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
2025-02-13 18:36:05	EP	SIM:ESH5	Buy	50	0.2550	-0.1500	6,135.2500	6,135.6250	6,135.5050	6,135.6550	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.25 avg_total: 6135.505 curr_cost_per_share: 0.32 curr_half_min_move: 0.14343759369702 curr_liq_cost: 16 curr_opt_t_minutes: 0 daily_vol_normal: 13.643763134456 destination_price: 6135.625 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.14340749233836 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 7.9756550637937 init_vol_normal: 13.64089989758 last_aggressive_qty: 1 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.865 slip_toler: 0 slippage: 0.25500000000011 slippage_sweep: -0.14999999999964 sweep_residual: 0 sweep_to_fill: 6135.655 total_dollar: 306775.25 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 48.431892223096 worst_opt_t_minutes: 0
2025-02-13 18:34:24	EP	SIM:ESH5	Buy	50	0.0150	-0.4900	6,135.3750	6,135.1250	6,135.3900	6,135.8800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.39 curr_cost_per_share: 0.385 curr_half_min_move: 0.14313919996368 curr_liq_cost: 19.25 curr_opt_t_minutes: 2.8003108736451 daily_vol_normal: 13.615379965765 destination_price: 6135.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.14308489893217 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 12.456474809166 init_vol_normal: 13.610214859514 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.919 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.48999999999978 sweep_residual: 0 sweep_to_fill: 6135.88 total_dollar: 306769.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.22130193303046
2025-02-13 18:33:09	EP	SIM:ESH5	Sell	50	0.2350	-0.2450	6,135.6250	6,135.5000	6,135.3900	6,135.1450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.625 avg_total: 6135.39 curr_cost_per_share: 0.38 curr_half_min_move: 0.14224340834713 curr_liq_cost: 19 curr_opt_t_minutes: 4.8588006219026 daily_vol_normal: 13.530172396961 destination_price: 6135.5 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48 init_drift: 0 init_half_min_move: 0.14221912427957 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 11.391121246726 init_vol_normal: 13.527862499972 last_aggressive_qty: 16 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: 23.103 slip_toler: 0 slippage: 0.23499999999967 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 6135.145 total_dollar: 306769.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 48.434852487076 worst_opt_t_minutes: 0.37915760922279
2025-02-13 18:31:59	EP	SIM:ESH5	Buy	50	-0.1250	-0.3800	6,135.8750	6,135.6250	6,135.7500	6,136.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.875 avg_total: 6135.75 curr_cost_per_share: 0.32 curr_half_min_move: 0.14185407778413 curr_liq_cost: 16 curr_opt_t_minutes: 1.3675966580571 daily_vol_normal: 13.493139330206 destination_price: 6135.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.14175664778634 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 3.2358880757407 init_vol_normal: 13.483871802929 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.557 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 6136.13 total_dollar: 306787.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.436825996396 worst_opt_t_minutes: 0.10612866161756
2025-02-13 18:30:49	EP	SIM:ESH5	Sell	50	0.3050	-0.1450	6,135.8750	6,135.6250	6,135.5700	6,135.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.875 avg_total: 6135.57 curr_cost_per_share: 0.34 curr_half_min_move: 0.14087667620014 curr_liq_cost: 17 curr_opt_t_minutes: 1.8059943164067 daily_vol_normal: 13.400169033121 destination_price: 6135.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.1406803949115 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 10.231937295685 init_vol_normal: 13.381498785378 last_aggressive_qty: 12 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 22.813 slip_toler: 0 slippage: 0.30500000000029 slippage_sweep: -0.14499999999953 sweep_residual: 0 sweep_to_fill: 6135.425 total_dollar: 306778.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.436825996396 worst_opt_t_minutes: 0.13822467559428
2025-02-13 18:29:47	EP	SIM:ESH5	Buy	50	0.2500	-0.2750	6,136.1250	6,136.2500	6,136.3750	6,136.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.125 avg_total: 6136.375 curr_cost_per_share: 0.455 curr_half_min_move: 0.1403973767233 curr_liq_cost: 22.75 curr_opt_t_minutes: 7.6890781975566 daily_vol_normal: 13.354578136313 destination_price: 6136.25 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.525 init_drift: 0 init_half_min_move: 0.14021891374307 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 14.018624729128 init_vol_normal: 13.337602763485 last_aggressive_qty: 15 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 35.075 slip_toler: 0 slippage: 0.25 slippage_sweep: -0.27499999999964 sweep_residual: 0 sweep_to_fill: 6136.65 total_dollar: 306818.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 48.438799505716 worst_opt_t_minutes: 0.58445069882729
2025-02-13 18:26:58	EP	SIM:ESH5	Sell	50	0.0400	-0.3900	6,135.8750	6,136.0000	6,135.8350	6,135.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.875 avg_total: 6135.835 curr_cost_per_share: 0.435 curr_half_min_move: 0.13870894297888 curr_liq_cost: 21.75 curr_opt_t_minutes: 7.0821573502313 daily_vol_normal: 13.193974563126 destination_price: 6136 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.43 init_drift: 0 init_half_min_move: 0.13870271676931 init_liq_cost: 21.5 init_min_duration: 0 init_opt_t_minutes: 9.6109645596998 init_vol_normal: 13.193382326974 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 30 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 42.137 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.39000000000033 sweep_residual: 0 sweep_to_fill: 6135.445 total_dollar: 306791.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 48.436825996396 worst_opt_t_minutes: 0.52549126731698
