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 19:00:17	EP	SIM:ESH5	Buy	50	0.2250	-0.2250	6,134.8750	6,135.1250	6,135.1000	6,135.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.875 avg_total: 6135.1 curr_cost_per_share: 0.36 curr_half_min_move: 0.1520313447666 curr_liq_cost: 18 curr_opt_t_minutes: 1.9437299795096 daily_vol_normal: 14.461199491326 destination_price: 6135.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.15194044837027 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 8.7715879089548 init_vol_normal: 14.452553439273 last_aggressive_qty: 6 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.803 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: -0.22499999999945 sweep_residual: 0 sweep_to_fill: 6135.325 total_dollar: 306755 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.428931959116 worst_opt_t_minutes: 0.17331445465263
2025-02-13 18:56:47	EP	SIM:ESH5	Buy	50	0.0400	-0.3950	6,134.7500	6,134.8750	6,134.7900	6,135.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.75 avg_total: 6134.79 curr_cost_per_share: 0.345 curr_half_min_move: 0.151607399048 curr_liq_cost: 17.25 curr_opt_t_minutes: 3.3633616642273 daily_vol_normal: 14.420873835983 destination_price: 6134.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.15114537368579 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 8.2830216511491 init_vol_normal: 14.376926050458 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 28.17 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.39500000000044 sweep_residual: 0 sweep_to_fill: 6135.185 total_dollar: 306739.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 48.427945204456 worst_opt_t_minutes: 0.29823914098171
2025-02-13 18:55:14	EP	SIM:ESH5	Sell	50	0.0200	-0.3650	6,135.3750	6,135.6250	6,135.3550	6,134.9900	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.355 curr_cost_per_share: 0.48 curr_half_min_move: 0.15069158894356 curr_liq_cost: 24 curr_opt_t_minutes: 5.1056109797524 daily_vol_normal: 14.333762111511 destination_price: 6135.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.385 init_drift: 0 init_half_min_move: 0.15064574247733 init_liq_cost: 19.25 init_min_duration: 0 init_opt_t_minutes: 6.5314218466116 init_vol_normal: 14.329401202284 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 28.999 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 6134.99 total_dollar: 306767.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.44718531654321
2025-02-13 18:53:58	EP	SIM:ESH5	Buy	50	0.1600	-0.3000	6,135.8750	6,135.8750	6,136.0350	6,136.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.875 avg_total: 6136.035 curr_cost_per_share: 0.425 curr_half_min_move: 0.15028503234412 curr_liq_cost: 21.25 curr_opt_t_minutes: 7.9973555009687 daily_vol_normal: 14.295090506665 destination_price: 6135.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.46 init_drift: 0 init_half_min_move: 0.15003777197138 init_liq_cost: 23 init_min_duration: 0 init_opt_t_minutes: 9.3997099074294 init_vol_normal: 14.271571135828 last_aggressive_qty: 15 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: 44.454 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 6136.335 total_dollar: 306801.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.436825996396 worst_opt_t_minutes: 0.69657657771125
2025-02-13 18:52:00	EP	SIM:ESH5	Sell	50	0.0050	-0.3950	6,134.8750	6,135.1250	6,134.8700	6,134.4750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.875 avg_total: 6134.87 curr_cost_per_share: 0.45 curr_half_min_move: 0.14982326028564 curr_liq_cost: 22.5 curr_opt_t_minutes: 4.2548514304864 daily_vol_normal: 14.251166815354 destination_price: 6135.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.14965025570297 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 7.1443883919786 init_vol_normal: 14.234710644511 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.876 slip_toler: 0 slippage: 0.0050000000001091 slippage_sweep: -0.39499999999953 sweep_residual: 0 sweep_to_fill: 6134.475 total_dollar: 306743.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.428931959116 worst_opt_t_minutes: 0.36844737342218
2025-02-13 18:49:52	EP	SIM:ESH5	Sell	50	0.0300	-0.4350	6,135.2500	6,135.1250	6,135.2200	6,134.7850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.25 avg_total: 6135.22 curr_cost_per_share: 0.36 curr_half_min_move: 0.14938795914659 curr_liq_cost: 18 curr_opt_t_minutes: 3.8539434151334 daily_vol_normal: 14.209761034064 destination_price: 6135.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.149266519416 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 9.7046771835827 init_vol_normal: 14.198209704482 last_aggressive_qty: 5 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.051 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.4350000000004 sweep_residual: 0 sweep_to_fill: 6134.785 total_dollar: 306761 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 48.431892223096 worst_opt_t_minutes: 0.33175387820732
2025-02-13 18:48:38	EP	SIM:ESH5	Buy	50	0.2950	-0.1150	6,135.1250	6,135.6250	6,135.4200	6,135.5350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135.42 curr_cost_per_share: 0.425 curr_half_min_move: 0.14897394251505 curr_liq_cost: 21.25 curr_opt_t_minutes: 0 daily_vol_normal: 14.170379832045 destination_price: 6135.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.41 init_drift: 0 init_half_min_move: 0.14863737248343 init_liq_cost: 20.5 init_min_duration: 0 init_opt_t_minutes: 7.6087212606661 init_vol_normal: 14.138365339393 last_aggressive_qty: 11 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: 19.825 slip_toler: 0 slippage: 0.29500000000007 slippage_sweep: -0.11499999999978 sweep_residual: 0 sweep_to_fill: 6135.535 total_dollar: 306771 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0
2025-02-13 18:47:07	EP	SIM:ESH5	Buy	50	0.0350	-0.4400	6,135.2500	6,134.8750	6,135.2850	6,135.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.25 avg_total: 6135.285 curr_cost_per_share: 0.48 curr_half_min_move: 0.14747395627274 curr_liq_cost: 24 curr_opt_t_minutes: 2.8470397841028 daily_vol_normal: 14.027701357961 destination_price: 6134.875 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.475 init_drift: 0 init_half_min_move: 0.14737438593531 init_liq_cost: 23.75 init_min_duration: 0 init_opt_t_minutes: 10.388269363648 init_vol_normal: 14.018230241888 last_aggressive_qty: 4 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.989 slip_toler: 0 slippage: 0.034999999999854 slippage_sweep: -0.44000000000051 sweep_residual: 0 sweep_to_fill: 6135.725 total_dollar: 306764.25 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 48.431892223096 worst_opt_t_minutes: 0.23883814225009
2025-02-13 18:45:36	EP	SIM:ESH5	Sell	50	0.3100	-0.1600	6,136.0000	6,135.7500	6,135.6900	6,135.5300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136 avg_total: 6135.69 curr_cost_per_share: 0.48 curr_half_min_move: 0.14676999193967 curr_liq_cost: 24 curr_opt_t_minutes: 5.3820930825495 daily_vol_normal: 13.960740372574 destination_price: 6135.75 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.14659337635766 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 10.279382354907 init_vol_normal: 13.943940723997 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 29.117 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: -0.15999999999985 sweep_residual: 0 sweep_to_fill: 6135.53 total_dollar: 306784.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.437812751056 worst_opt_t_minutes: 0.44709422247911
2025-02-13 18:44:45	EP	SIM:ESH5	Buy	50	0.2100	-0.2850	6,135.6250	6,135.8750	6,135.8350	6,136.1200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.625 avg_total: 6135.835 curr_cost_per_share: 0.355 curr_half_min_move: 0.14651371831915 curr_liq_cost: 17.75 curr_opt_t_minutes: 1.9837170394349 daily_vol_normal: 13.936363662913 destination_price: 6135.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.14644298132038 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 11.425448953876 init_vol_normal: 13.929635169837 last_aggressive_qty: 12 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: 23.211 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: -0.28499999999985 sweep_residual: 0 sweep_to_fill: 6136.12 total_dollar: 306791.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.434852487076 worst_opt_t_minutes: 0.16423386067609
