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
2025-05-19 12:14:54	EP	SIM:ESM5	Buy	50	0.1250	-0.0600	5,985.3750	5,985.3750	5,985.5000	5,985.5600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.375 avg_total: 5985.5 curr_cost_per_share: 0.125 curr_half_min_move: 0.54376209194866 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.05284478929056 daily_vol_normal: 51.722571418163 destination_price: 5985.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54376209194866 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.11575122646204 init_vol_normal: 51.722571418163 last_aggressive_qty: 9 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: 4.131 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.0600000000004 sweep_residual: 0 sweep_to_fill: 5985.56 total_dollar: 299275 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.722571418163 worst_opt_t_minutes: 0.05284478929056
2025-05-19 12:14:19	EP	SIM:ESM5	Sell	50	0.4450	0.1950	5,986.2500	5,985.6250	5,985.8050	5,986.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.25 avg_total: 5985.805 curr_cost_per_share: 0.125 curr_half_min_move: 0.54384158434979 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11035280485135 daily_vol_normal: 51.730132723844 destination_price: 5985.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.54384158434979 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.21131736781328 init_vol_normal: 51.730132723844 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.285 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: 0.19499999999971 sweep_residual: 0 sweep_to_fill: 5986 total_dollar: 299290.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.730132723844 worst_opt_t_minutes: 0.11035280485135
2025-05-19 12:14:06	EP	SIM:ESM5	Buy	50	0.1400	-0.1050	5,986.3750	5,986.3750	5,986.5150	5,986.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.375 avg_total: 5986.515 curr_cost_per_share: 0.175 curr_half_min_move: 0.5438529404071 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.10354118605782 daily_vol_normal: 51.73121291037 destination_price: 5986.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.5438529404071 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20294072467333 init_vol_normal: 51.73121291037 last_aggressive_qty: last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.28 slip_toler: 0 slippage: 0.14000000000033 slippage_sweep: -0.10499999999956 sweep_residual: 0 sweep_to_fill: 5986.62 total_dollar: 299325.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.73121291037 worst_opt_t_minutes: 0.10354118605782
2025-05-19 12:13:26	EP	SIM:ESM5	Sell	50	-0.0050	-0.1400	5,986.8750	5,987.3750	5,986.8800	5,986.7400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.875 avg_total: 5986.88 curr_cost_per_share: 0.365 curr_half_min_move: 0.54389836463632 curr_liq_cost: 18.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.735533656474 destination_price: 5987.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.54389836463632 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.061607279452152 init_vol_normal: 51.735533656474 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: 5.173 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.14000000000033 sweep_residual: 0 sweep_to_fill: 5986.74 total_dollar: 299344 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.735533656474 worst_opt_t_minutes: 0
2025-05-19 12:13:21	EP	SIM:ESM5	Buy	50	0.3950	0.2700	5,986.8750	5,987.1250	5,987.2700	5,987.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.875 avg_total: 5987.27 curr_cost_per_share: 0.125 curr_half_min_move: 0.54389836463632 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11032976548509 daily_vol_normal: 51.735533656474 destination_price: 5987.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54389836463632 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052818312287511 init_vol_normal: 51.735533656474 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.131 slip_toler: 0 slippage: 0.39500000000044 slippage_sweep: 0.27000000000044 sweep_residual: 0 sweep_to_fill: 5987 total_dollar: 299363.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.735533656474 worst_opt_t_minutes: 0.11032976548509
2025-05-19 12:12:44	EP	SIM:ESM5	Sell	50	0.0550	-0.1650	5,986.6250	5,986.1250	5,986.5700	5,986.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.625 avg_total: 5986.57 curr_cost_per_share: 0.125 curr_half_min_move: 0.54387565252171 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11033898036569 daily_vol_normal: 51.733373283422 destination_price: 5986.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.54387565252171 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.16362366905485 init_vol_normal: 51.733373283422 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.234 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5986.405 total_dollar: 299328.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.733373283422 worst_opt_t_minutes: 0.11033898036569
2025-05-19 12:12:33	EP	SIM:ESM5	Buy	50	0.6700	0.4250	5,985.6250	5,986.6250	5,986.2950	5,985.8700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.625 avg_total: 5986.295 curr_cost_per_share: 0.125 curr_half_min_move: 0.54378480406327 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11037585143508 daily_vol_normal: 51.724731791215 destination_price: 5986.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.54378480406327 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20299158488565 init_vol_normal: 51.724731791215 last_aggressive_qty: 17 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.316 slip_toler: 0 slippage: 0.67000000000007 slippage_sweep: 0.42500000000018 sweep_residual: 0 sweep_to_fill: 5985.87 total_dollar: 299314.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.724731791215 worst_opt_t_minutes: 0.11037585143508
