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 11:28:56	EP	SIM:ESM5	Sell	50	-0.0400	-0.2950	5,913.6250	5,913.8750	5,913.6650	5,913.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.625 avg_total: 5913.665 curr_cost_per_share: 0.265 curr_half_min_move: 0.4014483758826 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.049781653031847 daily_vol_normal: 38.185711361162 destination_price: 5913.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.4014483758826 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.40347901354248 init_vol_normal: 38.185711361162 last_aggressive_qty: 5 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.601 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 5913.37 total_dollar: 295683.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.185711361162 worst_opt_t_minutes: 0.049781653031847
2025-06-02 11:28:46	EP	SIM:ESM5	Buy	50	-0.1150	-0.3300	5,913.8750	5,913.6250	5,913.7600	5,914.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5913.76 curr_cost_per_share: 0.205 curr_half_min_move: 0.40146534721473 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.187325671816 destination_price: 5913.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40146534721473 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28680108519648 init_vol_normal: 38.187325671816 last_aggressive_qty: 31 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.36 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5914.09 total_dollar: 295688 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0
2025-06-02 11:28:13	EP	SIM:ESM5	Sell	50	-0.1150	-0.2650	5,911.1250	5,911.6250	5,911.2400	5,910.9750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.125 avg_total: 5911.24 curr_cost_per_share: 0.395 curr_half_min_move: 0.40127866256129 curr_liq_cost: 19.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.169568254624 destination_price: 5911.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.40127866256129 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13973023306246 init_vol_normal: 38.169568254624 last_aggressive_qty: 33 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: 4.168 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.26499999999942 sweep_residual: 0 sweep_to_fill: 5910.975 total_dollar: 295562 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.169568254624 worst_opt_t_minutes: 0
2025-06-02 11:28:09	EP	SIM:ESM5	Buy	50	0.6850	0.4700	5,910.3750	5,911.3750	5,911.0600	5,910.5900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.375 avg_total: 5911.06 curr_cost_per_share: 0.175 curr_half_min_move: 0.4012277485649 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.3348196432227 daily_vol_normal: 38.164725322662 destination_price: 5911.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.4012277485649 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28714086093455 init_vol_normal: 38.164725322662 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.633 slip_toler: 0 slippage: 0.6850000000004 slippage_sweep: 0.47000000000025 sweep_residual: 0 sweep_to_fill: 5910.59 total_dollar: 295553 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.164725322662 worst_opt_t_minutes: 0.3348196432227
2025-06-02 11:27:17	EP	SIM:ESM5	Sell	50	0.2250	-0.0200	5,911.1250	5,911.1250	5,910.9000	5,910.8800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.125 avg_total: 5910.9 curr_cost_per_share: 0.205 curr_half_min_move: 0.40127866256129 curr_liq_cost: 10.25 curr_opt_t_minutes: 0.26098502419778 daily_vol_normal: 38.169568254624 destination_price: 5911.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40127866256129 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37276921064775 init_vol_normal: 38.169568254624 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.589 slip_toler: 0 slippage: 0.22500000000036 slippage_sweep: -0.019999999999527 sweep_residual: 0 sweep_to_fill: 5910.88 total_dollar: 295545 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.169568254624 worst_opt_t_minutes: 0.26098502419778
2025-06-02 11:27:00	EP	SIM:ESM5	Buy	50	-0.5500	-0.8100	5,912.1250	5,911.1250	5,911.5750	5,912.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.125 avg_total: 5911.575 curr_cost_per_share: 0.25 curr_half_min_move: 0.40134654788981 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.176025497239 destination_price: 5911.125 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40134654788981 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41966971725504 init_vol_normal: 38.176025497239 last_aggressive_qty: 15 last_tactical_qty: 28 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.245 slip_toler: 0 slippage: -0.55000000000018 slippage_sweep: -0.8100000000004 sweep_residual: 0 sweep_to_fill: 5912.385 total_dollar: 295578.75 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 38.176025497239 worst_opt_t_minutes: 0
2025-06-02 11:26:26	EP	SIM:ESM5	Sell	50	0.6200	0.3400	5,914.6250	5,912.8750	5,914.0050	5,914.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.625 avg_total: 5914.005 curr_cost_per_share: 0.15 curr_half_min_move: 0.40151626121112 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.26452552849663 daily_vol_normal: 38.192168603778 destination_price: 5912.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40151626121112 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48630617628296 init_vol_normal: 38.192168603778 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.323 slip_toler: 0 slippage: 0.61999999999989 slippage_sweep: 0.34000000000015 sweep_residual: 0 sweep_to_fill: 5914.345 total_dollar: 295700.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.192168603778 worst_opt_t_minutes: 0.26452552849663
2025-06-02 11:26:09	EP	SIM:ESM5	Buy	50	-0.1750	-0.5200	5,915.1250	5,914.6250	5,914.9500	5,915.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5914.95 curr_cost_per_share: 0.235 curr_half_min_move: 0.40155020387538 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.195397225085 destination_price: 5914.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.73817356533811 init_vol_normal: 38.195397225085 last_aggressive_qty: 8 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.393 slip_toler: 0 slippage: -0.17500000000018 slippage_sweep: -0.52000000000044 sweep_residual: 0 sweep_to_fill: 5915.47 total_dollar: 295747.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0
2025-06-02 11:25:34	EP	SIM:ESM5	Sell	50	-0.2650	-0.4800	5,914.6250	5,915.1250	5,914.8900	5,914.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.625 avg_total: 5914.89 curr_cost_per_share: 0.315 curr_half_min_move: 0.40151626121112 curr_liq_cost: 15.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.192168603778 destination_price: 5915.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40151626121112 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.286728354575 init_vol_normal: 38.192168603778 last_aggressive_qty: last_tactical_qty: 43 level_tactical_limit: mbo_max: mbo_min: model_size: 43 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.268 slip_toler: 0 slippage: -0.26500000000033 slippage_sweep: -0.48000000000047 sweep_residual: 0 sweep_to_fill: 5914.41 total_dollar: 295744.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.192168603778 worst_opt_t_minutes: 0
2025-06-02 11:25:32	EP	SIM:ESM5	Buy	50	-0.0800	-0.2950	5,915.1250	5,914.6250	5,915.0450	5,915.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5915.045 curr_cost_per_share: 0.29 curr_half_min_move: 0.40155020387538 curr_liq_cost: 14.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.195397225085 destination_price: 5914.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28667988286288 init_vol_normal: 38.195397225085 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.315 slip_toler: 0 slippage: -0.079999999999927 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 5915.34 total_dollar: 295752.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0
2025-06-02 11:24:55	EP	SIM:ESM5	Sell	50	-0.1950	-0.4550	5,916.1250	5,916.6250	5,916.3200	5,915.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.32 curr_cost_per_share: 0.215 curr_half_min_move: 0.4016180892039 curr_liq_cost: 10.75 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: 0.26 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41910241640311 init_vol_normal: 38.201854467701 last_aggressive_qty: 21 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.595 slip_toler: 0 slippage: -0.19499999999971 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 5915.865 total_dollar: 295816 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0
2025-06-02 11:24:47	EP	SIM:ESM5	Buy	50	0.1300	-0.2750	5,916.1250	5,915.8750	5,916.2550	5,916.5300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.255 curr_cost_per_share: 0.295 curr_half_min_move: 0.4016180892039 curr_liq_cost: 14.75 curr_opt_t_minutes: 0.11243431991937 daily_vol_normal: 38.201854467701 destination_price: 5915.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 1.0169123350669 init_vol_normal: 38.201854467701 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.811 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.27499999999964 sweep_residual: 0 sweep_to_fill: 5916.53 total_dollar: 295812.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0.11243431991937
2025-06-02 11:24:02	EP	SIM:ESM5	Sell	50	0.5200	0.2950	5,917.3750	5,916.6250	5,916.8550	5,917.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.375 avg_total: 5916.855 curr_cost_per_share: 0.16 curr_half_min_move: 0.40170294586456 curr_liq_cost: 8 curr_opt_t_minutes: 0.29125075926176 daily_vol_normal: 38.20992602097 destination_price: 5916.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40170294586456 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31372924401577 init_vol_normal: 38.20992602097 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.42 slip_toler: 0 slippage: 0.52000000000044 slippage_sweep: 0.29500000000007 sweep_residual: 0 sweep_to_fill: 5917.15 total_dollar: 295842.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.20992602097 worst_opt_t_minutes: 0.29125075926176
2025-06-02 11:23:43	EP	SIM:ESM5	Buy	50	0.0650	-0.1550	5,917.6250	5,917.3750	5,917.6900	5,917.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.69 curr_cost_per_share: 0.14 curr_half_min_move: 0.40171991719669 curr_liq_cost: 7 curr_opt_t_minutes: 0 daily_vol_normal: 38.211540331624 destination_price: 5917.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29991530762424 init_vol_normal: 38.211540331624 last_aggressive_qty: 2 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.383 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.15500000000065 sweep_residual: 0 sweep_to_fill: 5917.845 total_dollar: 295884.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0
2025-06-02 11:23:02	EP	SIM:ESM5	Sell	50	-0.1000	-0.2600	5,915.8750	5,916.1250	5,915.9750	5,915.7150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.875 avg_total: 5915.975 curr_cost_per_share: 0.185 curr_half_min_move: 0.40160111787177 curr_liq_cost: 9.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.200240157047 destination_price: 5916.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.40160111787177 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15872675559639 init_vol_normal: 38.200240157047 last_aggressive_qty: 27 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 41 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.167 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 5915.715 total_dollar: 295798.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.200240157047 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect