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
2025-06-02 11:02:11	EP	SIM:ESM5	Sell	50	-0.1150	-0.2950	5,918.6250	5,919.1250	5,918.7400	5,918.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5918.74 curr_cost_per_share: 0.24 curr_half_min_move: 0.40178780252521 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.217997574239 destination_price: 5919.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.20070191373991 init_vol_normal: 38.217997574239 last_aggressive_qty: 27 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: 3.399 slip_toler: 0 slippage: -0.11499999999978 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 5918.445 total_dollar: 295937 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0
2025-06-02 11:02:06	EP	SIM:ESM5	Buy	50	-0.1350	-0.2600	5,919.6250	5,918.3750	5,919.4900	5,919.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.625 avg_total: 5919.49 curr_cost_per_share: 0.36 curr_half_min_move: 0.40185568785373 curr_liq_cost: 18 curr_opt_t_minutes: 0 daily_vol_normal: 38.224454816854 destination_price: 5918.375 drift: 1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40185568785373 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096756419015946 init_vol_normal: 38.224454816854 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.193 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 5919.75 total_dollar: 295974.5 total_drift: 1.25 total_filled: 50 total_sent: 50 total_vol: 38.224454816854 worst_opt_t_minutes: 0
2025-06-02 11:01:26	EP	SIM:ESM5	Sell	50	-0.3050	-0.4950	5,917.3750	5,918.1250	5,917.6800	5,917.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.375 avg_total: 5917.68 curr_cost_per_share: 0.22 curr_half_min_move: 0.40170294586456 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.20992602097 destination_price: 5918.125 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40170294586456 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22371606338705 init_vol_normal: 38.20992602097 last_aggressive_qty: 28 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: 5.254 slip_toler: 0 slippage: -0.30500000000029 slippage_sweep: -0.49499999999989 sweep_residual: 0 sweep_to_fill: 5917.185 total_dollar: 295884 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.20992602097 worst_opt_t_minutes: 0
2025-06-02 11:01:21	EP	SIM:ESM5	Buy	50	0.2900	0.0250	5,917.3750	5,917.3750	5,917.6650	5,917.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.375 avg_total: 5917.665 curr_cost_per_share: 0.23 curr_half_min_move: 0.40170294586456 curr_liq_cost: 11.5 curr_opt_t_minutes: 0.32782769399376 daily_vol_normal: 38.20992602097 destination_price: 5917.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40170294586456 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43519281305693 init_vol_normal: 38.20992602097 last_aggressive_qty: 8 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.556 slip_toler: 0 slippage: 0.28999999999996 slippage_sweep: 0.024999999999636 sweep_residual: 0 sweep_to_fill: 5917.64 total_dollar: 295883.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.20992602097 worst_opt_t_minutes: 0.32782769399376
2025-06-02 11:00:28	EP	SIM:ESM5	Sell	50	0.0000	-0.2850	5,918.6250	5,918.8750	5,918.6250	5,918.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5918.625 curr_cost_per_share: 0.255 curr_half_min_move: 0.40178780252521 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.027677900084049 daily_vol_normal: 38.217997574239 destination_price: 5918.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50314854763964 init_vol_normal: 38.217997574239 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.426 slip_toler: 0 slippage: 0 slippage_sweep: -0.28499999999985 sweep_residual: 0 sweep_to_fill: 5918.34 total_dollar: 295931.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0.027677900084049
2025-06-02 11:00:17	EP	SIM:ESM5	Buy	50	-0.4950	-0.6600	5,919.3750	5,918.6250	5,918.8800	5,919.5400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5918.88 curr_cost_per_share: 0.27 curr_half_min_move: 0.4018387165216 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.222840506201 destination_price: 5918.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16860262518135 init_vol_normal: 38.222840506201 last_aggressive_qty: 14 last_tactical_qty: 26 level_tactical_limit: mbo_max: mbo_min: model_size: 26 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.186 slip_toler: 0 slippage: -0.49499999999989 slippage_sweep: -0.65999999999985 sweep_residual: 0 sweep_to_fill: 5919.54 total_dollar: 295944 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0
2025-06-02 10:59:44	EP	SIM:ESM5	Sell	50	-0.1200	-0.3500	5,918.6250	5,918.8750	5,918.7450	5,918.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5918.745 curr_cost_per_share: 0.215 curr_half_min_move: 0.40178780252521 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.217997574239 destination_price: 5918.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.32768923570498 init_vol_normal: 38.217997574239 last_aggressive_qty: 28 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.394 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.34999999999945 sweep_residual: 0 sweep_to_fill: 5918.395 total_dollar: 295937.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0
2025-06-02 10:59:40	EP	SIM:ESM5	Buy	50	0.2000	-0.0400	5,918.8750	5,918.6250	5,919.0750	5,919.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.875 avg_total: 5919.075 curr_cost_per_share: 0.165 curr_half_min_move: 0.40180477385734 curr_liq_cost: 8.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.219611884893 destination_price: 5918.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40180477385734 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35677326169052 init_vol_normal: 38.219611884893 last_aggressive_qty: 2 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.481 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 5919.115 total_dollar: 295953.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.219611884893 worst_opt_t_minutes: 0
