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

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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 11:54:08	EP	SIM:ESM5	Buy	50	0.5500	0.4250	5,975.3750	5,976.1250	5,975.9250	5,975.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5975.375 avg_total: 5975.925 curr_cost_per_share: 0.15 curr_half_min_move: 0.54285360736424 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.14471328822495 daily_vol_normal: 51.636156496094 destination_price: 5976.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54285360736424 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.05302181251704 init_vol_normal: 51.636156496094 last_aggressive_qty: 5 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.152 slip_toler: 0 slippage: 0.55000000000018 slippage_sweep: 0.42500000000018 sweep_residual: 0 sweep_to_fill: 5975.5 total_dollar: 298796.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.636156496094 worst_opt_t_minutes: 0.14471328822495
2025-05-19 11:53:26	EP	SIM:ESM5	Sell	50	-0.0800	-0.2050	5,974.1250	5,974.3750	5,974.2050	5,974.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.125 avg_total: 5974.205 curr_cost_per_share: 0.18 curr_half_min_move: 0.54274004679118 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 51.625354630835 destination_price: 5974.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54274004679118 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.05304400294641 init_vol_normal: 51.625354630835 last_aggressive_qty: 26 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.077 slip_toler: 0 slippage: -0.079999999999927 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5974 total_dollar: 298710.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.625354630835 worst_opt_t_minutes: 0
2025-05-19 11:53:23	EP	SIM:ESM5	Buy	50	0.0000	-0.3050	5,974.3750	5,974.1250	5,974.3750	5,974.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.375 avg_total: 5974.375 curr_cost_per_share: 0.305 curr_half_min_move: 0.54276275890579 curr_liq_cost: 15.25 curr_opt_t_minutes: 0.073863668439485 daily_vol_normal: 51.627515003887 destination_price: 5974.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.54276275890579 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.31577634671957 init_vol_normal: 51.627515003887 last_aggressive_qty: 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: 4.438 slip_toler: 0 slippage: 0 slippage_sweep: -0.30500000000029 sweep_residual: 0 sweep_to_fill: 5974.68 total_dollar: 298718.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.627515003887 worst_opt_t_minutes: 0.073863668439485
2025-05-19 11:52:48	EP	SIM:ESM5	Sell	50	0.5350	0.2800	5,974.1250	5,974.1250	5,973.5900	5,973.8700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.125 avg_total: 5973.59 curr_cost_per_share: 0.155 curr_half_min_move: 0.54274004679118 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.0815604589304 daily_vol_normal: 51.625354630835 destination_price: 5974.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.54274004679118 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.22074792266178 init_vol_normal: 51.625354630835 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: 14.365 slip_toler: 0 slippage: 0.53499999999985 slippage_sweep: 0.27999999999975 sweep_residual: 0 sweep_to_fill: 5973.87 total_dollar: 298679.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.625354630835 worst_opt_t_minutes: 0.0815604589304
2025-05-19 11:52:34	EP	SIM:ESM5	Buy	50	-0.0700	-0.2050	5,974.1250	5,973.8750	5,974.0550	5,974.2600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5974.125 avg_total: 5974.055 curr_cost_per_share: 0.185 curr_half_min_move: 0.54274004679118 curr_liq_cost: 9.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.625354630835 destination_price: 5973.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.54274004679118 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.061870525036692 init_vol_normal: 51.625354630835 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: 1.059 slip_toler: 0 slippage: -0.069999999999709 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5974.26 total_dollar: 298702.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.625354630835 worst_opt_t_minutes: 0
2025-05-19 11:52:03	EP	SIM:ESM5	Sell	50	-0.1200	-0.2700	5,973.3750	5,973.6250	5,973.4950	5,973.2250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5973.375 avg_total: 5973.495 curr_cost_per_share: 0.24 curr_half_min_move: 0.54267191044735 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 51.61887351168 destination_price: 5973.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.54267191044735 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.076402546403539 init_vol_normal: 51.61887351168 last_aggressive_qty: 1 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: 3.107 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.26999999999953 sweep_residual: 0 sweep_to_fill: 5973.225 total_dollar: 298674.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.61887351168 worst_opt_t_minutes: 0
2025-05-19 11:51:59	EP	SIM:ESM5	Buy	50	-0.0300	-0.1550	5,973.6250	5,973.3750	5,973.5950	5,973.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5973.625 avg_total: 5973.595 curr_cost_per_share: 0.125 curr_half_min_move: 0.54269462256196 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.621033884732 destination_price: 5973.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54269462256196 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053052883018874 init_vol_normal: 51.621033884732 last_aggressive_qty: 3 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: 2.079 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.15499999999975 sweep_residual: 0 sweep_to_fill: 5973.75 total_dollar: 298679.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.621033884732 worst_opt_t_minutes: 0
2025-05-19 11:51:27	EP	SIM:ESM5	Sell	50	-0.8350	-0.9850	5,973.1250	5,973.8750	5,973.9600	5,972.9750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5973.125 avg_total: 5973.96 curr_cost_per_share: 0.125 curr_half_min_move: 0.54264919833274 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.616713138628 destination_price: 5973.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.54264919833274 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.07640894206287 init_vol_normal: 51.616713138628 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: 2.172 slip_toler: 0 slippage: -0.83500000000004 slippage_sweep: -0.98499999999967 sweep_residual: 0 sweep_to_fill: 5972.975 total_dollar: 298698 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 51.616713138628 worst_opt_t_minutes: 0
2025-05-19 11:51:25	EP	SIM:ESM5	Buy	50	0.7400	0.5750	5,972.1250	5,973.1250	5,972.8650	5,972.2900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5972.125 avg_total: 5972.865 curr_cost_per_share: 0.13 curr_half_min_move: 0.5425583498743 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.11733563108212 daily_vol_normal: 51.608071646421 destination_price: 5973.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.5425583498743 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092485784606431 init_vol_normal: 51.608071646421 last_aggressive_qty: 5 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.17 slip_toler: 0 slippage: 0.73999999999978 slippage_sweep: 0.57499999999982 sweep_residual: 0 sweep_to_fill: 5972.29 total_dollar: 298643.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.608071646421 worst_opt_t_minutes: 0.11733563108212
2025-05-19 11:50:46	EP	SIM:ESM5	Sell	50	0.6000	0.3950	5,971.6250	5,971.1250	5,971.0250	5,971.4200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5971.625 avg_total: 5971.025 curr_cost_per_share: 0.15 curr_half_min_move: 0.54251292564508 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.14489509643378 daily_vol_normal: 51.603750900318 destination_price: 5971.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.54251292564508 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.14278662954002 init_vol_normal: 51.603750900318 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: 11.216 slip_toler: 0 slippage: 0.60000000000036 slippage_sweep: 0.39500000000044 sweep_residual: 0 sweep_to_fill: 5971.42 total_dollar: 298551.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.603750900318 worst_opt_t_minutes: 0.14489509643378
2025-05-19 11:50:35	EP	SIM:ESM5	Buy	50	-0.0750	-0.3050	5,971.8750	5,971.6250	5,971.8000	5,972.1050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5971.875 avg_total: 5971.8 curr_cost_per_share: 0.175 curr_half_min_move: 0.54253563775969 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.605911273369 destination_price: 5971.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.54253563775969 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.17972112553 init_vol_normal: 51.605911273369 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.165 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.30499999999938 sweep_residual: 0 sweep_to_fill: 5972.105 total_dollar: 298590 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.605911273369 worst_opt_t_minutes: 0
2025-05-19 11:50:02	EP	SIM:ESM5	Sell	50	0.2050	-0.0700	5,970.3750	5,970.3750	5,970.1700	5,970.1000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.375 avg_total: 5970.17 curr_cost_per_share: 0.21 curr_half_min_move: 0.54239936507202 curr_liq_cost: 10.5 curr_opt_t_minutes: 0.14989952080606 daily_vol_normal: 51.592949035059 destination_price: 5970.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.54239936507202 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.25705558414871 init_vol_normal: 51.592949035059 last_aggressive_qty: 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: 10.306 slip_toler: 0 slippage: 0.20499999999993 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5970.1 total_dollar: 298508.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.592949035059 worst_opt_t_minutes: 0.14989952080606
2025-05-19 11:49:51	EP	SIM:ESM5	Buy	50	0.1300	0.0050	5,970.1250	5,970.3750	5,970.2550	5,970.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.125 avg_total: 5970.255 curr_cost_per_share: 0.125 curr_half_min_move: 0.54237665295741 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11094972436802 daily_vol_normal: 51.590788662007 destination_price: 5970.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54237665295741 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053115106010764 init_vol_normal: 51.590788662007 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.136 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: 0.0050000000001091 sweep_residual: 0 sweep_to_fill: 5970.25 total_dollar: 298512.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.590788662007 worst_opt_t_minutes: 0.11094972436802
2025-05-19 11:49:12	EP	SIM:ESM5	Sell	50	0.2200	0.0750	5,970.3750	5,970.3750	5,970.1550	5,970.2300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.375 avg_total: 5970.155 curr_cost_per_share: 0.18 curr_half_min_move: 0.54239936507202 curr_liq_cost: 9 curr_opt_t_minutes: 0.11013026018404 daily_vol_normal: 51.592949035059 destination_price: 5970.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.54239936507202 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.071465701245972 init_vol_normal: 51.592949035059 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.16 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: 0.074999999999818 sweep_residual: 0 sweep_to_fill: 5970.23 total_dollar: 298507.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.592949035059 worst_opt_t_minutes: 0.11013026018404
2025-05-19 11:49:05	EP	SIM:ESM5	Buy	50	0.0400	-0.2400	5,970.8750	5,970.3750	5,970.9150	5,971.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.875 avg_total: 5970.915 curr_cost_per_share: 0.355 curr_half_min_move: 0.54244478930125 curr_liq_cost: 17.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.597269781162 destination_price: 5970.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.54244478930125 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.26644340753656 init_vol_normal: 51.597269781162 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: 6.258 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.23999999999978 sweep_residual: 0 sweep_to_fill: 5971.155 total_dollar: 298545.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.597269781162 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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