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 17:50:33	EP	SIM:ESH5	Buy	50	0.1800	-0.4600	6,134.1250	6,134.1250	6,134.3050	6,134.7650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6134.305 curr_cost_per_share: 0.505 curr_half_min_move: 0.11594953879326 curr_liq_cost: 25.25 curr_opt_t_minutes: 10 daily_vol_normal: 11.029103333859 destination_price: 6134.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.64 init_drift: 0 init_half_min_move: 0.11576322376107 init_liq_cost: 32 init_min_duration: 0 init_opt_t_minutes: 30.564600457927 init_vol_normal: 11.011381074987 last_aggressive_qty: 7 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 26 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 61.103 slip_toler: 0 slippage: 0.18000000000029 slippage_sweep: -0.46000000000004 sweep_residual: 0 sweep_to_fill: 6134.765 total_dollar: 306715.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0.98405988259089
2025-02-13 17:48:04	EP	SIM:ESH5	Sell	50	0.3350	-0.1150	6,134.1250	6,133.8750	6,133.7900	6,133.6750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6133.79 curr_cost_per_share: 0.43 curr_half_min_move: 0.11516496762703 curr_liq_cost: 21.5 curr_opt_t_minutes: 6.2492442521078 daily_vol_normal: 10.954475038179 destination_price: 6133.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.11475936332231 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 15.376191077468 init_vol_normal: 10.915894015469 last_aggressive_qty: 14 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.8 slip_toler: 0 slippage: 0.33500000000004 slippage_sweep: -0.11499999999978 sweep_residual: 0 sweep_to_fill: 6133.675 total_dollar: 306689.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0.31982105390216
2025-02-13 17:45:54	EP	SIM:ESH5	Sell	50	0.2050	-0.2900	6,134.1250	6,133.8750	6,133.9200	6,133.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6133.92 curr_cost_per_share: 0.42 curr_half_min_move: 0.11395897437828 curr_liq_cost: 21 curr_opt_t_minutes: 5.9190581280938 daily_vol_normal: 10.839761135055 destination_price: 6133.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.11378456361169 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 18.925340475313 init_vol_normal: 10.823171208201 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 45.317 slip_toler: 0 slippage: 0.20499999999993 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 6133.63 total_dollar: 306696 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0.2966118105478
2025-02-13 17:44:37	EP	SIM:ESH5	Buy	50	-0.0650	-0.4450	6,133.6250	6,133.6250	6,133.5600	6,134.0050	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.625 avg_total: 6133.56 curr_cost_per_share: 0.36 curr_half_min_move: 0.11350936095132 curr_liq_cost: 18 curr_opt_t_minutes: 10 daily_vol_normal: 10.796993971013 destination_price: 6133.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.38 init_drift: 0 init_half_min_move: 0.11321991085386 init_liq_cost: 19 init_min_duration: 0 init_opt_t_minutes: 11.264750472675 init_vol_normal: 10.769461519671 last_aggressive_qty: 1 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 30.901 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.44499999999971 sweep_residual: 0 sweep_to_fill: 6134.005 total_dollar: 306678 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.419064412516 worst_opt_t_minutes: 0.5001664709564
2025-02-13 17:43:01	EP	SIM:ESH5	Sell	50	0.0650	-0.3300	6,133.1250	6,133.1250	6,133.0600	6,132.7300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.125 avg_total: 6133.06 curr_cost_per_share: 0.32 curr_half_min_move: 0.11275219390016 curr_liq_cost: 16 curr_opt_t_minutes: 8.0547108498824 daily_vol_normal: 10.724972350787 destination_price: 6133.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.395 init_drift: 0 init_half_min_move: 0.11275219390016 init_liq_cost: 19.75 init_min_duration: 0 init_opt_t_minutes: 12.272815042509 init_vol_normal: 10.724972350787 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.851 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.33000000000084 sweep_residual: 0 sweep_to_fill: 6132.73 total_dollar: 306653 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.415117393876 worst_opt_t_minutes: 0.39525769950172
2025-02-13 17:41:09	EP	SIM:ESH5	Sell	50	0.3850	-0.0200	6,133.8750	6,133.6250	6,133.4900	6,133.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.875 avg_total: 6133.49 curr_cost_per_share: 0.395 curr_half_min_move: 0.11227481894404 curr_liq_cost: 19.75 curr_opt_t_minutes: 4.973802353021 daily_vol_normal: 10.679564514113 destination_price: 6133.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.11199760434912 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 13.076531977787 init_vol_normal: 10.653195902 last_aggressive_qty: 16 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.72 slip_toler: 0 slippage: 0.38500000000022 slippage_sweep: -0.019999999999527 sweep_residual: 0 sweep_to_fill: 6133.47 total_dollar: 306674.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.421037921836 worst_opt_t_minutes: 0.24195100019231
2025-02-13 17:39:46	EP	SIM:ESH5	Sell	50	0.0200	-0.5800	6,133.6250	6,133.3750	6,133.6050	6,133.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.625 avg_total: 6133.605 curr_cost_per_share: 0.43 curr_half_min_move: 0.11138223745672 curr_liq_cost: 21.5 curr_opt_t_minutes: 6.6809220333641 daily_vol_normal: 10.594662292336 destination_price: 6133.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.11062773465082 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 29.415379928239 init_vol_normal: 10.522894094734 last_aggressive_qty: 10 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: 33.127 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.57999999999993 sweep_residual: 0 sweep_to_fill: 6133.025 total_dollar: 306680.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.419064412516 worst_opt_t_minutes: 0.31987319828488
