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
2025-06-02 12:09:20	EP	SIM:ESM5	Sell	50	-0.1300	-0.2850	5,924.1250	5,924.6250	5,924.2550	5,923.9700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.125 avg_total: 5924.255 curr_cost_per_share: 0.325 curr_half_min_move: 0.40216117183208 curr_liq_cost: 16.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.253512408623 destination_price: 5924.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40216117183208 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.14854673854049 init_vol_normal: 38.253512408623 last_aggressive_qty: last_tactical_qty: 36 level_tactical_limit: mbo_max: mbo_min: model_size: 36 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.17 slip_toler: 0 slippage: -0.13000000000011 slippage_sweep: -0.28499999999985 sweep_residual: 0 sweep_to_fill: 5923.97 total_dollar: 296212.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.253512408623 worst_opt_t_minutes: 0
2025-06-02 12:09:16	EP	SIM:ESM5	Buy	50	-0.0300	-0.1650	5,924.3750	5,924.1250	5,924.3450	5,924.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.375 avg_total: 5924.345 curr_cost_per_share: 0.175 curr_half_min_move: 0.40217814316421 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.255126719277 destination_price: 5924.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40217814316421 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11267578894886 init_vol_normal: 38.255126719277 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.309 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5924.51 total_dollar: 296217.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.255126719277 worst_opt_t_minutes: 0
2025-06-02 12:08:27	EP	SIM:ESM5	Sell	50	0.1650	-0.0850	5,924.1250	5,924.1250	5,923.9600	5,923.8750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.125 avg_total: 5923.96 curr_cost_per_share: 0.17 curr_half_min_move: 0.40216117183208 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.17868889672509 daily_vol_normal: 38.253512408623 destination_price: 5924.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40216117183208 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38643792544353 init_vol_normal: 38.253512408623 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.35 slip_toler: 0 slippage: 0.16499999999996 slippage_sweep: -0.085000000000036 sweep_residual: 0 sweep_to_fill: 5923.875 total_dollar: 296198 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.253512408623 worst_opt_t_minutes: 0.17868889672509
2025-06-02 12:08:13	EP	SIM:ESM5	Buy	50	-0.1250	-0.3650	5,924.3750	5,924.1250	5,924.2500	5,924.6150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.375 avg_total: 5924.25 curr_cost_per_share: 0.195 curr_half_min_move: 0.40217814316421 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.255126719277 destination_price: 5924.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40217814316421 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35611113544331 init_vol_normal: 38.255126719277 last_aggressive_qty: 27 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.103 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 5924.615 total_dollar: 296212.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.255126719277 worst_opt_t_minutes: 0
2025-06-02 12:07:42	EP	SIM:ESM5	Sell	50	0.0250	-0.1700	5,924.1250	5,923.1250	5,924.1000	5,923.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.125 avg_total: 5924.1 curr_cost_per_share: 0.125 curr_half_min_move: 0.40216117183208 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2018031428979 daily_vol_normal: 38.253512408623 destination_price: 5923.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40216117183208 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23510883383984 init_vol_normal: 38.253512408623 last_aggressive_qty: 27 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.23 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.17000000000007 sweep_residual: 0 sweep_to_fill: 5923.93 total_dollar: 296205 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.253512408623 worst_opt_t_minutes: 0.2018031428979
2025-06-02 12:07:30	EP	SIM:ESM5	Buy	50	0.6850	0.4250	5,923.6250	5,924.1250	5,924.3100	5,923.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.625 avg_total: 5924.31 curr_cost_per_share: 0.19 curr_half_min_move: 0.40212722916782 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.37879018765987 daily_vol_normal: 38.250283787316 destination_price: 5924.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40212722916782 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41804182318493 init_vol_normal: 38.250283787316 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.626 slip_toler: 0 slippage: 0.6850000000004 slippage_sweep: 0.42500000000018 sweep_residual: 0 sweep_to_fill: 5923.885 total_dollar: 296215.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.250283787316 worst_opt_t_minutes: 0.37879018765987
2025-06-02 12:06:34	EP	SIM:ESM5	Sell	50	0.0900	-0.0900	5,923.8750	5,923.8750	5,923.7850	5,923.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.875 avg_total: 5923.785 curr_cost_per_share: 0.165 curr_half_min_move: 0.40214420049995 curr_liq_cost: 8.25 curr_opt_t_minutes: 0.16834656858319 daily_vol_normal: 38.25189809797 destination_price: 5923.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40214420049995 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.20034632955355 init_vol_normal: 38.25189809797 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.431 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 5923.695 total_dollar: 296189.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.25189809797 worst_opt_t_minutes: 0.16834656858319
