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 11:08:47	EP	SIM:ESM5	Buy	50	0.1100	-0.2200	5,915.6250	5,915.3750	5,915.7350	5,915.9550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.735 curr_cost_per_share: 0.275 curr_half_min_move: 0.40158414653964 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.070198293067473 daily_vol_normal: 38.198625846393 destination_price: 5915.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.67526580882046 init_vol_normal: 38.198625846393 last_aggressive_qty: last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.383 slip_toler: 0 slippage: 0.10999999999967 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5915.955 total_dollar: 295786.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0.070198293067473
2025-06-02 11:08:07	EP	SIM:ESM5	Sell	50	0.1000	-0.1600	5,915.2500	5,915.3750	5,915.1500	5,914.9900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.25 avg_total: 5915.15 curr_cost_per_share: 0.215 curr_half_min_move: 0.40155868954145 curr_liq_cost: 10.75 curr_opt_t_minutes: 0.12850210184176 daily_vol_normal: 38.196204380412 destination_price: 5915.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40155868954145 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41922641513083 init_vol_normal: 38.196204380412 last_aggressive_qty: last_tactical_qty: 26 level_tactical_limit: mbo_max: mbo_min: model_size: 26 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.485 slip_toler: 0 slippage: 0.10000000000036 slippage_sweep: -0.15999999999985 sweep_residual: 0 sweep_to_fill: 5914.99 total_dollar: 295757.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.196204380412 worst_opt_t_minutes: 0.12850210184176
2025-06-02 11:07:53	EP	SIM:ESM5	Buy	50	0.8500	0.4700	5,913.8750	5,915.3750	5,914.7250	5,914.2550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5914.725 curr_cost_per_share: 0.125 curr_half_min_move: 0.40146534721473 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20250328443757 daily_vol_normal: 38.187325671816 destination_price: 5915.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.38 init_drift: 0 init_half_min_move: 0.40146534721473 init_liq_cost: 19 init_min_duration: 0 init_opt_t_minutes: 0.89592377939148 init_vol_normal: 38.187325671816 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.604 slip_toler: 0 slippage: 0.85000000000036 slippage_sweep: 0.47000000000025 sweep_residual: 0 sweep_to_fill: 5914.255 total_dollar: 295736.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0.20250328443757
2025-06-02 11:07:00	EP	SIM:ESM5	Sell	50	-0.0050	-0.1350	5,914.1250	5,914.3750	5,914.1300	5,913.9950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.125 avg_total: 5914.13 curr_cost_per_share: 0.25 curr_half_min_move: 0.40148231854686 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.18893998247 destination_price: 5914.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.40148231854686 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10484648073613 init_vol_normal: 38.18893998247 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.187 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.13500000000022 sweep_residual: 0 sweep_to_fill: 5913.995 total_dollar: 295706.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.18893998247 worst_opt_t_minutes: 0
2025-06-02 11:06:49	EP	SIM:ESM5	Buy	50	-0.2600	-0.4550	5,914.8750	5,914.3750	5,914.6150	5,915.0700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5914.615 curr_cost_per_share: 0.28 curr_half_min_move: 0.40153323254325 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 38.193782914432 destination_price: 5914.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.23584476053782 init_vol_normal: 38.193782914432 last_aggressive_qty: 14 last_tactical_qty: 32 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.458 slip_toler: 0 slippage: -0.26000000000022 slippage_sweep: -0.45499999999993 sweep_residual: 0 sweep_to_fill: 5915.07 total_dollar: 295730.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 worst_opt_t_minutes: 0
2025-06-02 11:06:13	EP	SIM:ESM5	Sell	50	-0.3650	-0.6150	5,915.3750	5,915.8750	5,915.7400	5,915.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.375 avg_total: 5915.74 curr_cost_per_share: 0.19 curr_half_min_move: 0.40156717520751 curr_liq_cost: 9.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.197011535739 destination_price: 5915.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40156717520751 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38758200597069 init_vol_normal: 38.197011535739 last_aggressive_qty: 32 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 48 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.14 slip_toler: 0 slippage: -0.36499999999978 slippage_sweep: -0.61499999999978 sweep_residual: 0 sweep_to_fill: 5915.125 total_dollar: 295787 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.197011535739 worst_opt_t_minutes: 0
2025-06-02 11:06:11	EP	SIM:ESM5	Buy	50	0.2650	-0.0650	5,915.3750	5,915.3750	5,915.6400	5,915.7050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.375 avg_total: 5915.64 curr_cost_per_share: 0.2 curr_half_min_move: 0.40156717520751 curr_liq_cost: 10 curr_opt_t_minutes: 0.24805248382124 daily_vol_normal: 38.197011535739 destination_price: 5915.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.40156717520751 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.67532288720333 init_vol_normal: 38.197011535739 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.32 slip_toler: 0 slippage: 0.26500000000033 slippage_sweep: -0.0649999999996 sweep_residual: 0 sweep_to_fill: 5915.705 total_dollar: 295782 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.197011535739 worst_opt_t_minutes: 0.24805248382124
2025-06-02 11:05:25	EP	SIM:ESM5	Sell	50	0.2800	0.0150	5,916.1250	5,916.3750	5,915.8450	5,915.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5915.845 curr_cost_per_share: 0.225 curr_half_min_move: 0.4016180892039 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.201854467701 destination_price: 5916.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43537673360811 init_vol_normal: 38.201854467701 last_aggressive_qty: 11 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.597 slip_toler: 0 slippage: 0.27999999999975 slippage_sweep: 0.014999999999418 sweep_residual: 0 sweep_to_fill: 5915.86 total_dollar: 295792.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0
2025-06-02 11:05:07	EP	SIM:ESM5	Buy	50	0.6900	0.5200	5,915.1250	5,916.1250	5,915.8150	5,915.2950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.125 avg_total: 5915.815 curr_cost_per_share: 0.135 curr_half_min_move: 0.40155020387538 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.22631486923897 daily_vol_normal: 38.195397225085 destination_price: 5916.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.40155020387538 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.17923306900459 init_vol_normal: 38.195397225085 last_aggressive_qty: last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 17.383 slip_toler: 0 slippage: 0.6899999999996 slippage_sweep: 0.51999999999953 sweep_residual: 0 sweep_to_fill: 5915.295 total_dollar: 295790.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.195397225085 worst_opt_t_minutes: 0.22631486923897
2025-06-02 11:04:20	EP	SIM:ESM5	Sell	50	-0.1100	-0.2350	5,912.8750	5,913.1250	5,912.9850	5,912.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5912.985 curr_cost_per_share: 0.24 curr_half_min_move: 0.40139746188621 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.180868429201 destination_price: 5913.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40139746188621 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096977454844892 init_vol_normal: 38.180868429201 last_aggressive_qty: last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.18 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.23499999999967 sweep_residual: 0 sweep_to_fill: 5912.75 total_dollar: 295649.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0
2025-06-02 11:04:18	EP	SIM:ESM5	Buy	50	-0.3100	-0.5750	5,913.6250	5,913.1250	5,913.3150	5,913.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.625 avg_total: 5913.315 curr_cost_per_share: 0.145 curr_half_min_move: 0.4014483758826 curr_liq_cost: 7.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.185711361162 destination_price: 5913.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.4014483758826 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43574492466006 init_vol_normal: 38.185711361162 last_aggressive_qty: 17 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.408 slip_toler: 0 slippage: -0.3100000000004 slippage_sweep: -0.57500000000073 sweep_residual: 0 sweep_to_fill: 5913.89 total_dollar: 295665.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.185711361162 worst_opt_t_minutes: 0
2025-06-02 11:03:44	EP	SIM:ESM5	Sell	50	0.2800	0.0250	5,914.8750	5,914.1250	5,914.5950	5,914.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.875 avg_total: 5914.595 curr_cost_per_share: 0.125 curr_half_min_move: 0.40153323254325 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20243481767663 daily_vol_normal: 38.193782914432 destination_price: 5914.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40153323254325 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.40330849583094 init_vol_normal: 38.193782914432 last_aggressive_qty: 6 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: 12.375 slip_toler: 0 slippage: 0.27999999999975 slippage_sweep: 0.024999999999636 sweep_residual: 0 sweep_to_fill: 5914.62 total_dollar: 295729.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.193782914432 worst_opt_t_minutes: 0.20243481767663
2025-06-02 11:03:32	EP	SIM:ESM5	Buy	50	-0.1450	-0.2800	5,915.6250	5,915.1250	5,915.4800	5,915.7600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5915.625 avg_total: 5915.48 curr_cost_per_share: 0.245 curr_half_min_move: 0.40158414653964 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.198625846393 destination_price: 5915.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.40158414653964 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.11300936056706 init_vol_normal: 38.198625846393 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.109 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.28000000000065 sweep_residual: 0 sweep_to_fill: 5915.76 total_dollar: 295774 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.198625846393 worst_opt_t_minutes: 0
2025-06-02 11:02:59	EP	SIM:ESM5	Sell	50	0.6800	0.4500	5,916.8750	5,916.1250	5,916.1950	5,916.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.875 avg_total: 5916.195 curr_cost_per_share: 0.125 curr_half_min_move: 0.4016690032003 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20229798828305 daily_vol_normal: 38.206697399662 destination_price: 5916.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.4016690032003 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32788310188143 init_vol_normal: 38.206697399662 last_aggressive_qty: last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.42 slip_toler: 0 slippage: 0.68000000000029 slippage_sweep: 0.45000000000073 sweep_residual: 0 sweep_to_fill: 5916.645 total_dollar: 295809.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.206697399662 worst_opt_t_minutes: 0.20229798828305
2025-06-02 11:02:45	EP	SIM:ESM5	Buy	50	-0.0950	-0.3050	5,917.1250	5,916.8750	5,917.0300	5,917.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.125 avg_total: 5917.03 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: 5916.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40168597453243 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27331612422721 init_vol_normal: 38.208311710316 last_aggressive_qty: 11 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.284 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.30500000000029 sweep_residual: 0 sweep_to_fill: 5917.335 total_dollar: 295851.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.208311710316 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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