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 12:23:05	EP	SIM:ESM5	Sell	50	0.3150	0.1750	5,919.6250	5,919.7500	5,919.3100	5,919.4850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5919.31 curr_cost_per_share: 0.3 curr_half_min_move: 0.40185568785373 curr_liq_cost: 15 curr_opt_t_minutes: 0.3337740830896 daily_vol_normal: 38.224454816854 destination_price: 5919.75 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.14 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 7 init_min_duration: 0 init_opt_t_minutes: 0.1213712520136 init_vol_normal: 38.224454816854 last_aggressive_qty: 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: 23.345 slip_toler: 0 slippage: 0.3149999999996 slippage_sweep: 0.17499999999927 sweep_residual: 0 sweep_to_fill: 5919.485 total_dollar: 295965.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0.3337740830896
2025-06-02 12:22:42	EP	SIM:ESM5	Buy	50	0.0450	-0.1650	5,919.8750	5,919.6250	5,919.9200	5,920.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5919.92 curr_cost_per_share: 0.305 curr_half_min_move: 0.40187265918586 curr_liq_cost: 15.25 curr_opt_t_minutes: 0.13473301692787 daily_vol_normal: 38.226069127508 destination_price: 5919.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27306225239235 init_vol_normal: 38.226069127508 last_aggressive_qty: last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.406 slip_toler: 0 slippage: 0.045000000000073 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5920.085 total_dollar: 295996 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0.13473301692787
2025-06-02 12:22:02	EP	SIM:ESM5	Sell	50	-0.1250	-0.3550	5,920.8750	5,921.1250	5,921.0000	5,920.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.875 avg_total: 5921 curr_cost_per_share: 0.26 curr_half_min_move: 0.40194054451438 curr_liq_cost: 13 curr_opt_t_minutes: 0.039152010248851 daily_vol_normal: 38.232526370124 destination_price: 5921.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40194054451438 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32744023173547 init_vol_normal: 38.232526370124 last_aggressive_qty: 28 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.302 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.35499999999956 sweep_residual: 0 sweep_to_fill: 5920.645 total_dollar: 296050 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.232526370124 worst_opt_t_minutes: 0.039152010248851
2025-06-02 12:21:59	EP	SIM:ESM5	Buy	50	0.8850	0.6000	5,919.1250	5,920.8750	5,920.0100	5,919.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5920.01 curr_cost_per_share: 0.145 curr_half_min_move: 0.40182174518947 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.25110963731057 daily_vol_normal: 38.221226195547 destination_price: 5920.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50306354735723 init_vol_normal: 38.221226195547 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.856 slip_toler: 0 slippage: 0.88500000000022 slippage_sweep: 0.60000000000036 sweep_residual: 0 sweep_to_fill: 5919.41 total_dollar: 296000.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0.25110963731057
2025-06-02 12:21:01	EP	SIM:ESM5	Sell	50	0.2150	0.0200	5,921.3750	5,921.6250	5,921.1600	5,921.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.16 curr_cost_per_share: 0.26 curr_half_min_move: 0.40197448717865 curr_liq_cost: 13 curr_opt_t_minutes: 0.039145398548485 daily_vol_normal: 38.235754991431 destination_price: 5921.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23532726264329 init_vol_normal: 38.235754991431 last_aggressive_qty: last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.391 slip_toler: 0 slippage: 0.21500000000015 slippage_sweep: 0.020000000000437 sweep_residual: 0 sweep_to_fill: 5921.18 total_dollar: 296058 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0.039145398548485
2025-06-02 12:20:48	EP	SIM:ESM5	Buy	50	-0.3050	-0.4700	5,921.8750	5,921.3750	5,921.5700	5,922.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5921.57 curr_cost_per_share: 0.215 curr_half_min_move: 0.40200842984291 curr_liq_cost: 10.75 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: 0.165 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16846029945154 init_vol_normal: 38.238983612739 last_aggressive_qty: 6 last_tactical_qty: 33 level_tactical_limit: mbo_max: mbo_min: model_size: 33 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.175 slip_toler: 0 slippage: -0.30500000000029 slippage_sweep: -0.47000000000025 sweep_residual: 0 sweep_to_fill: 5922.04 total_dollar: 296078.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0
2025-06-02 12:20:16	EP	SIM:ESM5	Sell	50	0.1750	-0.1150	5,922.6250	5,921.8750	5,922.4500	5,922.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.625 avg_total: 5922.45 curr_cost_per_share: 0.125 curr_half_min_move: 0.4020593438393 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20190537562301 daily_vol_normal: 38.2438265447 destination_price: 5921.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.4020593438393 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52025429792778 init_vol_normal: 38.2438265447 last_aggressive_qty: 1 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.603 slip_toler: 0 slippage: 0.17500000000018 slippage_sweep: -0.11499999999978 sweep_residual: 0 sweep_to_fill: 5922.335 total_dollar: 296122.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.2438265447 worst_opt_t_minutes: 0.20190537562301
2025-06-02 12:20:01	EP	SIM:ESM5	Buy	50	-0.1100	-0.4000	5,922.8750	5,922.6250	5,922.7650	5,923.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.875 avg_total: 5922.765 curr_cost_per_share: 0.21 curr_half_min_move: 0.40207631517143 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.245440855354 destination_price: 5922.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40207631517143 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52021037978683 init_vol_normal: 38.245440855354 last_aggressive_qty: 24 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 39 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.322 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.39999999999964 sweep_residual: 0 sweep_to_fill: 5923.165 total_dollar: 296138.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.245440855354 worst_opt_t_minutes: 0
2025-06-02 12:19:27	EP	SIM:ESM5	Sell	50	-0.0600	-0.4050	5,922.1250	5,922.3750	5,922.1850	5,921.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.125 avg_total: 5922.185 curr_cost_per_share: 0.29 curr_half_min_move: 0.40202540117504 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.10136336054856 daily_vol_normal: 38.240597923393 destination_price: 5922.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.40202540117504 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.73642954233546 init_vol_normal: 38.240597923393 last_aggressive_qty: last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.489 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.40500000000065 sweep_residual: 0 sweep_to_fill: 5921.78 total_dollar: 296109.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.240597923393 worst_opt_t_minutes: 0.10136336054856
2025-06-02 12:19:19	EP	SIM:ESM5	Buy	50	0.3700	0.1100	5,921.8750	5,922.1250	5,922.2450	5,922.1350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5922.245 curr_cost_per_share: 0.22 curr_half_min_move: 0.40200842984291 curr_liq_cost: 11 curr_opt_t_minutes: 0.47834808969716 daily_vol_normal: 38.238983612739 destination_price: 5922.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41828893454267 init_vol_normal: 38.238983612739 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 35.916 slip_toler: 0 slippage: 0.36999999999989 slippage_sweep: 0.10999999999967 sweep_residual: 0 sweep_to_fill: 5922.135 total_dollar: 296112.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0.47834808969716
2025-06-02 12:18:12	EP	SIM:ESM5	Sell	50	0.2400	0.0800	5,922.3750	5,922.3750	5,922.1350	5,922.2150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.375 avg_total: 5922.135 curr_cost_per_share: 0.215 curr_half_min_move: 0.40204237250717 curr_liq_cost: 10.75 curr_opt_t_minutes: 0.28597842205556 daily_vol_normal: 38.242212234047 destination_price: 5922.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.40204237250717 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15837853119789 init_vol_normal: 38.242212234047 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.387 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: 0.079999999999927 sweep_residual: 0 sweep_to_fill: 5922.215 total_dollar: 296106.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.242212234047 worst_opt_t_minutes: 0.28597842205556
2025-06-02 12:17:54	EP	SIM:ESM5	Buy	50	0.0100	-0.2550	5,922.6250	5,922.3750	5,922.6350	5,922.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.625 avg_total: 5922.635 curr_cost_per_share: 0.29 curr_half_min_move: 0.4020593438393 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.10134624667052 daily_vol_normal: 38.2438265447 destination_price: 5922.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.4020593438393 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43442161797834 init_vol_normal: 38.2438265447 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.467 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.25500000000011 sweep_residual: 0 sweep_to_fill: 5922.89 total_dollar: 296131.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.2438265447 worst_opt_t_minutes: 0.10134624667052
2025-06-02 12:17:17	EP	SIM:ESM5	Sell	50	-0.1550	-0.3250	5,921.3750	5,921.8750	5,921.5300	5,921.2050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.375 avg_total: 5921.53 curr_cost_per_share: 0.3 curr_half_min_move: 0.40197448717865 curr_liq_cost: 15 curr_opt_t_minutes: 0 daily_vol_normal: 38.235754991431 destination_price: 5921.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.40197448717865 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.17885490836005 init_vol_normal: 38.235754991431 last_aggressive_qty: last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.213 slip_toler: 0 slippage: -0.15499999999975 slippage_sweep: -0.32499999999982 sweep_residual: 0 sweep_to_fill: 5921.205 total_dollar: 296076.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.235754991431 worst_opt_t_minutes: 0
2025-06-02 12:17:13	EP	SIM:ESM5	Buy	50	0.2550	0.0300	5,921.6250	5,921.3750	5,921.8800	5,921.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.625 avg_total: 5921.88 curr_cost_per_share: 0.315 curr_half_min_move: 0.40199145851078 curr_liq_cost: 15.75 curr_opt_t_minutes: 0.1581392638689 daily_vol_normal: 38.237369302085 destination_price: 5921.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40199145851078 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31327907339231 init_vol_normal: 38.237369302085 last_aggressive_qty: 2 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.442 slip_toler: 0 slippage: 0.25500000000011 slippage_sweep: 0.029999999999745 sweep_residual: 0 sweep_to_fill: 5921.85 total_dollar: 296094 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.237369302085 worst_opt_t_minutes: 0.1581392638689
2025-06-02 12:16:24	EP	SIM:ESM5	Sell	50	0.9050	0.7600	5,924.3750	5,923.1250	5,923.4700	5,924.2300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.375 avg_total: 5923.47 curr_cost_per_share: 0.195 curr_half_min_move: 0.40217814316421 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.39446371737854 daily_vol_normal: 38.255126719277 destination_price: 5923.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40217814316421 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.1299867469218 init_vol_normal: 38.255126719277 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.439 slip_toler: 0 slippage: 0.90499999999975 slippage_sweep: 0.75999999999931 sweep_residual: 0 sweep_to_fill: 5924.23 total_dollar: 296173.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.255126719277 worst_opt_t_minutes: 0.39446371737854

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect