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 11:20:30	EP	SIM:ESM5	Buy	50	0.6550	0.4150	5,964.8750	5,965.8750	5,965.5300	5,965.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.875 avg_total: 5965.53 curr_cost_per_share: 0.125 curr_half_min_move: 0.54189969855059 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.1111451156851 daily_vol_normal: 51.545420827921 destination_price: 5965.875 drift: -0.125 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: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.269 slip_toler: 0 slippage: 0.65499999999975 slippage_sweep: 0.41499999999996 sweep_residual: 0 sweep_to_fill: 5965.115 total_dollar: 298276.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.545420827921 worst_opt_t_minutes: 0.1111451156851
2025-05-19 11:19:51	EP	SIM:ESM5	Sell	50	0.1950	0.0000	5,964.1250	5,963.8750	5,963.9300	5,963.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.125 avg_total: 5963.93 curr_cost_per_share: 0.125 curr_half_min_move: 0.54183156220676 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11117307085976 daily_vol_normal: 51.538939708765 destination_price: 5963.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.54183156220676 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.12952112969547 init_vol_normal: 51.538939708765 last_aggressive_qty: 4 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.195 slip_toler: 0 slippage: 0.19499999999971 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5963.93 total_dollar: 298196.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.538939708765 worst_opt_t_minutes: 0.11117307085976
2025-05-19 11:19:42	EP	SIM:ESM5	Buy	50	-0.0050	-0.3450	5,964.6250	5,964.1250	5,964.6200	5,964.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.625 avg_total: 5964.62 curr_cost_per_share: 0.23 curr_half_min_move: 0.54187698643598 curr_liq_cost: 11.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.543260454869 destination_price: 5964.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.54187698643598 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.3936918463542 init_vol_normal: 51.543260454869 last_aggressive_qty: 7 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: 6.341 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5964.965 total_dollar: 298231 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.543260454869 worst_opt_t_minutes: 0
2025-05-19 11:19:05	EP	SIM:ESM5	Sell	50	-0.1200	-0.3300	5,965.1250	5,965.3750	5,965.2450	5,964.9150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.125 avg_total: 5965.245 curr_cost_per_share: 0.195 curr_half_min_move: 0.5419224106652 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.547581200972 destination_price: 5965.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.5419224106652 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.15016349475384 init_vol_normal: 51.547581200972 last_aggressive_qty: 6 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.177 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 5964.915 total_dollar: 298262.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.547581200972 worst_opt_t_minutes: 0
2025-05-19 11:19:02	EP	SIM:ESM5	Buy	50	-0.1650	-0.2900	5,965.6250	5,965.1250	5,965.4600	5,965.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.625 avg_total: 5965.46 curr_cost_per_share: 0.28 curr_half_min_move: 0.54196783489442 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 51.551901947076 destination_price: 5965.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54196783489442 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.05319526798047 init_vol_normal: 51.551901947076 last_aggressive_qty: 16 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.082 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.28999999999996 sweep_residual: 0 sweep_to_fill: 5965.75 total_dollar: 298273 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.551901947076 worst_opt_t_minutes: 0
2025-05-19 11:18:29	EP	SIM:ESM5	Sell	50	-0.0600	-0.1850	5,966.3750	5,966.6250	5,966.4350	5,966.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.375 avg_total: 5966.435 curr_cost_per_share: 0.16 curr_half_min_move: 0.54203597123826 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 51.558383066231 destination_price: 5966.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54203597123826 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053181895055233 init_vol_normal: 51.558383066231 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 2 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.072 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.1850000000004 sweep_residual: 0 sweep_to_fill: 5966.25 total_dollar: 298321.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.558383066231 worst_opt_t_minutes: 0
2025-05-19 11:18:27	EP	SIM:ESM5	Buy	50	0.0100	-0.2300	5,966.6250	5,966.3750	5,966.6350	5,966.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.625 avg_total: 5966.635 curr_cost_per_share: 0.26 curr_half_min_move: 0.54205868335287 curr_liq_cost: 13 curr_opt_t_minutes: 0.021527078127862 daily_vol_normal: 51.560543439283 destination_price: 5966.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54205868335287 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19603330941208 init_vol_normal: 51.560543439283 last_aggressive_qty: last_tactical_qty: 42 level_tactical_limit: mbo_max: mbo_min: model_size: 42 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.207 slip_toler: 0 slippage: 0.010000000000218 slippage_sweep: -0.22999999999956 sweep_residual: 0 sweep_to_fill: 5966.865 total_dollar: 298331.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.560543439283 worst_opt_t_minutes: 0.021527078127862
2025-05-19 11:17:54	EP	SIM:ESM5	Sell	50	0.5750	0.3350	5,967.3750	5,966.8750	5,966.8000	5,967.1350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5967.375 avg_total: 5966.8 curr_cost_per_share: 0.17 curr_half_min_move: 0.5421268196967 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.17539772105761 daily_vol_normal: 51.567024558438 destination_price: 5966.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.5421268196967 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19598403624163 init_vol_normal: 51.567024558438 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: 12.212 slip_toler: 0 slippage: 0.57499999999982 slippage_sweep: 0.33500000000004 sweep_residual: 0 sweep_to_fill: 5967.135 total_dollar: 298340 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.567024558438 worst_opt_t_minutes: 0.17539772105761
