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 12:04:18	EP	SIM:ESM5	Buy	50	0.5150	0.2800	5,980.8750	5,981.8750	5,981.3900	5,981.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5980.875 avg_total: 5981.39 curr_cost_per_share: 0.125 curr_half_min_move: 0.54335327388567 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11055124165392 daily_vol_normal: 51.683684703232 destination_price: 5981.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.54335327388567 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.18705578680892 init_vol_normal: 51.683684703232 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: 8.349 slip_toler: 0 slippage: 0.51500000000033 slippage_sweep: 0.28000000000065 sweep_residual: 0 sweep_to_fill: 5981.11 total_dollar: 299069.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.683684703232 worst_opt_t_minutes: 0.11055124165392
2025-05-19 12:03:40	EP	SIM:ESM5	Sell	50	-0.1250	-0.2500	5,980.8750	5,981.1250	5,981.0000	5,980.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5980.875 avg_total: 5981 curr_cost_per_share: 0.125 curr_half_min_move: 0.54335327388567 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.683684703232 destination_price: 5981.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54335327388567 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052924339862189 init_vol_normal: 51.683684703232 last_aggressive_qty: 25 last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.058 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5980.75 total_dollar: 299050 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.683684703232 worst_opt_t_minutes: 0
2025-05-19 12:03:39	EP	SIM:ESM5	Buy	50	-0.0250	-0.1500	5,981.1250	5,980.8750	5,981.1000	5,981.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5981.125 avg_total: 5981.1 curr_cost_per_share: 0.215 curr_half_min_move: 0.54337598600028 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.685845076284 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: 0.54337598600028 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052919915674951 init_vol_normal: 51.685845076284 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.093 slip_toler: 0 slippage: -0.024999999999636 slippage_sweep: -0.14999999999964 sweep_residual: 0 sweep_to_fill: 5981.25 total_dollar: 299055 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.685845076284 worst_opt_t_minutes: 0
2025-05-19 12:03:04	EP	SIM:ESM5	Sell	50	-0.2050	-0.3300	5,979.1250	5,979.6250	5,979.3300	5,979.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5979.125 avg_total: 5979.33 curr_cost_per_share: 0.34 curr_half_min_move: 0.54319428908339 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 51.66856209187 destination_price: 5979.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54319428908339 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052955324713199 init_vol_normal: 51.66856209187 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: 2.067 slip_toler: 0 slippage: -0.20499999999993 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5979 total_dollar: 298966.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.66856209187 worst_opt_t_minutes: 0
2025-05-19 12:02:59	EP	SIM:ESM5	Buy	50	-0.0350	-0.1850	5,979.3750	5,979.1250	5,979.3400	5,979.5250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5979.375 avg_total: 5979.34 curr_cost_per_share: 0.22 curr_half_min_move: 0.543217001198 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 51.670722464921 destination_price: 5979.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.543217001198 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.076249291161925 init_vol_normal: 51.670722464921 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: 1.076 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.18499999999949 sweep_residual: 0 sweep_to_fill: 5979.525 total_dollar: 298967 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.670722464921 worst_opt_t_minutes: 0
2025-05-19 12:02:28	EP	SIM:ESM5	Sell	50	-0.0250	-0.2350	5,980.3750	5,980.6250	5,980.4000	5,980.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5980.375 avg_total: 5980.4 curr_cost_per_share: 0.225 curr_half_min_move: 0.54330784965645 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.679363957128 destination_price: 5980.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.54330784965645 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.14939863517726 init_vol_normal: 51.679363957128 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: 1.15 slip_toler: 0 slippage: -0.024999999999636 slippage_sweep: -0.23499999999967 sweep_residual: 0 sweep_to_fill: 5980.165 total_dollar: 299020 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.679363957128 worst_opt_t_minutes: 0
2025-05-19 12:02:26	EP	SIM:ESM5	Buy	50	0.2150	-0.0350	5,980.2500	5,980.3750	5,980.4650	5,980.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5980.25 avg_total: 5980.465 curr_cost_per_share: 0.125 curr_half_min_move: 0.54329649359914 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11057435043251 daily_vol_normal: 51.678283770603 destination_price: 5980.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.54329649359914 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.21174161103142 init_vol_normal: 51.678283770603 last_aggressive_qty: last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.301 slip_toler: 0 slippage: 0.21500000000015 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 5980.5 total_dollar: 299023.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.678283770603 worst_opt_t_minutes: 0.11057435043251
2025-05-19 12:01:49	EP	SIM:ESM5	Sell	50	0.0350	-0.0900	5,976.8750	5,977.1250	5,976.8400	5,976.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5976.875 avg_total: 5976.84 curr_cost_per_share: 0.125 curr_half_min_move: 0.5429898800519 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.649118734404 destination_price: 5977.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.5429898800519 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052995202377554 init_vol_normal: 51.649118734404 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.071 slip_toler: 0 slippage: 0.034999999999854 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 5976.75 total_dollar: 298842 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.649118734404 worst_opt_t_minutes: 0
2025-05-19 12:01:47	EP	SIM:ESM5	Buy	50	-0.1800	-0.4850	5,977.3750	5,976.8750	5,977.1950	5,977.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.375 avg_total: 5977.195 curr_cost_per_share: 0.285 curr_half_min_move: 0.54303530428112 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.653439480508 destination_price: 5976.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.54303530428112 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.31545945466864 init_vol_normal: 51.653439480508 last_aggressive_qty: last_tactical_qty: 34 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.284 slip_toler: 0 slippage: -0.18000000000029 slippage_sweep: -0.48500000000058 sweep_residual: 0 sweep_to_fill: 5977.68 total_dollar: 298859.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.653439480508 worst_opt_t_minutes: 0
2025-05-19 12:01:13	EP	SIM:ESM5	Sell	50	0.0400	-0.0850	5,977.1250	5,977.1250	5,977.0850	5,977.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.125 avg_total: 5977.085 curr_cost_per_share: 0.125 curr_half_min_move: 0.54301259216651 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.052990769301946 daily_vol_normal: 51.651279107456 destination_price: 5977.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54301259216651 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052990769301946 init_vol_normal: 51.651279107456 last_aggressive_qty: 3 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: 4.149 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.085000000000036 sweep_residual: 0 sweep_to_fill: 5977 total_dollar: 298854.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.651279107456 worst_opt_t_minutes: 0.052990769301946
2025-05-19 12:01:09	EP	SIM:ESM5	Buy	50	0.2950	0.0550	5,977.1250	5,977.3750	5,977.4200	5,977.3650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.125 avg_total: 5977.42 curr_cost_per_share: 0.125 curr_half_min_move: 0.54301259216651 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11069000308328 daily_vol_normal: 51.651279107456 destination_price: 5977.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54301259216651 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19534517195469 init_vol_normal: 51.651279107456 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.278 slip_toler: 0 slippage: 0.29500000000007 slippage_sweep: 0.055000000000291 sweep_residual: 0 sweep_to_fill: 5977.365 total_dollar: 298871 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.651279107456 worst_opt_t_minutes: 0.11069000308328
2025-05-19 12:00:30	EP	SIM:ESM5	Sell	50	-0.1050	-0.2400	5,976.3750	5,976.6250	5,976.4800	5,976.2400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5976.375 avg_total: 5976.48 curr_cost_per_share: 0.275 curr_half_min_move: 0.54294445582268 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.038403328378481 daily_vol_normal: 51.644797988301 destination_price: 5976.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.54294445582268 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.061823947478717 init_vol_normal: 51.644797988301 last_aggressive_qty: 12 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: 3.104 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.23999999999978 sweep_residual: 0 sweep_to_fill: 5976.24 total_dollar: 298824 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.644797988301 worst_opt_t_minutes: 0.038403328378481
2025-05-19 12:00:26	EP	SIM:ESM5	Buy	50	-0.1150	-0.3500	5,976.8750	5,976.3750	5,976.7600	5,977.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5976.875 avg_total: 5976.76 curr_cost_per_share: 0.16 curr_half_min_move: 0.5429898800519 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 51.649118734404 destination_price: 5976.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.5429898800519 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.18730624328323 init_vol_normal: 51.649118734404 last_aggressive_qty: last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.183 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.34999999999945 sweep_residual: 0 sweep_to_fill: 5977.11 total_dollar: 298838 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.649118734404 worst_opt_t_minutes: 0
2025-05-19 11:59:52	EP	SIM:ESM5	Sell	50	-0.0650	-0.1900	5,977.1250	5,977.3750	5,977.1900	5,977.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.125 avg_total: 5977.19 curr_cost_per_share: 0.155 curr_half_min_move: 0.54301259216651 curr_liq_cost: 7.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.651279107456 destination_price: 5977.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54301259216651 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052990769301946 init_vol_normal: 51.651279107456 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: 3.094 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.1899999999996 sweep_residual: 0 sweep_to_fill: 5977 total_dollar: 298859.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.651279107456 worst_opt_t_minutes: 0
2025-05-19 11:59:49	EP	SIM:ESM5	Buy	50	-0.1350	-0.2600	5,977.6250	5,977.1250	5,977.4900	5,977.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.625 avg_total: 5977.49 curr_cost_per_share: 0.315 curr_half_min_move: 0.54305801639573 curr_liq_cost: 15.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.655599853559 destination_price: 5977.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54305801639573 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052981904819298 init_vol_normal: 51.655599853559 last_aggressive_qty: last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.076 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 5977.75 total_dollar: 298874.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.655599853559 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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