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 17:29:20	EP	SIM:ESH5	Buy	50	0.0750	-0.2950	6,136.3750	6,136.1250	6,136.4500	6,136.7450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.375 avg_total: 6136.45 curr_cost_per_share: 0.56 curr_half_min_move: 0.10237109904386 curr_liq_cost: 28 curr_opt_t_minutes: 10 daily_vol_normal: 9.7375241118346 destination_price: 6136.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.37 init_drift: 0 init_half_min_move: 0.10210084249276 init_liq_cost: 18.5 init_min_duration: 0 init_opt_t_minutes: 13.132420993429 init_vol_normal: 9.7118173478426 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: 42.091 slip_toler: 0 slippage: 0.074999999999818 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 6136.745 total_dollar: 306822.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.440773015036 worst_opt_t_minutes: 0.69091756718523
2025-02-13 17:27:25	EP	SIM:ESH5	Sell	50	0.3250	-0.2050	6,136.6250	6,136.3750	6,136.3000	6,136.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.625 avg_total: 6136.3 curr_cost_per_share: 0.465 curr_half_min_move: 0.10171523475492 curr_liq_cost: 23.25 curr_opt_t_minutes: 10 daily_vol_normal: 9.675138395678 destination_price: 6136.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.10156230941955 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 27.23244303082 init_vol_normal: 9.6605921599297 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27.293 slip_toler: 0 slippage: 0.32499999999982 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 6136.095 total_dollar: 306815 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.442746524356 worst_opt_t_minutes: 0.40675683752631
2025-02-13 17:26:25	EP	SIM:ESH5	Buy	50	0.0250	-0.4400	6,136.3750	6,136.6250	6,136.4000	6,136.8400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.375 avg_total: 6136.4 curr_cost_per_share: 0.455 curr_half_min_move: 0.10128574624431 curr_liq_cost: 22.75 curr_opt_t_minutes: 9.6297004532612 daily_vol_normal: 9.6342855107633 destination_price: 6136.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.10101256361324 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 21.191178965224 init_vol_normal: 9.608300418468 last_aggressive_qty: 11 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.021 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.44000000000051 sweep_residual: 0 sweep_to_fill: 6136.84 total_dollar: 306820 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.440773015036 worst_opt_t_minutes: 0.38091640143571
2025-02-13 17:24:24	EP	SIM:ESH5	Sell	50	-0.0750	-0.5500	6,136.6250	6,136.6250	6,136.7000	6,136.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.625 avg_total: 6136.7 curr_cost_per_share: 0.34 curr_half_min_move: 0.10008922714068 curr_liq_cost: 17 curr_opt_t_minutes: 10 daily_vol_normal: 9.5204727869511 destination_price: 6136.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.475 init_drift: 0 init_half_min_move: 0.098611786075244 init_liq_cost: 23.75 init_min_duration: 0 init_opt_t_minutes: 23.202221552846 init_vol_normal: 9.3799388068247 last_aggressive_qty: 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: 31.153 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.55000000000018 sweep_residual: 0 sweep_to_fill: 6136.15 total_dollar: 306835 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 48.442746524356 worst_opt_t_minutes: 0.44570004549989
2025-02-13 17:23:17	EP	SIM:ESH5	Buy	50	-0.1050	-0.4200	6,136.1250	6,135.8750	6,136.0200	6,136.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 6136.125 avg_total: 6136.02 curr_cost_per_share: 0.405 curr_half_min_move: 0.09828794951982 curr_liq_cost: 20.25 curr_opt_t_minutes: 7.0615206624554 daily_vol_normal: 9.349135520583 destination_price: 6135.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.097511764646672 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 10.435351348059 init_vol_normal: 9.2753049278853 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.521 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.41999999999916 sweep_residual: 0 sweep_to_fill: 6136.44 total_dollar: 306801 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.438799505716 worst_opt_t_minutes: 0.26305974948473
2025-02-13 17:22:09	EP	SIM:ESH5	Sell	50	-0.1000	-0.5650	6,135.1250	6,135.3750	6,135.2250	6,134.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6135.225 curr_cost_per_share: 0.475 curr_half_min_move: 0.09572653401041 curr_liq_cost: 23.75 curr_opt_t_minutes: 10 daily_vol_normal: 9.105494048368 destination_price: 6135.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.095002196598835 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 23.95734085293 init_vol_normal: 9.0365951787047 last_aggressive_qty: 7 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27.009 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.56500000000051 sweep_residual: 0 sweep_to_fill: 6134.66 total_dollar: 306761.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0.43360770995374
2025-02-13 17:20:49	EP	SIM:ESH5	Buy	50	0.4450	-0.0400	6,134.3750	6,134.8750	6,134.8200	6,134.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.375 avg_total: 6134.82 curr_cost_per_share: 0.525 curr_half_min_move: 0.094388932669248 curr_liq_cost: 26.25 curr_opt_t_minutes: 3.2253641229797 daily_vol_normal: 8.9782616025583 destination_price: 6134.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.093930396437831 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 26.660676585959 init_vol_normal: 8.9346457026482 last_aggressive_qty: 14 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 25.153 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 6134.86 total_dollar: 306741 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 48.424984940476 worst_opt_t_minutes: 0.11087261046878
2025-02-13 17:18:43	EP	SIM:ESH5	Sell	50	-0.0650	-0.4900	6,134.3750	6,134.8750	6,134.4400	6,133.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.375 avg_total: 6134.44 curr_cost_per_share: 0.595 curr_half_min_move: 0.092690278477949 curr_liq_cost: 29.75 curr_opt_t_minutes: 8.8581011527361 daily_vol_normal: 8.8166858619446 destination_price: 6134.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.092680962732609 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 21.027942813567 init_vol_normal: 8.8157997495973 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.077 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.48999999999978 sweep_residual: 0 sweep_to_fill: 6133.95 total_dollar: 306722 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 48.424984940476 worst_opt_t_minutes: 0.29363808356819
2025-02-13 17:17:33	EP	SIM:ESH5	Buy	50	0.5650	0.2250	6,134.3750	6,134.6250	6,134.9400	6,134.7150	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.375 avg_total: 6134.94 curr_cost_per_share: 0.135 curr_half_min_move: 0.092185879960101 curr_liq_cost: 6.75 curr_opt_t_minutes: 0 daily_vol_normal: 8.7687075479928 destination_price: 6134.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.091988957851281 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 13.661124101665 init_vol_normal: 8.7499763455275 last_aggressive_qty: 21 last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 44 n_kids: 3 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 1.426 slip_toler: 0 slippage: 0.5649999999996 slippage_sweep: 0.22499999999945 sweep_residual: 0 sweep_to_fill: 6134.715 total_dollar: 306747 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.424984940476 worst_opt_t_minutes: 0
2025-02-13 17:16:43	EP	SIM:ESH5	Sell	50	0.2250	-0.3650	6,134.6250	6,134.3750	6,134.4000	6,134.0350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.625 avg_total: 6134.4 curr_cost_per_share: 0.38 curr_half_min_move: 0.091229211697279 curr_liq_cost: 19 curr_opt_t_minutes: 6.5828385226709 daily_vol_normal: 8.6777094014137 destination_price: 6134.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.59 init_drift: 0 init_half_min_move: 0.090697615838945 init_liq_cost: 29.5 init_min_duration: 0 init_opt_t_minutes: 42.316747628077 init_vol_normal: 8.6271440803746 last_aggressive_qty: 9 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20.337 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 6134.035 total_dollar: 306720 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.426958449796 worst_opt_t_minutes: 0.21137276105511
2025-02-13 17:16:04	EP	SIM:ESH5	Buy	50	-0.1850	-0.6800	6,134.6250	6,134.1250	6,134.4400	6,135.1200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.625 avg_total: 6134.44 curr_cost_per_share: 0.47 curr_half_min_move: 0.08877300321805 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 8.4440752066695 destination_price: 6134.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.088659814488887 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 31.171432528336 init_vol_normal: 8.4333087111477 last_aggressive_qty: 14 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: 16.048 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.68000000000029 sweep_residual: 0 sweep_to_fill: 6135.12 total_dollar: 306722 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 48.426958449796 worst_opt_t_minutes: 0
2025-02-13 17:14:23	EP	SIM:ESH5	Sell	50	0.3800	-0.0400	6,135.2500	6,134.8750	6,134.8700	6,134.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.25 avg_total: 6134.87 curr_cost_per_share: 0.125 curr_half_min_move: 0.096556877849126 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 9.1844762340252 destination_price: 6134.875 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.42 init_drift: 0 init_half_min_move: 0.10000958219839 init_liq_cost: 21 init_min_duration: 0 init_opt_t_minutes: 17.63661988625 init_vol_normal: 9.5128969715775 last_aggressive_qty: 9 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.722 slip_toler: 0 slippage: 0.38000000000011 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 6134.83 total_dollar: 306743.5 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 48.431892223096 worst_opt_t_minutes: 0
2025-02-13 17:14:00	EP	SIM:ESH5	Buy	50	0.0050	-0.4250	6,135.2500	6,134.8750	6,135.2550	6,135.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.25 avg_total: 6135.255 curr_cost_per_share: 0.525 curr_half_min_move: 0.10101841227091 curr_liq_cost: 26.25 curr_opt_t_minutes: 8.882937617922 daily_vol_normal: 9.6088567419387 destination_price: 6134.875 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.43 init_drift: 0 init_half_min_move: 0.10621674383533 init_liq_cost: 21.5 init_min_duration: 0 init_opt_t_minutes: 16.388942967482 init_vol_normal: 10.103321287329 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24.958 slip_toler: 0 slippage: 0.0050000000001091 slippage_sweep: -0.42500000000018 sweep_residual: 0 sweep_to_fill: 6135.68 total_dollar: 306762.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 48.431892223096 worst_opt_t_minutes: 0.34965293250798
2025-02-13 17:12:41	EP	SIM:ESH5	Sell	50	0.1450	-0.6300	6,134.1250	6,133.8750	6,133.9800	6,133.3500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.125 avg_total: 6133.98 curr_cost_per_share: 0.16 curr_half_min_move: 0.1197961133875 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 11.394988952058 destination_price: 6133.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.775 init_drift: 0 init_half_min_move: 0.12596530332822 init_liq_cost: 38.75 init_min_duration: 0 init_opt_t_minutes: 37.853106915503 init_vol_normal: 11.981801405567 last_aggressive_qty: 6 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: 21.237 slip_toler: 0 slippage: 0.14500000000044 slippage_sweep: -0.6299999999992 sweep_residual: 0 sweep_to_fill: 6133.35 total_dollar: 306699 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.423011431156 worst_opt_t_minutes: 0
2025-02-13 17:12:04	EP	SIM:ESH5	Buy	50	0.5800	-0.0550	6,133.1250	6,133.7500	6,133.7050	6,133.7600	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.125 avg_total: 6133.705 curr_cost_per_share: 0.545 curr_half_min_move: 0.13309861558241 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 12.660321033872 destination_price: 6133.75 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.635 init_drift: 0 init_half_min_move: 0.13855535102125 init_liq_cost: 31.75 init_min_duration: 0 init_opt_t_minutes: 21.003943661131 init_vol_normal: 13.179364918366 last_aggressive_qty: 10 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.149 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: -0.055000000000291 sweep_residual: 0 sweep_to_fill: 6133.76 total_dollar: 306685.25 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 48.415117393876 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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