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 10:55:59	EP	SIM:ESM5	Buy	50	-0.1200	-0.3350	5,920.1250	5,919.8750	5,920.0050	5,920.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.125 avg_total: 5920.005 curr_cost_per_share: 0.22 curr_half_min_move: 0.40188963051799 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.227683438162 destination_price: 5919.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40188963051799 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28619584102039 init_vol_normal: 38.227683438162 last_aggressive_qty: 31 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.508 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.33500000000004 sweep_residual: 0 sweep_to_fill: 5920.34 total_dollar: 296000.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.227683438162 worst_opt_t_minutes: 0
2025-06-02 10:55:26	EP	SIM:ESM5	Sell	50	-0.0600	-0.2450	5,920.3750	5,920.6250	5,920.4350	5,920.1900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.375 avg_total: 5920.435 curr_cost_per_share: 0.225 curr_half_min_move: 0.40190660185012 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.229297748816 destination_price: 5920.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40190660185012 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21188156720251 init_vol_normal: 38.229297748816 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.366 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.2450000000008 sweep_residual: 0 sweep_to_fill: 5920.19 total_dollar: 296021.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.229297748816 worst_opt_t_minutes: 0
2025-06-02 10:55:21	EP	SIM:ESM5	Buy	50	0.2000	-0.0100	5,920.6250	5,920.3750	5,920.8250	5,920.8350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.625 avg_total: 5920.825 curr_cost_per_share: 0.22 curr_half_min_move: 0.40192357318225 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.23091205947 destination_price: 5920.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.40192357318225 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.27299307600712 init_vol_normal: 38.23091205947 last_aggressive_qty: 6 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.386 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5920.835 total_dollar: 296041.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.23091205947 worst_opt_t_minutes: 0
2025-06-02 10:54:40	EP	SIM:ESM5	Sell	50	-0.0600	-0.3450	5,919.8750	5,920.2500	5,919.9350	5,919.5900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5919.935 curr_cost_per_share: 0.285 curr_half_min_move: 0.40187265918586 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5920.25 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50293608731449 init_vol_normal: 38.226069127508 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.372 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5919.59 total_dollar: 295996.75 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 10:54:34	EP	SIM:ESM5	Buy	50	0.5050	0.2550	5,919.3750	5,919.8750	5,919.8800	5,919.6250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.375 avg_total: 5919.88 curr_cost_per_share: 0.185 curr_half_min_move: 0.4018387165216 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.36384761406435 daily_vol_normal: 38.222840506201 destination_price: 5919.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.4018387165216 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38705836818491 init_vol_normal: 38.222840506201 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.669 slip_toler: 0 slippage: 0.50500000000011 slippage_sweep: 0.25500000000011 sweep_residual: 0 sweep_to_fill: 5919.625 total_dollar: 295994 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.222840506201 worst_opt_t_minutes: 0.36384761406435
2025-06-02 10:53:40	EP	SIM:ESM5	Sell	50	-0.2800	-0.5950	5,919.8750	5,920.6250	5,920.1550	5,919.5600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.875 avg_total: 5920.155 curr_cost_per_share: 0.265 curr_half_min_move: 0.40187265918586 curr_liq_cost: 13.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.226069127508 destination_price: 5920.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.40187265918586 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 0.6143900678828 init_vol_normal: 38.226069127508 last_aggressive_qty: 15 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.473 slip_toler: 0 slippage: -0.27999999999975 slippage_sweep: -0.59499999999935 sweep_residual: 0 sweep_to_fill: 5919.56 total_dollar: 296007.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.226069127508 worst_opt_t_minutes: 0
2025-06-02 10:53:34	EP	SIM:ESM5	Buy	50	-0.6850	-0.9000	5,920.8750	5,920.1250	5,920.1900	5,921.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5920.875 avg_total: 5920.19 curr_cost_per_share: 0.21 curr_half_min_move: 0.40194054451438 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.232526370124 destination_price: 5920.125 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40194054451438 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28612334049097 init_vol_normal: 38.232526370124 last_aggressive_qty: 8 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.109 slip_toler: 0 slippage: -0.6850000000004 slippage_sweep: -0.90000000000055 sweep_residual: 0 sweep_to_fill: 5921.09 total_dollar: 296009.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 38.232526370124 worst_opt_t_minutes: 0
2025-06-02 10:53:01	EP	SIM:ESM5	Sell	50	-0.0950	-0.3100	5,917.8750	5,918.3750	5,917.9700	5,917.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5917.875 avg_total: 5917.97 curr_cost_per_share: 0.33 curr_half_min_move: 0.40173688852882 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.213154642278 destination_price: 5918.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40173688852882 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.28641350802306 init_vol_normal: 38.213154642278 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.303 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.3100000000004 sweep_residual: 0 sweep_to_fill: 5917.66 total_dollar: 295898.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.213154642278 worst_opt_t_minutes: 0
2025-06-02 10:52:55	EP	SIM:ESM5	Buy	50	0.2650	0.0100	5,918.1250	5,917.8750	5,918.3900	5,918.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.125 avg_total: 5918.39 curr_cost_per_share: 0.29 curr_half_min_move: 0.40175385986095 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.101500427766 daily_vol_normal: 38.214768952931 destination_price: 5917.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40175385986095 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.4028656553351 init_vol_normal: 38.214768952931 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.605 slip_toler: 0 slippage: 0.26500000000033 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5918.38 total_dollar: 295919.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.214768952931 worst_opt_t_minutes: 0.101500427766
2025-06-02 10:52:06	EP	SIM:ESM5	Sell	50	0.1250	-0.0400	5,918.6250	5,916.8750	5,918.5000	5,918.4600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5918.625 avg_total: 5918.5 curr_cost_per_share: 0.235 curr_half_min_move: 0.40178780252521 curr_liq_cost: 11.75 curr_opt_t_minutes: 0.53277400387209 daily_vol_normal: 38.217997574239 destination_price: 5916.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.40178780252521 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16864535807312 init_vol_normal: 38.217997574239 last_aggressive_qty: 27 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: 37.719 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 5918.46 total_dollar: 295925 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.217997574239 worst_opt_t_minutes: 0.53277400387209
2025-06-02 10:51:28	EP	SIM:ESM5	Buy	50	-0.2100	-0.5200	5,919.1250	5,918.6250	5,918.9150	5,919.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5919.125 avg_total: 5918.915 curr_cost_per_share: 0.305 curr_half_min_move: 0.40182174518947 curr_liq_cost: 15.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.221226195547 destination_price: 5918.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40182174518947 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59519122069596 init_vol_normal: 38.221226195547 last_aggressive_qty: 30 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.321 slip_toler: 0 slippage: -0.21000000000004 slippage_sweep: -0.52000000000044 sweep_residual: 0 sweep_to_fill: 5919.435 total_dollar: 295945.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.221226195547 worst_opt_t_minutes: 0
2025-06-02 10:50:55	EP	SIM:ESM5	Sell	50	-0.0200	-0.2800	5,916.1250	5,916.6250	5,916.1450	5,915.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.125 avg_total: 5916.145 curr_cost_per_share: 0.21 curr_half_min_move: 0.4016180892039 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.201854467701 destination_price: 5916.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.4016180892039 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41910241640311 init_vol_normal: 38.201854467701 last_aggressive_qty: 9 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.505 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.28000000000065 sweep_residual: 0 sweep_to_fill: 5915.865 total_dollar: 295807.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.201854467701 worst_opt_t_minutes: 0
2025-06-02 10:50:44	EP	SIM:ESM5	Buy	50	-0.3700	-0.5700	5,916.6250	5,916.1250	5,916.2550	5,916.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5916.625 avg_total: 5916.255 curr_cost_per_share: 0.26 curr_half_min_move: 0.40165203186816 curr_liq_cost: 13 curr_opt_t_minutes: 0 daily_vol_normal: 38.205083089008 destination_price: 5916.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.40165203186816 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.24794768324621 init_vol_normal: 38.205083089008 last_aggressive_qty: 26 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: 2.272 slip_toler: 0 slippage: -0.36999999999989 slippage_sweep: -0.56999999999971 sweep_residual: 0 sweep_to_fill: 5916.825 total_dollar: 295812.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.205083089008 worst_opt_t_minutes: 0
2025-06-02 10:50:11	EP	SIM:ESM5	Sell	50	-0.1700	-0.4100	5,912.8750	5,913.3750	5,913.0450	5,912.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5913.045 curr_cost_per_share: 0.34 curr_half_min_move: 0.40139746188621 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 38.180868429201 destination_price: 5913.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40139746188621 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35749768954021 init_vol_normal: 38.180868429201 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.339 slip_toler: 0 slippage: -0.17000000000007 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 5912.635 total_dollar: 295652.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0
2025-06-02 10:50:07	EP	SIM:ESM5	Buy	50	-0.0800	-0.3550	5,913.3750	5,912.8750	5,913.2950	5,913.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.375 avg_total: 5913.295 curr_cost_per_share: 0.27 curr_half_min_move: 0.40143140455047 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.184097050509 destination_price: 5912.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.40143140455047 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.46929151035615 init_vol_normal: 38.184097050509 last_aggressive_qty: last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.4 slip_toler: 0 slippage: -0.079999999999927 slippage_sweep: -0.35499999999956 sweep_residual: 0 sweep_to_fill: 5913.65 total_dollar: 295664.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.184097050509 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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