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 12:03:19	EP	SIM:ESM5	Buy	50	0.2250	-0.0600	5,922.8750	5,923.1250	5,923.1000	5,923.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5922.875 avg_total: 5923.1 curr_cost_per_share: 0.13 curr_half_min_move: 0.40207631517143 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.21365144493399 daily_vol_normal: 38.245440855354 destination_price: 5923.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40207631517143 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50242673125071 init_vol_normal: 38.245440855354 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.564 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: -0.059999999999491 sweep_residual: 0 sweep_to_fill: 5923.16 total_dollar: 296155 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.245440855354 worst_opt_t_minutes: 0.21365144493399
2025-06-02 12:02:31	EP	SIM:ESM5	Sell	50	-0.1950	-0.4550	5,923.6250	5,924.1250	5,923.8200	5,923.3650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.625 avg_total: 5923.82 curr_cost_per_share: 0.285 curr_half_min_move: 0.40212722916782 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.250283787316 destination_price: 5924.125 drift: -0.5 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: 32 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.329 slip_toler: 0 slippage: -0.19499999999971 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 5923.365 total_dollar: 296191 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.250283787316 worst_opt_t_minutes: 0
2025-06-02 12:02:27	EP	SIM:ESM5	Buy	50	-0.0700	-0.3100	5,923.8750	5,923.6250	5,923.8050	5,924.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5923.875 avg_total: 5923.805 curr_cost_per_share: 0.26 curr_half_min_move: 0.40214420049995 curr_liq_cost: 13 curr_opt_t_minutes: 0.039112365155261 daily_vol_normal: 38.25189809797 destination_price: 5923.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40214420049995 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35617125253965 init_vol_normal: 38.25189809797 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.214 slip_toler: 0 slippage: -0.069999999999709 slippage_sweep: -0.30999999999949 sweep_residual: 0 sweep_to_fill: 5924.115 total_dollar: 296190.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.25189809797 worst_opt_t_minutes: 0.039112365155261
2025-06-02 12:01:53	EP	SIM:ESM5	Sell	50	-0.1650	-0.4350	5,924.6250	5,924.8750	5,924.7900	5,924.3550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.625 avg_total: 5924.79 curr_cost_per_share: 0.215 curr_half_min_move: 0.40219511449634 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.256741029931 destination_price: 5924.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40219511449634 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45066512016899 init_vol_normal: 38.256741029931 last_aggressive_qty: 24 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.369 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.4350000000004 sweep_residual: 0 sweep_to_fill: 5924.355 total_dollar: 296239.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.256741029931 worst_opt_t_minutes: 0
2025-06-02 12:01:48	EP	SIM:ESM5	Buy	50	-0.0950	-0.2800	5,924.8750	5,924.6250	5,924.7800	5,925.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5924.875 avg_total: 5924.78 curr_cost_per_share: 0.25 curr_half_min_move: 0.40221208582847 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.258355340585 destination_price: 5924.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40221208582847 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21155983721878 init_vol_normal: 38.258355340585 last_aggressive_qty: 15 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.282 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.28000000000065 sweep_residual: 0 sweep_to_fill: 5925.06 total_dollar: 296239 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.258355340585 worst_opt_t_minutes: 0
2025-06-02 12:01:13	EP	SIM:ESM5	Sell	50	-0.1000	-0.4100	5,921.6250	5,924.3750	5,921.7250	5,921.3150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5921.625 avg_total: 5921.725 curr_cost_per_share: 0.26 curr_half_min_move: 0.40199145851078 curr_liq_cost: 13 curr_opt_t_minutes: 0 daily_vol_normal: 38.237369302085 destination_price: 5924.375 drift: -2.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40199145851078 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59468876944199 init_vol_normal: 38.237369302085 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.455 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.41000000000076 sweep_residual: 0 sweep_to_fill: 5921.315 total_dollar: 296086.25 total_drift: -2.75 total_filled: 50 total_sent: 50 total_vol: 38.237369302085 worst_opt_t_minutes: 0
2025-06-02 12:01:05	EP	SIM:ESM5	Buy	50	0.1000	-0.2200	5,920.6250	5,921.8750	5,920.7250	5,920.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.725 curr_cost_per_share: 0.215 curr_half_min_move: 0.40192357318225 curr_liq_cost: 10.75 curr_opt_t_minutes: 0.46121413922287 daily_vol_normal: 38.23091205947 destination_price: 5921.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.63388868442471 init_vol_normal: 38.23091205947 last_aggressive_qty: 11 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 27.751 slip_toler: 0 slippage: 0.10000000000036 slippage_sweep: -0.21999999999935 sweep_residual: 0 sweep_to_fill: 5920.945 total_dollar: 296036.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0.46121413922287
