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 11:49:35	EP	SIM:ESM5	Buy	50	-0.0950	-0.3300	5,914.8750	5,914.6250	5,914.7800	5,915.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5914.78 curr_cost_per_share: 0.245 curr_half_min_move: 0.40153323254325 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.193782914432 destination_price: 5914.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.3425253622801 init_vol_normal: 38.193782914432 last_aggressive_qty: 22 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.373 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5915.11 total_dollar: 295739 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 worst_opt_t_minutes: 0
2025-06-02 11:49:01	EP	SIM:ESM5	Sell	50	0.5300	0.3200	5,914.6250	5,913.8750	5,914.0950	5,914.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.625 avg_total: 5914.095 curr_cost_per_share: 0.18 curr_half_min_move: 0.40151626121112 curr_liq_cost: 9 curr_opt_t_minutes: 0.34923053278975 daily_vol_normal: 38.192168603778 destination_price: 5913.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40151626121112 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27354722415916 init_vol_normal: 38.192168603778 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.704 slip_toler: 0 slippage: 0.52999999999975 slippage_sweep: 0.31999999999971 sweep_residual: 0 sweep_to_fill: 5914.415 total_dollar: 295704.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.192168603778 worst_opt_t_minutes: 0.34923053278975
2025-06-02 11:48:35	EP	SIM:ESM5	Buy	50	-0.3300	-0.6400	5,915.3750	5,914.6250	5,915.0450	5,915.6850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.375 avg_total: 5915.045 curr_cost_per_share: 0.255 curr_half_min_move: 0.40156717520751 curr_liq_cost: 12.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.197011535739 destination_price: 5914.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40156717520751 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59594609238053 init_vol_normal: 38.197011535739 last_aggressive_qty: last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.517 slip_toler: 0 slippage: -0.32999999999993 slippage_sweep: -0.64000000000033 sweep_residual: 0 sweep_to_fill: 5915.685 total_dollar: 295752.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.197011535739 worst_opt_t_minutes: 0
2025-06-02 11:47:58	EP	SIM:ESM5	Sell	50	0.0550	-0.0700	5,915.6250	5,915.8750	5,915.5700	5,915.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.57 curr_cost_per_share: 0.305 curr_half_min_move: 0.40158414653964 curr_liq_cost: 15.25 curr_opt_t_minutes: 0.13492668066273 daily_vol_normal: 38.198625846393 destination_price: 5915.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096887311871623 init_vol_normal: 38.198625846393 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.179 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5915.5 total_dollar: 295778.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0.13492668066273
2025-06-02 11:47:49	EP	SIM:ESM5	Buy	50	0.1200	-0.0650	5,915.1250	5,915.8750	5,915.2450	5,915.3100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5915.245 curr_cost_per_share: 0.125 curr_half_min_move: 0.40155020387538 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20241770641189 daily_vol_normal: 38.195397225085 destination_price: 5915.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21225784729004 init_vol_normal: 38.195397225085 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.421 slip_toler: 0 slippage: 0.11999999999989 slippage_sweep: -0.065000000000509 sweep_residual: 0 sweep_to_fill: 5915.31 total_dollar: 295762.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0.20241770641189
2025-06-02 11:46:53	EP	SIM:ESM5	Sell	50	-0.0550	-0.3250	5,913.8750	5,914.1250	5,913.9300	5,913.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5913.93 curr_cost_per_share: 0.27 curr_half_min_move: 0.40146534721473 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.060025495871487 daily_vol_normal: 38.187325671816 destination_price: 5914.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40146534721473 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45230501050997 init_vol_normal: 38.187325671816 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: 4.472 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.32500000000073 sweep_residual: 0 sweep_to_fill: 5913.605 total_dollar: 295696.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0.060025495871487
2025-06-02 11:46:48	EP	SIM:ESM5	Buy	50	0.9200	0.6400	5,912.8750	5,914.1250	5,913.7950	5,913.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5913.795 curr_cost_per_share: 0.205 curr_half_min_move: 0.40139746188621 curr_liq_cost: 10.25 curr_opt_t_minutes: 0.42859153687782 daily_vol_normal: 38.180868429201 destination_price: 5914.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40139746188621 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48659407742973 init_vol_normal: 38.180868429201 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.844 slip_toler: 0 slippage: 0.92000000000007 slippage_sweep: 0.64000000000033 sweep_residual: 0 sweep_to_fill: 5913.155 total_dollar: 295689.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0.42859153687782
2025-06-02 11:45:52	EP	SIM:ESM5	Sell	50	-0.0850	-0.3300	5,912.8750	5,913.1250	5,912.9600	5,912.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5912.96 curr_cost_per_share: 0.255 curr_half_min_move: 0.40139746188621 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.0277317572373 daily_vol_normal: 38.180868429201 destination_price: 5913.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40139746188621 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37254859053214 init_vol_normal: 38.180868429201 last_aggressive_qty: last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.445 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5912.63 total_dollar: 295648 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0.0277317572373
2025-06-02 11:45:40	EP	SIM:ESM5	Buy	50	-0.0650	-0.3400	5,913.1250	5,912.8750	5,913.0600	5,913.4000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.125 avg_total: 5913.06 curr_cost_per_share: 0.22 curr_half_min_move: 0.40141443321834 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.182482739855 destination_price: 5912.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40141443321834 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46933119338592 init_vol_normal: 38.182482739855 last_aggressive_qty: 22 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.435 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.33999999999924 sweep_residual: 0 sweep_to_fill: 5913.4 total_dollar: 295653 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.182482739855 worst_opt_t_minutes: 0
2025-06-02 11:45:02	EP	SIM:ESM5	Sell	50	0.5100	0.2400	5,912.8750	5,911.8750	5,912.3650	5,912.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5912.365 curr_cost_per_share: 0.21 curr_half_min_move: 0.40139746188621 curr_liq_cost: 10.5 curr_opt_t_minutes: 0.44535267867461 daily_vol_normal: 38.180868429201 destination_price: 5911.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40139746188621 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45245801332433 init_vol_normal: 38.180868429201 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 32.75 slip_toler: 0 slippage: 0.51000000000022 slippage_sweep: 0.23999999999978 sweep_residual: 0 sweep_to_fill: 5912.605 total_dollar: 295618.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0.44535267867461
2025-06-02 11:44:28	EP	SIM:ESM5	Buy	50	-0.2700	-0.5150	5,913.3750	5,912.8750	5,913.1050	5,913.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.375 avg_total: 5913.105 curr_cost_per_share: 0.245 curr_half_min_move: 0.40143140455047 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.184097050509 destination_price: 5912.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40143140455047 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37248559218681 init_vol_normal: 38.184097050509 last_aggressive_qty: 9 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.272 slip_toler: 0 slippage: -0.27000000000044 slippage_sweep: -0.51500000000033 sweep_residual: 0 sweep_to_fill: 5913.62 total_dollar: 295655.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.184097050509 worst_opt_t_minutes: 0
2025-06-02 11:43:53	EP	SIM:ESM5	Sell	50	0.2000	-0.0450	5,913.3750	5,913.3750	5,913.1750	5,913.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.375 avg_total: 5913.175 curr_cost_per_share: 0.25 curr_half_min_move: 0.40143140455047 curr_liq_cost: 12.5 curr_opt_t_minutes: 0.38784422343483 daily_vol_normal: 38.184097050509 destination_price: 5913.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40143140455047 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37248559218681 init_vol_normal: 38.184097050509 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.691 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.045000000000073 sweep_residual: 0 sweep_to_fill: 5913.13 total_dollar: 295658.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.184097050509 worst_opt_t_minutes: 0.38784422343483
2025-06-02 11:43:29	EP	SIM:ESM5	Buy	50	-0.0900	-0.3450	5,913.8750	5,913.6250	5,913.7850	5,914.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5913.785 curr_cost_per_share: 0.21 curr_half_min_move: 0.40146534721473 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 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: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.433 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5914.13 total_dollar: 295689.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0
2025-06-02 11:42:51	EP	SIM:ESM5	Sell	50	0.7000	0.4700	5,914.6250	5,913.8750	5,913.9250	5,914.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.625 avg_total: 5913.925 curr_cost_per_share: 0.195 curr_half_min_move: 0.40151626121112 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.39576530158486 daily_vol_normal: 38.192168603778 destination_price: 5913.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40151626121112 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32813261129296 init_vol_normal: 38.192168603778 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.483 slip_toler: 0 slippage: 0.69999999999982 slippage_sweep: 0.47000000000025 sweep_residual: 0 sweep_to_fill: 5914.395 total_dollar: 295696.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.192168603778 worst_opt_t_minutes: 0.39576530158486
2025-06-02 11:42:25	EP	SIM:ESM5	Buy	50	0.0100	-0.2300	5,914.8750	5,914.6250	5,914.8850	5,915.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5914.885 curr_cost_per_share: 0.24 curr_half_min_move: 0.40153323254325 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.193782914432 destination_price: 5914.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35725596862533 init_vol_normal: 38.193782914432 last_aggressive_qty: 25 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.807 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.22999999999956 sweep_residual: 0 sweep_to_fill: 5915.115 total_dollar: 295744.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 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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