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
2025-04-20 17:03:44	EP	SIM:ESM5	Buy	50	-0.2050	-1.0734	5,293.5000	5,292.0000	5,293.2950	5,294.3684	Diagnostics Diagnostics algo_status: 4 arrival_price: 5293.5 avg_total: 5293.295 curr_cost_per_share: 1.0571428571429 curr_half_min_move: 0.3699615941602 curr_liq_cost: 37 curr_opt_t_minutes: 0 daily_vol_normal: 35.190693244823 destination_price: 5292 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.86842105263158 init_drift: 0 init_half_min_move: 0.36860751945178 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 5.5505025395473 init_vol_normal: 35.061893854706 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.746 slip_toler: 0 slippage: -0.20499999999993 slippage_sweep: -1.0734210526316 sweep_residual: 31 sweep_to_fill: 5294.3684210526 total_dollar: 264664.75 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 55.414890684626 worst_opt_t_minutes: 0
2025-04-20 17:01:56	EP	SIM:ESM5	Buy	50	-1.2400	-2.1864	5,298.1250	5,295.7500	5,296.8850	5,299.0714	Diagnostics Diagnostics algo_status: 4 arrival_price: 5298.125 avg_total: 5296.885 curr_cost_per_share: 0.86111111111111 curr_half_min_move: 0.358755616747 curr_liq_cost: 7.75 curr_opt_t_minutes: 0 daily_vol_normal: 34.124782296549 destination_price: 5295.75 drift: 2.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.94642857142857 init_drift: 0 init_half_min_move: 0.3559455043865 init_liq_cost: 33.125 init_min_duration: 0 init_opt_t_minutes: 7.0698249528759 init_vol_normal: 33.857484815884 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26.907 slip_toler: 0 slippage: -1.2399999999998 slippage_sweep: -2.1864285714282 sweep_residual: 15 sweep_to_fill: 5299.0714285714 total_dollar: 264844.25 total_drift: 2.375 total_filled: 50 total_sent: 50 total_vol: 55.463307397466 worst_opt_t_minutes: 0
2025-04-20 17:00:44	EP	SIM:ESM5	Sell	50	6.4950	5.6234	5,305.5000	5,296.5000	5,299.0050	5,304.6284	Diagnostics Diagnostics algo_status: 4 arrival_price: 5305.5 avg_total: 5299.005 curr_cost_per_share: 1 curr_half_min_move: 0.34390435212298 curr_liq_cost: 19 curr_opt_t_minutes: 0 daily_vol_normal: 32.712132156829 destination_price: 5296.5 drift: -9 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.87162162162162 init_drift: 0 init_half_min_move: 0.3386017447593 init_liq_cost: 32.25 init_min_duration: 0 init_opt_t_minutes: 6.6263993622797 init_vol_normal: 32.207748912517 last_aggressive_qty: 7 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: 13.162 slip_toler: 0 slippage: 6.4949999999999 slippage_sweep: 5.6233783783782 sweep_residual: 13 sweep_to_fill: 5304.6283783784 total_dollar: 264950.25 total_drift: -9 total_filled: 50 total_sent: 50 total_vol: 55.540512426048 worst_opt_t_minutes: 0
2025-04-20 17:00:12	EP	SIM:ESM5	Buy	50	15.1650	13.2186	5,283.8750	5,299.1250	5,299.0400	5,285.8214	Diagnostics Diagnostics algo_status: 4 arrival_price: 5283.875 avg_total: 5299.04 curr_cost_per_share: 0.825 curr_half_min_move: 0.33186756776552 curr_liq_cost: 41.25 curr_opt_t_minutes: 0 daily_vol_normal: 31.567194972365 destination_price: 5299.125 drift: 15.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 1.9464285714286 init_drift: 0 init_half_min_move: 0.18010515639107 init_liq_cost: 13.625 init_min_duration: 0 init_opt_t_minutes: 116.79510683562 init_vol_normal: 17.131576386344 last_aggressive_qty: 7 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.312 slip_toler: 0 slippage: 15.165 slippage_sweep: 13.218571428572 sweep_residual: 43 sweep_to_fill: 5285.8214285714 total_dollar: 264952 total_drift: 15.25 total_filled: 50 total_sent: 50 total_vol: 55.314131579527 worst_opt_t_minutes: 0
2025-04-17 15:17:34	EP	SIM:ESM5	Buy	50	0.2700	-0.6467	5,322.5000	5,322.0000	5,322.7700	5,323.4167	Diagnostics Diagnostics algo_status: 4 arrival_price: 5322.5 avg_total: 5322.77 curr_cost_per_share: 0.77840909090909 curr_half_min_move: 0.68112117716302 curr_liq_cost: 34.25 curr_opt_t_minutes: 0.5137811610251 daily_vol_normal: 64.788147706266 destination_price: 5322 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.91666666666667 init_drift: 0 init_half_min_move: 0.68112117716302 init_liq_cost: 38.5 init_min_duration: 0 init_opt_t_minutes: 1.8112321205596 init_vol_normal: 64.788147706266 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 38.136 slip_toler: 0 slippage: 0.27000000000044 slippage_sweep: -0.64666666666653 sweep_residual: 8 sweep_to_fill: 5323.4166666667 total_dollar: 266138.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.788147706266 worst_opt_t_minutes: 0.5137811610251
