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
2025-05-19 11:42:05	EP	SIM:ESM5	Buy	50	-0.1200	-0.3150	5,968.1250	5,967.8750	5,968.0050	5,968.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.125 avg_total: 5968.005 curr_cost_per_share: 0.145 curr_half_min_move: 0.54219495604053 curr_liq_cost: 7.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.573505677593 destination_price: 5967.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.54219495604053 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.12934757069608 init_vol_normal: 51.573505677593 last_aggressive_qty: 23 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.122 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.3149999999996 sweep_residual: 0 sweep_to_fill: 5968.32 total_dollar: 298400.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.573505677593 worst_opt_t_minutes: 0
2025-05-19 11:41:31	EP	SIM:ESM5	Sell	50	0.4600	0.3350	5,968.1250	5,967.8750	5,967.6650	5,968.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.125 avg_total: 5967.665 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: 5967.875 drift: 0.125 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: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.179 slip_toler: 0 slippage: 0.46000000000004 slippage_sweep: 0.33500000000004 sweep_residual: 0 sweep_to_fill: 5968 total_dollar: 298383.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.573505677593 worst_opt_t_minutes: 0.11102409835633
2025-05-19 11:41:23	EP	SIM:ESM5	Buy	50	0.0300	-0.0950	5,968.3750	5,968.1250	5,968.4050	5,968.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.375 avg_total: 5968.405 curr_cost_per_share: 0.26 curr_half_min_move: 0.54221766815514 curr_liq_cost: 13 curr_opt_t_minutes: 0.021514455977369 daily_vol_normal: 51.575666050645 destination_price: 5968.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54221766815514 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053146258564939 init_vol_normal: 51.575666050645 last_aggressive_qty: last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.129 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5968.5 total_dollar: 298420.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.575666050645 worst_opt_t_minutes: 0.021514455977369
2025-05-19 11:40:47	EP	SIM:ESM5	Sell	50	0.2700	0.1450	5,969.3750	5,969.3750	5,969.1050	5,969.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.105 curr_cost_per_share: 0.16 curr_half_min_move: 0.54230851661358 curr_liq_cost: 8 curr_opt_t_minutes: 0.087045658624879 daily_vol_normal: 51.584307542852 destination_price: 5969.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053128453750536 init_vol_normal: 51.584307542852 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.159 slip_toler: 0 slippage: 0.27000000000044 slippage_sweep: 0.14500000000044 sweep_residual: 0 sweep_to_fill: 5969.25 total_dollar: 298455.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0.087045658624879
2025-05-19 11:40:39	EP	SIM:ESM5	Buy	50	0.1250	-0.1000	5,969.6250	5,969.6250	5,969.7500	5,969.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.625 avg_total: 5969.75 curr_cost_per_share: 0.135 curr_half_min_move: 0.54233122872819 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.061963838201397 daily_vol_normal: 51.586467915904 destination_price: 5969.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.54233122872819 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.17212177278166 init_vol_normal: 51.586467915904 last_aggressive_qty: 9 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.227 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.10000000000036 sweep_residual: 0 sweep_to_fill: 5969.85 total_dollar: 298487.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.586467915904 worst_opt_t_minutes: 0.061963838201397
2025-05-19 11:39:58	EP	SIM:ESM5	Sell	50	0.2400	0.0650	5,970.6250	5,970.1250	5,970.3850	5,970.4500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5970.385 curr_cost_per_share: 0.125 curr_half_min_move: 0.54242207718663 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11093114254807 daily_vol_normal: 51.595109408111 destination_price: 5970.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.54242207718663 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.10408817221134 init_vol_normal: 51.595109408111 last_aggressive_qty: 10 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.159 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: 0.0649999999996 sweep_residual: 0 sweep_to_fill: 5970.45 total_dollar: 298519.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0.11093114254807
2025-05-19 11:39:51	EP	SIM:ESM5	Buy	50	0.1250	-0.0600	5,970.6250	5,970.6250	5,970.7500	5,970.8100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5970.75 curr_cost_per_share: 0.125 curr_half_min_move: 0.54242207718663 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.053106210311906 daily_vol_normal: 51.595109408111 destination_price: 5970.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54242207718663 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.1163238430672 init_vol_normal: 51.595109408111 last_aggressive_qty: 16 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.155 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.0600000000004 sweep_residual: 0 sweep_to_fill: 5970.81 total_dollar: 298537.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0.053106210311906
2025-05-19 11:39:15	EP	SIM:ESM5	Sell	50	-0.0050	-0.1300	5,970.1250	5,970.3750	5,970.1300	5,970.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.125 avg_total: 5970.13 curr_cost_per_share: 0.175 curr_half_min_move: 0.54237665295741 curr_liq_cost: 8.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.590788662007 destination_price: 5970.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54237665295741 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053115106010764 init_vol_normal: 51.590788662007 last_aggressive_qty: 13 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.081 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5970 total_dollar: 298506.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.590788662007 worst_opt_t_minutes: 0
2025-05-19 11:39:11	EP	SIM:ESM5	Buy	50	0.0950	-0.2200	5,970.3750	5,970.1250	5,970.4700	5,970.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.375 avg_total: 5970.47 curr_cost_per_share: 0.295 curr_half_min_move: 0.54239936507202 curr_liq_cost: 14.75 curr_opt_t_minutes: 0.061643470805381 daily_vol_normal: 51.592949035059 destination_price: 5970.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.54239936507202 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 0.33727392181363 init_vol_normal: 51.592949035059 last_aggressive_qty: 24 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: 6.38 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.21999999999935 sweep_residual: 0 sweep_to_fill: 5970.69 total_dollar: 298523.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.592949035059 worst_opt_t_minutes: 0.061643470805381
2025-05-19 11:38:35	EP	SIM:ESM5	Sell	50	0.2100	-0.0750	5,970.3750	5,970.6250	5,970.1650	5,970.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.375 avg_total: 5970.165 curr_cost_per_share: 0.275 curr_half_min_move: 0.54239936507202 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.038480554935248 daily_vol_normal: 51.592949035059 destination_price: 5970.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.54239936507202 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.27609044393361 init_vol_normal: 51.592949035059 last_aggressive_qty: 5 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.309 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: -0.074999999999818 sweep_residual: 0 sweep_to_fill: 5970.09 total_dollar: 298508.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.592949035059 worst_opt_t_minutes: 0.038480554935248
2025-05-19 11:38:25	EP	SIM:ESM5	Buy	50	0.4400	0.2600	5,970.1250	5,970.3750	5,970.5650	5,970.3050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.125 avg_total: 5970.565 curr_cost_per_share: 0.125 curr_half_min_move: 0.54237665295741 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11094972436802 daily_vol_normal: 51.590788662007 destination_price: 5970.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.54237665295741 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.11013948382392 init_vol_normal: 51.590788662007 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.191 slip_toler: 0 slippage: 0.4399999999996 slippage_sweep: 0.25999999999931 sweep_residual: 0 sweep_to_fill: 5970.305 total_dollar: 298528.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.590788662007 worst_opt_t_minutes: 0.11094972436802
2025-05-19 11:37:46	EP	SIM:ESM5	Sell	50	0.3200	0.1400	5,969.8750	5,969.6250	5,969.5550	5,969.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.875 avg_total: 5969.555 curr_cost_per_share: 0.135 curr_half_min_move: 0.5423539408428 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.12405868970117 daily_vol_normal: 51.588628288955 destination_price: 5969.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.5423539408428 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.11014870862259 init_vol_normal: 51.588628288955 last_aggressive_qty: 2 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.17 slip_toler: 0 slippage: 0.31999999999971 slippage_sweep: 0.13999999999942 sweep_residual: 0 sweep_to_fill: 5969.695 total_dollar: 298477.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.588628288955 worst_opt_t_minutes: 0.12405868970117
2025-05-19 11:37:37	EP	SIM:ESM5	Buy	50	0.3250	0.0200	5,969.3750	5,969.8750	5,969.7000	5,969.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.7 curr_cost_per_share: 0.15 curr_half_min_move: 0.54230851661358 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.14500434586381 daily_vol_normal: 51.584307542852 destination_price: 5969.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.31630556224919 init_vol_normal: 51.584307542852 last_aggressive_qty: 10 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.411 slip_toler: 0 slippage: 0.32499999999982 slippage_sweep: 0.019999999999527 sweep_residual: 0 sweep_to_fill: 5969.68 total_dollar: 298485 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0.14500434586381
2025-05-19 11:36:52	EP	SIM:ESM5	Sell	50	-0.0500	-0.2850	5,969.3750	5,969.6250	5,969.4250	5,969.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.425 curr_cost_per_share: 0.21 curr_half_min_move: 0.54230851661358 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.584307542852 destination_price: 5969.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.1877772069359 init_vol_normal: 51.584307542852 last_aggressive_qty: last_tactical_qty: 34 level_tactical_limit: mbo_max: mbo_min: model_size: 34 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.275 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.28499999999985 sweep_residual: 0 sweep_to_fill: 5969.14 total_dollar: 298471.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0
2025-05-19 11:36:49	EP	SIM:ESM5	Buy	50	0.1250	0.0000	5,969.3750	5,969.3750	5,969.5000	5,969.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.5 curr_cost_per_share: 0.125 curr_half_min_move: 0.54230851661358 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.053128453750536 daily_vol_normal: 51.584307542852 destination_price: 5969.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053128453750536 init_vol_normal: 51.584307542852 last_aggressive_qty: 3 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.104 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5969.5 total_dollar: 298475 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0.053128453750536

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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