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 11:15:39	EP	SIM:ESM5	Sell	50	0.0600	-0.2700	5,916.6250	5,916.8750	5,916.5650	5,916.2950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.565 curr_cost_per_share: 0.24 curr_half_min_move: 0.40165203186816 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.205083089008 destination_price: 5916.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.6750375676378 init_vol_normal: 38.205083089008 last_aggressive_qty: 5 last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.271 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.26999999999953 sweep_residual: 0 sweep_to_fill: 5916.295 total_dollar: 295828.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0
2025-06-02 11:15:31	EP	SIM:ESM5	Buy	50	0.0100	-0.2000	5,916.8750	5,916.6250	5,916.8850	5,917.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.875 avg_total: 5916.885 curr_cost_per_share: 0.2 curr_half_min_move: 0.4016690032003 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 38.206697399662 destination_price: 5916.625 drift: 0.25 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: 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: 8.426 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5917.085 total_dollar: 295844.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.206697399662 worst_opt_t_minutes: 0
2025-06-02 11:14:52	EP	SIM:ESM5	Sell	50	0.9150	0.6950	5,918.1250	5,916.3750	5,917.2100	5,917.9050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.125 avg_total: 5917.21 curr_cost_per_share: 0.16 curr_half_min_move: 0.40175385986095 curr_liq_cost: 8 curr_opt_t_minutes: 0.29117694391376 daily_vol_normal: 38.214768952931 destination_price: 5916.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.40175385986095 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.29986463234477 init_vol_normal: 38.214768952931 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 20.452 slip_toler: 0 slippage: 0.91499999999996 slippage_sweep: 0.69499999999971 sweep_residual: 0 sweep_to_fill: 5917.905 total_dollar: 295860.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.214768952931 worst_opt_t_minutes: 0.29117694391376
2025-06-02 11:14:31	EP	SIM:ESM5	Buy	50	-0.2700	-0.4950	5,918.3750	5,917.8750	5,918.1050	5,918.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.375 avg_total: 5918.105 curr_cost_per_share: 0.23 curr_half_min_move: 0.40177083119308 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.216383263585 destination_price: 5917.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40177083119308 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31362323426162 init_vol_normal: 38.216383263585 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.202 slip_toler: 0 slippage: -0.27000000000044 slippage_sweep: -0.4950000000008 sweep_residual: 0 sweep_to_fill: 5918.6 total_dollar: 295905.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.216383263585 worst_opt_t_minutes: 0
2025-06-02 11:13:59	EP	SIM:ESM5	Sell	50	0.4700	0.1900	5,917.6250	5,917.6250	5,917.1550	5,917.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.155 curr_cost_per_share: 0.22 curr_half_min_move: 0.40171991719669 curr_liq_cost: 11 curr_opt_t_minutes: 0.29991530762424 daily_vol_normal: 38.211540331624 destination_price: 5917.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.48581322557314 init_vol_normal: 38.211540331624 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: 20.809 slip_toler: 0 slippage: 0.47000000000025 slippage_sweep: 0.19000000000051 sweep_residual: 0 sweep_to_fill: 5917.345 total_dollar: 295857.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0.29991530762424
2025-06-02 11:13:38	EP	SIM:ESM5	Buy	50	0.0250	-0.2200	5,917.6250	5,917.8750	5,917.6500	5,917.8700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.65 curr_cost_per_share: 0.18 curr_half_min_move: 0.40171991719669 curr_liq_cost: 9 curr_opt_t_minutes: 0.34887653062522 daily_vol_normal: 38.211540331624 destination_price: 5917.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37195075082944 init_vol_normal: 38.211540331624 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: 24.58 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5917.87 total_dollar: 295882.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0.34887653062522
2025-06-02 11:12:43	EP	SIM:ESM5	Sell	50	-0.2450	-0.4900	5,917.6250	5,918.1250	5,917.8700	5,917.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.87 curr_cost_per_share: 0.215 curr_half_min_move: 0.40171991719669 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.211540331624 destination_price: 5918.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37195075082944 init_vol_normal: 38.211540331624 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: 3.42 slip_toler: 0 slippage: -0.24499999999989 slippage_sweep: -0.48999999999978 sweep_residual: 0 sweep_to_fill: 5917.38 total_dollar: 295893.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0
