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 11:14:43	EP	SIM:ESM5	Sell	50	0.4150	0.0950	5,965.8750	5,965.1250	5,965.4600	5,965.5550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.875 avg_total: 5965.46 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: 5965.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.54199054700903 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.34859129096325 init_vol_normal: 51.554062320128 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.419 slip_toler: 0 slippage: 0.41499999999996 slippage_sweep: 0.095000000000255 sweep_residual: 0 sweep_to_fill: 5965.555 total_dollar: 298273 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.554062320128 worst_opt_t_minutes: 0.11110785851809
2025-05-19 11:14:28	EP	SIM:ESM5	Buy	50	-0.0750	-0.2000	5,966.1250	5,965.8750	5,966.0500	5,966.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5966.125 avg_total: 5966.05 curr_cost_per_share: 0.195 curr_half_min_move: 0.54201325912364 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.556222693179 destination_price: 5965.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54201325912364 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053186352136614 init_vol_normal: 51.556222693179 last_aggressive_qty: 6 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.031 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5966.25 total_dollar: 298302.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.556222693179 worst_opt_t_minutes: 0
2025-05-19 11:13:57	EP	SIM:ESM5	Sell	50	-0.1100	-0.3250	5,965.8750	5,966.1250	5,965.9850	5,965.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.875 avg_total: 5965.985 curr_cost_per_share: 0.19 curr_half_min_move: 0.54199054700903 curr_liq_cost: 9.5 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: 0.215 init_drift: 0 init_half_min_move: 0.54199054700903 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.15735969164821 init_vol_normal: 51.554062320128 last_aggressive_qty: 29 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.208 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.32499999999982 sweep_residual: 0 sweep_to_fill: 5965.66 total_dollar: 298299.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.554062320128 worst_opt_t_minutes: 0
2025-05-19 11:13:53	EP	SIM:ESM5	Buy	50	0.4650	0.2950	5,965.8750	5,965.8750	5,966.3400	5,966.0450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.875 avg_total: 5966.34 curr_cost_per_share: 0.185 curr_half_min_move: 0.54199054700903 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.11650914973845 daily_vol_normal: 51.554062320128 destination_price: 5965.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.54199054700903 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.098381721765996 init_vol_normal: 51.554062320128 last_aggressive_qty: 1 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: 10.431 slip_toler: 0 slippage: 0.46500000000015 slippage_sweep: 0.29500000000007 sweep_residual: 0 sweep_to_fill: 5966.045 total_dollar: 298317 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.554062320128 worst_opt_t_minutes: 0.11650914973845
2025-05-19 11:13:12	EP	SIM:ESM5	Sell	50	0.0150	-0.2200	5,965.6250	5,965.8750	5,965.6100	5,965.3900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.625 avg_total: 5965.61 curr_cost_per_share: 0.15 curr_half_min_move: 0.54196783489442 curr_liq_cost: 7.5 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: 0.235 init_drift: 0 init_half_min_move: 0.54196783489442 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.18801335515017 init_vol_normal: 51.551901947076 last_aggressive_qty: 7 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: 4.279 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.21999999999935 sweep_residual: 0 sweep_to_fill: 5965.39 total_dollar: 298280.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.551901947076 worst_opt_t_minutes: 0
2025-05-19 11:13:08	EP	SIM:ESM5	Buy	50	-0.0100	-0.1350	5,965.8750	5,965.8750	5,965.8650	5,966.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5965.875 avg_total: 5965.865 curr_cost_per_share: 0.125 curr_half_min_move: 0.54199054700903 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.053190809778328 daily_vol_normal: 51.554062320128 destination_price: 5965.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54199054700903 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053190809778328 init_vol_normal: 51.554062320128 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.079 slip_toler: 0 slippage: -0.010000000000218 slippage_sweep: -0.13500000000022 sweep_residual: 0 sweep_to_fill: 5966 total_dollar: 298293.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.554062320128 worst_opt_t_minutes: 0.053190809778328
2025-05-19 11:12:30	EP	SIM:ESM5	Sell	50	0.0250	-0.1000	5,964.6250	5,964.8750	5,964.6000	5,964.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.625 avg_total: 5964.6 curr_cost_per_share: 0.25 curr_half_min_move: 0.54187698643598 curr_liq_cost: 12.5 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: 0.125 init_drift: 0 init_half_min_move: 0.54187698643598 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053213106395194 init_vol_normal: 51.543260454869 last_aggressive_qty: 7 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: 7.14 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.10000000000036 sweep_residual: 0 sweep_to_fill: 5964.5 total_dollar: 298230 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.543260454869 worst_opt_t_minutes: 0
2025-05-19 11:12:22	EP	SIM:ESM5	Buy	50	0.1300	-0.1100	5,964.6250	5,964.6250	5,964.7550	5,964.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.625 avg_total: 5964.755 curr_cost_per_share: 0.155 curr_half_min_move: 0.54187698643598 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.08182047239325 daily_vol_normal: 51.543260454869 destination_price: 5964.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54187698643598 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19616479541524 init_vol_normal: 51.543260454869 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.28 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 5964.865 total_dollar: 298237.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.543260454869 worst_opt_t_minutes: 0.08182047239325
2025-05-19 11:11:40	EP	SIM:ESM5	Sell	50	0.1150	-0.0600	5,964.3750	5,964.3750	5,964.2600	5,964.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.375 avg_total: 5964.26 curr_cost_per_share: 0.155 curr_half_min_move: 0.54185427432137 curr_liq_cost: 7.75 curr_opt_t_minutes: 0.081827331635598 daily_vol_normal: 51.541100081817 destination_price: 5964.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.54185427432137 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.10430643210573 init_vol_normal: 51.541100081817 last_aggressive_qty: 2 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.12 slip_toler: 0 slippage: 0.11499999999978 slippage_sweep: -0.0600000000004 sweep_residual: 0 sweep_to_fill: 5964.2 total_dollar: 298213 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.541100081817 worst_opt_t_minutes: 0.081827331635598
2025-05-19 11:11:34	EP	SIM:ESM5	Buy	50	-0.0950	-0.2400	5,964.6250	5,964.3750	5,964.5300	5,964.7700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.625 avg_total: 5964.53 curr_cost_per_share: 0.14 curr_half_min_move: 0.54187698643598 curr_liq_cost: 7 curr_opt_t_minutes: 0 daily_vol_normal: 51.543260454869 destination_price: 5964.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.54187698643598 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.071603555965372 init_vol_normal: 51.543260454869 last_aggressive_qty: 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: 5.119 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.24000000000069 sweep_residual: 0 sweep_to_fill: 5964.77 total_dollar: 298226.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.543260454869 worst_opt_t_minutes: 0
2025-05-19 11:10:59	EP	SIM:ESM5	Sell	50	-0.2500	-0.4900	5,964.1250	5,964.6250	5,964.3750	5,963.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.125 avg_total: 5964.375 curr_cost_per_share: 0.18 curr_half_min_move: 0.54183156220676 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 51.538939708765 destination_price: 5964.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.54183156220676 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.19619768758603 init_vol_normal: 51.538939708765 last_aggressive_qty: 21 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.332 slip_toler: 0 slippage: -0.25 slippage_sweep: -0.48999999999978 sweep_residual: 0 sweep_to_fill: 5963.885 total_dollar: 298218.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.538939708765 worst_opt_t_minutes: 0
2025-05-19 11:10:53	EP	SIM:ESM5	Buy	50	0.5000	0.2400	5,963.3750	5,964.1250	5,963.8750	5,963.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.375 avg_total: 5963.875 curr_cost_per_share: 0.215 curr_half_min_move: 0.54176342586293 curr_liq_cost: 10.75 curr_opt_t_minutes: 0.25384593009398 daily_vol_normal: 51.53245858961 destination_price: 5964.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.54176342586293 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.23031770825806 init_vol_normal: 51.53245858961 last_aggressive_qty: 6 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: 15.343 slip_toler: 0 slippage: 0.5 slippage_sweep: 0.23999999999978 sweep_residual: 0 sweep_to_fill: 5963.635 total_dollar: 298193.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.53245858961 worst_opt_t_minutes: 0.25384593009398
2025-05-19 11:10:07	EP	SIM:ESM5	Sell	50	0.2500	0.0350	5,963.3750	5,963.3750	5,963.1250	5,963.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.375 avg_total: 5963.125 curr_cost_per_share: 0.185 curr_half_min_move: 0.54176342586293 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.11660685747237 daily_vol_normal: 51.53245858961 destination_price: 5963.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.54176342586293 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.15749165775487 init_vol_normal: 51.53245858961 last_aggressive_qty: 3 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: 14.367 slip_toler: 0 slippage: 0.25 slippage_sweep: 0.034999999999854 sweep_residual: 0 sweep_to_fill: 5963.16 total_dollar: 298156.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.53245858961 worst_opt_t_minutes: 0.11660685747237
2025-05-19 11:09:53	EP	SIM:ESM5	Buy	50	0.1750	-0.1300	5,963.6250	5,963.3750	5,963.8000	5,963.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.625 avg_total: 5963.8 curr_cost_per_share: 0.25 curr_half_min_move: 0.54178613797754 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.534618962662 destination_price: 5963.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.54178613797754 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.31691580645009 init_vol_normal: 51.534618962662 last_aggressive_qty: 14 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: 9.445 slip_toler: 0 slippage: 0.17500000000018 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5963.93 total_dollar: 298190 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.534618962662 worst_opt_t_minutes: 0
2025-05-19 11:09:13	EP	SIM:ESM5	Sell	50	-0.0950	-0.2800	5,963.6250	5,963.8750	5,963.7200	5,963.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.625 avg_total: 5963.72 curr_cost_per_share: 0.215 curr_half_min_move: 0.54178613797754 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.534618962662 destination_price: 5963.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54178613797754 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.11659708116909 init_vol_normal: 51.534618962662 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.219 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.28000000000065 sweep_residual: 0 sweep_to_fill: 5963.44 total_dollar: 298186 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.534618962662 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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