2025-04-17 15:15:26	EP	SIM:ESM5	Buy	50	2.6750	1.8995	5,322.5000	5,324.5000	5,325.1750	5,323.2755	Diagnostics Diagnostics algo_status: 4 arrival_price: 5322.5 avg_total: 5325.175 curr_cost_per_share: 0.82926829268293 curr_half_min_move: 0.68112117716302 curr_liq_cost: 34 curr_opt_t_minutes: 0 daily_vol_normal: 64.788147706266 destination_price: 5324.5 drift: 2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.77551020408163 init_drift: 0 init_half_min_move: 0.68112117716302 init_liq_cost: 38 init_min_duration: 0 init_opt_t_minutes: 1.2963619229614 init_vol_normal: 64.788147706266 last_aggressive_qty: 12 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.3 slip_toler: 0 slippage: 2.6750000000002 slippage_sweep: 1.8994897959183 sweep_residual: 1 sweep_to_fill: 5323.2755102041 total_dollar: 266258.75 total_drift: 2 total_filled: 50 total_sent: 50 total_vol: 64.788147706266 worst_opt_t_minutes: 0
2025-04-17 15:07:30	EP	SIM:ESM5	Buy	50	1.0500	0.5050	5,318.5000	5,319.5000	5,319.5500	5,319.0450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5318.5 avg_total: 5319.55 curr_cost_per_share: 0.695 curr_half_min_move: 0.6806092965226 curr_liq_cost: 34.75 curr_opt_t_minutes: 0 daily_vol_normal: 64.739457693898 destination_price: 5319.5 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.6806092965226 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 0.64120551756089 init_vol_normal: 64.739457693898 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.62 slip_toler: 0 slippage: 1.0500000000002 slippage_sweep: 0.50500000000011 sweep_residual: 0 sweep_to_fill: 5319.045 total_dollar: 265977.5 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 64.739457693898 worst_opt_t_minutes: 0
2025-04-17 14:53:02	EP	SIM:ESM5	Sell	50	0.6850	0.0350	5,309.6250	5,308.3750	5,308.9400	5,308.9750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5309.625 avg_total: 5308.94 curr_cost_per_share: 0.365 curr_half_min_move: 0.67947356135166 curr_liq_cost: 18.25 curr_opt_t_minutes: 0 daily_vol_normal: 64.631426728958 destination_price: 5308.375 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65 init_drift: 0 init_half_min_move: 0.67947356135166 init_liq_cost: 32.5 init_min_duration: 0 init_opt_t_minutes: 0.91512746084381 init_vol_normal: 64.631426728958 last_aggressive_qty: 6 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.501 slip_toler: 0 slippage: 0.6850000000004 slippage_sweep: 0.035000000000764 sweep_residual: 0 sweep_to_fill: 5308.975 total_dollar: 265447 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 64.631426728958 worst_opt_t_minutes: 0
2025-04-17 14:52:49	EP	SIM:ESM5	Buy	50	-1.2100	-1.5600	5,310.6250	5,308.3750	5,309.4150	5,310.9750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5310.625 avg_total: 5309.415 curr_cost_per_share: 0.645 curr_half_min_move: 0.67960153151176 curr_liq_cost: 32.25 curr_opt_t_minutes: 0 daily_vol_normal: 64.64359923205 destination_price: 5308.375 drift: 2.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.67960153151176 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 0.26523289823052 init_vol_normal: 64.64359923205 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 5 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.341 slip_toler: 0 slippage: -1.21 slippage_sweep: -1.5600000000004 sweep_residual: 0 sweep_to_fill: 5310.975 total_dollar: 265470.75 total_drift: 2.25 total_filled: 50 total_sent: 50 total_vol: 64.64359923205 worst_opt_t_minutes: 0
2025-04-17 14:50:14	EP	SIM:ESM5	Buy	50	1.0500	0.4800	5,309.6250	5,310.2500	5,310.6750	5,310.1950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5309.625 avg_total: 5310.675 curr_cost_per_share: 0.525 curr_half_min_move: 0.67947356135166 curr_liq_cost: 26.25 curr_opt_t_minutes: 0 daily_vol_normal: 64.631426728958 destination_price: 5310.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.57 init_drift: 0 init_half_min_move: 0.67947356135166 init_liq_cost: 28.5 init_min_duration: 0 init_opt_t_minutes: 0.7037276024335 init_vol_normal: 64.631426728958 last_aggressive_qty: 12 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.553 slip_toler: 0 slippage: 1.0500000000002 slippage_sweep: 0.48000000000047 sweep_residual: 0 sweep_to_fill: 5310.195 total_dollar: 265533.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 64.631426728958 worst_opt_t_minutes: 0
2025-04-17 14:47:44	EP	SIM:ESM5	Buy	50	-0.5000	-0.8950	5,318.3750	5,316.8750	5,317.8750	5,318.7700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5318.375 avg_total: 5317.875 curr_cost_per_share: 0.535 curr_half_min_move: 0.68059330025258 curr_liq_cost: 26.75 curr_opt_t_minutes: 0 daily_vol_normal: 64.737936131012 destination_price: 5316.875 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.395 init_drift: 0 init_half_min_move: 0.68059330025258 init_liq_cost: 19.75 init_min_duration: 0 init_opt_t_minutes: 0.3368362719947 init_vol_normal: 64.737936131012 last_aggressive_qty: 9 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.415 slip_toler: 0 slippage: -0.5 slippage_sweep: -0.89500000000044 sweep_residual: 0 sweep_to_fill: 5318.77 total_dollar: 265893.75 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 64.737936131012 worst_opt_t_minutes: 0
2025-04-17 14:46:55	EP	SIM:ESM5	Sell	50	0.7450	0.1400	5,320.8750	5,320.3750	5,320.1300	5,320.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5320.875 avg_total: 5320.13 curr_cost_per_share: 0.505 curr_half_min_move: 0.68091322565285 curr_liq_cost: 25.25 curr_opt_t_minutes: 0.028870515443296 daily_vol_normal: 64.768367388741 destination_price: 5320.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.605 init_drift: 0 init_half_min_move: 0.68091322565285 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 0.78945469125137 init_vol_normal: 64.768367388741 last_aggressive_qty: 14 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.346 slip_toler: 0 slippage: 0.74499999999989 slippage_sweep: 0.14000000000033 sweep_residual: 0 sweep_to_fill: 5320.27 total_dollar: 266006.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 64.768367388741 worst_opt_t_minutes: 0.028870515443296
2025-04-17 14:45:24	EP	SIM:ESM5	Buy	50	-0.3400	-0.9000	5,326.5000	5,325.3750	5,326.1600	5,327.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5326.5 avg_total: 5326.16 curr_cost_per_share: 0.6 curr_half_min_move: 0.68163305780344 curr_liq_cost: 30 curr_opt_t_minutes: 0 daily_vol_normal: 64.836837718633 destination_price: 5325.375 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.56 init_drift: 0 init_half_min_move: 0.68163305780344 init_liq_cost: 28 init_min_duration: 0 init_opt_t_minutes: 0.67495491575353 init_vol_normal: 64.836837718633 last_aggressive_qty: 11 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.778 slip_toler: 0 slippage: -0.34000000000015 slippage_sweep: -0.90000000000055 sweep_residual: 0 sweep_to_fill: 5327.06 total_dollar: 266308 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 64.836837718633 worst_opt_t_minutes: 0
2025-04-17 14:38:45	EP	SIM:ESM5	Sell	50	0.7300	0.1000	5,325.6250	5,324.8750	5,324.8950	5,324.9950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.625 avg_total: 5324.895 curr_cost_per_share: 0.43 curr_half_min_move: 0.68152108391335 curr_liq_cost: 21.5 curr_opt_t_minutes: 0 daily_vol_normal: 64.826186778427 destination_price: 5324.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.63 init_drift: 0 init_half_min_move: 0.68152108391335 init_liq_cost: 31.5 init_min_duration: 0 init_opt_t_minutes: 0.85452054145346 init_vol_normal: 64.826186778427 last_aggressive_qty: 9 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.504 slip_toler: 0 slippage: 0.72999999999956 slippage_sweep: 0.099999999999454 sweep_residual: 0 sweep_to_fill: 5324.995 total_dollar: 266244.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.826186778427 worst_opt_t_minutes: 0
2025-04-17 14:35:10	EP	SIM:ESM5	Buy	50	-0.2450	-0.5550	5,328.1250	5,327.3750	5,327.8800	5,328.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.125 avg_total: 5327.88 curr_cost_per_share: 0.59 curr_half_min_move: 0.68184100931361 curr_liq_cost: 29.5 curr_opt_t_minutes: 0 daily_vol_normal: 64.856618036157 destination_price: 5327.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.68184100931361 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.20670793624764 init_vol_normal: 64.856618036157 last_aggressive_qty: 7 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.335 slip_toler: 0 slippage: -0.24499999999989 slippage_sweep: -0.55500000000029 sweep_residual: 0 sweep_to_fill: 5328.435 total_dollar: 266394 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.856618036157 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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