2025-06-02 11:12:39	EP	SIM:ESM5	Buy	50	-0.2500	-0.4600	5,918.1250	5,917.6250	5,917.8750	5,918.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.125 avg_total: 5917.875 curr_cost_per_share: 0.185 curr_half_min_move: 0.40175385986095 curr_liq_cost: 9.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.214768952931 destination_price: 5917.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40175385986095 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27322376624803 init_vol_normal: 38.214768952931 last_aggressive_qty: 15 last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.29 slip_toler: 0 slippage: -0.25 slippage_sweep: -0.46000000000004 sweep_residual: 0 sweep_to_fill: 5918.335 total_dollar: 295893.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.214768952931 worst_opt_t_minutes: 0
2025-06-02 11:12:03	EP	SIM:ESM5	Sell	50	-0.0600	-0.3400	5,917.1250	5,917.3750	5,917.1850	5,916.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.125 avg_total: 5917.185 curr_cost_per_share: 0.24 curr_half_min_move: 0.40168597453243 curr_liq_cost: 12 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: 21 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.532 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5916.845 total_dollar: 295859.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.208311710316 worst_opt_t_minutes: 0
2025-06-02 11:11:59	EP	SIM:ESM5	Buy	50	-0.0050	-0.2050	5,916.1250	5,917.1250	5,916.1200	5,916.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.12 curr_cost_per_share: 0.175 curr_half_min_move: 0.4016180892039 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.33416912371133 daily_vol_normal: 38.201854467701 destination_price: 5917.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.2479895955048 init_vol_normal: 38.201854467701 last_aggressive_qty: 35 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.441 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5916.325 total_dollar: 295806 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0.33416912371133
2025-06-02 11:11:07	EP	SIM:ESM5	Sell	50	0.2500	0.0350	5,916.6250	5,916.8750	5,916.3750	5,916.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.375 curr_cost_per_share: 0.285 curr_half_min_move: 0.40165203186816 curr_liq_cost: 14.25 curr_opt_t_minutes: 0.090911249074549 daily_vol_normal: 38.205083089008 destination_price: 5916.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.2865345414514 init_vol_normal: 38.205083089008 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.419 slip_toler: 0 slippage: 0.25 slippage_sweep: 0.034999999999854 sweep_residual: 0 sweep_to_fill: 5916.41 total_dollar: 295818.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0.090911249074549
2025-06-02 11:10:43	EP	SIM:ESM5	Buy	50	-0.1850	-0.4450	5,917.3750	5,916.8750	5,917.1900	5,917.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.375 avg_total: 5917.19 curr_cost_per_share: 0.31 curr_half_min_move: 0.40170294586456 curr_liq_cost: 15.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.20992602097 destination_price: 5916.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40170294586456 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41892537077463 init_vol_normal: 38.20992602097 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.646 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.44500000000062 sweep_residual: 0 sweep_to_fill: 5917.635 total_dollar: 295859.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.20992602097 worst_opt_t_minutes: 0
2025-06-02 11:10:10	EP	SIM:ESM5	Sell	50	-0.1000	-0.3150	5,915.6250	5,915.8750	5,915.7250	5,915.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.725 curr_cost_per_share: 0.23 curr_half_min_move: 0.40158414653964 curr_liq_cost: 11.5 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: 0.215 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28663142344101 init_vol_normal: 38.198625846393 last_aggressive_qty: 29 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.333 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.31500000000051 sweep_residual: 0 sweep_to_fill: 5915.41 total_dollar: 295786.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0
2025-06-02 11:10:04	EP	SIM:ESM5	Buy	50	0.3050	0.1000	5,916.1250	5,916.0000	5,916.4300	5,916.3300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.43 curr_cost_per_share: 0.3 curr_half_min_move: 0.4016180892039 curr_liq_cost: 15 curr_opt_t_minutes: 0.33416912371133 daily_vol_normal: 38.201854467701 destination_price: 5916 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.26054406877723 init_vol_normal: 38.201854467701 last_aggressive_qty: 6 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 28.54 slip_toler: 0 slippage: 0.30500000000029 slippage_sweep: 0.10000000000036 sweep_residual: 0 sweep_to_fill: 5916.33 total_dollar: 295821.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0.33416912371133
2025-06-02 11:09:05	EP	SIM:ESM5	Sell	50	0.0350	-0.2050	5,915.6250	5,914.8750	5,915.5900	5,915.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.59 curr_cost_per_share: 0.155 curr_half_min_move: 0.40158414653964 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.27777483219542 daily_vol_normal: 38.198625846393 destination_price: 5914.875 drift: 0.125 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: 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: 17.423 slip_toler: 0 slippage: 0.034999999999854 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5915.385 total_dollar: 295779.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0.27777483219542

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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