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
2025-02-13 19:49:49	EP	SIM:ESH5	Buy	50	0.1200	-0.2000	6,141.1250	6,141.3750	6,141.2450	6,141.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6141.125 avg_total: 6141.245 curr_cost_per_share: 0.35 curr_half_min_move: 0.17679364813629 curr_liq_cost: 17.5 curr_opt_t_minutes: 1.2889671687839 daily_vol_normal: 16.816586200846 destination_price: 6141.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.17662751063406 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 3.2823376962314 init_vol_normal: 16.8007832257 last_aggressive_qty: 5 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: 21.65 slip_toler: 0 slippage: 0.11999999999989 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 6141.445 total_dollar: 307062.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.478269692117 worst_opt_t_minutes: 0.15510411155271
2025-02-13 19:32:13	EP	SIM:ESH5	Buy	50	0.2200	-0.0900	6,138.6250	6,138.8750	6,138.8450	6,138.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6138.625 avg_total: 6138.845 curr_cost_per_share: 0.17 curr_half_min_move: 0.16633956950107 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 15.822195755415 destination_price: 6138.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.16617336729472 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 3.4801707046089 init_vol_normal: 15.806386625622 last_aggressive_qty: 19 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.367 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 6138.935 total_dollar: 306942.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.458534598917 worst_opt_t_minutes: 0
2025-02-13 19:26:20	EP	SIM:ESH5	Buy	50	0.2350	-0.3050	6,136.8750	6,137.1250	6,137.1100	6,137.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.875 avg_total: 6137.11 curr_cost_per_share: 0.425 curr_half_min_move: 0.16360236113016 curr_liq_cost: 21.25 curr_opt_t_minutes: 2.9833422764734 daily_vol_normal: 15.561832891679 destination_price: 6137.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.54 init_drift: 0 init_half_min_move: 0.16351789696059 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 10.90578505417 init_vol_normal: 15.553798672105 last_aggressive_qty: 5 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.388 slip_toler: 0 slippage: 0.23499999999967 slippage_sweep: -0.30500000000029 sweep_residual: 0 sweep_to_fill: 6137.415 total_dollar: 306855.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.444720033676 worst_opt_t_minutes: 0.3078446967831
2025-02-13 19:23:49	EP	SIM:ESH5	Sell	50	0.3400	-0.0500	6,137.8750	6,137.6250	6,137.5350	6,137.4850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6137.875 avg_total: 6137.535 curr_cost_per_share: 0.315 curr_half_min_move: 0.16318506869912 curr_liq_cost: 15.75 curr_opt_t_minutes: 0.95964924552529 daily_vol_normal: 15.522140096087 destination_price: 6137.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.39 init_drift: 0 init_half_min_move: 0.16280359840023 init_liq_cost: 19.5 init_min_duration: 0 init_opt_t_minutes: 5.7385373753711 init_vol_normal: 15.485854696515 last_aggressive_qty: 11 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.73 slip_toler: 0 slippage: 0.34000000000015 slippage_sweep: -0.050000000000182 sweep_residual: 0 sweep_to_fill: 6137.485 total_dollar: 306876.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.452614070957 worst_opt_t_minutes: 0.098487541976284
2025-02-13 19:23:15	EP	SIM:ESH5	Buy	50	0.3700	-0.1200	6,137.3750	6,137.6250	6,137.7450	6,137.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6137.375 avg_total: 6137.745 curr_cost_per_share: 0.275 curr_half_min_move: 0.16248243635552 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.4288118974259 daily_vol_normal: 15.455305809345 destination_price: 6137.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.16248243635552 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 9.0945102139216 init_vol_normal: 15.455305809345 last_aggressive_qty: 2 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.978 slip_toler: 0 slippage: 0.36999999999989 slippage_sweep: -0.11999999999989 sweep_residual: 0 sweep_to_fill: 6137.865 total_dollar: 306887.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.448667052317 worst_opt_t_minutes: 0.043637349689422
