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
2025-06-02 11:22:58	EP	SIM:ESM5	Buy	50	0.0700	-0.0700	5,916.1250	5,915.8750	5,916.1950	5,916.2650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.195 curr_cost_per_share: 0.255 curr_half_min_move: 0.4016180892039 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.027701296942688 daily_vol_normal: 38.201854467701 destination_price: 5915.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.14 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 7 init_min_duration: 0 init_opt_t_minutes: 0.12151490179735 init_vol_normal: 38.201854467701 last_aggressive_qty: 6 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.217 slip_toler: 0 slippage: 0.069999999999709 slippage_sweep: -0.070000000000618 sweep_residual: 0 sweep_to_fill: 5916.265 total_dollar: 295809.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0.027701296942688
2025-06-02 11:22:19	EP	SIM:ESM5	Sell	50	-0.0250	-0.3200	5,916.3750	5,916.8750	5,916.4000	5,916.0800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5916.4 curr_cost_per_share: 0.345 curr_half_min_move: 0.40163506053603 curr_liq_cost: 17.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.203468778355 destination_price: 5916.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.53948676815151 init_vol_normal: 38.203468778355 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.322 slip_toler: 0 slippage: -0.024999999999636 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5916.08 total_dollar: 295820 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0
2025-06-02 11:22:07	EP	SIM:ESM5	Buy	50	0.2700	0.0450	5,916.3750	5,916.3750	5,916.6450	5,916.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5916.645 curr_cost_per_share: 0.15 curr_half_min_move: 0.40163506053603 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.13948235890157 daily_vol_normal: 38.203468778355 destination_price: 5916.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31383530752853 init_vol_normal: 38.203468778355 last_aggressive_qty: 1 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.405 slip_toler: 0 slippage: 0.27000000000044 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 5916.6 total_dollar: 295832.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0.13948235890157
2025-06-02 11:21:21	EP	SIM:ESM5	Sell	50	0.0800	-0.2000	5,917.1250	5,917.3750	5,917.0450	5,916.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.125 avg_total: 5917.045 curr_cost_per_share: 0.165 curr_half_min_move: 0.40168597453243 curr_liq_cost: 8.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.208311710316 destination_price: 5917.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40168597453243 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48589533195949 init_vol_normal: 38.208311710316 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: 9.654 slip_toler: 0 slippage: 0.079999999999927 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5916.845 total_dollar: 295852.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.208311710316 worst_opt_t_minutes: 0
2025-06-02 11:21:11	EP	SIM:ESM5	Buy	50	0.1300	-0.1100	5,917.3750	5,917.1250	5,917.5050	5,917.6150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.375 avg_total: 5917.505 curr_cost_per_share: 0.18 curr_half_min_move: 0.40170294586456 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 38.20992602097 destination_price: 5917.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40170294586456 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35695416208016 init_vol_normal: 38.20992602097 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.515 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 5917.615 total_dollar: 295875.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.20992602097 worst_opt_t_minutes: 0
2025-06-02 11:20:28	EP	SIM:ESM5	Sell	50	0.5950	0.4100	5,916.6250	5,915.6250	5,916.0300	5,916.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.03 curr_cost_per_share: 0.2 curr_half_min_move: 0.40165203186816 curr_liq_cost: 10 curr_opt_t_minutes: 0.41161824692129 daily_vol_normal: 38.205083089008 destination_price: 5915.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21215023647753 init_vol_normal: 38.205083089008 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 25.389 slip_toler: 0 slippage: 0.59500000000025 slippage_sweep: 0.40999999999985 sweep_residual: 0 sweep_to_fill: 5916.44 total_dollar: 295801.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0.41161824692129
2025-06-02 11:20:02	EP	SIM:ESM5	Buy	50	0.6050	0.4050	5,916.3750	5,916.8750	5,916.9800	5,916.5750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5916.98 curr_cost_per_share: 0.13 curr_half_min_move: 0.40163506053603 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.21412115730199 daily_vol_normal: 38.203468778355 destination_price: 5916.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24796863804723 init_vol_normal: 38.203468778355 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.564 slip_toler: 0 slippage: 0.60499999999956 slippage_sweep: 0.40499999999975 sweep_residual: 0 sweep_to_fill: 5916.575 total_dollar: 295849 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0.21412115730199
2025-06-02 11:19:07	EP	SIM:ESM5	Sell	50	-0.1850	-0.4000	5,916.1250	5,916.6250	5,916.3100	5,915.9100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.31 curr_cost_per_share: 0.255 curr_half_min_move: 0.4016180892039 curr_liq_cost: 12.75 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: 0.215 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28658297630523 init_vol_normal: 38.201854467701 last_aggressive_qty: 27 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.262 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.40000000000055 sweep_residual: 0 sweep_to_fill: 5915.91 total_dollar: 295815.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0
2025-06-02 11:19:04	EP	SIM:ESM5	Buy	50	-0.1100	-0.3200	5,916.8750	5,916.3750	5,916.7650	5,917.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.875 avg_total: 5916.765 curr_cost_per_share: 0.275 curr_half_min_move: 0.4016690032003 curr_liq_cost: 13.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.206697399662 destination_price: 5916.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.4016690032003 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27333922103915 init_vol_normal: 38.206697399662 last_aggressive_qty: 15 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.289 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5917.085 total_dollar: 295838.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.206697399662 worst_opt_t_minutes: 0
2025-06-02 11:18:29	EP	SIM:ESM5	Sell	50	-0.1700	-0.4150	5,914.8750	5,915.1250	5,915.0450	5,914.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5915.045 curr_cost_per_share: 0.175 curr_half_min_move: 0.40153323254325 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.193782914432 destination_price: 5915.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37229669299888 init_vol_normal: 38.193782914432 last_aggressive_qty: 6 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.351 slip_toler: 0 slippage: -0.17000000000007 slippage_sweep: -0.41499999999996 sweep_residual: 0 sweep_to_fill: 5914.63 total_dollar: 295752.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 worst_opt_t_minutes: 0
2025-06-02 11:18:23	EP	SIM:ESM5	Buy	50	0.7450	0.4050	5,914.1250	5,914.8750	5,914.8700	5,914.4650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.125 avg_total: 5914.87 curr_cost_per_share: 0.125 curr_half_min_move: 0.40148231854686 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20248616449131 daily_vol_normal: 38.18893998247 destination_price: 5914.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.40148231854686 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.71717474397022 init_vol_normal: 38.18893998247 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 29.692 slip_toler: 0 slippage: 0.74499999999989 slippage_sweep: 0.40499999999975 sweep_residual: 0 sweep_to_fill: 5914.465 total_dollar: 295743.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.18893998247 worst_opt_t_minutes: 0.20248616449131
2025-06-02 11:17:23	EP	SIM:ESM5	Sell	50	-0.2550	-0.4950	5,915.6250	5,915.8750	5,915.8800	5,915.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.88 curr_cost_per_share: 0.235 curr_half_min_move: 0.40158414653964 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.198625846393 destination_price: 5915.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35716538648355 init_vol_normal: 38.198625846393 last_aggressive_qty: 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: 5.599 slip_toler: 0 slippage: -0.25500000000011 slippage_sweep: -0.49499999999989 sweep_residual: 0 sweep_to_fill: 5915.385 total_dollar: 295794 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0
2025-06-02 11:17:17	EP	SIM:ESM5	Buy	50	-0.3700	-0.5050	5,915.8750	5,915.3750	5,915.5050	5,916.0100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.875 avg_total: 5915.505 curr_cost_per_share: 0.33 curr_half_min_move: 0.40160111787177 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.200240157047 destination_price: 5915.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40160111787177 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11299980940407 init_vol_normal: 38.200240157047 last_aggressive_qty: 30 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: 2.091 slip_toler: 0 slippage: -0.36999999999989 slippage_sweep: -0.50500000000011 sweep_residual: 0 sweep_to_fill: 5916.01 total_dollar: 295775.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.200240157047 worst_opt_t_minutes: 0
2025-06-02 11:16:45	EP	SIM:ESM5	Sell	50	0.9650	0.6200	5,915.8750	5,914.3750	5,914.9100	5,915.5300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.875 avg_total: 5914.91 curr_cost_per_share: 0.195 curr_half_min_move: 0.40160111787177 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.39559807210072 daily_vol_normal: 38.200240157047 destination_price: 5914.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.40160111787177 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.73798640956485 init_vol_normal: 38.200240157047 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 17 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 30.602 slip_toler: 0 slippage: 0.96500000000015 slippage_sweep: 0.61999999999989 sweep_residual: 0 sweep_to_fill: 5915.53 total_dollar: 295745.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.200240157047 worst_opt_t_minutes: 0.39559807210072
2025-06-02 11:16:14	EP	SIM:ESM5	Buy	50	-0.1550	-0.4150	5,916.6250	5,915.8750	5,916.4700	5,916.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.47 curr_cost_per_share: 0.27 curr_half_min_move: 0.40165203186816 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.205083089008 destination_price: 5915.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41903158468609 init_vol_normal: 38.205083089008 last_aggressive_qty: 25 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.456 slip_toler: 0 slippage: -0.15499999999975 slippage_sweep: -0.41499999999996 sweep_residual: 0 sweep_to_fill: 5916.885 total_dollar: 295823.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 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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