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 11:25:58	EP	SIM:ESM5	Sell	50	0.0300	-0.2800	5,968.3750	5,968.6250	5,968.3450	5,968.0650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5968.375 avg_total: 5968.345 curr_cost_per_share: 0.205 curr_half_min_move: 0.54221766815514 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.575666050645 destination_price: 5968.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.54221766815514 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.3268707486778 init_vol_normal: 51.575666050645 last_aggressive_qty: 14 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.417 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.28000000000065 sweep_residual: 0 sweep_to_fill: 5968.065 total_dollar: 298417.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.575666050645 worst_opt_t_minutes: 0
2025-05-19 11:25:53	EP	SIM:ESM5	Buy	50	0.3350	0.1700	5,967.6250	5,968.3750	5,967.9600	5,967.7900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.625 avg_total: 5967.96 curr_cost_per_share: 0.125 curr_half_min_move: 0.54214953181131 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11104270353837 daily_vol_normal: 51.56918493149 destination_price: 5968.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54214953181131 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092625318490409 init_vol_normal: 51.56918493149 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.172 slip_toler: 0 slippage: 0.33500000000004 slippage_sweep: 0.17000000000007 sweep_residual: 0 sweep_to_fill: 5967.79 total_dollar: 298398 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.56918493149 worst_opt_t_minutes: 0.11104270353837
2025-05-19 11:25:14	EP	SIM:ESM5	Sell	50	0.1350	0.0100	5,967.1250	5,966.8750	5,966.9900	5,967.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.125 avg_total: 5966.99 curr_cost_per_share: 0.125 curr_half_min_move: 0.54210410758209 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11106131339753 daily_vol_normal: 51.564864185386 destination_price: 5966.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54210410758209 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053168527172155 init_vol_normal: 51.564864185386 last_aggressive_qty: 13 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: 8.14 slip_toler: 0 slippage: 0.13500000000022 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5967 total_dollar: 298349.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.564864185386 worst_opt_t_minutes: 0.11106131339753
2025-05-19 11:25:05	EP	SIM:ESM5	Buy	50	0.1700	-0.1400	5,967.3750	5,967.3750	5,967.5450	5,967.6850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.375 avg_total: 5967.545 curr_cost_per_share: 0.15 curr_half_min_move: 0.5421268196967 curr_liq_cost: 7.5 curr_opt_t_minutes: 0.076556264156886 daily_vol_normal: 51.567024558438 destination_price: 5967.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.5421268196967 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.32698031046563 init_vol_normal: 51.567024558438 last_aggressive_qty: 17 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.21 slip_toler: 0 slippage: 0.17000000000007 slippage_sweep: -0.14000000000033 sweep_residual: 0 sweep_to_fill: 5967.685 total_dollar: 298377.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.567024558438 worst_opt_t_minutes: 0.076556264156886
2025-05-19 11:24:30	EP	SIM:ESM5	Sell	50	0.1250	-0.1400	5,967.3750	5,967.3750	5,967.2500	5,967.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.375 avg_total: 5967.25 curr_cost_per_share: 0.16 curr_half_min_move: 0.5421268196967 curr_liq_cost: 8 curr_opt_t_minutes: 0.087104016107391 daily_vol_normal: 51.567024558438 destination_price: 5967.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.5421268196967 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.23894060668521 init_vol_normal: 51.567024558438 last_aggressive_qty: 5 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.335 slip_toler: 0 slippage: 0.125 slippage_sweep: -0.14000000000033 sweep_residual: 0 sweep_to_fill: 5967.11 total_dollar: 298362.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.567024558438 worst_opt_t_minutes: 0.087104016107391
2025-05-19 11:24:21	EP	SIM:ESM5	Buy	50	0.6650	0.5100	5,966.8750	5,967.3750	5,967.5400	5,967.0300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.875 avg_total: 5967.54 curr_cost_per_share: 0.14 curr_half_min_move: 0.54208139546748 curr_liq_cost: 7 curr_opt_t_minutes: 0.13099447721203 daily_vol_normal: 51.562703812335 destination_price: 5967.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.54208139546748 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.081758778004396 init_vol_normal: 51.562703812335 last_aggressive_qty: 4 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: 8.177 slip_toler: 0 slippage: 0.66499999999996 slippage_sweep: 0.51000000000022 sweep_residual: 0 sweep_to_fill: 5967.03 total_dollar: 298377 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.562703812335 worst_opt_t_minutes: 0.13099447721203
2025-05-19 11:23:43	EP	SIM:ESM5	Sell	50	-0.1850	-0.3950	5,966.6250	5,966.8750	5,966.8100	5,966.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.625 avg_total: 5966.81 curr_cost_per_share: 0.135 curr_half_min_move: 0.54205868335287 curr_liq_cost: 6.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.560543439283 destination_price: 5966.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.54205868335287 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.15008800251862 init_vol_normal: 51.560543439283 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: 4.103 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.39500000000044 sweep_residual: 0 sweep_to_fill: 5966.415 total_dollar: 298340.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.560543439283 worst_opt_t_minutes: 0
2025-05-19 11:23:39	EP	SIM:ESM5	Buy	50	0.1550	-0.1650	5,966.8750	5,966.6250	5,967.0300	5,967.1950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.875 avg_total: 5967.03 curr_cost_per_share: 0.25 curr_half_min_move: 0.54208139546748 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.562703812335 destination_price: 5966.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.54208139546748 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.34847445859106 init_vol_normal: 51.562703812335 last_aggressive_qty: last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.296 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5967.195 total_dollar: 298351.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.562703812335 worst_opt_t_minutes: 0
2025-05-19 11:23:02	EP	SIM:ESM5	Sell	50	-0.1200	-0.2750	5,964.6250	5,964.8750	5,964.7450	5,964.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.625 avg_total: 5964.745 curr_cost_per_share: 0.165 curr_half_min_move: 0.54187698643598 curr_liq_cost: 8.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.543260454869 destination_price: 5964.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.54187698643598 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.08182047239325 init_vol_normal: 51.543260454869 last_aggressive_qty: 32 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.114 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.27499999999964 sweep_residual: 0 sweep_to_fill: 5964.47 total_dollar: 298237.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.543260454869 worst_opt_t_minutes: 0
2025-05-19 11:23:00	EP	SIM:ESM5	Buy	50	0.1500	-0.1550	5,964.8750	5,964.6250	5,965.0250	5,965.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.875 avg_total: 5965.025 curr_cost_per_share: 0.36 curr_half_min_move: 0.54189969855059 curr_liq_cost: 18 curr_opt_t_minutes: 0.15299047333625 daily_vol_normal: 51.545420827921 destination_price: 5964.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.54189969855059 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.31678299453031 init_vol_normal: 51.545420827921 last_aggressive_qty: last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.43 slip_toler: 0 slippage: 0.14999999999964 slippage_sweep: -0.15500000000065 sweep_residual: 0 sweep_to_fill: 5965.18 total_dollar: 298251.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.545420827921 worst_opt_t_minutes: 0.15299047333625
2025-05-19 11:22:19	EP	SIM:ESM5	Sell	50	0.2000	-0.0400	5,964.8750	5,964.8750	5,964.6750	5,964.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.875 avg_total: 5964.675 curr_cost_per_share: 0.17 curr_half_min_move: 0.54189969855059 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.098414711549862 daily_vol_normal: 51.545420827921 destination_price: 5964.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54189969855059 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19614835243156 init_vol_normal: 51.545420827921 last_aggressive_qty: 2 last_tactical_qty: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.361 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.039999999999964 sweep_residual: 0 sweep_to_fill: 5964.635 total_dollar: 298233.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.545420827921 worst_opt_t_minutes: 0.098414711549862
2025-05-19 11:22:09	EP	SIM:ESM5	Buy	50	0.0950	-0.2500	5,965.1250	5,964.8750	5,965.2200	5,965.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.125 avg_total: 5965.22 curr_cost_per_share: 0.33 curr_half_min_move: 0.5419224106652 curr_liq_cost: 16.5 curr_opt_t_minutes: 0.10755613562087 daily_vol_normal: 51.547581200972 destination_price: 5964.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.5419224106652 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.4052882077795 init_vol_normal: 51.547581200972 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.278 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5965.47 total_dollar: 298261 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.547581200972 worst_opt_t_minutes: 0.10755613562087
2025-05-19 11:21:31	EP	SIM:ESM5	Sell	50	0.3400	0.0700	5,965.3750	5,965.6250	5,965.0350	5,965.1050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.375 avg_total: 5965.035 curr_cost_per_share: 0.29 curr_half_min_move: 0.54194512277981 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.055779852821221 daily_vol_normal: 51.549741574024 destination_price: 5965.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.54194512277981 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.24820864509276 init_vol_normal: 51.549741574024 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.374 slip_toler: 0 slippage: 0.34000000000015 slippage_sweep: 0.069999999999709 sweep_residual: 0 sweep_to_fill: 5965.105 total_dollar: 298251.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.549741574024 worst_opt_t_minutes: 0.055779852821221
2025-05-19 11:21:19	EP	SIM:ESM5	Buy	50	0.9600	0.7600	5,964.3750	5,965.3750	5,965.3350	5,964.5750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.375 avg_total: 5965.335 curr_cost_per_share: 0.2 curr_half_min_move: 0.54185427432137 curr_liq_cost: 10 curr_opt_t_minutes: 0.22616716184306 daily_vol_normal: 51.541100081817 destination_price: 5965.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.54185427432137 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.13623697254626 init_vol_normal: 51.541100081817 last_aggressive_qty: 11 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.424 slip_toler: 0 slippage: 0.96000000000004 slippage_sweep: 0.76000000000022 sweep_residual: 0 sweep_to_fill: 5964.575 total_dollar: 298266.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.541100081817 worst_opt_t_minutes: 0.22616716184306
2025-05-19 11:20:32	EP	SIM:ESM5	Sell	50	-0.1200	-0.3400	5,965.6250	5,965.8750	5,965.7450	5,965.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.625 avg_total: 5965.745 curr_cost_per_share: 0.17 curr_half_min_move: 0.54196783489442 curr_liq_cost: 8.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.551901947076 destination_price: 5965.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.54196783489442 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.1647776620963 init_vol_normal: 51.551901947076 last_aggressive_qty: 26 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.179 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5965.405 total_dollar: 298287.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.551901947076 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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