2025-02-13 19:19:22	EP	SIM:ESH5	Buy	50	0.3000	-0.1950	6,136.1250	6,136.3750	6,136.4250	6,136.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.125 avg_total: 6136.425 curr_cost_per_share: 0.455 curr_half_min_move: 0.1613938256557 curr_liq_cost: 22.75 curr_opt_t_minutes: 3.7925875059369 daily_vol_normal: 15.351757317271 destination_price: 6136.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.16134566791589 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 9.4123003979224 init_vol_normal: 15.347176560036 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.05 slip_toler: 0 slippage: 0.30000000000018 slippage_sweep: -0.19499999999971 sweep_residual: 0 sweep_to_fill: 6136.62 total_dollar: 306821.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.438799505716 worst_opt_t_minutes: 0.38094744090778
2025-02-13 19:17:07	EP	SIM:ESH5	Buy	50	0.1600	-0.3300	6,136.1250	6,136.3750	6,136.2850	6,136.6150	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.125 avg_total: 6136.285 curr_cost_per_share: 0.355 curr_half_min_move: 0.16033102126049 curr_liq_cost: 17.75 curr_opt_t_minutes: 1.6565371752468 daily_vol_normal: 15.250663517154 destination_price: 6136.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.16029870579708 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 9.3439849021459 init_vol_normal: 15.247589674956 last_aggressive_qty: 12 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27.235 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 6136.615 total_dollar: 306814.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.438799505716 worst_opt_t_minutes: 0.16420709668915
2025-02-13 19:12:00	EP	SIM:ESH5	Sell	50	0.2650	-0.0850	6,137.1250	6,136.8750	6,136.8600	6,136.7750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6137.125 avg_total: 6136.86 curr_cost_per_share: 0.35 curr_half_min_move: 0.15740060878752 curr_liq_cost: 17.5 curr_opt_t_minutes: 1.6261565590828 daily_vol_normal: 14.971923107217 destination_price: 6136.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.15737317753907 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 4.9462340305487 init_vol_normal: 14.969313850838 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.474 slip_toler: 0 slippage: 0.26500000000033 slippage_sweep: -0.085000000000036 sweep_residual: 0 sweep_to_fill: 6136.775 total_dollar: 306843 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.446693542996 worst_opt_t_minutes: 0.15530636216059
2025-02-13 19:11:05	EP	SIM:ESH5	Buy	50	0.2200	-0.2750	6,137.1250	6,136.8750	6,137.3450	6,137.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6137.125 avg_total: 6137.345 curr_cost_per_share: 0.505 curr_half_min_move: 0.15697214199605 curr_liq_cost: 25.25 curr_opt_t_minutes: 5.4517235610432 daily_vol_normal: 14.931167408079 destination_price: 6136.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.15643215571337 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 10.012864465689 init_vol_normal: 14.879803991092 last_aggressive_qty: 7 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: 44.386 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: -0.27499999999964 sweep_residual: 0 sweep_to_fill: 6137.62 total_dollar: 306867.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.446693542996 worst_opt_t_minutes: 0.51783699228298
2025-02-13 19:08:28	EP	SIM:ESH5	Buy	50	0.1250	-0.2950	6,137.2500	6,137.3750	6,137.3750	6,137.6700	Diagnostics Diagnostics algo_status: 4 arrival_price: 6137.25 avg_total: 6137.375 curr_cost_per_share: 0.345 curr_half_min_move: 0.15569952955796 curr_liq_cost: 17.25 curr_opt_t_minutes: 3.1888916496806 daily_vol_normal: 14.810116697315 destination_price: 6137.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.42 init_drift: 0 init_half_min_move: 0.1556274178693 init_liq_cost: 21 init_min_duration: 0 init_opt_t_minutes: 7.2832691125749 init_vol_normal: 14.803257443936 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.86 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 6137.67 total_dollar: 306868.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 48.447680297657 worst_opt_t_minutes: 0.29799621589528
2025-02-13 19:06:46	EP	SIM:ESH5	Buy	50	0.2100	-0.2050	6,136.6250	6,136.7500	6,136.8350	6,137.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.625 avg_total: 6136.835 curr_cost_per_share: 0.38 curr_half_min_move: 0.15531722362006 curr_liq_cost: 19 curr_opt_t_minutes: 4.0752489209775 daily_vol_normal: 14.773751811882 destination_price: 6136.75 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.415 init_drift: 0 init_half_min_move: 0.15529498396827 init_liq_cost: 20.75 init_min_duration: 0 init_opt_t_minutes: 7.1413667468281 init_vol_normal: 14.771636379425 last_aggressive_qty: 16 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.17 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 6137.04 total_dollar: 306841.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 48.442746524356 worst_opt_t_minutes: 0.37903404725959
2025-02-13 19:05:14	EP	SIM:ESH5	Sell	50	-0.1800	-0.5950	6,136.6250	6,137.1250	6,136.8050	6,136.2100	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.625 avg_total: 6136.805 curr_cost_per_share: 0.33 curr_half_min_move: 0.15428543899815 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 14.675608608108 destination_price: 6137.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.415 init_drift: 0 init_half_min_move: 0.15420706400485 init_liq_cost: 20.75 init_min_duration: 0 init_opt_t_minutes: 7.2424858648713 init_vol_normal: 14.668153590099 last_aggressive_qty: 6 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.387 slip_toler: 0 slippage: -0.18000000000029 slippage_sweep: -0.59500000000025 sweep_residual: 0 sweep_to_fill: 6136.21 total_dollar: 306840.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 48.442746524356 worst_opt_t_minutes: 0
2025-02-13 19:05:01	EP	SIM:ESH5	Buy	50	0.4550	0.0450	6,135.3750	6,135.6250	6,135.8300	6,135.7850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.83 curr_cost_per_share: 0.35 curr_half_min_move: 0.15413084358356 curr_liq_cost: 17.5 curr_opt_t_minutes: 1.695883676605 daily_vol_normal: 14.660903514667 destination_price: 6135.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.41 init_drift: 0 init_half_min_move: 0.15413084358353 init_liq_cost: 20.5 init_min_duration: 0 init_opt_t_minutes: 7.0760126831908 init_vol_normal: 14.660903514663 last_aggressive_qty: 1 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.903 slip_toler: 0 slippage: 0.45499999999993 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 6135.785 total_dollar: 306791.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.15539497121699
2025-02-13 19:02:33	EP	SIM:ESH5	Buy	50	0.1250	-0.3600	6,135.1250	6,135.3750	6,135.2500	6,135.6100	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135.25 curr_cost_per_share: 0.35 curr_half_min_move: 0.15321991209953 curr_liq_cost: 17.5 curr_opt_t_minutes: 1.7161085420126 daily_vol_normal: 14.574255843861 destination_price: 6135.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.1530338354143 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 10.044042724213 init_vol_normal: 14.556556256516 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.853 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.35999999999967 sweep_residual: 0 sweep_to_fill: 6135.61 total_dollar: 306762.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0.15540763584382
2025-02-13 19:00:54	EP	SIM:ESH5	Sell	50	-0.1450	-0.4900	6,134.8750	6,135.1250	6,135.0200	6,134.5300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.875 avg_total: 6135.02 curr_cost_per_share: 0.395 curr_half_min_move: 0.15245104925438 curr_liq_cost: 19.75 curr_opt_t_minutes: 2.6976923145781 daily_vol_normal: 14.501121721406 destination_price: 6135.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.15232639316331 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 5.129651637169 init_vol_normal: 14.48926445208 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.542 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.49000000000069 sweep_residual: 0 sweep_to_fill: 6134.53 total_dollar: 306751 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.428931959116 worst_opt_t_minutes: 0.2418721293821

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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