2025-02-13 18:25:03	EP	SIM:ESH5	Buy	50	0.0200	-0.3200	6,135.3750	6,135.1250	6,135.3950	6,135.7150	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.395 curr_cost_per_share: 0.44 curr_half_min_move: 0.13809243024167 curr_liq_cost: 22 curr_opt_t_minutes: 4.6722093765112 daily_vol_normal: 13.135331960869 destination_price: 6135.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.13769165014705 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 6.0973710534183 init_vol_normal: 13.097209816325 last_aggressive_qty: 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: 20.777 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 6135.715 total_dollar: 306769.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.3436559215277
2025-02-13 18:22:44	EP	SIM:ESH5	Buy	50	-0.1100	-0.4050	6,136.1250	6,136.1250	6,136.0150	6,136.4200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.125 avg_total: 6136.015 curr_cost_per_share: 0.335 curr_half_min_move: 0.13662555310028 curr_liq_cost: 16.75 curr_opt_t_minutes: 6.0120938009388 daily_vol_normal: 12.995802819669 destination_price: 6136.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.13662555310024 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 4.6620847674495 init_vol_normal: 12.995802819665 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27.661 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 6136.42 total_dollar: 306800.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.438799505716 worst_opt_t_minutes: 0.43275812672038
2025-02-13 18:21:01	EP	SIM:ESH5	Sell	50	0.2600	-0.1650	6,135.8750	6,135.6250	6,135.6150	6,135.4500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.875 avg_total: 6135.615 curr_cost_per_share: 0.255 curr_half_min_move: 0.13546474721932 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.24348603185737 daily_vol_normal: 12.885387132423 destination_price: 6135.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.13546474721932 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 9.8429499829983 init_vol_normal: 12.885387132423 last_aggressive_qty: 27 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.724 slip_toler: 0 slippage: 0.26000000000022 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 6135.45 total_dollar: 306780.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.436825996396 worst_opt_t_minutes: 0.017231284024064
2025-02-13 18:20:14	EP	SIM:ESH5	Buy	50	0.0650	-0.2150	6,135.6250	6,135.6250	6,135.6900	6,135.9050	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.625 avg_total: 6135.69 curr_cost_per_share: 0.305 curr_half_min_move: 0.13487148595755 curr_liq_cost: 15.25 curr_opt_t_minutes: 5.113984340979 daily_vol_normal: 12.828956207142 destination_price: 6135.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.13487148595755 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 4.3099851903548 init_vol_normal: 12.828956207142 last_aggressive_qty: 1 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: 21.619 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 6135.905 total_dollar: 306784.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.434852487076 worst_opt_t_minutes: 0.3587782245329
2025-02-13 18:18:58	EP	SIM:ESH5	Sell	50	-0.0200	-0.3150	6,135.3750	6,135.3750	6,135.3950	6,135.0800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.375 avg_total: 6135.395 curr_cost_per_share: 0.295 curr_half_min_move: 0.13459040998058 curr_liq_cost: 14.75 curr_opt_t_minutes: 4.8041416033071 daily_vol_normal: 12.802220300928 destination_price: 6135.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.13428855053343 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 4.8257637804081 init_vol_normal: 12.773507474042 last_aggressive_qty: 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: 20.643 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.31500000000051 sweep_residual: 0 sweep_to_fill: 6135.08 total_dollar: 306769.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.432878977756 worst_opt_t_minutes: 0.33566481614162
2025-02-13 18:18:00	EP	SIM:ESH5	Buy	50	0.3650	-0.0600	6,135.1250	6,135.3750	6,135.4900	6,135.5500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135.49 curr_cost_per_share: 0.235 curr_half_min_move: 0.1338064574715 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 12.727650851826 destination_price: 6135.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.13372254174738 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 10.101098690231 init_vol_normal: 12.719668800304 last_aggressive_qty: 21 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: 7.687 slip_toler: 0 slippage: 0.36499999999978 slippage_sweep: -0.0600000000004 sweep_residual: 0 sweep_to_fill: 6135.55 total_dollar: 306774.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0
2025-02-13 18:16:58	EP	SIM:ESH5	Sell	50	-0.0350	-0.3800	6,134.3750	6,134.6250	6,134.4100	6,134.0300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.375 avg_total: 6134.41 curr_cost_per_share: 0.425 curr_half_min_move: 0.13350587608213 curr_liq_cost: 21.25 curr_opt_t_minutes: 4.4800354940722 daily_vol_normal: 12.69905959361 destination_price: 6134.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.13344765522361 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 6.6836899553798 init_vol_normal: 12.693521633982 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.828 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 6134.03 total_dollar: 306720.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.424984940476 worst_opt_t_minutes: 0.30809566564808
2025-02-13 18:15:30	EP	SIM:ESH5	Buy	50	0.3100	-0.1800	6,133.3750	6,133.6250	6,133.6850	6,133.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.375 avg_total: 6133.685 curr_cost_per_share: 0.32 curr_half_min_move: 0.13271217282934 curr_liq_cost: 16 curr_opt_t_minutes: 1.5625004849014 daily_vol_normal: 12.623562655179 destination_price: 6133.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.13243211282702 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 13.690066077681 init_vol_normal: 12.596923388327 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 22.139 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: -0.17999999999938 sweep_residual: 0 sweep_to_fill: 6133.865 total_dollar: 306684.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.417090903196 worst_opt_t_minutes: 0.10621519659297

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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