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 10:42:29	EP	SIM:ESM5	Buy	50	-0.0150	-0.2600	5,907.3750	5,907.1250	5,907.3600	5,907.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5907.375 avg_total: 5907.36 curr_cost_per_share: 0.205 curr_half_min_move: 0.40102409257933 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.145353594816 destination_price: 5907.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40102409257933 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37324262844441 init_vol_normal: 38.145353594816 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: 4.355 slip_toler: 0 slippage: -0.015000000000327 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 5907.62 total_dollar: 295368 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.145353594816 worst_opt_t_minutes: 0
2025-06-02 10:41:55	EP	SIM:ESM5	Sell	50	0.0000	-0.3000	5,907.6250	5,907.8750	5,907.6250	5,907.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5907.625 avg_total: 5907.625 curr_cost_per_share: 0.195 curr_half_min_move: 0.40104106391146 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.14696790547 destination_price: 5907.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40104106391146 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.5595833990617 init_vol_normal: 38.14696790547 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.578 slip_toler: 0 slippage: 0 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5907.325 total_dollar: 295381.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.14696790547 worst_opt_t_minutes: 0
2025-06-02 10:41:44	EP	SIM:ESM5	Buy	50	1.1050	0.8600	5,906.3750	5,907.6250	5,907.4800	5,906.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5906.375 avg_total: 5907.48 curr_cost_per_share: 0.2 curr_half_min_move: 0.40095620725081 curr_liq_cost: 10 curr_opt_t_minutes: 0.41304814189416 daily_vol_normal: 38.138896352201 destination_price: 5907.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40095620725081 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.37336902550692 init_vol_normal: 38.138896352201 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 27.592 slip_toler: 0 slippage: 1.1049999999996 slippage_sweep: 0.85999999999967 sweep_residual: 0 sweep_to_fill: 5906.62 total_dollar: 295374 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.138896352201 worst_opt_t_minutes: 0.41304814189416
2025-06-02 10:40:46	EP	SIM:ESM5	Sell	50	-0.1200	-0.4050	5,906.3750	5,906.6250	5,906.4950	5,906.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5906.375 avg_total: 5906.495 curr_cost_per_share: 0.25 curr_half_min_move: 0.40095620725081 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.138896352201 destination_price: 5906.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40095620725081 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50523780252894 init_vol_normal: 38.138896352201 last_aggressive_qty: 23 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.583 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 5906.09 total_dollar: 295324.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.138896352201 worst_opt_t_minutes: 0
2025-06-02 10:40:42	EP	SIM:ESM5	Buy	50	0.8150	0.6400	5,903.8750	5,906.3750	5,904.6900	5,904.0500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5903.875 avg_total: 5904.69 curr_cost_per_share: 0.195 curr_half_min_move: 0.40078649392951 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.39720786273283 daily_vol_normal: 38.122753245663 destination_price: 5906.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.40078649392951 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.19065576490109 init_vol_normal: 38.122753245663 last_aggressive_qty: 14 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 32.393 slip_toler: 0 slippage: 0.8149999999996 slippage_sweep: 0.63999999999942 sweep_residual: 0 sweep_to_fill: 5904.05 total_dollar: 295234.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.122753245663 worst_opt_t_minutes: 0.39720786273283
2025-06-02 10:39:39	EP	SIM:ESM5	Sell	50	1.3900	1.0500	5,907.1250	5,905.3750	5,905.7350	5,906.7850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5907.125 avg_total: 5905.735 curr_cost_per_share: 0.185 curr_half_min_move: 0.4010071212472 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.36535824903479 daily_vol_normal: 38.143739284163 destination_price: 5905.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.4010071212472 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.71887546901471 init_vol_normal: 38.143739284163 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.891 slip_toler: 0 slippage: 1.3900000000003 slippage_sweep: 1.0500000000002 sweep_residual: 0 sweep_to_fill: 5906.785 total_dollar: 295286.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.143739284163 worst_opt_t_minutes: 0.36535824903479
2025-06-02 10:39:14	EP	SIM:ESM5	Buy	50	0.0550	-0.1850	5,904.1250	5,906.8750	5,904.1800	5,904.3650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.125 avg_total: 5904.18 curr_cost_per_share: 0.125 curr_half_min_move: 0.40080346526164 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20317265958769 daily_vol_normal: 38.124367556317 destination_price: 5906.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.40080346526164 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.35855810839384 init_vol_normal: 38.124367556317 last_aggressive_qty: 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: 28.658 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.18499999999949 sweep_residual: 0 sweep_to_fill: 5904.365 total_dollar: 295209 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.124367556317 worst_opt_t_minutes: 0.20317265958769
2025-06-02 10:38:15	EP	SIM:ESM5	Sell	50	-0.0450	-0.3000	5,904.8750	5,905.1250	5,904.9200	5,904.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.875 avg_total: 5904.92 curr_cost_per_share: 0.24 curr_half_min_move: 0.40085437925803 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.129210488278 destination_price: 5905.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40085437925803 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.40467567125978 init_vol_normal: 38.129210488278 last_aggressive_qty: 28 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: 8.576 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5904.62 total_dollar: 295246 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.129210488278 worst_opt_t_minutes: 0
2025-06-02 10:38:06	EP	SIM:ESM5	Buy	50	-0.1450	-0.3300	5,905.1250	5,904.8750	5,904.9800	5,905.3100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.125 avg_total: 5904.98 curr_cost_per_share: 0.22 curr_half_min_move: 0.40087135059016 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.130824798932 destination_price: 5904.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.40087135059016 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.2129773496569 init_vol_normal: 38.130824798932 last_aggressive_qty: 35 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.145 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.33000000000084 sweep_residual: 0 sweep_to_fill: 5905.31 total_dollar: 295249 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.130824798932 worst_opt_t_minutes: 0
2025-06-02 10:37:35	EP	SIM:ESM5	Sell	50	0.7500	0.4800	5,905.3750	5,904.1250	5,904.6250	5,905.1050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.375 avg_total: 5904.625 curr_cost_per_share: 0.125 curr_half_min_move: 0.40088832192229 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20308665693898 daily_vol_normal: 38.132439109586 destination_price: 5904.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.40088832192229 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.45360801310627 init_vol_normal: 38.132439109586 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: 30.644 slip_toler: 0 slippage: 0.75 slippage_sweep: 0.47999999999956 sweep_residual: 0 sweep_to_fill: 5905.105 total_dollar: 295231.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.132439109586 worst_opt_t_minutes: 0.20308665693898
2025-06-02 10:37:04	EP	SIM:ESM5	Buy	50	1.2050	0.9400	5,904.1250	5,905.3750	5,905.3300	5,904.3900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.125 avg_total: 5905.33 curr_cost_per_share: 0.21 curr_half_min_move: 0.40080346526164 curr_liq_cost: 10.5 curr_opt_t_minutes: 0.44667369525962 daily_vol_normal: 38.124367556317 destination_price: 5905.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40080346526164 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43714831878398 init_vol_normal: 38.124367556317 last_aggressive_qty: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 32.901 slip_toler: 0 slippage: 1.2049999999999 slippage_sweep: 0.9399999999996 sweep_residual: 0 sweep_to_fill: 5904.39 total_dollar: 295266.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.124367556317 worst_opt_t_minutes: 0.44667369525962
2025-06-02 10:36:01	EP	SIM:ESM5	Sell	50	0.1400	-0.0050	5,902.8750	5,903.1250	5,902.7350	5,902.7300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5902.875 avg_total: 5902.735 curr_cost_per_share: 0.325 curr_half_min_move: 0.40071860860098 curr_liq_cost: 16.25 curr_opt_t_minutes: 0.18390182299155 daily_vol_normal: 38.116296003047 destination_price: 5903.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40071860860098 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.13093537098865 init_vol_normal: 38.116296003047 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.291 slip_toler: 0 slippage: 0.14000000000033 slippage_sweep: -0.0050000000001091 sweep_residual: 0 sweep_to_fill: 5902.73 total_dollar: 295136.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.116296003047 worst_opt_t_minutes: 0.18390182299155
2025-06-02 10:35:45	EP	SIM:ESM5	Buy	50	0.2200	-0.0450	5,902.8750	5,902.8750	5,903.0950	5,903.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5902.875 avg_total: 5903.095 curr_cost_per_share: 0.135 curr_half_min_move: 0.40071860860098 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.113498080203 daily_vol_normal: 38.116296003047 destination_price: 5902.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40071860860098 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43733348050785 init_vol_normal: 38.116296003047 last_aggressive_qty: 22 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 39 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.447 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: -0.045000000000073 sweep_residual: 0 sweep_to_fill: 5903.14 total_dollar: 295154.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.116296003047 worst_opt_t_minutes: 0.113498080203
2025-06-02 10:35:06	EP	SIM:ESM5	Sell	50	1.4900	1.1600	5,904.8750	5,902.8750	5,903.3850	5,904.5450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.875 avg_total: 5903.385 curr_cost_per_share: 0.23 curr_half_min_move: 0.40085437925803 curr_liq_cost: 11.5 curr_opt_t_minutes: 0.51689650439347 daily_vol_normal: 38.129210488278 destination_price: 5902.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.40085437925803 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.67772672972225 init_vol_normal: 38.129210488278 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 34.57 slip_toler: 0 slippage: 1.4899999999998 slippage_sweep: 1.1599999999999 sweep_residual: 0 sweep_to_fill: 5904.545 total_dollar: 295169.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.129210488278 worst_opt_t_minutes: 0.51689650439347
2025-06-02 10:34:31	EP	SIM:ESM5	Buy	50	0.1650	-0.1200	5,905.1250	5,904.8750	5,905.2900	5,905.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.125 avg_total: 5905.29 curr_cost_per_share: 0.22 curr_half_min_move: 0.40087135059016 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.130824798932 destination_price: 5904.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.40087135059016 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.50545172318135 init_vol_normal: 38.130824798932 last_aggressive_qty: 22 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 32 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.55 slip_toler: 0 slippage: 0.16499999999996 slippage_sweep: -0.11999999999989 sweep_residual: 0 sweep_to_fill: 5905.41 total_dollar: 295264.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.130824798932 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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