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
2025-05-19 12:20:07	EP	SIM:ESM5	Sell	50	0.4750	0.3150	5,982.1250	5,981.6250	5,981.6500	5,981.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5982.125 avg_total: 5981.65 curr_cost_per_share: 0.125 curr_half_min_move: 0.54346683445872 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11050504582405 daily_vol_normal: 51.694486568491 destination_price: 5981.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.54346683445872 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.086675004575594 init_vol_normal: 51.694486568491 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.171 slip_toler: 0 slippage: 0.47500000000036 slippage_sweep: 0.31500000000051 sweep_residual: 0 sweep_to_fill: 5981.965 total_dollar: 299082.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.694486568491 worst_opt_t_minutes: 0.11050504582405
2025-05-19 12:19:58	EP	SIM:ESM5	Buy	50	0.0600	-0.0950	5,982.3750	5,982.1250	5,982.4350	5,982.5300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5982.375 avg_total: 5982.435 curr_cost_per_share: 0.195 curr_half_min_move: 0.54348954657333 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.696646941542 destination_price: 5982.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.54348954657333 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.081335661981845 init_vol_normal: 51.696646941542 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: 5.128 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.094999999999345 sweep_residual: 0 sweep_to_fill: 5982.53 total_dollar: 299121.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.696646941542 worst_opt_t_minutes: 0
2025-05-19 12:19:23	EP	SIM:ESM5	Sell	50	-0.0150	-0.2350	5,982.3750	5,982.6250	5,982.3900	5,982.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5982.375 avg_total: 5982.39 curr_cost_per_share: 0.24 curr_half_min_move: 0.54348954657333 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 51.696646941542 destination_price: 5982.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.54348954657333 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.16385623475219 init_vol_normal: 51.696646941542 last_aggressive_qty: last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.211 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.23500000000058 sweep_residual: 0 sweep_to_fill: 5982.155 total_dollar: 299119.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.696646941542 worst_opt_t_minutes: 0
2025-05-19 12:19:18	EP	SIM:ESM5	Buy	50	0.0200	-0.2250	5,982.3750	5,982.3750	5,982.3950	5,982.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5982.375 avg_total: 5982.395 curr_cost_per_share: 0.155 curr_half_min_move: 0.54348954657333 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.081335661981845 daily_vol_normal: 51.696646941542 destination_price: 5982.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.54348954657333 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20321220022727 init_vol_normal: 51.696646941542 last_aggressive_qty: 5 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.28 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.22499999999945 sweep_residual: 0 sweep_to_fill: 5982.62 total_dollar: 299119.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.696646941542 worst_opt_t_minutes: 0.081335661981845
2025-05-19 12:18:41	EP	SIM:ESM5	Sell	50	0.5300	0.1750	5,984.8750	5,984.1250	5,984.3450	5,984.5200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.875 avg_total: 5984.345 curr_cost_per_share: 0.13 curr_half_min_move: 0.54371666771944 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.11683622691809 daily_vol_normal: 51.71825067206 destination_price: 5984.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.54371666771944 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 0.42629615249179 init_vol_normal: 51.71825067206 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.345 slip_toler: 0 slippage: 0.52999999999975 slippage_sweep: 0.17500000000018 sweep_residual: 0 sweep_to_fill: 5984.52 total_dollar: 299217.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.71825067206 worst_opt_t_minutes: 0.11683622691809
2025-05-19 12:18:30	EP	SIM:ESM5	Buy	50	0.0250	-0.1000	5,984.6250	5,984.8750	5,984.6500	5,984.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5984.65 curr_cost_per_share: 0.125 curr_half_min_move: 0.54369395560483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11041274098892 daily_vol_normal: 51.716090299008 destination_price: 5984.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54369395560483 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052858035258497 init_vol_normal: 51.716090299008 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.118 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.10000000000036 sweep_residual: 0 sweep_to_fill: 5984.75 total_dollar: 299232.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.716090299008 worst_opt_t_minutes: 0.11041274098892
2025-05-19 12:17:53	EP	SIM:ESM5	Sell	50	-0.5300	-0.6550	5,984.1250	5,984.8750	5,984.6550	5,984.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.125 avg_total: 5984.655 curr_cost_per_share: 0.19 curr_half_min_move: 0.5436485313756 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.711769552904 destination_price: 5984.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.5436485313756 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.05286686867082 init_vol_normal: 51.711769552904 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.117 slip_toler: 0 slippage: -0.52999999999975 slippage_sweep: -0.65499999999975 sweep_residual: 0 sweep_to_fill: 5984 total_dollar: 299232.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 51.711769552904 worst_opt_t_minutes: 0
2025-05-19 12:17:50	EP	SIM:ESM5	Buy	50	0.0400	-0.1050	5,984.3750	5,984.1250	5,984.4150	5,984.5200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.375 avg_total: 5984.415 curr_cost_per_share: 0.265 curr_half_min_move: 0.54367124349022 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.027142884538416 daily_vol_normal: 51.713929925956 destination_price: 5984.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.54367124349022 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.071131714991229 init_vol_normal: 51.713929925956 last_aggressive_qty: last_tactical_qty: 31 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.071 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.10500000000047 sweep_residual: 0 sweep_to_fill: 5984.52 total_dollar: 299220.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.713929925956 worst_opt_t_minutes: 0.027142884538416
2025-05-19 12:17:18	EP	SIM:ESM5	Sell	50	0.0850	-0.0950	5,982.1250	5,982.1250	5,982.0400	5,981.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5982.125 avg_total: 5982.04 curr_cost_per_share: 0.125 curr_half_min_move: 0.54346683445872 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.052902224472408 daily_vol_normal: 51.694486568491 destination_price: 5982.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.54346683445872 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.10969805266599 init_vol_normal: 51.694486568491 last_aggressive_qty: 16 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.175 slip_toler: 0 slippage: 0.085000000000036 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5981.945 total_dollar: 299102 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.694486568491 worst_opt_t_minutes: 0.052902224472408
2025-05-19 12:17:09	EP	SIM:ESM5	Buy	50	0.2550	0.1300	5,982.3750	5,982.1250	5,982.6300	5,982.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5982.375 avg_total: 5982.63 curr_cost_per_share: 0.17 curr_half_min_move: 0.54348954657333 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.696646941542 destination_price: 5982.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54348954657333 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052897803057912 init_vol_normal: 51.696646941542 last_aggressive_qty: 1 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.117 slip_toler: 0 slippage: 0.25500000000011 slippage_sweep: 0.13000000000011 sweep_residual: 0 sweep_to_fill: 5982.5 total_dollar: 299131.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.696646941542 worst_opt_t_minutes: 0
2025-05-19 12:16:31	EP	SIM:ESM5	Sell	50	0.4450	0.1900	5,984.3750	5,984.1250	5,983.9300	5,984.1200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.375 avg_total: 5983.93 curr_cost_per_share: 0.125 curr_half_min_move: 0.54367124349022 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11042196626702 daily_vol_normal: 51.713929925956 destination_price: 5984.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.54367124349022 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.21999237894434 init_vol_normal: 51.713929925956 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.272 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: 0.1899999999996 sweep_residual: 0 sweep_to_fill: 5984.12 total_dollar: 299196.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.713929925956 worst_opt_t_minutes: 0.11042196626702
2025-05-19 12:16:24	EP	SIM:ESM5	Buy	50	0.1550	-0.0100	5,984.6250	5,984.3750	5,984.7800	5,984.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5984.78 curr_cost_per_share: 0.16 curr_half_min_move: 0.54369395560483 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 51.716090299008 destination_price: 5984.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54369395560483 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092099840634405 init_vol_normal: 51.716090299008 last_aggressive_qty: 2 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: 6.152 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5984.79 total_dollar: 299239 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.716090299008 worst_opt_t_minutes: 0
2025-05-19 12:15:48	EP	SIM:ESM5	Sell	50	0.3450	0.1300	5,984.8750	5,984.8750	5,984.5300	5,984.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.875 avg_total: 5984.53 curr_cost_per_share: 0.165 curr_half_min_move: 0.54371666771944 curr_liq_cost: 8.25 curr_opt_t_minutes: 0.092092146412133 daily_vol_normal: 51.71825067206 destination_price: 5984.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.54371666771944 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.1563621475813 init_vol_normal: 51.71825067206 last_aggressive_qty: 10 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.214 slip_toler: 0 slippage: 0.34500000000025 slippage_sweep: 0.13000000000011 sweep_residual: 0 sweep_to_fill: 5984.66 total_dollar: 299226.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.71825067206 worst_opt_t_minutes: 0.092092146412133
2025-05-19 12:15:40	EP	SIM:ESM5	Buy	50	0.1250	-0.1200	5,984.8750	5,984.8750	5,985.0000	5,985.1200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.875 avg_total: 5985 curr_cost_per_share: 0.13 curr_half_min_move: 0.54371666771944 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.057166474724152 daily_vol_normal: 51.71825067206 destination_price: 5984.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.54371666771944 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20304246421995 init_vol_normal: 51.71825067206 last_aggressive_qty: 6 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.246 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.11999999999989 sweep_residual: 0 sweep_to_fill: 5985.12 total_dollar: 299250 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.71825067206 worst_opt_t_minutes: 0.057166474724152
2025-05-19 12:15:01	EP	SIM:ESM5	Sell	50	0.1900	-0.0950	5,985.3750	5,985.6250	5,985.1850	5,985.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.375 avg_total: 5985.185 curr_cost_per_share: 0.27 curr_half_min_move: 0.54376209194866 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.032720055417488 daily_vol_normal: 51.722571418163 destination_price: 5985.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.54376209194866 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.27470835264805 init_vol_normal: 51.722571418163 last_aggressive_qty: 17 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.462 slip_toler: 0 slippage: 0.1899999999996 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5985.09 total_dollar: 299259.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.722571418163 worst_opt_t_minutes: 0.032720055417488

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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