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 17:10:40	EP	SIM:ESH5	Sell	50	0.3700	-0.0300	6,133.3750	6,132.8750	6,133.0050	6,132.9750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.375 avg_total: 6133.005 curr_cost_per_share: 0.36 curr_half_min_move: 0.14716698499068 curr_liq_cost: 18 curr_opt_t_minutes: 0 daily_vol_normal: 13.998502294078 destination_price: 6132.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.14865259084944 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 7.2406076848507 init_vol_normal: 14.139812908162 last_aggressive_qty: 1 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.647 slip_toler: 0 slippage: 0.36999999999989 slippage_sweep: -0.029999999999745 sweep_residual: 0 sweep_to_fill: 6132.975 total_dollar: 306650.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 48.417090903196 worst_opt_t_minutes: 0
2025-02-13 17:09:55	EP	SIM:ESH5	Buy	50	0.2450	-0.3100	6,133.3750	6,133.6250	6,133.6200	6,133.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.375 avg_total: 6133.62 curr_cost_per_share: 0.365 curr_half_min_move: 0.15397065476728 curr_liq_cost: 18.25 curr_opt_t_minutes: 1.9959744824193 daily_vol_normal: 14.645666377666 destination_price: 6133.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.15709499389742 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 12.481341752719 init_vol_normal: 14.942853063141 last_aggressive_qty: 19 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: 17.326 slip_toler: 0 slippage: 0.24499999999989 slippage_sweep: -0.3100000000004 sweep_residual: 0 sweep_to_fill: 6133.93 total_dollar: 306681 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.417090903196 worst_opt_t_minutes: 0.18263157946117
2025-02-13 17:08:43	EP	SIM:ESH5	Sell	50	0.2150	-0.1750	6,132.6250	6,132.3750	6,132.4100	6,132.2350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.625 avg_total: 6132.41 curr_cost_per_share: 0.2 curr_half_min_move: 0.16599827811467 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 15.789732168179 destination_price: 6132.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.39 init_drift: 0 init_half_min_move: 0.16851809635968 init_liq_cost: 19.5 init_min_duration: 0 init_opt_t_minutes: 5.3559452018676 init_vol_normal: 16.02941691463 last_aggressive_qty: 18 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.66 slip_toler: 0 slippage: 0.21500000000015 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 6132.235 total_dollar: 306620.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.411170375236 worst_opt_t_minutes: 0
2025-02-13 17:07:59	EP	SIM:ESH5	Buy	50	-0.3600	-0.8400	6,132.8750	6,132.6250	6,132.5150	6,133.3550	Diagnostics Diagnostics algo_status: 4 arrival_price: 6132.875 avg_total: 6132.515 curr_cost_per_share: 0.37 curr_half_min_move: 0.17455555060614 curr_liq_cost: 18.5 curr_opt_t_minutes: 1.6330763713753 daily_vol_normal: 16.603698687983 destination_price: 6132.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48 init_drift: 0 init_half_min_move: 0.17720699921471 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 7.3370373849095 init_vol_normal: 16.855904095548 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.99 slip_toler: 0 slippage: -0.35999999999967 slippage_sweep: -0.83999999999924 sweep_residual: 0 sweep_to_fill: 6133.355 total_dollar: 306625.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.413143884556 worst_opt_t_minutes: 0.19208330077016
2025-02-13 17:06:40	EP	SIM:ESH5	Sell	50	0.3550	-0.1050	6,133.6250	6,133.1250	6,133.2700	6,133.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.625 avg_total: 6133.27 curr_cost_per_share: 0.25 curr_half_min_move: 0.18918983232037 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 17.995709444756 destination_price: 6133.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.46 init_drift: 0 init_half_min_move: 0.19400225870552 init_liq_cost: 23 init_min_duration: 0 init_opt_t_minutes: 5.6221456278044 init_vol_normal: 18.453466745395 last_aggressive_qty: 24 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 22.988 slip_toler: 0 slippage: 0.35499999999956 slippage_sweep: -0.10500000000047 sweep_residual: 0 sweep_to_fill: 6133.165 total_dollar: 306663.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 48.419064412516 worst_opt_t_minutes: 0
