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 12:09:07	EP	SIM:ESM5	Sell	50	-0.0550	-0.2550	5,985.6250	5,985.8750	5,985.6800	5,985.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.625 avg_total: 5985.68 curr_cost_per_share: 0.195 curr_half_min_move: 0.54378480406327 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.724731791215 destination_price: 5985.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.54378480406327 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.13527136019036 init_vol_normal: 51.724731791215 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.078 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.25500000000011 sweep_residual: 0 sweep_to_fill: 5985.425 total_dollar: 299284 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.724731791215 worst_opt_t_minutes: 0
2025-05-19 12:09:05	EP	SIM:ESM5	Buy	50	0.2750	0.1500	5,985.6250	5,985.6250	5,985.9000	5,985.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.625 avg_total: 5985.9 curr_cost_per_share: 0.125 curr_half_min_move: 0.54378480406327 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.052840375074358 daily_vol_normal: 51.724731791215 destination_price: 5985.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54378480406327 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052840375074358 init_vol_normal: 51.724731791215 last_aggressive_qty: last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.093 slip_toler: 0 slippage: 0.27499999999964 slippage_sweep: 0.14999999999964 sweep_residual: 0 sweep_to_fill: 5985.75 total_dollar: 299295 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.724731791215 worst_opt_t_minutes: 0.052840375074358
2025-05-19 12:08:30	EP	SIM:ESM5	Sell	50	-0.0300	-0.1700	5,985.3750	5,985.6250	5,985.4050	5,985.2350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5985.375 avg_total: 5985.405 curr_cost_per_share: 0.18 curr_half_min_move: 0.54376209194866 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 51.722571418163 destination_price: 5985.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.14 init_drift: 0 init_half_min_move: 0.54376209194866 init_liq_cost: 7 init_min_duration: 0 init_opt_t_minutes: 0.066288503686079 init_vol_normal: 51.722571418163 last_aggressive_qty: 18 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.108 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.17000000000007 sweep_residual: 0 sweep_to_fill: 5985.235 total_dollar: 299270.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.722571418163 worst_opt_t_minutes: 0
2025-05-19 12:08:27	EP	SIM:ESM5	Buy	50	-0.3050	-0.4300	5,986.1250	5,985.6250	5,985.8200	5,986.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5986.125 avg_total: 5985.82 curr_cost_per_share: 0.27 curr_half_min_move: 0.54383022829249 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.729052537318 destination_price: 5985.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54383022829249 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052831548301063 init_vol_normal: 51.729052537318 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.062 slip_toler: 0 slippage: -0.30500000000029 slippage_sweep: -0.43000000000029 sweep_residual: 0 sweep_to_fill: 5986.25 total_dollar: 299291 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.729052537318 worst_opt_t_minutes: 0
2025-05-19 12:07:56	EP	SIM:ESM5	Sell	50	-0.0800	-0.3150	5,983.1250	5,983.6250	5,983.2050	5,982.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5983.125 avg_total: 5983.205 curr_cost_per_share: 0.25 curr_half_min_move: 0.54355768291716 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.703128060698 destination_price: 5983.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.54355768291716 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.18691512573846 init_vol_normal: 51.703128060698 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.169 slip_toler: 0 slippage: -0.079999999999927 slippage_sweep: -0.3149999999996 sweep_residual: 0 sweep_to_fill: 5982.89 total_dollar: 299160.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.703128060698 worst_opt_t_minutes: 0
2025-05-19 12:07:54	EP	SIM:ESM5	Buy	50	0.0600	-0.1050	5,983.3750	5,983.1250	5,983.4350	5,983.5400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5983.375 avg_total: 5983.435 curr_cost_per_share: 0.19 curr_half_min_move: 0.54358039503177 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.705288433749 destination_price: 5983.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54358039503177 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092138326213624 init_vol_normal: 51.705288433749 last_aggressive_qty: 29 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.139 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.10499999999956 sweep_residual: 0 sweep_to_fill: 5983.54 total_dollar: 299171.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.705288433749 worst_opt_t_minutes: 0
2025-05-19 12:07:18	EP	SIM:ESM5	Sell	50	0.3300	0.1600	5,981.8750	5,981.8750	5,981.5450	5,981.7050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.875 avg_total: 5981.545 curr_cost_per_share: 0.14 curr_half_min_move: 0.54344412234411 curr_liq_cost: 7 curr_opt_t_minutes: 0.066366097295926 daily_vol_normal: 51.692326195439 destination_price: 5981.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.54344412234411 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.097856133257769 init_vol_normal: 51.692326195439 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.171 slip_toler: 0 slippage: 0.32999999999993 slippage_sweep: 0.15999999999985 sweep_residual: 0 sweep_to_fill: 5981.705 total_dollar: 299077.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.692326195439 worst_opt_t_minutes: 0.066366097295926
2025-05-19 12:07:11	EP	SIM:ESM5	Buy	50	0.2900	0.0000	5,981.6250	5,981.8750	5,981.9150	5,981.9150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.625 avg_total: 5981.915 curr_cost_per_share: 0.165 curr_half_min_move: 0.5434214102295 curr_liq_cost: 8.25 curr_opt_t_minutes: 0.16677140713562 daily_vol_normal: 51.690165822387 destination_price: 5981.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.5434214102295 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.28478853759497 init_vol_normal: 51.690165822387 last_aggressive_qty: 16 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.453 slip_toler: 0 slippage: 0.28999999999996 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5981.915 total_dollar: 299095.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.690165822387 worst_opt_t_minutes: 0.16677140713562
2025-05-19 12:06:29	EP	SIM:ESM5	Sell	50	0.2250	0.0600	5,981.1250	5,981.1250	5,980.9000	5,980.9600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.125 avg_total: 5980.9 curr_cost_per_share: 0.125 curr_half_min_move: 0.54337598600028 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.052919915674951 daily_vol_normal: 51.685845076284 destination_price: 5981.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54337598600028 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092207661072034 init_vol_normal: 51.685845076284 last_aggressive_qty: 24 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.164 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: 0.0600000000004 sweep_residual: 0 sweep_to_fill: 5980.96 total_dollar: 299045 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.685845076284 worst_opt_t_minutes: 0.052919915674951
2025-05-19 12:06:23	EP	SIM:ESM5	Buy	50	0.1200	-0.0050	5,981.1250	5,981.1250	5,981.2450	5,981.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.125 avg_total: 5981.245 curr_cost_per_share: 0.135 curr_half_min_move: 0.54337598600028 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.061725789643262 daily_vol_normal: 51.685845076284 destination_price: 5981.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54337598600028 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052919915674951 init_vol_normal: 51.685845076284 last_aggressive_qty: 8 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: 8.111 slip_toler: 0 slippage: 0.11999999999989 slippage_sweep: -0.0050000000001091 sweep_residual: 0 sweep_to_fill: 5981.25 total_dollar: 299062.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.685845076284 worst_opt_t_minutes: 0.061725789643262
2025-05-19 12:05:45	EP	SIM:ESM5	Sell	50	0.0300	-0.0950	5,980.6250	5,980.8750	5,980.5950	5,980.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5980.625 avg_total: 5980.595 curr_cost_per_share: 0.125 curr_half_min_move: 0.54333056177106 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.68152433018 destination_price: 5980.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54333056177106 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052928764604254 init_vol_normal: 51.68152433018 last_aggressive_qty: 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: 3.097 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5980.5 total_dollar: 299029.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.68152433018 worst_opt_t_minutes: 0
2025-05-19 12:05:40	EP	SIM:ESM5	Buy	50	0.1050	-0.1950	5,980.8750	5,980.6250	5,980.9800	5,981.1750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5980.875 avg_total: 5980.98 curr_cost_per_share: 0.285 curr_half_min_move: 0.54335327388567 curr_liq_cost: 14.25 curr_opt_t_minutes: 0.049676728242152 daily_vol_normal: 51.683684703232 destination_price: 5980.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.54335327388567 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.30484419760621 init_vol_normal: 51.683684703232 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.245 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.19500000000062 sweep_residual: 0 sweep_to_fill: 5981.175 total_dollar: 299049 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.683684703232 worst_opt_t_minutes: 0.049676728242152
2025-05-19 12:05:05	EP	SIM:ESM5	Sell	50	0.1250	-0.0050	5,981.8750	5,981.8750	5,981.7500	5,981.7450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.875 avg_total: 5981.75 curr_cost_per_share: 0.13 curr_half_min_move: 0.54344412234411 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.057223828790875 daily_vol_normal: 51.692326195439 destination_price: 5981.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.54344412234411 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.057223828790875 init_vol_normal: 51.692326195439 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.114 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.0050000000001091 sweep_residual: 0 sweep_to_fill: 5981.745 total_dollar: 299087.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.692326195439 worst_opt_t_minutes: 0.057223828790875
2025-05-19 12:04:59	EP	SIM:ESM5	Buy	50	0.1250	0.0000	5,981.8750	5,981.8750	5,982.0000	5,982.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.875 avg_total: 5982 curr_cost_per_share: 0.16 curr_half_min_move: 0.54344412234411 curr_liq_cost: 8 curr_opt_t_minutes: 0.086682249529373 daily_vol_normal: 51.692326195439 destination_price: 5981.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54344412234411 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052906646441268 init_vol_normal: 51.692326195439 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.271 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5982 total_dollar: 299100 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.692326195439 worst_opt_t_minutes: 0.086682249529373
2025-05-19 12:04:20	EP	SIM:ESM5	Sell	50	-0.0550	-0.3400	5,981.8750	5,982.1250	5,981.9300	5,981.5900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.875 avg_total: 5981.93 curr_cost_per_share: 0.255 curr_half_min_move: 0.54344412234411 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.015129230579371 daily_vol_normal: 51.692326195439 destination_price: 5982.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.54344412234411 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.27502991086029 init_vol_normal: 51.692326195439 last_aggressive_qty: last_tactical_qty: 38 level_tactical_limit: mbo_max: mbo_min: model_size: 38 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.084 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5981.59 total_dollar: 299096.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.692326195439 worst_opt_t_minutes: 0.015129230579371

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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