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 18:14:28	EP	SIM:ESH5	Sell	50	0.2950	-0.1850	6,133.3750	6,133.1250	6,133.0800	6,132.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.375 avg_total: 6133.08 curr_cost_per_share: 0.405 curr_half_min_move: 0.13236688750916 curr_liq_cost: 20.25 curr_opt_t_minutes: 3.8934990244781 daily_vol_normal: 12.59071916554 destination_price: 6133.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48 init_drift: 0 init_half_min_move: 0.13177845869536 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 13.267638425019 init_vol_normal: 12.53474790201 last_aggressive_qty: 2 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: 33.504 slip_toler: 0 slippage: 0.29500000000007 slippage_sweep: -0.18499999999949 sweep_residual: 0 sweep_to_fill: 6132.895 total_dollar: 306654 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.417090903196 worst_opt_t_minutes: 0.26329569673676
2025-02-13 18:13:20	EP	SIM:ESH5	Buy	50	-0.0600	-0.3750	6,133.1250	6,132.8750	6,133.0650	6,133.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.125 avg_total: 6133.065 curr_cost_per_share: 0.465 curr_half_min_move: 0.13163539859869 curr_liq_cost: 23.25 curr_opt_t_minutes: 6.0884203949224 daily_vol_normal: 12.521140046339 destination_price: 6132.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.13155665760571 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 5.7331782614568 init_vol_normal: 12.513650214492 last_aggressive_qty: 1 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.766 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 6133.44 total_dollar: 306653.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.415117393876 worst_opt_t_minutes: 0.4072212191097
2025-02-13 18:12:06	EP	SIM:ESH5	Sell	50	0.0300	-0.3300	6,132.8750	6,132.6250	6,132.8450	6,132.5150	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6132.845 curr_cost_per_share: 0.435 curr_half_min_move: 0.13098560444677 curr_liq_cost: 21.75 curr_opt_t_minutes: 5.0104445955593 daily_vol_normal: 12.459331720736 destination_price: 6132.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.36 init_drift: 0 init_half_min_move: 0.13091307524427 init_liq_cost: 18 init_min_duration: 0 init_opt_t_minutes: 7.5620396781235 init_vol_normal: 12.4524327535 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.724 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 6132.515 total_dollar: 306642.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0.33184798854564
2025-02-13 18:10:31	EP	SIM:ESH5	Sell	50	-0.0800	-0.3500	6,132.1250	6,132.3750	6,132.2050	6,131.8550	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.125 avg_total: 6132.205 curr_cost_per_share: 0.385 curr_half_min_move: 0.13035505404189 curr_liq_cost: 19.25 curr_opt_t_minutes: 3.3765071194665 daily_vol_normal: 12.399353857563 destination_price: 6132.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.12974422536624 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 4.3306337226749 init_vol_normal: 12.341251922419 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18.534 slip_toler: 0 slippage: -0.079999999999927 slippage_sweep: -0.35000000000036 sweep_residual: 0 sweep_to_fill: 6131.855 total_dollar: 306610.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.407223356596 worst_opt_t_minutes: 0.22153657334751
2025-02-13 18:09:55	EP	SIM:ESH5	Buy	50	0.1650	-0.3550	6,132.8750	6,132.6250	6,133.0400	6,133.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6133.04 curr_cost_per_share: 0.37 curr_half_min_move: 0.12956029974283 curr_liq_cost: 18.5 curr_opt_t_minutes: 2.9643530999141 daily_vol_normal: 12.323756943762 destination_price: 6132.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.52 init_drift: 0 init_half_min_move: 0.12945362617251 init_liq_cost: 26 init_min_duration: 0 init_opt_t_minutes: 16.135344675379 init_vol_normal: 12.313610169206 last_aggressive_qty: 14 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 33.339 slip_toler: 0 slippage: 0.16499999999996 slippage_sweep: -0.35500000000047 sweep_residual: 0 sweep_to_fill: 6133.395 total_dollar: 306652 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0.19208330077016
2025-02-13 18:08:21	EP	SIM:ESH5	Sell	50	0.4900	0.0200	6,132.8750	6,132.5000	6,132.3850	6,132.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6132.385 curr_cost_per_share: 0.38 curr_half_min_move: 0.12856340626155 curr_liq_cost: 19 curr_opt_t_minutes: 0.51048191910608 daily_vol_normal: 12.228932580231 destination_price: 6132.5 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.12844916959073 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 13.388536717981 init_vol_normal: 12.21806640465 last_aggressive_qty: 18 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.92 slip_toler: 0 slippage: 0.48999999999978 slippage_sweep: 0.019999999999527 sweep_residual: 0 sweep_to_fill: 6132.405 total_dollar: 306619.25 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0.032570985075576
2025-02-13 18:06:57	EP	SIM:ESH5	Sell	50	0.2050	-0.3800	6,134.1250	6,133.8750	6,133.9200	6,133.5400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6133.92 curr_cost_per_share: 0.365 curr_half_min_move: 0.12761873695775 curr_liq_cost: 18.25 curr_opt_t_minutes: 2.90537378644 daily_vol_normal: 12.139075772896 destination_price: 6133.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.585 init_drift: 0 init_half_min_move: 0.12734101585023 init_liq_cost: 29.25 init_min_duration: 0 init_opt_t_minutes: 21.104502163988 init_vol_normal: 12.112658981379 last_aggressive_qty: 16 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.403 slip_toler: 0 slippage: 0.20499999999993 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 6133.54 total_dollar: 306696 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0.18258692262391
2025-02-13 18:06:08	EP	SIM:ESH5	Buy	50	0.0600	-0.4450	6,134.1250	6,134.1250	6,134.1850	6,134.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6134.185 curr_cost_per_share: 0.39 curr_half_min_move: 0.12704909519065 curr_liq_cost: 19.5 curr_opt_t_minutes: 9.4229320877386 daily_vol_normal: 12.084891530526 destination_price: 6134.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.12634030595321 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 15.977135105907 init_vol_normal: 12.017471600934 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: 36.198 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.44499999999971 sweep_residual: 0 sweep_to_fill: 6134.63 total_dollar: 306709.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0.58690523729859
2025-02-13 18:04:10	EP	SIM:ESH5	Sell	50	0.1800	-0.1100	6,134.8750	6,134.8750	6,134.6950	6,134.5850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.875 avg_total: 6134.695 curr_cost_per_share: 0.34 curr_half_min_move: 0.12493991231133 curr_liq_cost: 17 curr_opt_t_minutes: 7.4055179761152 daily_vol_normal: 11.884266360576 destination_price: 6134.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.1242816425072 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 5.4448011976162 init_vol_normal: 11.821651832162 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 35.878 slip_toler: 0 slippage: 0.18000000000029 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 6134.585 total_dollar: 306734.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.428931959116 worst_opt_t_minutes: 0.44595435755198
2025-02-13 18:02:31	EP	SIM:ESH5	Buy	50	0.2000	-0.4050	6,135.1250	6,135.3750	6,135.3250	6,135.7300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135.325 curr_cost_per_share: 0.455 curr_half_min_move: 0.12370872065029 curr_liq_cost: 22.75 curr_opt_t_minutes: 6.4551867514095 daily_vol_normal: 11.767155588125 destination_price: 6135.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.605 init_drift: 0 init_half_min_move: 0.12336624489377 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 24.050164882222 init_vol_normal: 11.734579343775 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.892 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 6135.73 total_dollar: 306766.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0.38107163674318