2025-06-02 12:00:07	EP	SIM:ESM5	Sell	50	-0.1150	-0.4950	5,920.6250	5,921.1250	5,920.7400	5,920.2450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.74 curr_cost_per_share: 0.315 curr_half_min_move: 0.40192357318225 curr_liq_cost: 15.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5921.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.38 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 19 init_min_duration: 0 init_opt_t_minutes: 0.89388209014578 init_vol_normal: 38.23091205947 last_aggressive_qty: 16 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: 15.575 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.49499999999989 sweep_residual: 0 sweep_to_fill: 5920.245 total_dollar: 296037 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 11:59:51	EP	SIM:ESM5	Buy	50	0.6550	0.3000	5,920.1250	5,920.6250	5,920.7800	5,920.4800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.125 avg_total: 5920.78 curr_cost_per_share: 0.195 curr_half_min_move: 0.40188963051799 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.39503028398309 daily_vol_normal: 38.227683438162 destination_price: 5920.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.40188963051799 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 0.78026675748175 init_vol_normal: 38.227683438162 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 19 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 30.994 slip_toler: 0 slippage: 0.65499999999975 slippage_sweep: 0.30000000000018 sweep_residual: 0 sweep_to_fill: 5920.48 total_dollar: 296039 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.227683438162 worst_opt_t_minutes: 0.39503028398309
2025-06-02 11:58:50	EP	SIM:ESM5	Sell	50	-0.1900	-0.4150	5,919.6250	5,920.1250	5,919.8150	5,919.4000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5919.815 curr_cost_per_share: 0.28 curr_half_min_move: 0.40185568785373 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 38.224454816854 destination_price: 5920.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31349079761167 init_vol_normal: 38.224454816854 last_aggressive_qty: 25 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.362 slip_toler: 0 slippage: -0.1899999999996 slippage_sweep: -0.41499999999996 sweep_residual: 0 sweep_to_fill: 5919.4 total_dollar: 295990.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0
2025-06-02 11:58:47	EP	SIM:ESM5	Buy	50	-0.0900	-0.4100	5,919.8750	5,919.6250	5,919.7850	5,920.1950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5919.785 curr_cost_per_share: 0.24 curr_half_min_move: 0.40187265918586 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5919.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.63404931167749 init_vol_normal: 38.226069127508 last_aggressive_qty: 22 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.52 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 5920.195 total_dollar: 295989.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 11:58:13	EP	SIM:ESM5	Sell	50	0.0100	-0.1950	5,920.3750	5,920.6250	5,920.3650	5,920.1700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.375 avg_total: 5920.365 curr_cost_per_share: 0.27 curr_half_min_move: 0.40190660185012 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.059893763830519 daily_vol_normal: 38.229297748816 destination_price: 5920.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.40190660185012 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.26017013474611 init_vol_normal: 38.229297748816 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.472 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.19499999999971 sweep_residual: 0 sweep_to_fill: 5920.17 total_dollar: 296018.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.229297748816 worst_opt_t_minutes: 0.059893763830519
2025-06-02 11:58:03	EP	SIM:ESM5	Buy	50	-0.1200	-0.4400	5,920.6250	5,920.3750	5,920.5050	5,920.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.505 curr_cost_per_share: 0.245 curr_half_min_move: 0.40192357318225 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5920.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.63388868442471 init_vol_normal: 38.23091205947 last_aggressive_qty: 31 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.554 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.4399999999996 sweep_residual: 0 sweep_to_fill: 5920.945 total_dollar: 296025.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 11:57:30	EP	SIM:ESM5	Sell	50	-0.1150	-0.3750	5,920.1250	5,920.3750	5,920.2400	5,919.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.125 avg_total: 5920.24 curr_cost_per_share: 0.195 curr_half_min_move: 0.40188963051799 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.227683438162 destination_price: 5920.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40188963051799 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41853626507254 init_vol_normal: 38.227683438162 last_aggressive_qty: 9 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.453 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5919.865 total_dollar: 296012 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.227683438162 worst_opt_t_minutes: 0
2025-06-02 11:57:27	EP	SIM:ESM5	Buy	50	0.0900	-0.0500	5,920.3750	5,920.1250	5,920.4650	5,920.5150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.375 avg_total: 5920.465 curr_cost_per_share: 0.24 curr_half_min_move: 0.40190660185012 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.229297748816 destination_price: 5920.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.14 init_drift: 0 init_half_min_move: 0.40190660185012 init_liq_cost: 7 init_min_duration: 0 init_opt_t_minutes: 0.12134050305827 init_vol_normal: 38.229297748816 last_aggressive_qty: 5 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.275 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.050000000000182 sweep_residual: 0 sweep_to_fill: 5920.515 total_dollar: 296023.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.229297748816 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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