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 12:37:18	EP	SIM:ESM5	Sell	50	-0.1250	-0.3000	5,920.1250	5,920.3750	5,920.2500	5,919.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.125 avg_total: 5920.25 curr_cost_per_share: 0.19 curr_half_min_move: 0.40188963051799 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.227683438162 destination_price: 5920.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40188963051799 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.18961054908057 init_vol_normal: 38.227683438162 last_aggressive_qty: 28 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.081 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5919.95 total_dollar: 296012.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.227683438162 worst_opt_t_minutes: 0
2025-06-02 12:37:17	EP	SIM:ESM5	Buy	50	-0.1500	-0.3900	5,920.6250	5,920.1250	5,920.4750	5,920.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.475 curr_cost_per_share: 0.33 curr_half_min_move: 0.40192357318225 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5920.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.3565623849889 init_vol_normal: 38.23091205947 last_aggressive_qty: 31 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.39 slip_toler: 0 slippage: -0.14999999999964 slippage_sweep: -0.38999999999942 sweep_residual: 0 sweep_to_fill: 5920.865 total_dollar: 296023.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 12:36:37	EP	SIM:ESM5	Sell	50	-0.0500	-0.3200	5,920.6250	5,920.8750	5,920.6750	5,920.3550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.675 curr_cost_per_share: 0.125 curr_half_min_move: 0.40192357318225 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5920.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45127426850157 init_vol_normal: 38.23091205947 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.459 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.32000000000062 sweep_residual: 0 sweep_to_fill: 5920.355 total_dollar: 296033.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 12:36:27	EP	SIM:ESM5	Buy	50	0.6550	0.4200	5,919.6250	5,920.6250	5,920.2800	5,919.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5920.28 curr_cost_per_share: 0.185 curr_half_min_move: 0.40185568785373 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.36381688239376 daily_vol_normal: 38.224454816854 destination_price: 5920.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.34197588736996 init_vol_normal: 38.224454816854 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 27.794 slip_toler: 0 slippage: 0.65499999999975 slippage_sweep: 0.42000000000007 sweep_residual: 0 sweep_to_fill: 5919.86 total_dollar: 296014 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0.36381688239376
2025-06-02 12:35:29	EP	SIM:ESM5	Sell	50	0.8950	0.5600	5,920.6250	5,918.3750	5,919.7300	5,920.2900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5919.73 curr_cost_per_share: 0.18 curr_half_min_move: 0.40192357318225 curr_liq_cost: 9 curr_opt_t_minutes: 0.3485230664465 daily_vol_normal: 38.23091205947 destination_price: 5918.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.69470857040589 init_vol_normal: 38.23091205947 last_aggressive_qty: 1 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.836 slip_toler: 0 slippage: 0.89500000000044 slippage_sweep: 0.5600000000004 sweep_residual: 0 sweep_to_fill: 5920.29 total_dollar: 295986.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0.3485230664465
2025-06-02 12:35:03	EP	SIM:ESM5	Buy	50	0.2950	0.1100	5,919.8750	5,920.3750	5,920.1700	5,920.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5920.17 curr_cost_per_share: 0.16 curr_half_min_move: 0.40187265918586 curr_liq_cost: 8 curr_opt_t_minutes: 0.29100481719308 daily_vol_normal: 38.226069127508 destination_price: 5920.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21191736027502 init_vol_normal: 38.226069127508 last_aggressive_qty: 3 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.393 slip_toler: 0 slippage: 0.29500000000007 slippage_sweep: 0.10999999999967 sweep_residual: 0 sweep_to_fill: 5920.06 total_dollar: 296008.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0.29100481719308
2025-06-02 12:34:10	EP	SIM:ESM5	Sell	50	0.2300	0.0400	5,919.3750	5,919.6250	5,919.1450	5,919.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.145 curr_cost_per_share: 0.285 curr_half_min_move: 0.4018387165216 curr_liq_cost: 14.25 curr_opt_t_minutes: 0.090826798313593 daily_vol_normal: 38.222840506201 destination_price: 5919.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.2235649134636 init_vol_normal: 38.222840506201 last_aggressive_qty: 11 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.632 slip_toler: 0 slippage: 0.22999999999956 slippage_sweep: 0.039999999999964 sweep_residual: 0 sweep_to_fill: 5919.185 total_dollar: 295957.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0.090826798313593
2025-06-02 12:33:53	EP	SIM:ESM5	Buy	50	-0.0100	-0.2850	5,919.6250	5,919.3750	5,919.6150	5,919.9000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5919.615 curr_cost_per_share: 0.19 curr_half_min_move: 0.40185568785373 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.224454816854 destination_price: 5919.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46830106803718 init_vol_normal: 38.224454816854 last_aggressive_qty: 2 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.519 slip_toler: 0 slippage: -0.010000000000218 slippage_sweep: -0.28499999999985 sweep_residual: 0 sweep_to_fill: 5919.9 total_dollar: 295980.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0
2025-06-02 12:33:14	EP	SIM:ESM5	Sell	50	-0.1300	-0.4550	5,919.8750	5,920.3750	5,920.0050	5,919.5500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5920.005 curr_cost_per_share: 0.235 curr_half_min_move: 0.40187265918586 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5920.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 0.65401814986264 init_vol_normal: 38.226069127508 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.524 slip_toler: 0 slippage: -0.13000000000011 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 5919.55 total_dollar: 296000.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 12:33:09	EP	SIM:ESM5	Buy	50	-0.4050	-0.6750	5,920.6250	5,919.8750	5,920.2200	5,920.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.22 curr_cost_per_share: 0.25 curr_half_min_move: 0.40192357318225 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5919.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45127426850157 init_vol_normal: 38.23091205947 last_aggressive_qty: 22 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.242 slip_toler: 0 slippage: -0.40499999999975 slippage_sweep: -0.67500000000018 sweep_residual: 0 sweep_to_fill: 5920.895 total_dollar: 296011 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 12:32:37	EP	SIM:ESM5	Sell	50	-0.2450	-0.5200	5,920.6250	5,921.1250	5,920.8700	5,920.3500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.87 curr_cost_per_share: 0.275 curr_half_min_move: 0.40192357318225 curr_liq_cost: 13.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5921.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46814288827752 init_vol_normal: 38.23091205947 last_aggressive_qty: last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.48 slip_toler: 0 slippage: -0.24499999999989 slippage_sweep: -0.51999999999953 sweep_residual: 0 sweep_to_fill: 5920.35 total_dollar: 296043.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 12:32:33	EP	SIM:ESM5	Buy	50	0.9150	0.6950	5,919.6250	5,920.8750	5,920.5400	5,919.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5920.54 curr_cost_per_share: 0.22 curr_half_min_move: 0.40185568785373 curr_liq_cost: 11 curr_opt_t_minutes: 0.47871179102788 daily_vol_normal: 38.224454816854 destination_price: 5920.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.2997126835438 init_vol_normal: 38.224454816854 last_aggressive_qty: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 29.593 slip_toler: 0 slippage: 0.91499999999996 slippage_sweep: 0.69499999999971 sweep_residual: 0 sweep_to_fill: 5919.845 total_dollar: 296027 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0.47871179102788
2025-06-02 12:31:33	EP	SIM:ESM5	Sell	50	1.1250	0.8350	5,921.3750	5,919.6250	5,920.2500	5,921.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5920.25 curr_cost_per_share: 0.185 curr_half_min_move: 0.40197448717865 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.36360186967721 daily_vol_normal: 38.235754991431 destination_price: 5919.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52047397207891 init_vol_normal: 38.235754991431 last_aggressive_qty: 2 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.771 slip_toler: 0 slippage: 1.125 slippage_sweep: 0.83500000000004 sweep_residual: 0 sweep_to_fill: 5921.085 total_dollar: 296012.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0.36360186967721
2025-06-02 12:31:09	EP	SIM:ESM5	Buy	50	-0.1850	-0.4700	5,921.8750	5,921.3750	5,921.6900	5,922.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5921.69 curr_cost_per_share: 0.27 curr_half_min_move: 0.40200842984291 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.238983612739 destination_price: 5921.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50259643059509 init_vol_normal: 38.238983612739 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.395 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.47000000000025 sweep_residual: 0 sweep_to_fill: 5922.16 total_dollar: 296084.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0
2025-06-02 12:30:33	EP	SIM:ESM5	Sell	50	-0.1400	-0.4150	5,921.1250	5,921.6250	5,921.2650	5,920.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.125 avg_total: 5921.265 curr_cost_per_share: 0.125 curr_half_min_move: 0.40195751584652 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.234140680777 destination_price: 5921.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40195751584652 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46806382844979 init_vol_normal: 38.234140680777 last_aggressive_qty: 31 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.47 slip_toler: 0 slippage: -0.14000000000033 slippage_sweep: -0.41499999999996 sweep_residual: 0 sweep_to_fill: 5920.85 total_dollar: 296063.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.234140680777 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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