2025-06-02 10:58:54	EP	SIM:ESM5	Sell	50	-0.3500	-0.5600	5,917.6250	5,918.1250	5,917.9750	5,917.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.625 avg_total: 5917.975 curr_cost_per_share: 0.245 curr_half_min_move: 0.40171991719669 curr_liq_cost: 12.25 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: 0.21 init_drift: 0 init_half_min_move: 0.40171991719669 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27326993938489 init_vol_normal: 38.211540331624 last_aggressive_qty: 16 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: 3.221 slip_toler: 0 slippage: -0.35000000000036 slippage_sweep: -0.5600000000004 sweep_residual: 0 sweep_to_fill: 5917.415 total_dollar: 295898.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.211540331624 worst_opt_t_minutes: 0
2025-06-02 10:58:51	EP	SIM:ESM5	Buy	50	0.8700	0.7200	5,916.3750	5,917.6250	5,917.2450	5,916.5250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.375 avg_total: 5917.245 curr_cost_per_share: 0.135 curr_half_min_move: 0.40163506053603 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.22621924862603 daily_vol_normal: 38.203468778355 destination_price: 5917.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.15 init_drift: 0 init_half_min_move: 0.40163506053603 init_liq_cost: 7.5 init_min_duration: 0 init_opt_t_minutes: 0.13948235890157 init_vol_normal: 38.203468778355 last_aggressive_qty: 3 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.282 slip_toler: 0 slippage: 0.86999999999989 slippage_sweep: 0.72000000000025 sweep_residual: 0 sweep_to_fill: 5916.525 total_dollar: 295862.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.203468778355 worst_opt_t_minutes: 0.22621924862603
2025-06-02 10:58:05	EP	SIM:ESM5	Sell	50	1.7350	1.6100	5,918.6250	5,916.1250	5,916.8900	5,918.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5916.89 curr_cost_per_share: 0.125 curr_half_min_move: 0.40178780252521 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20217837633212 daily_vol_normal: 38.217997574239 destination_price: 5916.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096789117351424 init_vol_normal: 38.217997574239 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.371 slip_toler: 0 slippage: 1.7349999999997 slippage_sweep: 1.6099999999997 sweep_residual: 0 sweep_to_fill: 5918.5 total_dollar: 295844.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0.20217837633212
2025-06-02 10:57:46	EP	SIM:ESM5	Buy	50	0.2700	0.1000	5,918.8750	5,918.6250	5,919.1450	5,919.0450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.875 avg_total: 5919.145 curr_cost_per_share: 0.33 curr_half_min_move: 0.40180477385734 curr_liq_cost: 16.5 curr_opt_t_minutes: 0.19564971872161 daily_vol_normal: 38.219611884893 destination_price: 5918.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.40180477385734 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.17900602886903 init_vol_normal: 38.219611884893 last_aggressive_qty: 10 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.311 slip_toler: 0 slippage: 0.27000000000044 slippage_sweep: 0.10000000000036 sweep_residual: 0 sweep_to_fill: 5919.045 total_dollar: 295957.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.219611884893 worst_opt_t_minutes: 0.19564971872161
2025-06-02 10:56:58	EP	SIM:ESM5	Sell	50	0.1550	0.0300	5,919.1250	5,919.1250	5,918.9700	5,919.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5918.97 curr_cost_per_share: 0.16 curr_half_min_move: 0.40182174518947 curr_liq_cost: 8 curr_opt_t_minutes: 0.15855249999809 daily_vol_normal: 38.221226195547 destination_price: 5919.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096772766112116 init_vol_normal: 38.221226195547 last_aggressive_qty: 11 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.165 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: 0.029999999999745 sweep_residual: 0 sweep_to_fill: 5919 total_dollar: 295948.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0.15855249999809
2025-06-02 10:56:47	EP	SIM:ESM5	Buy	50	0.0600	-0.2700	5,919.3750	5,919.1250	5,919.4350	5,919.7050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.435 curr_cost_per_share: 0.245 curr_half_min_move: 0.4018387165216 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.222840506201 destination_price: 5919.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.67441050072538 init_vol_normal: 38.222840506201 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.564 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.26999999999953 sweep_residual: 0 sweep_to_fill: 5919.705 total_dollar: 295971.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0
2025-06-02 10:56:02	EP	SIM:ESM5	Sell	50	-0.1200	-0.3450	5,919.8750	5,920.1250	5,919.9950	5,919.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5919.995 curr_cost_per_share: 0.185 curr_half_min_move: 0.40187265918586 curr_liq_cost: 9.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5920.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.31346432034837 init_vol_normal: 38.226069127508 last_aggressive_qty: 22 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.27 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5919.65 total_dollar: 295999.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 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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