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 11:36:13	EP	SIM:ESM5	Sell	50	-0.0350	-0.2500	5,969.3750	5,969.6250	5,969.4100	5,969.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.41 curr_cost_per_share: 0.175 curr_half_min_move: 0.54230851661358 curr_liq_cost: 8.75 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: 0.215 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.15717521757559 init_vol_normal: 51.584307542852 last_aggressive_qty: 10 last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 28 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.12 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5969.16 total_dollar: 298470.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0
2025-05-19 11:36:09	EP	SIM:ESM5	Buy	50	0.2900	-0.0350	5,968.8750	5,969.3750	5,969.1650	5,969.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.875 avg_total: 5969.165 curr_cost_per_share: 0.145 curr_half_min_move: 0.54226309238436 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.13788282062808 daily_vol_normal: 51.579986796748 destination_price: 5969.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.54226309238436 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 0.35920852006455 init_vol_normal: 51.579986796748 last_aggressive_qty: last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.152 slip_toler: 0 slippage: 0.28999999999996 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 5969.2 total_dollar: 298458.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.579986796748 worst_opt_t_minutes: 0.13788282062808
2025-05-19 11:35:30	EP	SIM:ESM5	Sell	50	0.0950	-0.0950	5,969.6250	5,969.8750	5,969.5300	5,969.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.625 avg_total: 5969.53 curr_cost_per_share: 0.22 curr_half_min_move: 0.54233122872819 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 51.586467915904 destination_price: 5969.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.54233122872819 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.12273769871443 init_vol_normal: 51.586467915904 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.163 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.094999999999345 sweep_residual: 0 sweep_to_fill: 5969.435 total_dollar: 298476.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.586467915904 worst_opt_t_minutes: 0
2025-05-19 11:35:24	EP	SIM:ESM5	Buy	50	0.5700	0.3550	5,968.8750	5,969.6250	5,969.4450	5,969.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.875 avg_total: 5969.445 curr_cost_per_share: 0.125 curr_half_min_move: 0.54226309238436 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11099619934944 daily_vol_normal: 51.579986796748 destination_price: 5969.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.54226309238436 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.15720155114777 init_vol_normal: 51.579986796748 last_aggressive_qty: 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: 8.356 slip_toler: 0 slippage: 0.56999999999971 slippage_sweep: 0.35499999999956 sweep_residual: 0 sweep_to_fill: 5969.09 total_dollar: 298472.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.579986796748 worst_opt_t_minutes: 0.11099619934944
2025-05-19 11:34:46	EP	SIM:ESM5	Sell	50	0.2500	-0.0850	5,968.3750	5,968.3750	5,968.1250	5,968.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.375 avg_total: 5968.125 curr_cost_per_share: 0.165 curr_half_min_move: 0.54221766815514 curr_liq_cost: 8.25 curr_opt_t_minutes: 0.09260204092355 daily_vol_normal: 51.575666050645 destination_price: 5968.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.54221766815514 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.38171768751682 init_vol_normal: 51.575666050645 last_aggressive_qty: 11 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.421 slip_toler: 0 slippage: 0.25 slippage_sweep: -0.085000000000036 sweep_residual: 0 sweep_to_fill: 5968.04 total_dollar: 298406.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.575666050645 worst_opt_t_minutes: 0.09260204092355
2025-05-19 11:34:40	EP	SIM:ESM5	Buy	50	-0.0950	-0.3350	5,968.3750	5,968.1250	5,968.2800	5,968.6150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.375 avg_total: 5968.28 curr_cost_per_share: 0.28 curr_half_min_move: 0.54221766815514 curr_liq_cost: 14 curr_opt_t_minutes: 0.044153475666084 daily_vol_normal: 51.575666050645 destination_price: 5968.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54221766815514 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19591836757379 init_vol_normal: 51.575666050645 last_aggressive_qty: 11 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: 5.162 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.33500000000004 sweep_residual: 0 sweep_to_fill: 5968.615 total_dollar: 298414 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.575666050645 worst_opt_t_minutes: 0.044153475666084
2025-05-19 11:34:04	EP	SIM:ESM5	Sell	50	0.1300	-0.0150	5,969.1250	5,969.1250	5,968.9950	5,968.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5968.995 curr_cost_per_share: 0.14 curr_half_min_move: 0.54228580449897 curr_liq_cost: 7 curr_opt_t_minutes: 0.066649914922146 daily_vol_normal: 51.5821471698 destination_price: 5969.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.54228580449897 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.071495635777455 init_vol_normal: 51.5821471698 last_aggressive_qty: 21 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.358 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.015000000000327 sweep_residual: 0 sweep_to_fill: 5968.98 total_dollar: 298449.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0.066649914922146
2025-05-19 11:33:55	EP	SIM:ESM5	Buy	50	-0.0200	-0.3650	5,969.3750	5,969.1250	5,969.3550	5,969.7200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.355 curr_cost_per_share: 0.23 curr_half_min_move: 0.54230851661358 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.584307542852 destination_price: 5969.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.40471130929009 init_vol_normal: 51.584307542852 last_aggressive_qty: last_tactical_qty: 47 level_tactical_limit: mbo_max: mbo_min: model_size: 47 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.133 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.36500000000069 sweep_residual: 0 sweep_to_fill: 5969.72 total_dollar: 298467.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0
2025-05-19 11:33:23	EP	SIM:ESM5	Sell	50	0.3350	0.1300	5,968.8750	5,968.6250	5,968.5400	5,968.6700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.875 avg_total: 5968.54 curr_cost_per_share: 0.175 curr_half_min_move: 0.54226309238436 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.18330434441843 daily_vol_normal: 51.579986796748 destination_price: 5968.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.54226309238436 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.14291823011326 init_vol_normal: 51.579986796748 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: 11.24 slip_toler: 0 slippage: 0.33500000000004 slippage_sweep: 0.13000000000011 sweep_residual: 0 sweep_to_fill: 5968.67 total_dollar: 298427 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.579986796748 worst_opt_t_minutes: 0.18330434441843
2025-05-19 11:33:11	EP	SIM:ESM5	Buy	50	-0.1250	-0.2500	5,969.1250	5,968.8750	5,969.0000	5,969.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5969 curr_cost_per_share: 0.125 curr_half_min_move: 0.54228580449897 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.5821471698 destination_price: 5968.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54228580449897 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053132904115231 init_vol_normal: 51.5821471698 last_aggressive_qty: 23 last_tactical_qty: 26 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.063 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5969.25 total_dollar: 298450 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0
2025-05-19 11:32:40	EP	SIM:ESM5	Sell	50	0.3100	0.1550	5,970.1250	5,969.8750	5,969.8150	5,969.9700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.125 avg_total: 5969.815 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: 5969.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.54237665295741 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.081669787002151 init_vol_normal: 51.590788662007 last_aggressive_qty: 4 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.163 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: 0.15500000000065 sweep_residual: 0 sweep_to_fill: 5969.97 total_dollar: 298490.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.590788662007 worst_opt_t_minutes: 0.11094972436802
2025-05-19 11:32:32	EP	SIM:ESM5	Buy	50	-0.0350	-0.1600	5,970.3750	5,970.1250	5,970.3400	5,970.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.375 avg_total: 5970.34 curr_cost_per_share: 0.28 curr_half_min_move: 0.54239936507202 curr_liq_cost: 14 curr_opt_t_minutes: 0.044123898910695 daily_vol_normal: 51.592949035059 destination_price: 5970.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54239936507202 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053110657881965 init_vol_normal: 51.592949035059 last_aggressive_qty: last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.083 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.15999999999985 sweep_residual: 0 sweep_to_fill: 5970.5 total_dollar: 298517 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.592949035059 worst_opt_t_minutes: 0.044123898910695
2025-05-19 11:31:59	EP	SIM:ESM5	Sell	50	0.1250	0.0000	5,969.1250	5,969.1250	5,969.0000	5,969.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.125 avg_total: 5969 curr_cost_per_share: 0.125 curr_half_min_move: 0.54228580449897 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.053132904115231 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: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.101 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5969 total_dollar: 298450 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.5821471698 worst_opt_t_minutes: 0.053132904115231
2025-05-19 11:31:53	EP	SIM:ESM5	Buy	50	-0.1200	-0.2450	5,969.3750	5,969.1250	5,969.2550	5,969.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.375 avg_total: 5969.255 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: 5969.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54230851661358 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053128453750536 init_vol_normal: 51.584307542852 last_aggressive_qty: 15 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: 2.062 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5969.5 total_dollar: 298462.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.584307542852 worst_opt_t_minutes: 0
2025-05-19 11:31:21	EP	SIM:ESM5	Sell	50	0.7850	0.6200	5,969.8750	5,969.1250	5,969.0900	5,969.7100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.875 avg_total: 5969.09 curr_cost_per_share: 0.15 curr_half_min_move: 0.5423539408428 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.14498005753725 daily_vol_normal: 51.588628288955 destination_price: 5969.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.5423539408428 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092555512106486 init_vol_normal: 51.588628288955 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: 9.179 slip_toler: 0 slippage: 0.78499999999985 slippage_sweep: 0.61999999999989 sweep_residual: 0 sweep_to_fill: 5969.71 total_dollar: 298454.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.588628288955 worst_opt_t_minutes: 0.14498005753725

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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