2025-02-13 18:42:45	EP	SIM:ESH5	Sell	50	-0.0500	-0.4800	6,135.1250	6,135.3750	6,135.1750	6,134.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135.175 curr_cost_per_share: 0.4 curr_half_min_move: 0.14623045364894 curr_liq_cost: 20 curr_opt_t_minutes: 3.0600110151845 daily_vol_normal: 13.909419568516 destination_price: 6135.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.43 init_drift: 0 init_half_min_move: 0.14602955775951 init_liq_cost: 21.5 init_min_duration: 0 init_opt_t_minutes: 8.6707241775276 init_vol_normal: 13.890310380614 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.901 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.48000000000047 sweep_residual: 0 sweep_to_fill: 6134.695 total_dollar: 306758.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0.2524037641954
2025-02-13 18:41:20	EP	SIM:ESH5	Sell	50	0.3650	-0.1500	6,135.8750	6,135.6250	6,135.5100	6,135.3600	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.875 avg_total: 6135.51 curr_cost_per_share: 0.31 curr_half_min_move: 0.14513989008907 curr_liq_cost: 15.5 curr_opt_t_minutes: 1.121980745268 daily_vol_normal: 13.805685320677 destination_price: 6135.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.515 init_drift: 0 init_half_min_move: 0.14504466726737 init_liq_cost: 25.75 init_min_duration: 0 init_opt_t_minutes: 12.606975994695 init_vol_normal: 13.79662773967 last_aggressive_qty: 15 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.961 slip_toler: 0 slippage: 0.36499999999978 slippage_sweep: -0.15000000000055 sweep_residual: 0 sweep_to_fill: 6135.36 total_dollar: 306775.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.436825996396 worst_opt_t_minutes: 0.091148597548377
2025-02-13 18:40:50	EP	SIM:ESH5	Buy	50	0.4100	-0.1450	6,135.3750	6,135.6250	6,135.7850	6,135.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.785 curr_cost_per_share: 0.365 curr_half_min_move: 0.14476471683951 curr_liq_cost: 18.25 curr_opt_t_minutes: 2.2579038682974 daily_vol_normal: 13.769998895525 destination_price: 6135.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.14471699274734 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 14.707772644194 init_vol_normal: 13.765459386792 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.99 slip_toler: 0 slippage: 0.40999999999985 slippage_sweep: -0.14500000000044 sweep_residual: 0 sweep_to_fill: 6135.93 total_dollar: 306789.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.18251253095151
2025-02-13 18:38:56	EP	SIM:ESH5	Sell	50	0.0700	-0.3650	6,135.3750	6,135.1250	6,135.3050	6,134.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.305 curr_cost_per_share: 0.27 curr_half_min_move: 0.14430471769322 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.46459103690495 daily_vol_normal: 13.726243843365 destination_price: 6135.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.14402921717038 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 9.1217321078015 init_vol_normal: 13.700038273541 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 38.233 slip_toler: 0 slippage: 0.069999999999709 slippage_sweep: -0.36500000000069 sweep_residual: 0 sweep_to_fill: 6134.94 total_dollar: 306765.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.037315878952926
2025-02-13 18:37:40	EP	SIM:ESH5	Buy	50	0.2000	-0.2450	6,135.3750	6,135.6250	6,135.5750	6,135.8200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.575 curr_cost_per_share: 0.325 curr_half_min_move: 0.14392726888077 curr_liq_cost: 16.25 curr_opt_t_minutes: 1.4255382897592 daily_vol_normal: 13.690340967001 destination_price: 6135.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.445 init_drift: 0 init_half_min_move: 0.14361497336949 init_liq_cost: 22.25 init_min_duration: 0 init_opt_t_minutes: 9.6010908211856 init_vol_normal: 13.660635463206 last_aggressive_qty: 15 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 38.003 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 6135.82 total_dollar: 306778.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.11390081860669

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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