2025-02-13 17:05:37	EP	SIM:ESH5	Buy	50	0.3800	-0.0800	6,133.3750	6,133.7500	6,133.7550	6,133.8350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.375 avg_total: 6133.755 curr_cost_per_share: 0.49 curr_half_min_move: 0.20813163666363 curr_liq_cost: 24.5 curr_opt_t_minutes: 1.5691532900221 daily_vol_normal: 19.797451130025 destination_price: 6133.75 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.46 init_drift: 0 init_half_min_move: 0.21666719168456 init_liq_cost: 23 init_min_duration: 0 init_opt_t_minutes: 4.5074337768134 init_vol_normal: 20.609351887178 last_aggressive_qty: 5 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: 24.953 slip_toler: 0 slippage: 0.38000000000011 slippage_sweep: -0.079999999999927 sweep_residual: 0 sweep_to_fill: 6133.835 total_dollar: 306687.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 48.417090903196 worst_opt_t_minutes: 0.2623533097698
2025-02-13 17:04:06	EP	SIM:ESH5	Sell	50	0.0100	-0.5400	6,133.6250	6,133.3750	6,133.6150	6,133.0750	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.625 avg_total: 6133.615 curr_cost_per_share: 0.45 curr_half_min_move: 0.23837903378031 curr_liq_cost: 22.5 curr_opt_t_minutes: 1.6807641525124 daily_vol_normal: 22.674579162203 destination_price: 6133.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.55 init_drift: 0 init_half_min_move: 0.25066243568112 init_liq_cost: 27.5 init_min_duration: 0 init_opt_t_minutes: 4.8144520783413 init_vol_normal: 23.842974571665 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 36 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 45.664 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.53999999999996 sweep_residual: 0 sweep_to_fill: 6133.075 total_dollar: 306680.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 48.419064412516 worst_opt_t_minutes: 0.36859756393644
2025-02-13 17:02:20	EP	SIM:ESH5	Buy	50	-0.2450	-0.8200	6,134.3750	6,134.6250	6,134.1300	6,134.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 6134.375 avg_total: 6134.13 curr_cost_per_share: 0.31 curr_half_min_move: 0.27031587392076 curr_liq_cost: 15.5 curr_opt_t_minutes: 0.32345650086186 daily_vol_normal: 25.712406770073 destination_price: 6134.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.575 init_drift: 0 init_half_min_move: 0.28282141801763 init_liq_cost: 28.75 init_min_duration: 0 init_opt_t_minutes: 4.1334348666636 init_vol_normal: 26.901932313046 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 18 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 23.452 slip_toler: 0 slippage: -0.24499999999989 slippage_sweep: -0.81999999999971 sweep_residual: 0 sweep_to_fill: 6134.95 total_dollar: 306706.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 48.424984940476 worst_opt_t_minutes: 0.091193178980819
2025-02-13 17:01:07	EP	SIM:ESH5	Sell	50	0.8600	0.1923	6,135.1250	6,134.3750	6,134.2650	6,134.4573	Diagnostics Diagnostics algo_status: 4 arrival_price: 6135.125 avg_total: 6134.265 curr_cost_per_share: 0.545 curr_half_min_move: 0.30346880317375 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 28.865908598168 destination_price: 6134.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66768292682927 init_drift: 0 init_half_min_move: 0.3338684307128 init_liq_cost: 27.375 init_min_duration: 0 init_opt_t_minutes: 3.9993538482452 init_vol_normal: 31.75751676607 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21.763 slip_toler: 0 slippage: 0.85999999999967 slippage_sweep: 0.19231707317067 sweep_residual: 9 sweep_to_fill: 6134.4573170732 total_dollar: 306713.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 48.430905468436 worst_opt_t_minutes: 0
2025-02-13 17:00:21	EP	SIM:ESH5	Buy	50	1.2250	0.7417	6,133.8750	6,134.6250	6,135.1000	6,134.3583	Diagnostics Diagnostics algo_status: 4 arrival_price: 6133.875 avg_total: 6135.1 curr_cost_per_share: 0.70625 curr_half_min_move: 0.39798183633487 curr_liq_cost: 28.25 curr_opt_t_minutes: 0 daily_vol_normal: 37.855974621536 destination_price: 6134.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48333333333333 init_drift: 0 init_half_min_move: 0.46506151882478 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 1.0801216813691 init_vol_normal: 44.236584302984 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.623 slip_toler: 0 slippage: 1.2250000000004 slippage_sweep: 0.74166666666679 sweep_residual: 20 sweep_to_fill: 6134.3583333333 total_dollar: 306755 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 48.421037921836 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect