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 11:48:28	EP	SIM:ESM5	Sell	50	0.4850	0.2000	5,970.6250	5,969.8750	5,970.1400	5,970.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5970.14 curr_cost_per_share: 0.18 curr_half_min_move: 0.54242207718663 curr_liq_cost: 9 curr_opt_t_minutes: 0.19135674232596 daily_vol_normal: 51.595109408111 destination_price: 5969.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.54242207718663 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.27606732368541 init_vol_normal: 51.595109408111 last_aggressive_qty: 2 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.25 slip_toler: 0 slippage: 0.48499999999967 slippage_sweep: 0.19999999999982 sweep_residual: 0 sweep_to_fill: 5970.34 total_dollar: 298507 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0.19135674232596
2025-05-19 11:48:13	EP	SIM:ESM5	Buy	50	0.4450	0.1600	5,970.6250	5,970.6250	5,971.0700	5,970.9100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5971.07 curr_cost_per_share: 0.235 curr_half_min_move: 0.54242207718663 curr_liq_cost: 11.75 curr_opt_t_minutes: 0.1876985897264 daily_vol_normal: 51.595109408111 destination_price: 5970.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.54242207718663 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.27606732368541 init_vol_normal: 51.595109408111 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: 14.393 slip_toler: 0 slippage: 0.44499999999971 slippage_sweep: 0.15999999999985 sweep_residual: 0 sweep_to_fill: 5970.91 total_dollar: 298553.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0.1876985897264
2025-05-19 11:47:28	EP	SIM:ESM5	Sell	50	0.1550	-0.1200	5,969.1250	5,968.6250	5,968.9700	5,968.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5968.97 curr_cost_per_share: 0.19 curr_half_min_move: 0.54228580449897 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.20829037945425 daily_vol_normal: 51.5821471698 destination_price: 5968.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.54228580449897 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.25716325591772 init_vol_normal: 51.5821471698 last_aggressive_qty: 4 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.386 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.11999999999989 sweep_residual: 0 sweep_to_fill: 5968.85 total_dollar: 298448.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0.20829037945425
2025-05-19 11:47:13	EP	SIM:ESM5	Buy	50	0.1150	-0.1750	5,969.1250	5,969.1250	5,969.2400	5,969.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5969.24 curr_cost_per_share: 0.17 curr_half_min_move: 0.54228580449897 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.098274619451532 daily_vol_normal: 51.5821471698 destination_price: 5969.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.54228580449897 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.28598254310982 init_vol_normal: 51.5821471698 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: 7.323 slip_toler: 0 slippage: 0.11499999999978 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 5969.415 total_dollar: 298462 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0.098274619451532
2025-05-19 11:46:35	EP	SIM:ESM5	Sell	50	0.0850	-0.1900	5,968.8750	5,968.8750	5,968.7900	5,968.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.875 avg_total: 5968.79 curr_cost_per_share: 0.26 curr_half_min_move: 0.54226309238436 curr_liq_cost: 13 curr_opt_t_minutes: 0.22989345284131 daily_vol_normal: 51.579986796748 destination_price: 5968.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.54226309238436 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.25718479838941 init_vol_normal: 51.579986796748 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.336 slip_toler: 0 slippage: 0.085000000000036 slippage_sweep: -0.1899999999996 sweep_residual: 0 sweep_to_fill: 5968.6 total_dollar: 298439.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.579986796748 worst_opt_t_minutes: 0.22989345284131
2025-05-19 11:46:21	EP	SIM:ESM5	Buy	50	0.1350	-0.0450	5,968.8750	5,968.8750	5,969.0100	5,969.0550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.875 avg_total: 5969.01 curr_cost_per_share: 0.175 curr_half_min_move: 0.54226309238436 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.1041492158767 daily_vol_normal: 51.579986796748 destination_price: 5968.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.54226309238436 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.11018561940915 init_vol_normal: 51.579986796748 last_aggressive_qty: 9 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.388 slip_toler: 0 slippage: 0.13500000000022 slippage_sweep: -0.045000000000073 sweep_residual: 0 sweep_to_fill: 5969.055 total_dollar: 298450.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.579986796748 worst_opt_t_minutes: 0.1041492158767
2025-05-19 11:45:42	EP	SIM:ESM5	Sell	50	0.2300	0.1050	5,969.1250	5,969.1250	5,968.8950	5,969.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5968.895 curr_cost_per_share: 0.255 curr_half_min_move: 0.54228580449897 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.22111789376595 daily_vol_normal: 51.5821471698 destination_price: 5969.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54228580449897 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053132904115231 init_vol_normal: 51.5821471698 last_aggressive_qty: last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.146 slip_toler: 0 slippage: 0.22999999999956 slippage_sweep: 0.10499999999956 sweep_residual: 0 sweep_to_fill: 5969 total_dollar: 298444.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0.22111789376595
2025-05-19 11:45:28	EP	SIM:ESM5	Buy	50	0.0400	-0.2550	5,969.3750	5,969.2500	5,969.4150	5,969.6700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.415 curr_cost_per_share: 0.3 curr_half_min_move: 0.54230851661358 curr_liq_cost: 15 curr_opt_t_minutes: 0.18327363824441 daily_vol_normal: 51.584307542852 destination_price: 5969.25 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.29590423600899 init_vol_normal: 51.584307542852 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.381 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.25500000000011 sweep_residual: 0 sweep_to_fill: 5969.67 total_dollar: 298470.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0.18327363824441
2025-05-19 11:44:45	EP	SIM:ESM5	Sell	50	0.2950	0.0150	5,969.1250	5,968.8750	5,968.8300	5,968.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5968.83 curr_cost_per_share: 0.185 curr_half_min_move: 0.54228580449897 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.19978671931362 daily_vol_normal: 51.5821471698 destination_price: 5968.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.54228580449897 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.26659965968858 init_vol_normal: 51.5821471698 last_aggressive_qty: 2 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.399 slip_toler: 0 slippage: 0.29500000000007 slippage_sweep: 0.015000000000327 sweep_residual: 0 sweep_to_fill: 5968.845 total_dollar: 298441.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0.19978671931362
2025-05-19 11:44:33	EP	SIM:ESM5	Buy	50	1.0600	0.8050	5,968.1250	5,968.8750	5,969.1850	5,968.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.125 avg_total: 5969.185 curr_cost_per_share: 0.125 curr_half_min_move: 0.54219495604053 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11102409835633 daily_vol_normal: 51.573505677593 destination_price: 5968.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.54219495604053 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.22119199959271 init_vol_normal: 51.573505677593 last_aggressive_qty: 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: 15.363 slip_toler: 0 slippage: 1.0600000000004 slippage_sweep: 0.80500000000029 sweep_residual: 0 sweep_to_fill: 5968.38 total_dollar: 298459.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.573505677593 worst_opt_t_minutes: 0.11102409835633
2025-05-19 11:43:47	EP	SIM:ESM5	Sell	50	0.0300	-0.1550	5,968.1250	5,968.1250	5,968.0950	5,967.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.125 avg_total: 5968.095 curr_cost_per_share: 0.18 curr_half_min_move: 0.54219495604053 curr_liq_cost: 9 curr_opt_t_minutes: 0.11021331467595 daily_vol_normal: 51.573505677593 destination_price: 5968.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54219495604053 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.11642131774026 init_vol_normal: 51.573505677593 last_aggressive_qty: 3 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.187 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.15500000000065 sweep_residual: 0 sweep_to_fill: 5967.94 total_dollar: 298404.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.573505677593 worst_opt_t_minutes: 0.11021331467595
2025-05-19 11:43:36	EP	SIM:ESM5	Buy	50	0.3700	0.1800	5,967.8750	5,968.1250	5,968.2450	5,968.0650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.875 avg_total: 5968.245 curr_cost_per_share: 0.155 curr_half_min_move: 0.54217224392592 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.15239525760906 daily_vol_normal: 51.571345304542 destination_price: 5968.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.54217224392592 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.12280969166503 init_vol_normal: 51.571345304542 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.303 slip_toler: 0 slippage: 0.36999999999989 slippage_sweep: 0.18000000000029 sweep_residual: 0 sweep_to_fill: 5968.065 total_dollar: 298412.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.571345304542 worst_opt_t_minutes: 0.15239525760906
2025-05-19 11:42:55	EP	SIM:ESM5	Sell	50	0.1250	0.0000	5,968.1250	5,968.1250	5,968.0000	5,968.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.125 avg_total: 5968 curr_cost_per_share: 0.145 curr_half_min_move: 0.54219495604053 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.071519596946354 daily_vol_normal: 51.573505677593 destination_price: 5968.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54219495604053 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053150711167029 init_vol_normal: 51.573505677593 last_aggressive_qty: 24 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 26 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.114 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5968 total_dollar: 298400 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.573505677593 worst_opt_t_minutes: 0.071519596946354
2025-05-19 11:42:48	EP	SIM:ESM5	Buy	50	0.1700	-0.1750	5,968.1250	5,968.1250	5,968.2950	5,968.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.125 avg_total: 5968.295 curr_cost_per_share: 0.195 curr_half_min_move: 0.54219495604053 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.12934757069608 daily_vol_normal: 51.573505677593 destination_price: 5968.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.54219495604053 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.40488085738596 init_vol_normal: 51.573505677593 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.261 slip_toler: 0 slippage: 0.17000000000007 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 5968.47 total_dollar: 298414.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.573505677593 worst_opt_t_minutes: 0.12934757069608
2025-05-19 11:42:08	EP	SIM:ESM5	Sell	50	-0.0200	-0.2500	5,967.8750	5,968.1250	5,967.8950	5,967.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.875 avg_total: 5967.895 curr_cost_per_share: 0.25 curr_half_min_move: 0.54217224392592 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.571345304542 destination_price: 5968.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.54217224392592 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.17996212435125 init_vol_normal: 51.571345304542 last_aggressive_qty: 10 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.177 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5967.645 total_dollar: 298394.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.571345304542 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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