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 11:59:16	EP	SIM:ESM5	Sell	50	-0.0400	-0.2200	5,977.6250	5,977.8750	5,977.6650	5,977.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.625 avg_total: 5977.665 curr_cost_per_share: 0.195 curr_half_min_move: 0.54305801639573 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.655599853559 destination_price: 5977.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.54305801639573 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.1098632778333 init_vol_normal: 51.655599853559 last_aggressive_qty: last_tactical_qty: 33 level_tactical_limit: mbo_max: mbo_min: model_size: 33 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.119 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5977.445 total_dollar: 298883.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.655599853559 worst_opt_t_minutes: 0
2025-05-19 11:59:13	EP	SIM:ESM5	Buy	50	0.3400	0.0600	5,977.1250	5,977.6250	5,977.4650	5,977.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.125 avg_total: 5977.465 curr_cost_per_share: 0.185 curr_half_min_move: 0.54301259216651 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.19925227369053 daily_vol_normal: 51.651279107456 destination_price: 5977.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.54301259216651 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.26588648404944 init_vol_normal: 51.651279107456 last_aggressive_qty: 4 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.355 slip_toler: 0 slippage: 0.34000000000015 slippage_sweep: 0.0600000000004 sweep_residual: 0 sweep_to_fill: 5977.405 total_dollar: 298873.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.651279107456 worst_opt_t_minutes: 0.19925227369053
2025-05-19 11:58:30	EP	SIM:ESM5	Sell	50	0.4450	0.3200	5,977.1250	5,977.1250	5,976.6800	5,977.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.125 avg_total: 5976.68 curr_cost_per_share: 0.2 curr_half_min_move: 0.54301259216651 curr_liq_cost: 10 curr_opt_t_minutes: 0.13565636941298 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: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.186 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: 0.31999999999971 sweep_residual: 0 sweep_to_fill: 5977 total_dollar: 298834 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.651279107456 worst_opt_t_minutes: 0.13565636941298
2025-05-19 11:58:20	EP	SIM:ESM5	Buy	50	-0.0500	-0.1750	5,977.3750	5,977.1250	5,977.3250	5,977.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.375 avg_total: 5977.325 curr_cost_per_share: 0.15 curr_half_min_move: 0.54303530428112 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.653439480508 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: 0.54303530428112 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052986336782558 init_vol_normal: 51.653439480508 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.073 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 5977.5 total_dollar: 298866.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.653439480508 worst_opt_t_minutes: 0
2025-05-19 11:57:47	EP	SIM:ESM5	Sell	50	0.4450	0.3150	5,976.6250	5,975.6250	5,976.1800	5,976.4950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5976.625 avg_total: 5976.18 curr_cost_per_share: 0.125 curr_half_min_move: 0.54296716793729 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11070852434456 daily_vol_normal: 51.646958361352 destination_price: 5975.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.54296716793729 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.057324406307848 init_vol_normal: 51.646958361352 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.122 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: 0.3149999999996 sweep_residual: 0 sweep_to_fill: 5976.495 total_dollar: 298809 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.646958361352 worst_opt_t_minutes: 0.11070852434456
2025-05-19 11:57:40	EP	SIM:ESM5	Buy	50	-0.0350	-0.1600	5,976.8750	5,976.6250	5,976.8400	5,977.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5976.875 avg_total: 5976.84 curr_cost_per_share: 0.21 curr_half_min_move: 0.5429898800519 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.649118734404 destination_price: 5976.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.5429898800519 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052995202377554 init_vol_normal: 51.649118734404 last_aggressive_qty: 12 last_tactical_qty: 31 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.064 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.15999999999985 sweep_residual: 0 sweep_to_fill: 5977 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 11:57:07	EP	SIM:ESM5	Sell	50	0.3850	0.2600	5,978.1250	5,977.8750	5,977.7400	5,978.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5978.125 avg_total: 5977.74 curr_cost_per_share: 0.135 curr_half_min_move: 0.54310344062495 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.12371651620367 daily_vol_normal: 51.659920599663 destination_price: 5977.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54310344062495 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.052973042560787 init_vol_normal: 51.659920599663 last_aggressive_qty: 3 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.124 slip_toler: 0 slippage: 0.38500000000022 slippage_sweep: 0.26000000000022 sweep_residual: 0 sweep_to_fill: 5978 total_dollar: 298887 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.659920599663 worst_opt_t_minutes: 0.12371651620367
2025-05-19 11:56:58	EP	SIM:ESM5	Buy	50	-0.1550	-0.3300	5,978.6250	5,978.1250	5,978.4700	5,978.8000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5978.625 avg_total: 5978.47 curr_cost_per_share: 0.18 curr_half_min_move: 0.54314886485417 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 51.664241345766 destination_price: 5978.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.54314886485417 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.10380979775031 init_vol_normal: 51.664241345766 last_aggressive_qty: 19 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.123 slip_toler: 0 slippage: -0.15499999999975 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5978.8 total_dollar: 298923.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.664241345766 worst_opt_t_minutes: 0
2025-05-19 11:56:26	EP	SIM:ESM5	Sell	50	0.7700	0.6450	5,979.1250	5,977.8750	5,978.3550	5,979.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5979.125 avg_total: 5978.355 curr_cost_per_share: 0.125 curr_half_min_move: 0.54319428908339 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11061596449714 daily_vol_normal: 51.66856209187 destination_price: 5977.875 drift: 0.125 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: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.147 slip_toler: 0 slippage: 0.77000000000044 slippage_sweep: 0.64500000000044 sweep_residual: 0 sweep_to_fill: 5979 total_dollar: 298917.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.66856209187 worst_opt_t_minutes: 0.11061596449714
2025-05-19 11:56:16	EP	SIM:ESM5	Buy	50	1.2100	1.0850	5,977.1250	5,979.3750	5,978.3350	5,977.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5977.125 avg_total: 5978.335 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: 5979.375 drift: -0.125 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: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.103 slip_toler: 0 slippage: 1.21 slippage_sweep: 1.085 sweep_residual: 0 sweep_to_fill: 5977.25 total_dollar: 298916.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.651279107456 worst_opt_t_minutes: 0.11069000308328
2025-05-19 11:55:38	EP	SIM:ESM5	Sell	50	0.0600	-0.1900	5,974.6250	5,974.6250	5,974.5650	5,974.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.625 avg_total: 5974.565 curr_cost_per_share: 0.125 curr_half_min_move: 0.5427854710204 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.0530351251033 daily_vol_normal: 51.629675376938 destination_price: 5974.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.5427854710204 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.2121405004132 init_vol_normal: 51.629675376938 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: 4.151 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.1899999999996 sweep_residual: 0 sweep_to_fill: 5974.375 total_dollar: 298728.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.629675376938 worst_opt_t_minutes: 0.0530351251033
2025-05-19 11:55:33	EP	SIM:ESM5	Buy	50	0.1250	-0.1450	5,974.6250	5,974.6250	5,974.7500	5,974.8950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.625 avg_total: 5974.75 curr_cost_per_share: 0.16 curr_half_min_move: 0.5427854710204 curr_liq_cost: 8 curr_opt_t_minutes: 0.086892748969246 daily_vol_normal: 51.629675376938 destination_price: 5974.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.5427854710204 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.24744067968195 init_vol_normal: 51.629675376938 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: 8.176 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.14500000000044 sweep_residual: 0 sweep_to_fill: 5974.895 total_dollar: 298737.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.629675376938 worst_opt_t_minutes: 0.086892748969246
2025-05-19 11:54:55	EP	SIM:ESM5	Sell	50	-0.1250	-0.2500	5,974.6250	5,974.8750	5,974.7500	5,974.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.625 avg_total: 5974.75 curr_cost_per_share: 0.21 curr_half_min_move: 0.5427854710204 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.629675376938 destination_price: 5974.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.5427854710204 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.0530351251033 init_vol_normal: 51.629675376938 last_aggressive_qty: 13 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: 2.066 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5974.5 total_dollar: 298737.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.629675376938 worst_opt_t_minutes: 0
2025-05-19 11:54:52	EP	SIM:ESM5	Buy	50	0.5000	0.3750	5,974.1250	5,974.8750	5,974.6250	5,974.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.125 avg_total: 5974.625 curr_cost_per_share: 0.125 curr_half_min_move: 0.54274004679118 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11080120041722 daily_vol_normal: 51.625354630835 destination_price: 5974.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54274004679118 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.05304400294641 init_vol_normal: 51.625354630835 last_aggressive_qty: 2 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.119 slip_toler: 0 slippage: 0.5 slippage_sweep: 0.375 sweep_residual: 0 sweep_to_fill: 5974.25 total_dollar: 298731.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.625354630835 worst_opt_t_minutes: 0.11080120041722
2025-05-19 11:54:15	EP	SIM:ESM5	Sell	50	0.4050	0.2300	5,976.1250	5,975.8750	5,975.7200	5,975.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5976.125 avg_total: 5975.72 curr_cost_per_share: 0.125 curr_half_min_move: 0.54292174370807 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11072705025485 daily_vol_normal: 51.642637615249 destination_price: 5975.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.54292174370807 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.10389666968755 init_vol_normal: 51.642637615249 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: 7.178 slip_toler: 0 slippage: 0.40499999999975 slippage_sweep: 0.22999999999956 sweep_residual: 0 sweep_to_fill: 5975.95 total_dollar: 298786 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.642637615249 worst_opt_t_minutes: 0.11072705025485

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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