2025-05-19 12:11:54	EP	SIM:ESM5	Sell	50	0.1850	-0.0400	5,984.1250	5,984.1250	5,983.9400	5,983.9000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.125 avg_total: 5983.94 curr_cost_per_share: 0.125 curr_half_min_move: 0.5436485313756 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.05286686867082 daily_vol_normal: 51.711769552904 destination_price: 5984.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.5436485313756 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.17128865449346 init_vol_normal: 51.711769552904 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.255 slip_toler: 0 slippage: 0.1850000000004 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 5983.9 total_dollar: 299197 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.711769552904 worst_opt_t_minutes: 0.05286686867082
2025-05-19 12:11:45	EP	SIM:ESM5	Buy	50	-0.3650	-0.4900	5,984.6250	5,984.1250	5,984.2600	5,984.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5984.26 curr_cost_per_share: 0.125 curr_half_min_move: 0.54369395560483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.716090299008 destination_price: 5984.125 drift: 0.5 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: 38 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.08 slip_toler: 0 slippage: -0.36499999999978 slippage_sweep: -0.48999999999978 sweep_residual: 0 sweep_to_fill: 5984.75 total_dollar: 299213 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.716090299008 worst_opt_t_minutes: 0
2025-05-19 12:11:13	EP	SIM:ESM5	Sell	50	-0.0650	-0.2750	5,984.6250	5,984.8750	5,984.6900	5,984.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5984.69 curr_cost_per_share: 0.125 curr_half_min_move: 0.54369395560483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.716090299008 destination_price: 5984.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.54369395560483 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.14918651871358 init_vol_normal: 51.716090299008 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.156 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.27499999999964 sweep_residual: 0 sweep_to_fill: 5984.415 total_dollar: 299234.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.716090299008 worst_opt_t_minutes: 0
2025-05-19 12:11:09	EP	SIM:ESM5	Buy	50	0.6350	0.3800	5,983.6250	5,984.6250	5,984.2600	5,983.8800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5983.625 avg_total: 5984.26 curr_cost_per_share: 0.125 curr_half_min_move: 0.54360310714638 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11044964903955 daily_vol_normal: 51.707448806801 destination_price: 5984.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.54360310714638 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.22004753100503 init_vol_normal: 51.707448806801 last_aggressive_qty: 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: 11.317 slip_toler: 0 slippage: 0.63500000000022 slippage_sweep: 0.38000000000011 sweep_residual: 0 sweep_to_fill: 5983.88 total_dollar: 299213 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.707448806801 worst_opt_t_minutes: 0.11044964903955
2025-05-19 12:10:28	EP	SIM:ESM5	Sell	50	0.0750	-0.0500	5,984.3750	5,984.8750	5,984.3000	5,984.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.375 avg_total: 5984.3 curr_cost_per_share: 0.365 curr_half_min_move: 0.54367124349022 curr_liq_cost: 18.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.713929925956 destination_price: 5984.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54367124349022 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052862451687893 init_vol_normal: 51.713929925956 last_aggressive_qty: 4 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.08 slip_toler: 0 slippage: 0.074999999999818 slippage_sweep: -0.050000000000182 sweep_residual: 0 sweep_to_fill: 5984.25 total_dollar: 299215 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.713929925956 worst_opt_t_minutes: 0
2025-05-19 12:10:23	EP	SIM:ESM5	Buy	50	-0.0850	-0.2500	5,984.6250	5,984.3750	5,984.5400	5,984.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5984.625 avg_total: 5984.54 curr_cost_per_share: 0.155 curr_half_min_move: 0.54369395560483 curr_liq_cost: 7.75 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: 29 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 42 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.102 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5984.79 total_dollar: 299227 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.716090299008 worst_opt_t_minutes: 0
2025-05-19 12:09:50	EP	SIM:ESM5	Sell	50	0.1250	0.0000	5,986.1250	5,986.1250	5,986.0000	5,986.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.125 avg_total: 5986 curr_cost_per_share: 0.15 curr_half_min_move: 0.54383022829249 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.076077429553531 daily_vol_normal: 51.729052537318 destination_price: 5986.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54383022829249 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052831548301063 init_vol_normal: 51.729052537318 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.143 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5986 total_dollar: 299300 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.729052537318 worst_opt_t_minutes: 0.076077429553531
2025-05-19 12:09:43	EP	SIM:ESM5	Buy	50	0.1550	0.0000	5,986.1250	5,986.1250	5,986.2800	5,986.2800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.125 avg_total: 5986.28 curr_cost_per_share: 0.14 curr_half_min_move: 0.54383022829249 curr_liq_cost: 7 curr_opt_t_minutes: 0.066271894188853 daily_vol_normal: 51.729052537318 destination_price: 5986.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.54383022829249 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.081233788667714 init_vol_normal: 51.729052537318 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: 6.33 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5986.28 total_dollar: 299314 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.729052537318 worst_opt_t_minutes: 0.066271894188853

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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