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 11:35:20	EP	SIM:ESM5	Buy	50	0.2750	0.0450	5,915.3750	5,916.6250	5,915.6500	5,915.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.375 avg_total: 5915.65 curr_cost_per_share: 0.235 curr_half_min_move: 0.40156717520751 curr_liq_cost: 11.75 curr_opt_t_minutes: 0.53335959351721 daily_vol_normal: 38.197011535739 destination_price: 5916.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40156717520751 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32804940985359 init_vol_normal: 38.197011535739 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 37.57 slip_toler: 0 slippage: 0.27499999999964 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 5915.605 total_dollar: 295782.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.197011535739 worst_opt_t_minutes: 0.53335959351721
2025-06-02 11:34:12	EP	SIM:ESM5	Sell	50	-0.1200	-0.3500	5,914.3750	5,914.6250	5,914.4950	5,914.1450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.375 avg_total: 5914.495 curr_cost_per_share: 0.235 curr_half_min_move: 0.40149928987899 curr_liq_cost: 11.75 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: 0.23 init_drift: 0 init_half_min_move: 0.40149928987899 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32816035214017 init_vol_normal: 38.190554293124 last_aggressive_qty: 28 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.369 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.34999999999945 sweep_residual: 0 sweep_to_fill: 5914.145 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 11:34:08	EP	SIM:ESM5	Buy	50	-0.4100	-0.6050	5,915.1250	5,914.3750	5,914.7150	5,915.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5914.715 curr_cost_per_share: 0.175 curr_half_min_move: 0.40155020387538 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.195397225085 destination_price: 5914.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23582482522144 init_vol_normal: 38.195397225085 last_aggressive_qty: 2 last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.207 slip_toler: 0 slippage: -0.40999999999985 slippage_sweep: -0.60499999999956 sweep_residual: 0 sweep_to_fill: 5915.32 total_dollar: 295735.75 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0
2025-06-02 11:33:33	EP	SIM:ESM5	Sell	50	0.0950	-0.0300	5,915.3750	5,915.6250	5,915.2800	5,915.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.375 avg_total: 5915.28 curr_cost_per_share: 0.33 curr_half_min_move: 0.40156717520751 curr_liq_cost: 16.5 curr_opt_t_minutes: 0.19588131066584 daily_vol_normal: 38.197011535739 destination_price: 5915.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40156717520751 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096895501492673 init_vol_normal: 38.197011535739 last_aggressive_qty: last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.242 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.029999999999745 sweep_residual: 0 sweep_to_fill: 5915.25 total_dollar: 295764 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.197011535739 worst_opt_t_minutes: 0.19588131066584
2025-06-02 11:33:17	EP	SIM:ESM5	Buy	50	-0.0300	-0.2450	5,915.6250	5,915.3750	5,915.5950	5,915.8400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.595 curr_cost_per_share: 0.23 curr_half_min_move: 0.40158414653964 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.198625846393 destination_price: 5915.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28663142344101 init_vol_normal: 38.198625846393 last_aggressive_qty: 7 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.486 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5915.84 total_dollar: 295779.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0
2025-06-02 11:32:43	EP	SIM:ESM5	Sell	50	-0.1050	-0.2300	5,915.1250	5,915.3750	5,915.2300	5,915.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5915.23 curr_cost_per_share: 0.195 curr_half_min_move: 0.40155020387538 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.195397225085 destination_price: 5915.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096903692152136 init_vol_normal: 38.195397225085 last_aggressive_qty: 30 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: 3.325 slip_toler: 0 slippage: -0.10499999999956 slippage_sweep: -0.22999999999956 sweep_residual: 0 sweep_to_fill: 5915 total_dollar: 295761.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0
2025-06-02 11:32:39	EP	SIM:ESM5	Buy	50	-0.1250	-0.4400	5,915.3750	5,915.1250	5,915.2500	5,915.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.375 avg_total: 5915.25 curr_cost_per_share: 0.24 curr_half_min_move: 0.40156717520751 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.197011535739 destination_price: 5915.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.40156717520751 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 0.61532519267907 init_vol_normal: 38.197011535739 last_aggressive_qty: 19 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: 2.25 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.4399999999996 sweep_residual: 0 sweep_to_fill: 5915.69 total_dollar: 295762.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.197011535739 worst_opt_t_minutes: 0
2025-06-02 11:32:07	EP	SIM:ESM5	Sell	50	-0.5850	-0.8450	5,914.1250	5,914.8750	5,914.7100	5,913.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.125 avg_total: 5914.71 curr_cost_per_share: 0.235 curr_half_min_move: 0.40148231854686 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.18893998247 destination_price: 5914.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40148231854686 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41938592294452 init_vol_normal: 38.18893998247 last_aggressive_qty: 12 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.302 slip_toler: 0 slippage: -0.58500000000004 slippage_sweep: -0.84500000000025 sweep_residual: 0 sweep_to_fill: 5913.865 total_dollar: 295735.5 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.18893998247 worst_opt_t_minutes: 0
2025-06-02 11:32:04	EP	SIM:ESM5	Buy	50	-0.1000	-0.2800	5,914.3750	5,914.1250	5,914.2750	5,914.5550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.375 avg_total: 5914.275 curr_cost_per_share: 0.22 curr_half_min_move: 0.40149928987899 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.190554293124 destination_price: 5914.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40149928987899 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.20099046142422 init_vol_normal: 38.190554293124 last_aggressive_qty: 31 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: 4.326 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.28000000000065 sweep_residual: 0 sweep_to_fill: 5914.555 total_dollar: 295713.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.190554293124 worst_opt_t_minutes: 0
2025-06-02 11:31:30	EP	SIM:ESM5	Sell	50	-0.0950	-0.3750	5,914.3750	5,914.6250	5,914.4700	5,914.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.375 avg_total: 5914.47 curr_cost_per_share: 0.195 curr_half_min_move: 0.40149928987899 curr_liq_cost: 9.75 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: 0.28 init_drift: 0 init_half_min_move: 0.40149928987899 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.4863472893722 init_vol_normal: 38.190554293124 last_aggressive_qty: 36 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 44 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.482 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5914.095 total_dollar: 295723.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.190554293124 worst_opt_t_minutes: 0
2025-06-02 11:31:27	EP	SIM:ESM5	Buy	50	-0.1200	-0.4550	5,914.8750	5,914.3750	5,914.7550	5,915.2100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5914.755 curr_cost_per_share: 0.19 curr_half_min_move: 0.40153323254325 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.193782914432 destination_price: 5914.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.69605991456559 init_vol_normal: 38.193782914432 last_aggressive_qty: 19 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.481 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 5915.21 total_dollar: 295737.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 worst_opt_t_minutes: 0
2025-06-02 11:30:52	EP	SIM:ESM5	Sell	50	0.6500	0.4050	5,916.6250	5,915.6250	5,915.9750	5,916.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5915.975 curr_cost_per_share: 0.125 curr_half_min_move: 0.40165203186816 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20231508436926 daily_vol_normal: 38.205083089008 destination_price: 5915.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37207649217134 init_vol_normal: 38.205083089008 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.473 slip_toler: 0 slippage: 0.64999999999964 slippage_sweep: 0.40499999999975 sweep_residual: 0 sweep_to_fill: 5916.38 total_dollar: 295798.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0.20231508436926
2025-06-02 11:30:38	EP	SIM:ESM5	Buy	50	1.0350	0.7650	5,914.3750	5,915.8750	5,915.4100	5,914.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.375 avg_total: 5915.41 curr_cost_per_share: 0.14 curr_half_min_move: 0.40149928987899 curr_liq_cost: 7 curr_opt_t_minutes: 0.23878796126926 daily_vol_normal: 38.190554293124 destination_price: 5915.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40149928987899 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.4522285382045 init_vol_normal: 38.190554293124 last_aggressive_qty: 2 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 20.875 slip_toler: 0 slippage: 1.0349999999999 slippage_sweep: 0.76499999999942 sweep_residual: 0 sweep_to_fill: 5914.645 total_dollar: 295770.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.190554293124 worst_opt_t_minutes: 0.23878796126926
2025-06-02 11:29:47	EP	SIM:ESM5	Sell	50	0.0000	-0.2650	5,914.1250	5,914.3750	5,914.1250	5,913.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.125 avg_total: 5914.125 curr_cost_per_share: 0.175 curr_half_min_move: 0.40148231854686 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.18893998247 destination_price: 5914.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40148231854686 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43567124909436 init_vol_normal: 38.18893998247 last_aggressive_qty: 9 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.492 slip_toler: 0 slippage: 0 slippage_sweep: -0.26500000000033 sweep_residual: 0 sweep_to_fill: 5913.86 total_dollar: 295706.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.18893998247 worst_opt_t_minutes: 0
2025-06-02 11:29:35	EP	SIM:ESM5	Buy	50	-0.1250	-0.3500	5,914.3750	5,914.1250	5,914.2500	5,914.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.375 avg_total: 5914.25 curr_cost_per_share: 0.21 curr_half_min_move: 0.40149928987899 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.190554293124 destination_price: 5914.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40149928987899 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31404759597535 init_vol_normal: 38.190554293124 last_aggressive_qty: 2 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.291 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.35000000000036 sweep_residual: 0 sweep_to_fill: 5914.6 total_dollar: 295712.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.190554293124 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect