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 10:49:31	EP	SIM:ESM5	Sell	50	0.5450	0.2800	5,912.8750	5,912.1250	5,912.3300	5,912.6100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5912.33 curr_cost_per_share: 0.185 curr_half_min_move: 0.40139746188621 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.36464800623032 daily_vol_normal: 38.180868429201 destination_price: 5912.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40139746188621 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43585547305488 init_vol_normal: 38.180868429201 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 26.621 slip_toler: 0 slippage: 0.54500000000007 slippage_sweep: 0.27999999999975 sweep_residual: 0 sweep_to_fill: 5912.61 total_dollar: 295616.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0.36464800623032
2025-06-02 10:49:04	EP	SIM:ESM5	Buy	50	-0.0400	-0.3250	5,913.1250	5,912.8750	5,913.0850	5,913.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.125 avg_total: 5913.085 curr_cost_per_share: 0.245 curr_half_min_move: 0.40141443321834 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.182482739855 destination_price: 5912.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40141443321834 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50408497431764 init_vol_normal: 38.182482739855 last_aggressive_qty: 11 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.726 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.32499999999982 sweep_residual: 0 sweep_to_fill: 5913.41 total_dollar: 295654.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.182482739855 worst_opt_t_minutes: 0
2025-06-02 10:48:28	EP	SIM:ESM5	Sell	50	-0.0600	-0.3100	5,912.6250	5,912.8750	5,912.6850	5,912.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.625 avg_total: 5912.685 curr_cost_per_share: 0.16 curr_half_min_move: 0.40138049055408 curr_liq_cost: 8 curr_opt_t_minutes: 0 daily_vol_normal: 38.179254118547 destination_price: 5912.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.40138049055408 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.38794262359261 init_vol_normal: 38.179254118547 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: 8.547 slip_toler: 0 slippage: -0.0600000000004 slippage_sweep: -0.3100000000004 sweep_residual: 0 sweep_to_fill: 5912.375 total_dollar: 295634.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.179254118547 worst_opt_t_minutes: 0
2025-06-02 10:48:18	EP	SIM:ESM5	Buy	50	0.1600	-0.0800	5,912.8750	5,912.6250	5,913.0350	5,913.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.875 avg_total: 5913.035 curr_cost_per_share: 0.255 curr_half_min_move: 0.40139746188621 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.0277317572373 daily_vol_normal: 38.180868429201 destination_price: 5912.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40139746188621 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: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.345 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.079999999999927 sweep_residual: 0 sweep_to_fill: 5913.115 total_dollar: 295651.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.180868429201 worst_opt_t_minutes: 0.0277317572373
2025-06-02 10:47:32	EP	SIM:ESM5	Sell	50	-0.0050	-0.3100	5,913.8750	5,914.1250	5,913.8800	5,913.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5913.88 curr_cost_per_share: 0.265 curr_half_min_move: 0.40146534721473 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.04977744423467 daily_vol_normal: 38.187325671816 destination_price: 5914.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.40146534721473 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.57716973391893 init_vol_normal: 38.187325671816 last_aggressive_qty: last_tactical_qty: 29 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.488 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.3100000000004 sweep_residual: 0 sweep_to_fill: 5913.57 total_dollar: 295694 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0.04977744423467
2025-06-02 10:47:24	EP	SIM:ESM5	Buy	50	-0.1650	-0.4750	5,914.5000	5,914.1250	5,914.3350	5,914.8100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.5 avg_total: 5914.335 curr_cost_per_share: 0.18 curr_half_min_move: 0.40150777554505 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 38.191361448451 destination_price: 5914.125 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.40150777554505 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.59612243574112 init_vol_normal: 38.191361448451 last_aggressive_qty: last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.236 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.47500000000036 sweep_residual: 0 sweep_to_fill: 5914.81 total_dollar: 295716.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 38.191361448451 worst_opt_t_minutes: 0
2025-06-02 10:46:51	EP	SIM:ESM5	Sell	50	0.2500	-0.0350	5,914.1250	5,914.1250	5,913.8750	5,913.8400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5914.125 avg_total: 5913.875 curr_cost_per_share: 0.235 curr_half_min_move: 0.40148231854686 curr_liq_cost: 11.75 curr_opt_t_minutes: 0.34261224252383 daily_vol_normal: 38.18893998247 destination_price: 5914.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40148231854686 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50391452057942 init_vol_normal: 38.18893998247 last_aggressive_qty: last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.468 slip_toler: 0 slippage: 0.25 slippage_sweep: -0.034999999999854 sweep_residual: 0 sweep_to_fill: 5913.84 total_dollar: 295693.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.18893998247 worst_opt_t_minutes: 0.34261224252383
2025-06-02 10:46:27	EP	SIM:ESM5	Buy	50	0.7100	0.5850	5,912.3750	5,913.8750	5,913.0850	5,912.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.375 avg_total: 5913.085 curr_cost_per_share: 0.125 curr_half_min_move: 0.40136351922194 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20260604972521 daily_vol_normal: 38.177639807893 destination_price: 5913.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40136351922194 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096993857991759 init_vol_normal: 38.177639807893 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.23 slip_toler: 0 slippage: 0.71000000000004 slippage_sweep: 0.58500000000004 sweep_residual: 0 sweep_to_fill: 5912.5 total_dollar: 295654.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.177639807893 worst_opt_t_minutes: 0.20260604972521
2025-06-02 10:45:32	EP	SIM:ESM5	Sell	50	0.6900	0.5150	5,910.3750	5,909.3750	5,909.6850	5,910.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.375 avg_total: 5909.685 curr_cost_per_share: 0.14 curr_half_min_move: 0.4012277485649 curr_liq_cost: 7 curr_opt_t_minutes: 0.23911128256681 daily_vol_normal: 38.164725322662 destination_price: 5909.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.4012277485649 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.19023664393987 init_vol_normal: 38.164725322662 last_aggressive_qty: 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: 15.343 slip_toler: 0 slippage: 0.6899999999996 slippage_sweep: 0.51499999999942 sweep_residual: 0 sweep_to_fill: 5910.2 total_dollar: 295484.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.164725322662 worst_opt_t_minutes: 0.23911128256681
2025-06-02 10:45:17	EP	SIM:ESM5	Buy	50	-0.1200	-0.3850	5,910.6250	5,910.3750	5,910.5050	5,910.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.625 avg_total: 5910.505 curr_cost_per_share: 0.29 curr_half_min_move: 0.40124471989703 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.10175817925111 daily_vol_normal: 38.166339633316 destination_price: 5910.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40124471989703 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43618737077173 init_vol_normal: 38.166339633316 last_aggressive_qty: 23 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.504 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.38500000000022 sweep_residual: 0 sweep_to_fill: 5910.89 total_dollar: 295525.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.166339633316 worst_opt_t_minutes: 0.10175817925111
2025-06-02 10:44:37	EP	SIM:ESM5	Sell	50	-0.0400	-0.2250	5,910.6250	5,910.6250	5,910.6650	5,910.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.625 avg_total: 5910.665 curr_cost_per_share: 0.19 curr_half_min_move: 0.40124471989703 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.22422732765909 daily_vol_normal: 38.166339633316 destination_price: 5910.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40124471989703 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.21258117144411 init_vol_normal: 38.166339633316 last_aggressive_qty: 21 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: 20.389 slip_toler: 0 slippage: -0.039999999999964 slippage_sweep: -0.22500000000036 sweep_residual: 0 sweep_to_fill: 5910.44 total_dollar: 295533.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.166339633316 worst_opt_t_minutes: 0.22422732765909
2025-06-02 10:44:15	EP	SIM:ESM5	Buy	50	-0.1950	-0.3700	5,911.1250	5,910.6250	5,910.9300	5,911.3000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.125 avg_total: 5910.93 curr_cost_per_share: 0.29 curr_half_min_move: 0.40127866256129 curr_liq_cost: 14.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.169568254624 destination_price: 5910.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40127866256129 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.19018837277946 init_vol_normal: 38.169568254624 last_aggressive_qty: 17 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.436 slip_toler: 0 slippage: -0.19499999999971 slippage_sweep: -0.36999999999989 sweep_residual: 0 sweep_to_fill: 5911.3 total_dollar: 295546.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.169568254624 worst_opt_t_minutes: 0
2025-06-02 10:43:36	EP	SIM:ESM5	Sell	50	-0.2700	-0.5700	5,909.5000	5,910.1250	5,909.7700	5,909.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5909.5 avg_total: 5909.77 curr_cost_per_share: 0.33 curr_half_min_move: 0.40116834890244 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.159075235374 destination_price: 5910.125 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40116834890244 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55922835974462 init_vol_normal: 38.159075235374 last_aggressive_qty: last_tactical_qty: 46 level_tactical_limit: mbo_max: mbo_min: model_size: 46 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.273 slip_toler: 0 slippage: -0.27000000000044 slippage_sweep: -0.57000000000062 sweep_residual: 0 sweep_to_fill: 5909.2 total_dollar: 295488.5 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 38.159075235374 worst_opt_t_minutes: 0
2025-06-02 10:43:34	EP	SIM:ESM5	Buy	50	1.1400	0.9850	5,908.3750	5,909.8750	5,909.5150	5,908.5300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5908.375 avg_total: 5909.515 curr_cost_per_share: 0.125 curr_half_min_move: 0.40109197790786 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20288047324422 daily_vol_normal: 38.151810837432 destination_price: 5909.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40109197790786 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.14933975844582 init_vol_normal: 38.151810837432 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.459 slip_toler: 0 slippage: 1.1400000000003 slippage_sweep: 0.98500000000058 sweep_residual: 0 sweep_to_fill: 5908.53 total_dollar: 295475.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.151810837432 worst_opt_t_minutes: 0.20288047324422
2025-06-02 10:42:42	EP	SIM:ESM5	Sell	50	0.1700	0.0450	5,907.1250	5,907.6250	5,906.9550	5,907.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5907.125 avg_total: 5906.955 curr_cost_per_share: 0.22 curr_half_min_move: 0.4010071212472 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.143739284163 destination_price: 5907.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.4010071212472 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.097166342589574 init_vol_normal: 38.143739284163 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: 12.201 slip_toler: 0 slippage: 0.17000000000007 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 5907 total_dollar: 295347.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.143739284163 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect