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
2025-04-17 14:19:10	EP	SIM:ESM5	Buy	50	1.1200	0.6600	5,320.3750	5,321.6250	5,321.4950	5,320.8350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5320.375 avg_total: 5321.495 curr_cost_per_share: 0.55 curr_half_min_move: 0.85119053717638 curr_liq_cost: 27.5 curr_opt_t_minutes: 0 daily_vol_normal: 80.965120594922 destination_price: 5321.625 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.46 init_drift: 0 init_half_min_move: 0.8509825622957 init_liq_cost: 23 init_min_duration: 0 init_opt_t_minutes: 0.29219605052987 init_vol_normal: 80.945338054398 last_aggressive_qty: 18 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.329 slip_toler: 0 slippage: 1.1199999999999 slippage_sweep: 0.65999999999985 sweep_residual: 0 sweep_to_fill: 5320.835 total_dollar: 266074.75 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 64.762281137195 worst_opt_t_minutes: 0
2025-04-17 14:15:57	EP	SIM:ESM5	Buy	50	0.8050	0.3700	5,319.8750	5,320.6250	5,320.6800	5,320.3100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5319.875 avg_total: 5320.68 curr_cost_per_share: 0.445 curr_half_min_move: 0.84735345606554 curr_liq_cost: 22.25 curr_opt_t_minutes: 0 daily_vol_normal: 80.600137995489 destination_price: 5320.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.847170020886 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 0.26365581620549 init_vol_normal: 80.582689667782 last_aggressive_qty: 9 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.259 slip_toler: 0 slippage: 0.80500000000029 slippage_sweep: 0.36999999999989 sweep_residual: 0 sweep_to_fill: 5320.31 total_dollar: 266034 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.756194885649 worst_opt_t_minutes: 0
2025-04-17 14:02:17	EP	SIM:ESM5	Sell	50	1.1850	0.7050	5,331.6250	5,330.6250	5,330.4400	5,331.1450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.625 avg_total: 5330.44 curr_cost_per_share: 0.525 curr_half_min_move: 0.82836856738582 curr_liq_cost: 26.25 curr_opt_t_minutes: 0 daily_vol_normal: 78.794298134377 destination_price: 5330.625 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.48 init_drift: 0 init_half_min_move: 0.82778036184868 init_liq_cost: 24 init_min_duration: 0 init_opt_t_minutes: 0.33624221402375 init_vol_normal: 78.73834810889 last_aggressive_qty: 3 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.381 slip_toler: 0 slippage: 1.1850000000004 slippage_sweep: 0.70500000000084 sweep_residual: 0 sweep_to_fill: 5331.145 total_dollar: 266522 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 64.899221796978 worst_opt_t_minutes: 0
2025-04-17 14:01:59	EP	SIM:ESM5	Buy	50	-0.0850	-0.6300	5,329.1250	5,330.2500	5,329.0400	5,329.6700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5329.125 avg_total: 5329.04 curr_cost_per_share: 0.535 curr_half_min_move: 0.82711160341891 curr_liq_cost: 26.75 curr_opt_t_minutes: 0 daily_vol_normal: 78.674735903924 destination_price: 5330.25 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.82699675233289 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 0.43429556704788 init_vol_normal: 78.663811285259 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.512 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.63000000000011 sweep_residual: 0 sweep_to_fill: 5329.67 total_dollar: 266452 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 64.868790539249 worst_opt_t_minutes: 0
2025-04-17 13:55:56	EP	SIM:ESM5	Sell	50	-0.5100	-1.1150	5,340.1250	5,341.0000	5,340.6350	5,339.5200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5340.125 avg_total: 5340.635 curr_cost_per_share: 0.62 curr_half_min_move: 0.81743856383566 curr_liq_cost: 31 curr_opt_t_minutes: 0 daily_vol_normal: 77.754637779977 destination_price: 5341 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.605 init_drift: 0 init_half_min_move: 0.81720301020957 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 0.54808868184519 init_vol_normal: 77.732231953186 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.618 slip_toler: 0 slippage: -0.51000000000022 slippage_sweep: -1.1149999999998 sweep_residual: 0 sweep_to_fill: 5339.52 total_dollar: 267031.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 65.002688073259 worst_opt_t_minutes: 0
2025-04-17 13:48:16	EP	SIM:ESM5	Buy	50	0.9900	0.2600	5,343.8750	5,346.0000	5,344.8650	5,344.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343.875 avg_total: 5344.865 curr_cost_per_share: 0.545 curr_half_min_move: 0.80033449606425 curr_liq_cost: 27.25 curr_opt_t_minutes: 0 daily_vol_normal: 76.127701331213 destination_price: 5346 drift: 2.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.73 init_drift: 0 init_half_min_move: 0.80015538469125 init_liq_cost: 36.5 init_min_duration: 0 init_opt_t_minutes: 0.83233288912728 init_vol_normal: 76.110664283359 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.478 slip_toler: 0 slippage: 0.98999999999978 slippage_sweep: 0.26000000000022 sweep_residual: 0 sweep_to_fill: 5344.605 total_dollar: 267243.25 total_drift: 2.125 total_filled: 50 total_sent: 50 total_vol: 65.048334959853 worst_opt_t_minutes: 0
2025-04-17 13:47:22	EP	SIM:ESM5	Sell	50	0.6250	-0.0700	5,350.8750	5,351.6250	5,350.2500	5,350.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.875 avg_total: 5350.25 curr_cost_per_share: 0.625 curr_half_min_move: 0.79812784511464 curr_liq_cost: 31.25 curr_opt_t_minutes: 0 daily_vol_normal: 75.917805012536 destination_price: 5351.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.695 init_drift: 0 init_half_min_move: 0.79679456524199 init_liq_cost: 34.75 init_min_duration: 0 init_opt_t_minutes: 0.76081117459622 init_vol_normal: 75.790983624185 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.365 slip_toler: 0 slippage: 0.625 slippage_sweep: -0.069999999999709 sweep_residual: 0 sweep_to_fill: 5350.18 total_dollar: 267512.5 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 65.133542481496 worst_opt_t_minutes: 0
2025-04-17 13:46:59	EP	SIM:ESM5	Buy	50	1.5200	0.9050	5,348.1250	5,349.7500	5,349.6450	5,348.7400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.125 avg_total: 5349.645 curr_cost_per_share: 0.525 curr_half_min_move: 0.79523762568305 curr_liq_cost: 26.25 curr_opt_t_minutes: 0 daily_vol_normal: 75.642887758873 destination_price: 5349.75 drift: 1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.615 init_drift: 0 init_half_min_move: 0.79471288606496 init_liq_cost: 30.75 init_min_duration: 0 init_opt_t_minutes: 0.59886608865741 init_vol_normal: 75.592974602413 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.347 slip_toler: 0 slippage: 1.5200000000004 slippage_sweep: 0.90500000000065 sweep_residual: 0 sweep_to_fill: 5348.74 total_dollar: 267482.25 total_drift: 1.625 total_filled: 50 total_sent: 50 total_vol: 65.100068097994 worst_opt_t_minutes: 0
2025-04-17 13:42:10	EP	SIM:ESM5	Buy	50	-0.3800	-0.9300	5,351.1250	5,350.2500	5,350.7450	5,351.6750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.125 avg_total: 5350.745 curr_cost_per_share: 0.56 curr_half_min_move: 0.78369925576236 curr_liq_cost: 28 curr_opt_t_minutes: 0 daily_vol_normal: 74.545359683435 destination_price: 5350.25 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.55 init_drift: 0 init_half_min_move: 0.78363093999276 init_liq_cost: 27.5 init_min_duration: 0 init_opt_t_minutes: 0.4926088719654 init_vol_normal: 74.538861497327 last_aggressive_qty: 8 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.506 slip_toler: 0 slippage: -0.38000000000011 slippage_sweep: -0.93000000000029 sweep_residual: 0 sweep_to_fill: 5351.675 total_dollar: 267537.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 65.136585607269 worst_opt_t_minutes: 0
2025-04-17 13:37:39	EP	SIM:ESM5	Sell	50	0.6850	0.2500	5,352.1250	5,351.6250	5,351.4400	5,351.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.125 avg_total: 5351.44 curr_cost_per_share: 0.555 curr_half_min_move: 0.77972160018898 curr_liq_cost: 27.75 curr_opt_t_minutes: 0.079928445623434 daily_vol_normal: 74.167005661489 destination_price: 5351.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.435 init_drift: 0 init_half_min_move: 0.77958315476994 init_liq_cost: 21.75 init_min_duration: 0 init_opt_t_minutes: 0.31135340621888 init_vol_normal: 74.153836753284 last_aggressive_qty: 5 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.37 slip_toler: 0 slippage: 0.6850000000004 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5351.69 total_dollar: 267572 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.148758110361 worst_opt_t_minutes: 0.10358826894029
2025-04-17 13:35:00	EP	SIM:ESM5	Sell	50	-0.2200	-0.6200	5,349.1250	5,349.8750	5,349.3450	5,348.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.125 avg_total: 5349.345 curr_cost_per_share: 0.365 curr_half_min_move: 0.77572700662463 curr_liq_cost: 18.25 curr_opt_t_minutes: 0 daily_vol_normal: 73.787040500295 destination_price: 5349.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.77549546896675 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 0.26604889121413 init_vol_normal: 73.765016671817 last_aggressive_qty: 6 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.277 slip_toler: 0 slippage: -0.22000000000025 slippage_sweep: -0.61999999999989 sweep_residual: 0 sweep_to_fill: 5348.725 total_dollar: 267467.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 65.112240601086 worst_opt_t_minutes: 0
2025-04-17 13:34:50	EP	SIM:ESM5	Buy	50	-0.1200	-0.6450	5,349.6250	5,349.2500	5,349.5050	5,350.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5349.625 avg_total: 5349.505 curr_cost_per_share: 0.43 curr_half_min_move: 0.77547219123751 curr_liq_cost: 21.5 curr_opt_t_minutes: 0.057000976923095 daily_vol_normal: 73.762802497583 destination_price: 5349.25 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.525 init_drift: 0 init_half_min_move: 0.77544323991802 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 0.45837252528048 init_vol_normal: 73.760048652268 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.292 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.64499999999953 sweep_residual: 0 sweep_to_fill: 5350.15 total_dollar: 267475.25 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 65.118326852631 worst_opt_t_minutes: 0.073139274784915
2025-04-17 13:34:06	EP	SIM:ESM5	Buy	50	-0.7600	-1.1600	5,355.1250	5,354.3750	5,354.3650	5,355.5250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5355.125 avg_total: 5354.365 curr_cost_per_share: 0.44 curr_half_min_move: 0.7756354858179 curr_liq_cost: 22 curr_opt_t_minutes: 0 daily_vol_normal: 73.778335054415 destination_price: 5354.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.77558204373539 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 0.265989498824 init_vol_normal: 73.773251651268 last_aggressive_qty: 7 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.341 slip_toler: 0 slippage: -0.76000000000022 slippage_sweep: -1.1599999999999 sweep_residual: 0 sweep_to_fill: 5355.525 total_dollar: 267718.25 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.185275619636 worst_opt_t_minutes: 0
2025-04-17 13:29:14	EP	SIM:ESM5	Buy	50	-0.5000	-0.9900	5,350.6250	5,349.6250	5,350.1250	5,351.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5350.625 avg_total: 5350.125 curr_cost_per_share: 0.45 curr_half_min_move: 0.76963438866502 curr_liq_cost: 22.5 curr_opt_t_minutes: 0 daily_vol_normal: 73.207511562537 destination_price: 5349.625 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.76955475591417 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 0.40542741006623 init_vol_normal: 73.199936906812 last_aggressive_qty: 12 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.352 slip_toler: 0 slippage: -0.5 slippage_sweep: -0.98999999999978 sweep_residual: 0 sweep_to_fill: 5351.115 total_dollar: 267506.25 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 65.130499355723 worst_opt_t_minutes: 0
2025-04-17 13:23:15	EP	SIM:ESM5	Buy	50	0.4150	-0.0900	5,356.6250	5,357.3750	5,357.0400	5,357.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5356.625 avg_total: 5357.04 curr_cost_per_share: 0.37 curr_half_min_move: 0.76329014825496 curr_liq_cost: 18.5 curr_opt_t_minutes: 0 daily_vol_normal: 72.604048333743 destination_price: 5357.375 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.76323809695697 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 0.43778681360776 init_vol_normal: 72.599097221818 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.468 slip_toler: 0 slippage: 0.41499999999996 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 5357.13 total_dollar: 267852 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.203534374274 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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