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 11:41:44	EP	SIM:ESM5	Sell	50	-0.1200	-0.3950	5,914.3750	5,914.6250	5,914.4950	5,914.1000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.375 avg_total: 5914.495 curr_cost_per_share: 0.25 curr_half_min_move: 0.40149928987899 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.190554293124 destination_price: 5914.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40149928987899 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46913282855577 init_vol_normal: 38.190554293124 last_aggressive_qty: 25 last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.355 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.39499999999953 sweep_residual: 0 sweep_to_fill: 5914.1 total_dollar: 295724.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.190554293124 worst_opt_t_minutes: 0
2025-06-02 11:41:42	EP	SIM:ESM5	Buy	50	-0.0450	-0.3400	5,914.6250	5,914.3750	5,914.5800	5,914.9200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.625 avg_total: 5914.58 curr_cost_per_share: 0.27 curr_half_min_move: 0.40151626121112 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.060010273852307 daily_vol_normal: 38.192168603778 destination_price: 5914.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.40151626121112 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.53980605855898 init_vol_normal: 38.192168603778 last_aggressive_qty: 4 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.57 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5914.92 total_dollar: 295729 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.192168603778 worst_opt_t_minutes: 0.060010273852307
2025-06-02 11:41:04	EP	SIM:ESM5	Sell	50	2.2500	2.0000	5,916.1250	5,913.3750	5,913.8750	5,915.8750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5913.875 curr_cost_per_share: 0.185 curr_half_min_move: 0.4016180892039 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.36424748037815 daily_vol_normal: 38.201854467701 destination_price: 5913.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38748374297625 init_vol_normal: 38.201854467701 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 26.79 slip_toler: 0 slippage: 2.25 slippage_sweep: 2 sweep_residual: 0 sweep_to_fill: 5915.875 total_dollar: 295693.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0.36424748037815
2025-06-02 11:40:36	EP	SIM:ESM5	Buy	50	-0.2300	-0.5050	5,916.6250	5,916.1250	5,916.3950	5,916.9000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.395 curr_cost_per_share: 0.26 curr_half_min_move: 0.40165203186816 curr_liq_cost: 13 curr_opt_t_minutes: 0 daily_vol_normal: 38.205083089008 destination_price: 5916.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46877608863736 init_vol_normal: 38.205083089008 last_aggressive_qty: 23 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.404 slip_toler: 0 slippage: -0.22999999999956 slippage_sweep: -0.5049999999992 sweep_residual: 0 sweep_to_fill: 5916.9 total_dollar: 295819.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0
2025-06-02 11:40:04	EP	SIM:ESM5	Sell	50	-0.1250	-0.3550	5,916.1250	5,916.6250	5,916.2500	5,915.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.25 curr_cost_per_share: 0.23 curr_half_min_move: 0.4016180892039 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.201854467701 destination_price: 5916.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.3279662400551 init_vol_normal: 38.201854467701 last_aggressive_qty: 23 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.563 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.35499999999956 sweep_residual: 0 sweep_to_fill: 5915.895 total_dollar: 295812.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0
2025-06-02 11:39:53	EP	SIM:ESM5	Buy	50	-0.0550	-0.4050	5,916.3750	5,916.1250	5,916.3200	5,916.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5916.32 curr_cost_per_share: 0.25 curr_half_min_move: 0.40163506053603 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.203468778355 destination_price: 5916.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.35 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 17.5 init_min_duration: 0 init_opt_t_minutes: 0.75940395401965 init_vol_normal: 38.203468778355 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: 5.661 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.40500000000065 sweep_residual: 0 sweep_to_fill: 5916.725 total_dollar: 295816 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0
2025-06-02 11:39:17	EP	SIM:ESM5	Sell	50	-0.1200	-0.3650	5,916.3750	5,916.8750	5,916.4950	5,916.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5916.495 curr_cost_per_share: 0.245 curr_half_min_move: 0.40163506053603 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.203468778355 destination_price: 5916.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37210793746963 init_vol_normal: 38.203468778355 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: 10.314 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 5916.13 total_dollar: 295824.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0
2025-06-02 11:39:06	EP	SIM:ESM5	Buy	50	0.5250	0.2050	5,916.6250	5,916.3750	5,917.1500	5,916.9450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5917.15 curr_cost_per_share: 0.325 curr_half_min_move: 0.40165203186816 curr_liq_cost: 16.25 curr_opt_t_minutes: 0.18304805523534 daily_vol_normal: 38.205083089008 destination_price: 5916.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.63474606911029 init_vol_normal: 38.205083089008 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.633 slip_toler: 0 slippage: 0.52499999999964 slippage_sweep: 0.20499999999993 sweep_residual: 0 sweep_to_fill: 5916.945 total_dollar: 295857.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0.18304805523534
2025-06-02 11:38:16	EP	SIM:ESM5	Sell	50	-0.1800	-0.3900	5,915.6250	5,916.1250	5,915.8050	5,915.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.805 curr_cost_per_share: 0.285 curr_half_min_move: 0.40158414653964 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.198625846393 destination_price: 5916.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27345474902647 init_vol_normal: 38.198625846393 last_aggressive_qty: last_tactical_qty: 40 level_tactical_limit: mbo_max: mbo_min: model_size: 40 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.288 slip_toler: 0 slippage: -0.18000000000029 slippage_sweep: -0.39000000000033 sweep_residual: 0 sweep_to_fill: 5915.415 total_dollar: 295790.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0
2025-06-02 11:38:11	EP	SIM:ESM5	Buy	50	0.1100	-0.0950	5,915.1250	5,915.6250	5,915.2350	5,915.3300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5915.235 curr_cost_per_share: 0.14 curr_half_min_move: 0.40155020387538 curr_liq_cost: 7 curr_opt_t_minutes: 0.23872741153712 daily_vol_normal: 38.195397225085 destination_price: 5915.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.26063217041238 init_vol_normal: 38.195397225085 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.42 slip_toler: 0 slippage: 0.10999999999967 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5915.33 total_dollar: 295761.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0.23872741153712
2025-06-02 11:37:25	EP	SIM:ESM5	Sell	50	-0.1250	-0.3750	5,914.8750	5,915.1250	5,915.0000	5,914.6250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5915 curr_cost_per_share: 0.235 curr_half_min_move: 0.40153323254325 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.193782914432 destination_price: 5915.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38764753540075 init_vol_normal: 38.193782914432 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.301 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5914.625 total_dollar: 295750 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 worst_opt_t_minutes: 0
2025-06-02 11:37:22	EP	SIM:ESM5	Buy	50	0.7200	0.4500	5,913.6250	5,914.8750	5,914.3450	5,913.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.625 avg_total: 5914.345 curr_cost_per_share: 0.185 curr_half_min_move: 0.4014483758826 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.3645555185727 daily_vol_normal: 38.185711361162 destination_price: 5914.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.4014483758826 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.4523432539369 init_vol_normal: 38.185711361162 last_aggressive_qty: 8 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.666 slip_toler: 0 slippage: 0.72000000000025 slippage_sweep: 0.44999999999982 sweep_residual: 0 sweep_to_fill: 5913.895 total_dollar: 295717.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.185711361162 worst_opt_t_minutes: 0.3645555185727
2025-06-02 11:36:29	EP	SIM:ESM5	Sell	50	1.0850	0.8550	5,915.8750	5,912.6250	5,914.7900	5,915.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.875 avg_total: 5914.79 curr_cost_per_share: 0.15 curr_half_min_move: 0.40160111787177 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.26441375399923 daily_vol_normal: 38.200240157047 destination_price: 5912.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40160111787177 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.3279939598066 init_vol_normal: 38.200240157047 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.508 slip_toler: 0 slippage: 1.085 slippage_sweep: 0.85500000000047 sweep_residual: 0 sweep_to_fill: 5915.645 total_dollar: 295739.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.200240157047 worst_opt_t_minutes: 0.26441375399923
2025-06-02 11:36:05	EP	SIM:ESM5	Buy	50	-0.3450	-0.5400	5,916.8750	5,915.8750	5,916.5300	5,917.0700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.875 avg_total: 5916.53 curr_cost_per_share: 0.22 curr_half_min_move: 0.4016690032003 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.206697399662 destination_price: 5915.875 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.4016690032003 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23568534875315 init_vol_normal: 38.206697399662 last_aggressive_qty: 11 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.18 slip_toler: 0 slippage: -0.34500000000025 slippage_sweep: -0.53999999999996 sweep_residual: 0 sweep_to_fill: 5917.07 total_dollar: 295826.5 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 38.206697399662 worst_opt_t_minutes: 0
2025-06-02 11:35:31	EP	SIM:ESM5	Sell	50	-0.0300	-0.3050	5,916.6250	5,917.1250	5,916.6550	5,916.3500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.655 curr_cost_per_share: 0.19 curr_half_min_move: 0.40165203186816 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.205083089008 destination_price: 5917.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46877608863736 init_vol_normal: 38.205083089008 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.45 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.30499999999938 sweep_residual: 0 sweep_to_fill: 5916.35 total_dollar: 295832.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 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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