2025-02-13 17:38:45	EP	SIM:ESH5	Buy	50	0.1000	-0.4100	6,133.5000	6,133.6250	6,133.6000	6,134.0100	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.5 avg_total: 6133.6 curr_cost_per_share: 0.38 curr_half_min_move: 0.11030499836999 curr_liq_cost: 19 curr_opt_t_minutes: 8.0798443274795 daily_vol_normal: 10.492195466452 destination_price: 6133.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.51 init_drift: 0 init_half_min_move: 0.11008559980508 init_liq_cost: 25.5 init_min_duration: 0 init_opt_t_minutes: 21.462451468755 init_vol_normal: 10.471326306739 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 24 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.155 slip_toler: 0 slippage: 0.10000000000036 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 6134.01 total_dollar: 306680 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 48.418077657856 worst_opt_t_minutes: 0.37942037909054
2025-02-13 17:37:21	EP	SIM:ESH5	Sell	50	0.2300	-0.2050	6,132.8750	6,132.6250	6,132.6450	6,132.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6132.645 curr_cost_per_share: 0.32 curr_half_min_move: 0.10865342212687 curr_liq_cost: 16 curr_opt_t_minutes: 2.3310675651602 daily_vol_normal: 10.33509777345 destination_price: 6132.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.10858187150791 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 16.049587255798 init_vol_normal: 10.328291888939 last_aggressive_qty: 16 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.856 slip_toler: 0 slippage: 0.22999999999956 slippage_sweep: -0.20500000000084 sweep_residual: 0 sweep_to_fill: 6132.44 total_dollar: 306632.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0.10623251628827
2025-02-13 17:36:35	EP	SIM:ESH5	Buy	50	0.0150	-0.5150	6,132.8750	6,132.6250	6,132.8900	6,133.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6132.89 curr_cost_per_share: 0.49 curr_half_min_move: 0.10820745437848 curr_liq_cost: 24.5 curr_opt_t_minutes: 10 daily_vol_normal: 10.292677385824 destination_price: 6132.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.10778375025475 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 24.179379867953 init_vol_normal: 10.252374710952 last_aggressive_qty: 1 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 35.548 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.51499999999942 sweep_residual: 0 sweep_to_fill: 6133.405 total_dollar: 306644.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0.47537488319705
2025-02-13 17:34:24	EP	SIM:ESH5	Sell	50	0.0550	-0.4300	6,132.8750	6,133.3750	6,132.8200	6,132.3900	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6132.82 curr_cost_per_share: 0.425 curr_half_min_move: 0.10728598555204 curr_liq_cost: 21.25 curr_opt_t_minutes: 0 daily_vol_normal: 10.205027404535 destination_price: 6133.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.10686677513786 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 20.596720185693 init_vol_normal: 10.165152170664 last_aggressive_qty: 7 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.047 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.42999999999938 sweep_residual: 0 sweep_to_fill: 6132.39 total_dollar: 306641 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0
2025-02-13 17:33:46	EP	SIM:ESH5	Buy	50	-0.1350	-0.7050	6,134.2500	6,133.8750	6,134.1150	6,134.8200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.25 avg_total: 6134.115 curr_cost_per_share: 0.535 curr_half_min_move: 0.10659948406185 curr_liq_cost: 26.75 curr_opt_t_minutes: 8.5851772131415 daily_vol_normal: 10.139727482233 destination_price: 6133.875 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.57 init_drift: 0 init_half_min_move: 0.10655897566117 init_liq_cost: 28.5 init_min_duration: 0 init_opt_t_minutes: 28.613411278731 init_vol_normal: 10.135874329028 last_aggressive_qty: 4 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.936 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.70499999999993 sweep_residual: 0 sweep_to_fill: 6134.82 total_dollar: 306705.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 48.423998185816 worst_opt_t_minutes: 0.37642680436283
2025-02-13 17:32:12	EP	SIM:ESH5	Sell	50	0.3650	-0.2150	6,135.1250	6,134.6250	6,134.7600	6,134.5450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6134.76 curr_cost_per_share: 0.38 curr_half_min_move: 0.1051299485967 curr_liq_cost: 19 curr_opt_t_minutes: 0 daily_vol_normal: 9.9999454816611 destination_price: 6134.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.10481736155272 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 30.61889687855 init_vol_normal: 9.9702122473186 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.215 slip_toler: 0 slippage: 0.36499999999978 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 6134.545 total_dollar: 306738 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0
2025-02-13 17:31:25	EP	SIM:ESH5	Buy	50	-0.1250	-0.5950	6,135.1250	6,134.8750	6,135.0000	6,135.5950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135 curr_cost_per_share: 0.36 curr_half_min_move: 0.10423909503304 curr_liq_cost: 18 curr_opt_t_minutes: 4.134670852145 daily_vol_normal: 9.915207619733 destination_price: 6134.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.10375753856727 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 20.519009613477 init_vol_normal: 9.8694020384654 last_aggressive_qty: 20 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.864 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.59500000000025 sweep_residual: 0 sweep_to_fill: 6135.595 total_dollar: 306750 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0.17330033017077
2025-02-13 17:30:24	EP	SIM:ESH5	Sell	50	0.1850	-0.3600	6,136.1250	6,136.3750	6,135.9400	6,135.5800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.125 avg_total: 6135.94 curr_cost_per_share: 0.475 curr_half_min_move: 0.10282143271862 curr_liq_cost: 23.75 curr_opt_t_minutes: 10 daily_vol_normal: 9.7803597857439 destination_price: 6136.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.10244281781799 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 28.302837181937 init_vol_normal: 9.7443459912411 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 28.271 slip_toler: 0 slippage: 0.1850000000004 slippage_sweep: -0.35999999999967 sweep_residual: 0 sweep_to_fill: 6135.58 total_dollar: 306797 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.438799505716 worst_opt_t_minutes: 0.43346639197942

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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