2025-06-02 12:06:16	EP	SIM:ESM5	Buy	50	-0.0350	-0.1700	5,924.3750	5,924.1250	5,924.3400	5,924.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.375 avg_total: 5924.34 curr_cost_per_share: 0.19 curr_half_min_move: 0.40217814316421 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.255126719277 destination_price: 5924.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40217814316421 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11267578894886 init_vol_normal: 38.255126719277 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.277 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.17000000000007 sweep_residual: 0 sweep_to_fill: 5924.51 total_dollar: 296217 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.255126719277 worst_opt_t_minutes: 0
2025-06-02 12:05:42	EP	SIM:ESM5	Sell	50	-0.3400	-0.5250	5,921.8750	5,922.6250	5,922.2150	5,921.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.875 avg_total: 5922.215 curr_cost_per_share: 0.13 curr_half_min_move: 0.40200842984291 curr_liq_cost: 6.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.238983612739 destination_price: 5922.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40200842984291 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21177424237756 init_vol_normal: 38.238983612739 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.23 slip_toler: 0 slippage: -0.34000000000015 slippage_sweep: -0.52500000000055 sweep_residual: 0 sweep_to_fill: 5921.69 total_dollar: 296110.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.238983612739 worst_opt_t_minutes: 0
2025-06-02 12:05:35	EP	SIM:ESM5	Buy	50	-0.0300	-0.3450	5,922.1250	5,921.8750	5,922.0950	5,922.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.125 avg_total: 5922.095 curr_cost_per_share: 0.19 curr_half_min_move: 0.40202540117504 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.240597923393 destination_price: 5921.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.40202540117504 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 0.61392330466907 init_vol_normal: 38.240597923393 last_aggressive_qty: 20 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.284 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.34499999999935 sweep_residual: 0 sweep_to_fill: 5922.44 total_dollar: 296104.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.240597923393 worst_opt_t_minutes: 0
2025-06-02 12:05:00	EP	SIM:ESM5	Sell	50	-0.0150	-0.1750	5,922.6250	5,923.0000	5,922.6400	5,922.4650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.625 avg_total: 5922.64 curr_cost_per_share: 0.28 curr_half_min_move: 0.4020593438393 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 38.2438265447 destination_price: 5923 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.4020593438393 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15836516084365 init_vol_normal: 38.2438265447 last_aggressive_qty: 28 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.19 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 5922.465 total_dollar: 296132 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 38.2438265447 worst_opt_t_minutes: 0
2025-06-02 12:04:38	EP	SIM:ESM5	Buy	50	-0.1350	-0.3300	5,923.1250	5,922.6250	5,922.9900	5,923.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.125 avg_total: 5922.99 curr_cost_per_share: 0.36 curr_half_min_move: 0.40209328650356 curr_liq_cost: 18 curr_opt_t_minutes: 0 daily_vol_normal: 38.247055166008 destination_price: 5922.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40209328650356 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23518822729533 init_vol_normal: 38.247055166008 last_aggressive_qty: last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.279 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5923.32 total_dollar: 296149.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.247055166008 worst_opt_t_minutes: 0
2025-06-02 12:04:04	EP	SIM:ESM5	Sell	50	-0.1250	-0.3600	5,923.1250	5,923.3750	5,923.2500	5,922.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.125 avg_total: 5923.25 curr_cost_per_share: 0.175 curr_half_min_move: 0.40209328650356 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.247055166008 destination_price: 5923.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40209328650356 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.34157185673596 init_vol_normal: 38.247055166008 last_aggressive_qty: 29 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.198 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.35999999999967 sweep_residual: 0 sweep_to_fill: 5922.89 total_dollar: 296162.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.247055166008 worst_opt_t_minutes: 0
2025-06-02 12:04:02	EP	SIM:ESM5	Buy	50	0.0500	-0.1400	5,923.3750	5,923.1250	5,923.4250	5,923.5650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.375 avg_total: 5923.425 curr_cost_per_share: 0.265 curr_half_min_move: 0.40211025783569 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.04961790461088 daily_vol_normal: 38.248669476662 destination_price: 5923.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40211025783569 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22326307280309 init_vol_normal: 38.248669476662 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.304 slip_toler: 0 slippage: 0.050000000000182 slippage_sweep: -0.13999999999942 sweep_residual: 0 sweep_to_fill: 5923.565 total_dollar: 296171.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.248669476662 worst_opt_t_minutes: 0.04961790461088
2025-06-02 12:03:22	EP	SIM:ESM5	Sell	50	-0.1600	-0.4100	5,923.0000	5,923.3750	5,923.1600	5,922.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923 avg_total: 5923.16 curr_cost_per_share: 0.235 curr_half_min_move: 0.40208480083749 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.246248010681 destination_price: 5923.375 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40208480083749 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38658473751616 init_vol_normal: 38.246248010681 last_aggressive_qty: 25 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 33 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.372 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 5922.75 total_dollar: 296158 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 38.246248010681 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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