2025-02-13 18:00:33	EP	SIM:ESH5	Buy	50	-0.5550	-1.0950	6,135.7500	6,135.1250	6,135.1950	6,136.2900	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.75 avg_total: 6135.195 curr_cost_per_share: 0.555 curr_half_min_move: 0.12143853611046 curr_liq_cost: 27.75 curr_opt_t_minutes: 0 daily_vol_normal: 11.55121596355 destination_price: 6135.125 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.54 init_drift: 0 init_half_min_move: 0.12142431717958 init_liq_cost: 27 init_min_duration: 0 init_opt_t_minutes: 19.777717980028 init_vol_normal: 11.549863460904 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.912 slip_toler: 0 slippage: -0.55500000000029 slippage_sweep: -1.0950000000003 sweep_residual: 0 sweep_to_fill: 6136.29 total_dollar: 306759.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 48.435839241736 worst_opt_t_minutes: 0
2025-02-13 17:58:01	EP	SIM:ESH5	Buy	50	-0.1050	-0.4750	6,133.8750	6,133.6250	6,133.7700	6,134.2450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.875 avg_total: 6133.77 curr_cost_per_share: 0.435 curr_half_min_move: 0.11950209387085 curr_liq_cost: 21.75 curr_opt_t_minutes: 6.0196656708537 daily_vol_normal: 11.367021858226 destination_price: 6133.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.37 init_drift: 0 init_half_min_move: 0.11915474753998 init_liq_cost: 18.5 init_min_duration: 0 init_opt_t_minutes: 9.642302374516 init_vol_normal: 11.33398232555 last_aggressive_qty: 3 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: 30.812 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.47499999999945 sweep_residual: 0 sweep_to_fill: 6134.245 total_dollar: 306688.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.421037921836 worst_opt_t_minutes: 0.33173979562091
2025-02-13 17:55:17	EP	SIM:ESH5	Buy	50	0.3750	-0.0350	6,133.8750	6,134.3750	6,134.2500	6,134.2850	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.875 avg_total: 6134.25 curr_cost_per_share: 0.44 curr_half_min_move: 0.11817969941712 curr_liq_cost: 22 curr_opt_t_minutes: 0 daily_vol_normal: 11.241235889346 destination_price: 6134.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.41 init_drift: 0 init_half_min_move: 0.11782845486596 init_liq_cost: 20.5 init_min_duration: 0 init_opt_t_minutes: 12.107858814948 init_vol_normal: 11.20782555852 last_aggressive_qty: 8 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: 22.85 slip_toler: 0 slippage: 0.375 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 6134.285 total_dollar: 306712.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 48.421037921836 worst_opt_t_minutes: 0
2025-02-13 17:53:36	EP	SIM:ESH5	Buy	50	-0.1450	-0.6750	6,134.1250	6,133.8750	6,133.9800	6,134.6550	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6133.98 curr_cost_per_share: 0.465 curr_half_min_move: 0.11751035415788 curr_liq_cost: 23.25 curr_opt_t_minutes: 7.6400772080664 daily_vol_normal: 11.177567865247 destination_price: 6133.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.11731914145086 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 20.408636333636 init_vol_normal: 11.159379740253 last_aggressive_qty: 7 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 31.284 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.67500000000018 sweep_residual: 0 sweep_to_fill: 6134.655 total_dollar: 306699 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0.40708845754191
2025-02-13 17:51:53	EP	SIM:ESH5	Sell	50	0.1900	-0.2100	6,133.8750	6,133.8750	6,133.6850	6,133.4750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.875 avg_total: 6133.685 curr_cost_per_share: 0.41 curr_half_min_move: 0.11652423657286 curr_liq_cost: 20.5 curr_opt_t_minutes: 10 daily_vol_normal: 11.083768503406 destination_price: 6133.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.11616798910979 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 11.856241564859 init_vol_normal: 11.049882296323 last_aggressive_qty: 13 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 39.916 slip_toler: 0 slippage: 0.1899999999996 slippage_sweep: -0.21000000000004 sweep_residual: 0 sweep_to_fill: 6133.475 total_dollar: 306684.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.421037921836 worst_opt_t_minutes: 0.64869699328127

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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