2025-05-19 11:17:42	EP	SIM:ESM5	Buy	50	0.5650	0.3250	5,966.3750	5,967.6250	5,966.9400	5,966.6150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.375 avg_total: 5966.94 curr_cost_per_share: 0.145 curr_half_min_move: 0.54203597123826 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.13799839474813 daily_vol_normal: 51.558383066231 destination_price: 5967.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54203597123826 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19604973793161 init_vol_normal: 51.558383066231 last_aggressive_qty: 1 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.274 slip_toler: 0 slippage: 0.5649999999996 slippage_sweep: 0.32499999999982 sweep_residual: 0 sweep_to_fill: 5966.615 total_dollar: 298347 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.558383066231 worst_opt_t_minutes: 0.13799839474813
2025-05-19 11:16:59	EP	SIM:ESM5	Sell	50	-0.0050	-0.1700	5,965.8750	5,966.1250	5,965.8800	5,965.7100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.875 avg_total: 5965.88 curr_cost_per_share: 0.215 curr_half_min_move: 0.54199054700903 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.554062320128 destination_price: 5966.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54199054700903 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092679666957759 init_vol_normal: 51.554062320128 last_aggressive_qty: 19 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 26 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.117 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.17000000000007 sweep_residual: 0 sweep_to_fill: 5965.71 total_dollar: 298294 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.554062320128 worst_opt_t_minutes: 0
2025-05-19 11:16:56	EP	SIM:ESM5	Buy	50	0.0450	-0.1500	5,966.1250	5,965.8750	5,966.1700	5,966.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.125 avg_total: 5966.17 curr_cost_per_share: 0.295 curr_half_min_move: 0.54201325912364 curr_liq_cost: 14.75 curr_opt_t_minutes: 0.061731326176839 daily_vol_normal: 51.556222693179 destination_price: 5965.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.54201325912364 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.12943430655966 init_vol_normal: 51.556222693179 last_aggressive_qty: last_tactical_qty: 33 level_tactical_limit: mbo_max: mbo_min: model_size: 33 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.171 slip_toler: 0 slippage: 0.045000000000073 slippage_sweep: -0.14999999999964 sweep_residual: 0 sweep_to_fill: 5966.32 total_dollar: 298308.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.556222693179 worst_opt_t_minutes: 0.061731326176839
2025-05-19 11:16:21	EP	SIM:ESM5	Sell	50	0.0850	-0.0800	5,966.1250	5,966.1250	5,966.0400	5,965.9600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.125 avg_total: 5966.04 curr_cost_per_share: 0.175 curr_half_min_move: 0.54201325912364 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.10424525018776 daily_vol_normal: 51.556222693179 destination_price: 5966.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54201325912364 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092671899962836 init_vol_normal: 51.556222693179 last_aggressive_qty: 7 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: 9.188 slip_toler: 0 slippage: 0.085000000000036 slippage_sweep: -0.079999999999927 sweep_residual: 0 sweep_to_fill: 5965.96 total_dollar: 298302 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.556222693179 worst_opt_t_minutes: 0.10424525018776
2025-05-19 11:16:11	EP	SIM:ESM5	Buy	50	0.0050	-0.2000	5,966.6250	5,966.1250	5,966.6300	5,966.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.625 avg_total: 5966.63 curr_cost_per_share: 0.25 curr_half_min_move: 0.54205868335287 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.560543439283 destination_price: 5966.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.54205868335287 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.1430260386813 init_vol_normal: 51.560543439283 last_aggressive_qty: 8 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.182 slip_toler: 0 slippage: 0.0050000000001091 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5966.83 total_dollar: 298331.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.560543439283 worst_opt_t_minutes: 0
2025-05-19 11:15:37	EP	SIM:ESM5	Sell	50	0.4100	0.2150	5,966.6250	5,965.8750	5,966.2150	5,966.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.625 avg_total: 5966.215 curr_cost_per_share: 0.175 curr_half_min_move: 0.54205868335287 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.18344261774348 daily_vol_normal: 51.560543439283 destination_price: 5965.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.54205868335287 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.12941261441657 init_vol_normal: 51.560543439283 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.387 slip_toler: 0 slippage: 0.40999999999985 slippage_sweep: 0.21500000000015 sweep_residual: 0 sweep_to_fill: 5966.43 total_dollar: 298310.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.560543439283 worst_opt_t_minutes: 0.18344261774348
2025-05-19 11:15:22	EP	SIM:ESM5	Buy	50	0.2200	0.0250	5,965.8750	5,966.6250	5,966.0950	5,966.0700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.875 avg_total: 5966.095 curr_cost_per_share: 0.125 curr_half_min_move: 0.54199054700903 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11110785851809 daily_vol_normal: 51.554062320128 destination_price: 5966.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.54199054700903 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.12944515467654 init_vol_normal: 51.554062320128 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: 8.246 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: 0.025000000000546 sweep_residual: 0 sweep_to_fill: 5966.07 total_dollar: 298304.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.554062320128 worst_opt_t_minutes: 0.11110785851809

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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