0.3500	0.0700	5,918.3750	5,918.1250	5,918.0250	5,918.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.375 avg_total: 5918.025 curr_cost_per_share: 0.125 curr_half_min_move: 0.40177083119308 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20219545725775 daily_vol_normal: 38.216383263585 destination_price: 5918.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40177083119308 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48569010500961 init_vol_normal: 38.216383263585 last_aggressive_qty: 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: 13.796 slip_toler: 0 slippage: 0.35000000000036 slippage_sweep: 0.070000000000618 sweep_residual: 0 sweep_to_fill: 5918.095 total_dollar: 295901.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.216383263585 worst_opt_t_minutes: 0.20219545725775
2025-06-02 12:48:40	EP	SIM:ESM5	Buy	50	0.6350	0.3350	5,917.8750	5,918.3750	5,918.5100	5,918.1750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.875 avg_total: 5918.51 curr_cost_per_share: 0.135 curr_half_min_move: 0.40173688852882 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.22610458386268 daily_vol_normal: 38.213154642278 destination_price: 5918.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40173688852882 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55764663541536 init_vol_normal: 38.213154642278 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.736 slip_toler: 0 slippage: 0.63500000000022 slippage_sweep: 0.33500000000004 sweep_residual: 0 sweep_to_fill: 5918.175 total_dollar: 295925.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.213154642278 worst_opt_t_minutes: 0.22610458386268
2025-06-02 12:47:46	EP	SIM:ESM5	Sell	50	-0.1250	-0.2500	5,917.6250	5,917.8750	5,917.7500	5,917.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.75 curr_cost_per_share: 0.24 curr_half_min_move: 0.40171991719669 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.211540331624 destination_price: 5917.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096821832265056 init_vol_normal: 38.211540331624 last_aggressive_qty: 26 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.139 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5917.5 total_dollar: 295887.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0
2025-06-02 12:47:42	EP	SIM:ESM5	Buy	50	-0.0350	-0.2550	5,918.1250	5,917.8750	5,918.0900	5,918.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.125 avg_total: 5918.09 curr_cost_per_share: 0.2 curr_half_min_move: 0.40175385986095 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.214768952931 destination_price: 5917.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40175385986095 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29986463234477 init_vol_normal: 38.214768952931 last_aggressive_qty: 3 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.315 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.25500000000011 sweep_residual: 0 sweep_to_fill: 5918.345 total_dollar: 295904.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.214768952931 worst_opt_t_minutes: 0
2025-06-02 12:47:05	EP	SIM:ESM5	Sell	50	-0.1100	-0.3200	5,918.1250	5,918.6250	5,918.2350	5,917.9150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.125 avg_total: 5918.235 curr_cost_per_share: 0.285 curr_half_min_move: 0.40175385986095 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.214768952931 destination_price: 5918.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40175385986095 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27322376624803 init_vol_normal: 38.214768952931 last_aggressive_qty: last_tactical_qty: 28 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.402 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5917.915 total_dollar: 295911.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.214768952931 worst_opt_t_minutes: 0
2025-06-02 12:46:58	EP	SIM:ESM5	Buy	50	-0.1250	-0.2700	5,918.3750	5,918.1250	5,918.2500	5,918.5200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.375 avg_total: 5918.25 curr_cost_per_share: 0.205 curr_half_min_move: 0.40177083119308 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.216383263585 destination_price: 5918.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40177083119308 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.1302504395131 init_vol_normal: 38.216383263585 last_aggressive_qty: 11 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.179 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.27000000000044 sweep_residual: 0 sweep_to_fill: 5918.52 total_dollar: 295912.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.216383263585 worst_opt_t_minutes: 0
2025-06-02 12:46:24	EP	SIM:ESM5	Sell	50	0.3450	-0.0250	5,919.1250	5,919.1250	5,918.7800	5,918.7550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5918.78 curr_cost_per_share: 0.16 curr_half_min_move: 0.40182174518947 curr_liq_cost: 8 curr_opt_t_minutes: 0.15855249999809 daily_vol_normal: 38.221226195547 destination_price: 5919.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.37 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 18.5 init_min_duration: 0 init_opt_t_minutes: 0.84788426756792 init_vol_normal: 38.221226195547 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.614 slip_toler: 0 slippage: 0.34500000000025 slippage_sweep: -0.024999999999636 sweep_residual: 0 sweep_to_fill: 5918.755 total_dollar: 295939 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0.15855249999809
2025-06-02 12:46:10	EP	SIM:ESM5	Buy	50	0.0000	-0.2250	5,919.1250	5,918.8750	5,919.1250	5,919.3500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5919.125 curr_cost_per_share: 0.205 curr_half_min_move: 0.40182174518947 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.221226195547 destination_price: 5918.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31354376220326 init_vol_normal: 38.221226195547 last_aggressive_qty: 12 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.386 slip_toler: 0 slippage: 0 slippage_sweep: -0.22500000000036 sweep_residual: 0 sweep_to_fill: 5919.35 total_dollar: 295956.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0
2025-06-02 12:45:32	EP	SIM:ESM5	Sell	50	-0.2150	-0.5100	5,918.8750	5,919.1250	5,919.0900	5,918.5800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.875 avg_total: 5919.09 curr_cost_per_share: 0.14 curr_half_min_move: 0.40180477385734 curr_liq_cost: 7 curr_opt_t_minutes: 0 daily_vol_normal: 38.219611884893 destination_price: 5919.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.40180477385734 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.53903113018433 init_vol_normal: 38.219611884893 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.549 slip_toler: 0 slippage: -0.21500000000015 slippage_sweep: -0.51000000000022 sweep_residual: 0 sweep_to_fill: 5918.58 total_dollar: 295954.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.219611884893 worst_opt_t_minutes: 0
2025-06-02 12:45:28	EP	SIM:ESM5	Buy	50	0.4100	0.1450	5,918.6250	5,919.1250	5,919.0350	5,918.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5919.035 curr_cost_per_share: 0.19 curr_half_min_move: 0.40178780252521 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.37943045492954 daily_vol_normal: 38.217997574239 destination_price: 5919.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43500900902424 init_vol_normal: 38.217997574239 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: 25.606 slip_toler: 0 slippage: 0.40999999999985 slippage_sweep: 0.14499999999953 sweep_residual: 0 sweep_to_fill: 5918.89 total_dollar: 295951.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0.37943045492954
2025-06-02 12:44:33	EP	SIM:ESM5	Sell	50	-0.0750	-0.3000	5,918.8750	5,919.1250	5,918.9500	5,918.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.875 avg_total: 5918.95 curr_cost_per_share: 0.225 curr_half_min_move: 0.40180477385734 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.219611884893 destination_price: 5919.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40180477385734 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31357024953268 init_vol_normal: 38.219611884893 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.348 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5918.65 total_dollar: 295947.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.219611884893 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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