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 11:31:12	EP	SIM:ESM5	Buy	50	0.1800	-0.1000	5,969.8750	5,969.8750	5,970.0550	5,970.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.875 avg_total: 5970.055 curr_cost_per_share: 0.185 curr_half_min_move: 0.5423539408428 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.11635307261137 daily_vol_normal: 51.588628288955 destination_price: 5969.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.5423539408428 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.26653267765467 init_vol_normal: 51.588628288955 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: 7.223 slip_toler: 0 slippage: 0.18000000000029 slippage_sweep: -0.099999999999454 sweep_residual: 0 sweep_to_fill: 5970.155 total_dollar: 298502.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.588628288955 worst_opt_t_minutes: 0.11635307261137
2025-05-19 11:30:35	EP	SIM:ESM5	Sell	50	0.3100	-0.0450	5,970.6250	5,970.8750	5,970.3150	5,970.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5970.315 curr_cost_per_share: 0.335 curr_half_min_move: 0.54242207718663 curr_liq_cost: 16.75 curr_opt_t_minutes: 0.11450877197049 daily_vol_normal: 51.595109408111 destination_price: 5970.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.54242207718663 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 0.42833344989171 init_vol_normal: 51.595109408111 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.319 slip_toler: 0 slippage: 0.3100000000004 slippage_sweep: -0.044999999999163 sweep_residual: 0 sweep_to_fill: 5970.27 total_dollar: 298515.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0.11450877197049
2025-05-19 11:30:27	EP	SIM:ESM5	Buy	50	-0.1450	-0.2700	5,970.6250	5,970.3750	5,970.4800	5,970.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5970.48 curr_cost_per_share: 0.2 curr_half_min_move: 0.54242207718663 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 51.595109408111 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: 0.54242207718663 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053106210311906 init_vol_normal: 51.595109408111 last_aggressive_qty: 15 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: 5.095 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.27000000000044 sweep_residual: 0 sweep_to_fill: 5970.75 total_dollar: 298524 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0
2025-05-19 11:29:52	EP	SIM:ESM5	Sell	50	0.2400	-0.0300	5,971.8750	5,971.6250	5,971.6350	5,971.6050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5971.875 avg_total: 5971.635 curr_cost_per_share: 0.125 curr_half_min_move: 0.54253563775969 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11088470841608 daily_vol_normal: 51.605911273369 destination_price: 5971.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.54253563775969 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.24766862100447 init_vol_normal: 51.605911273369 last_aggressive_qty: 9 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.35 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: -0.030000000000655 sweep_residual: 0 sweep_to_fill: 5971.605 total_dollar: 298581.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.605911273369 worst_opt_t_minutes: 0.11088470841608
2025-05-19 11:29:41	EP	SIM:ESM5	Buy	50	0.0950	-0.1150	5,972.1250	5,971.6250	5,972.2200	5,972.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5972.125 avg_total: 5972.22 curr_cost_per_share: 0.285 curr_half_min_move: 0.5425583498743 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.608071646421 destination_price: 5971.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.5425583498743 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.14981168415587 init_vol_normal: 51.608071646421 last_aggressive_qty: 2 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: 6.191 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.11499999999978 sweep_residual: 0 sweep_to_fill: 5972.335 total_dollar: 298611 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.608071646421 worst_opt_t_minutes: 0
2025-05-19 11:29:04	EP	SIM:ESM5	Sell	50	0.1550	-0.0900	5,971.3750	5,971.3750	5,971.2200	5,971.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5971.375 avg_total: 5971.22 curr_cost_per_share: 0.125 curr_half_min_move: 0.54249021353047 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.053092870953233 daily_vol_normal: 51.601590527266 destination_price: 5971.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.54249021353047 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20396157305394 init_vol_normal: 51.601590527266 last_aggressive_qty: 1 last_tactical_qty: 25 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.26 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 5971.13 total_dollar: 298561 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.601590527266 worst_opt_t_minutes: 0.053092870953233
2025-05-19 11:29:01	EP	SIM:ESM5	Buy	50	0.7350	0.4350	5,970.6250	5,971.3750	5,971.3600	5,970.9250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.625 avg_total: 5971.36 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: 5971.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.54242207718663 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.30589177139658 init_vol_normal: 51.595109408111 last_aggressive_qty: 2 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.167 slip_toler: 0 slippage: 0.73499999999967 slippage_sweep: 0.43499999999949 sweep_residual: 0 sweep_to_fill: 5970.925 total_dollar: 298568 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.595109408111 worst_opt_t_minutes: 0.11093114254807
2025-05-19 11:28:24	EP	SIM:ESM5	Sell	50	-0.0500	-0.1750	5,969.6250	5,969.8750	5,969.6750	5,969.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.625 avg_total: 5969.675 curr_cost_per_share: 0.19 curr_half_min_move: 0.54233122872819 curr_liq_cost: 9.5 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: 0.125 init_drift: 0 init_half_min_move: 0.54233122872819 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053124003944956 init_vol_normal: 51.586467915904 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.077 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.17500000000018 sweep_residual: 0 sweep_to_fill: 5969.5 total_dollar: 298483.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.586467915904 worst_opt_t_minutes: 0
2025-05-19 11:28:22	EP	SIM:ESM5	Buy	50	-0.1250	-0.2500	5,970.1250	5,969.6250	5,970.0000	5,970.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.125 avg_total: 5970 curr_cost_per_share: 0.26 curr_half_min_move: 0.54237665295741 curr_liq_cost: 13 curr_opt_t_minutes: 0 daily_vol_normal: 51.590788662007 destination_price: 5969.625 drift: 0.5 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: 1 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.096 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5970.25 total_dollar: 298500 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.590788662007 worst_opt_t_minutes: 0
2025-05-19 11:27:49	EP	SIM:ESM5	Sell	50	0.0300	-0.0950	5,971.1250	5,971.1250	5,971.0950	5,971.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5971.125 avg_total: 5971.095 curr_cost_per_share: 0.125 curr_half_min_move: 0.54246750141586 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.053097316847634 daily_vol_normal: 51.599430154214 destination_price: 5971.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54246750141586 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053097316847634 init_vol_normal: 51.599430154214 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.082 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5971 total_dollar: 298554.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.599430154214 worst_opt_t_minutes: 0.053097316847634
2025-05-19 11:27:44	EP	SIM:ESM5	Buy	50	-0.0850	-0.2200	5,971.3750	5,971.1250	5,971.2900	5,971.5100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5971.375 avg_total: 5971.29 curr_cost_per_share: 0.17 curr_half_min_move: 0.54249021353047 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.601590527266 destination_price: 5971.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.135 init_drift: 0 init_half_min_move: 0.54249021353047 init_liq_cost: 6.75 init_min_duration: 0 init_opt_t_minutes: 0.061927524679851 init_vol_normal: 51.601590527266 last_aggressive_qty: last_tactical_qty: 49 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.081 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5971.51 total_dollar: 298564.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.601590527266 worst_opt_t_minutes: 0
2025-05-19 11:27:12	EP	SIM:ESM5	Sell	50	0.1250	0.0000	5,969.8750	5,969.8750	5,969.7500	5,969.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.875 avg_total: 5969.75 curr_cost_per_share: 0.135 curr_half_min_move: 0.5423539408428 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.061958648600209 daily_vol_normal: 51.588628288955 destination_price: 5969.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.5423539408428 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053119554698396 init_vol_normal: 51.588628288955 last_aggressive_qty: 16 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.084 slip_toler: 0 slippage: 0.125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5969.75 total_dollar: 298487.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.588628288955 worst_opt_t_minutes: 0.061958648600209
2025-05-19 11:27:07	EP	SIM:ESM5	Buy	50	0.0500	-0.0750	5,970.1250	5,969.8750	5,970.1750	5,970.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5970.125 avg_total: 5970.175 curr_cost_per_share: 0.26 curr_half_min_move: 0.54237665295741 curr_liq_cost: 13 curr_opt_t_minutes: 0.021501844924899 daily_vol_normal: 51.590788662007 destination_price: 5969.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54237665295741 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053115106010764 init_vol_normal: 51.590788662007 last_aggressive_qty: last_tactical_qty: 31 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.081 slip_toler: 0 slippage: 0.050000000000182 slippage_sweep: -0.074999999999818 sweep_residual: 0 sweep_to_fill: 5970.25 total_dollar: 298508.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.590788662007 worst_opt_t_minutes: 0.021501844924899
2025-05-19 11:26:35	EP	SIM:ESM5	Sell	50	-0.3650	-0.4900	5,969.6250	5,970.1250	5,969.9900	5,969.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.625 avg_total: 5969.99 curr_cost_per_share: 0.13 curr_half_min_move: 0.54233122872819 curr_liq_cost: 6.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.586467915904 destination_price: 5970.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54233122872819 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053124003944956 init_vol_normal: 51.586467915904 last_aggressive_qty: 41 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.058 slip_toler: 0 slippage: -0.36499999999978 slippage_sweep: -0.48999999999978 sweep_residual: 0 sweep_to_fill: 5969.5 total_dollar: 298499.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.586467915904 worst_opt_t_minutes: 0
2025-05-19 11:26:34	EP	SIM:ESM5	Buy	50	0.1050	-0.0450	5,969.8750	5,969.6250	5,969.9800	5,970.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5969.875 avg_total: 5969.98 curr_cost_per_share: 0.125 curr_half_min_move: 0.5423539408428 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.588628288955 destination_price: 5969.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.5423539408428 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.076492158765691 init_vol_normal: 51.588628288955 last_aggressive_qty: 13 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.159 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.045000000000073 sweep_residual: 0 sweep_to_fill: 5970.025 total_dollar: 298499 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.588628288955 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect