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
2025-06-02 11:56:43	EP	SIM:ESM5	Sell	50	0.2100	-0.0200	5,920.8750	5,920.3750	5,920.6650	5,920.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.875 avg_total: 5920.665 curr_cost_per_share: 0.14 curr_half_min_move: 0.40194054451438 curr_liq_cost: 7 curr_opt_t_minutes: 0.23826396109013 daily_vol_normal: 38.232526370124 destination_price: 5920.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40194054451438 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32744023173547 init_vol_normal: 38.232526370124 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.263 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: -0.019999999999527 sweep_residual: 0 sweep_to_fill: 5920.645 total_dollar: 296033.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.232526370124 worst_opt_t_minutes: 0.23826396109013
2025-06-02 11:56:23	EP	SIM:ESM5	Buy	50	0.7650	0.4900	5,920.6250	5,920.8750	5,921.3900	5,920.9000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5921.39 curr_cost_per_share: 0.165 curr_half_min_move: 0.40192357318225 curr_liq_cost: 8.25 curr_opt_t_minutes: 0.30486539168139 daily_vol_normal: 38.23091205947 destination_price: 5920.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46814288827752 init_vol_normal: 38.23091205947 last_aggressive_qty: 2 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.791 slip_toler: 0 slippage: 0.76500000000033 slippage_sweep: 0.49000000000069 sweep_residual: 0 sweep_to_fill: 5920.9 total_dollar: 296069.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0.30486539168139
2025-06-02 11:55:27	EP	SIM:ESM5	Sell	50	-0.0450	-0.3400	5,920.1250	5,920.3750	5,920.1700	5,919.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.125 avg_total: 5920.17 curr_cost_per_share: 0.225 curr_half_min_move: 0.40188963051799 curr_liq_cost: 11.25 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: 0.295 init_drift: 0 init_half_min_move: 0.40188963051799 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.53880352763221 init_vol_normal: 38.227683438162 last_aggressive_qty: 6 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.45 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5919.83 total_dollar: 296008.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.227683438162 worst_opt_t_minutes: 0
2025-06-02 11:55:22	EP	SIM:ESM5	Buy	50	-0.1200	-0.4000	5,920.3750	5,920.1250	5,920.2550	5,920.6550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.375 avg_total: 5920.255 curr_cost_per_share: 0.21 curr_half_min_move: 0.40190660185012 curr_liq_cost: 10.5 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: 0.28 init_drift: 0 init_half_min_move: 0.40190660185012 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48536201223308 init_vol_normal: 38.229297748816 last_aggressive_qty: 4 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.363 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.39999999999964 sweep_residual: 0 sweep_to_fill: 5920.655 total_dollar: 296012.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.229297748816 worst_opt_t_minutes: 0
2025-06-02 11:54:50	EP	SIM:ESM5	Sell	50	-0.1100	-0.3350	5,920.6250	5,920.6250	5,920.7350	5,920.4000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.735 curr_cost_per_share: 0.15 curr_half_min_move: 0.40192357318225 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.13928218163629 daily_vol_normal: 38.23091205947 destination_price: 5920.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31338490868165 init_vol_normal: 38.23091205947 last_aggressive_qty: 22 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.289 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.33500000000004 sweep_residual: 0 sweep_to_fill: 5920.4 total_dollar: 296036.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0.13928218163629
2025-06-02 11:54:35	EP	SIM:ESM5	Buy	50	-0.0250	-0.3150	5,920.8750	5,920.6250	5,920.8500	5,921.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.875 avg_total: 5920.85 curr_cost_per_share: 0.28 curr_half_min_move: 0.40194054451438 curr_liq_cost: 14 curr_opt_t_minutes: 0.080350501710073 daily_vol_normal: 38.232526370124 destination_price: 5920.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40194054451438 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52056188069855 init_vol_normal: 38.232526370124 last_aggressive_qty: last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.374 slip_toler: 0 slippage: -0.024999999999636 slippage_sweep: -0.3149999999996 sweep_residual: 0 sweep_to_fill: 5921.165 total_dollar: 296042.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.232526370124 worst_opt_t_minutes: 0.080350501710073
2025-06-02 11:53:59	EP	SIM:ESM5	Sell	50	0.3650	0.2350	5,918.8750	5,919.1250	5,918.5100	5,918.7450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.875 avg_total: 5918.51 curr_cost_per_share: 0.25 curr_half_min_move: 0.40180477385734 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.219611884893 destination_price: 5919.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.40180477385734 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10467826601684 init_vol_normal: 38.219611884893 last_aggressive_qty: 8 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.341 slip_toler: 0 slippage: 0.36499999999978 slippage_sweep: 0.23499999999967 sweep_residual: 0 sweep_to_fill: 5918.745 total_dollar: 295925.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.219611884893 worst_opt_t_minutes: 0
2025-06-02 11:53:37	EP	SIM:ESM5	Buy	50	-0.1950	-0.4400	5,919.3750	5,918.8750	5,919.1800	5,919.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.18 curr_cost_per_share: 0.3 curr_half_min_move: 0.4018387165216 curr_liq_cost: 15 curr_opt_t_minutes: 0 daily_vol_normal: 38.222840506201 destination_price: 5918.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37173085680478 init_vol_normal: 38.222840506201 last_aggressive_qty: last_tactical_qty: 45 level_tactical_limit: mbo_max: mbo_min: model_size: 45 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.276 slip_toler: 0 slippage: -0.19499999999971 slippage_sweep: -0.4399999999996 sweep_residual: 0 sweep_to_fill: 5919.62 total_dollar: 295959 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0
2025-06-02 11:53:04	EP	SIM:ESM5	Sell	50	-0.1600	-0.3800	5,918.6250	5,919.3750	5,918.7850	5,918.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5918.785 curr_cost_per_share: 0.275 curr_half_min_move: 0.40178780252521 curr_liq_cost: 13.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.217997574239 destination_price: 5919.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29981396990777 init_vol_normal: 38.217997574239 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.288 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.38000000000011 sweep_residual: 0 sweep_to_fill: 5918.405 total_dollar: 295939.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0
2025-06-02 11:53:02	EP	SIM:ESM5	Buy	50	1.5150	1.2350	5,916.3750	5,918.8750	5,917.8900	5,916.6550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5917.89 curr_cost_per_share: 0.125 curr_half_min_move: 0.40163506053603 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20233218262274 daily_vol_normal: 38.203468778355 destination_price: 5918.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48601853057257 init_vol_normal: 38.203468778355 last_aggressive_qty: 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: 22.618 slip_toler: 0 slippage: 1.5150000000003 slippage_sweep: 1.2350000000006 sweep_residual: 0 sweep_to_fill: 5916.655 total_dollar: 295894.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0.20233218262274
2025-06-02 11:52:09	EP	SIM:ESM5	Sell	50	0.0250	-0.2650	5,915.6250	5,915.8750	5,915.6000	5,915.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.6 curr_cost_per_share: 0.24 curr_half_min_move: 0.40158414653964 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.198625846393 destination_price: 5915.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.52148626741782 init_vol_normal: 38.198625846393 last_aggressive_qty: 22 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.501 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.26500000000033 sweep_residual: 0 sweep_to_fill: 5915.335 total_dollar: 295780 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0
2025-06-02 11:52:00	EP	SIM:ESM5	Buy	50	0.4700	0.1200	5,915.1250	5,915.6250	5,915.5950	5,915.4750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5915.595 curr_cost_per_share: 0.18 curr_half_min_move: 0.40155020387538 curr_liq_cost: 9 curr_opt_t_minutes: 0.34917149502255 daily_vol_normal: 38.195397225085 destination_price: 5915.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 0.75972494647275 init_vol_normal: 38.195397225085 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.571 slip_toler: 0 slippage: 0.47000000000025 slippage_sweep: 0.11999999999989 sweep_residual: 0 sweep_to_fill: 5915.475 total_dollar: 295779.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0.34917149502255
2025-06-02 11:51:04	EP	SIM:ESM5	Sell	50	-0.1250	-0.4100	5,913.6250	5,913.8750	5,913.7500	5,913.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.625 avg_total: 5913.75 curr_cost_per_share: 0.19 curr_half_min_move: 0.4014483758826 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.185711361162 destination_price: 5913.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.4014483758826 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50399973663957 init_vol_normal: 38.185711361162 last_aggressive_qty: 32 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: 2.318 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 5913.34 total_dollar: 295687.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.185711361162 worst_opt_t_minutes: 0
2025-06-02 11:51:01	EP	SIM:ESM5	Buy	50	0.4800	0.2250	5,913.8750	5,913.6250	5,914.3550	5,914.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5914.355 curr_cost_per_share: 0.285 curr_half_min_move: 0.40146534721473 curr_liq_cost: 14.25 curr_opt_t_minutes: 0.090995817673768 daily_vol_normal: 38.187325671816 destination_price: 5913.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40146534721473 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.40344490134994 init_vol_normal: 38.187325671816 last_aggressive_qty: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 17 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 32.708 slip_toler: 0 slippage: 0.47999999999956 slippage_sweep: 0.22499999999945 sweep_residual: 0 sweep_to_fill: 5914.13 total_dollar: 295717.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0.090995817673768
2025-06-02 11:49:58	EP	SIM:ESM5	Sell	50	1.7300	1.4150	5,914.6250	5,913.1250	5,912.8950	5,914.3100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.625 avg_total: 5912.895 curr_cost_per_share: 0.175 curr_half_min_move: 0.40151626121112 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.33433864155793 daily_vol_normal: 38.192168603778 destination_price: 5913.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.40151626121112 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 0.61548125435812 init_vol_normal: 38.192168603778 last_aggressive_qty: 4 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.981 slip_toler: 0 slippage: 1.7299999999996 slippage_sweep: 1.415 sweep_residual: 0 sweep_to_fill: 5914.31 total_dollar: 295644.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.192168603778 worst_opt_t_minutes: 0.33433864155793

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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