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 10:33:47	EP	SIM:ESM5	Sell	50	-0.2050	-0.4300	5,903.6250	5,903.8750	5,903.8300	5,903.4000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5903.625 avg_total: 5903.83 curr_cost_per_share: 0.255 curr_half_min_move: 0.40076952259738 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.027818727434625 daily_vol_normal: 38.121138935009 destination_price: 5903.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.40076952259738 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.3151923453021 init_vol_normal: 38.121138935009 last_aggressive_qty: 4 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.434 slip_toler: 0 slippage: -0.20499999999993 slippage_sweep: -0.43000000000029 sweep_residual: 0 sweep_to_fill: 5903.4 total_dollar: 295191.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.121138935009 worst_opt_t_minutes: 0.027818727434625
2025-06-02 10:33:43	EP	SIM:ESM5	Buy	50	-0.6450	-0.8600	5,905.1250	5,903.6250	5,904.4800	5,905.3400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.125 avg_total: 5904.48 curr_cost_per_share: 0.225 curr_half_min_move: 0.40087135059016 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.130824798932 destination_price: 5903.625 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.40087135059016 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.2876516577908 init_vol_normal: 38.130824798932 last_aggressive_qty: 2 last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.293 slip_toler: 0 slippage: -0.64500000000044 slippage_sweep: -0.86000000000058 sweep_residual: 0 sweep_to_fill: 5905.34 total_dollar: 295224 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 38.130824798932 worst_opt_t_minutes: 0
2025-06-02 10:33:10	EP	SIM:ESM5	Sell	50	-0.1100	-0.4100	5,905.8750	5,906.1250	5,905.9850	5,905.5750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.875 avg_total: 5905.985 curr_cost_per_share: 0.22 curr_half_min_move: 0.40092226458655 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 38.135667730893 destination_price: 5906.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40092226458655 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55991507422744 init_vol_normal: 38.135667730893 last_aggressive_qty: 26 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.301 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.40999999999985 sweep_residual: 0 sweep_to_fill: 5905.575 total_dollar: 295299.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.135667730893 worst_opt_t_minutes: 0
2025-06-02 10:33:02	EP	SIM:ESM5	Buy	50	-0.1250	-0.4250	5,906.6250	5,906.3750	5,906.5000	5,906.9250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5906.625 avg_total: 5906.5 curr_cost_per_share: 0.24 curr_half_min_move: 0.40097317858294 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 38.140510662855 destination_price: 5906.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.40097317858294 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.55977289162918 init_vol_normal: 38.140510662855 last_aggressive_qty: 16 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.483 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.42500000000018 sweep_residual: 0 sweep_to_fill: 5906.925 total_dollar: 295325 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.140510662855 worst_opt_t_minutes: 0
2025-06-02 10:32:20	EP	SIM:ESM5	Sell	50	-0.1600	-0.4250	5,905.8750	5,906.3750	5,906.0350	5,905.6100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.875 avg_total: 5906.035 curr_cost_per_share: 0.375 curr_half_min_move: 0.40092226458655 curr_liq_cost: 18.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.135667730893 destination_price: 5906.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.40092226458655 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.43688928986247 init_vol_normal: 38.135667730893 last_aggressive_qty: 22 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.452 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.42500000000018 sweep_residual: 0 sweep_to_fill: 5905.61 total_dollar: 295301.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.135667730893 worst_opt_t_minutes: 0
2025-06-02 10:32:14	EP	SIM:ESM5	Buy	50	0.4000	0.1450	5,906.3750	5,905.8750	5,906.7750	5,906.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5906.375 avg_total: 5906.775 curr_cost_per_share: 0.285 curr_half_min_move: 0.40095620725081 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.138896352201 destination_price: 5905.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40095620725081 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.40447015216306 init_vol_normal: 38.138896352201 last_aggressive_qty: 1 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 17 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 31.788 slip_toler: 0 slippage: 0.39999999999964 slippage_sweep: 0.14499999999953 sweep_residual: 0 sweep_to_fill: 5906.63 total_dollar: 295338.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.138896352201 worst_opt_t_minutes: 0
2025-06-02 10:31:12	EP	SIM:ESM5	Sell	50	0.0300	-0.2700	5,906.6250	5,906.6250	5,906.5950	5,906.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5906.625 avg_total: 5906.595 curr_cost_per_share: 0.24 curr_half_min_move: 0.59335239408548 curr_liq_cost: 12 curr_opt_t_minutes: 0.16360519333001 daily_vol_normal: 56.439593773892 destination_price: 5906.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.59278748087558 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.25612057201601 init_vol_normal: 56.385859311199 last_aggressive_qty: 16 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: 14.438 slip_toler: 0 slippage: 0.029999999999745 slippage_sweep: -0.27000000000044 sweep_residual: 0 sweep_to_fill: 5906.325 total_dollar: 295329.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.140510662855 worst_opt_t_minutes: 0.35825465064267
2025-06-02 10:30:57	EP	SIM:ESM5	Buy	50	1.2150	0.8600	5,905.6250	5,906.6250	5,906.8400	5,905.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.625 avg_total: 5906.84 curr_cost_per_share: 0.275 curr_half_min_move: 0.5926871211133 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.31715688538122 daily_vol_normal: 56.376313105149 destination_price: 5906.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.59229815967633 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 0.35923276380626 init_vol_normal: 56.339315149608 last_aggressive_qty: 4 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 20.539 slip_toler: 0 slippage: 1.2150000000001 slippage_sweep: 0.86000000000058 sweep_residual: 0 sweep_to_fill: 5905.98 total_dollar: 295342 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.13405342024 worst_opt_t_minutes: 0.69317284992967
2025-06-02 10:30:06	EP	SIM:ESM5	Sell	50	-0.4550	-0.6400	5,905.3750	5,905.8750	5,905.8300	5,905.1900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.375 avg_total: 5905.83 curr_cost_per_share: 0.2 curr_half_min_move: 0.59155540586652 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 56.268664514812 destination_price: 5905.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.59141235907611 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.09785041340738 init_vol_normal: 56.25505792483 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: 3.144 slip_toler: 0 slippage: -0.45499999999993 slippage_sweep: -0.64000000000033 sweep_residual: 0 sweep_to_fill: 5905.19 total_dollar: 295291.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.132439109586 worst_opt_t_minutes: 0
2025-06-02 10:30:03	EP	SIM:ESM5	Buy	50	-0.0300	-0.4200	5,905.6250	5,905.3750	5,905.5950	5,906.0150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.625 avg_total: 5905.595 curr_cost_per_share: 0.3 curr_half_min_move: 0.59143739611267 curr_liq_cost: 15 curr_opt_t_minutes: 0.056966740178171 daily_vol_normal: 56.257439444121 destination_price: 5905.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.39 init_drift: 0 init_half_min_move: 0.59129430297109 init_liq_cost: 19.5 init_min_duration: 0 init_opt_t_minutes: 0.43503262190984 init_vol_normal: 56.243828445221 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: 7.247 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.42000000000007 sweep_residual: 0 sweep_to_fill: 5906.015 total_dollar: 295279.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.13405342024 worst_opt_t_minutes: 0.12398106138022
2025-06-02 10:29:24	EP	SIM:ESM5	Sell	50	-0.2700	-0.4550	5,904.6250	5,905.3750	5,904.8950	5,904.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.625 avg_total: 5904.895 curr_cost_per_share: 0.29 curr_half_min_move: 0.590493021173 curr_liq_cost: 14.5 curr_opt_t_minutes: 0 daily_vol_normal: 56.167610636659 destination_price: 5905.375 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.59041405933981 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.098181593279305 init_vol_normal: 56.160099798524 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.123 slip_toler: 0 slippage: -0.27000000000044 slippage_sweep: -0.45500000000084 sweep_residual: 0 sweep_to_fill: 5904.44 total_dollar: 295244.75 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.127596177624 worst_opt_t_minutes: 0
2025-06-02 10:29:21	EP	SIM:ESM5	Buy	50	0.1550	-0.0250	5,904.8750	5,904.6250	5,905.0300	5,905.0550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.875 avg_total: 5905.03 curr_cost_per_share: 0.39 curr_half_min_move: 0.59043905728885 curr_liq_cost: 19.5 curr_opt_t_minutes: 0.17214214955137 daily_vol_normal: 56.162477599815 destination_price: 5904.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.59035861948833 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.092963655620156 init_vol_normal: 56.154826367882 last_aggressive_qty: 3 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: 11.202 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.025000000000546 sweep_residual: 0 sweep_to_fill: 5905.055 total_dollar: 295251.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.129210488278 worst_opt_t_minutes: 0.37347721613637
2025-06-02 10:28:39	EP	SIM:ESM5	Sell	50	-0.0950	-0.2650	5,903.6250	5,903.8750	5,903.7200	5,903.4550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5903.625 avg_total: 5903.72 curr_cost_per_share: 0.265 curr_half_min_move: 0.58956344765632 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.023081691084804 daily_vol_normal: 56.079189738408 destination_price: 5903.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.58956344765632 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.083145115899816 init_vol_normal: 56.079189738408 last_aggressive_qty: 15 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.093 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.26500000000033 sweep_residual: 0 sweep_to_fill: 5903.455 total_dollar: 295186 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.121138935009 worst_opt_t_minutes: 0.049950443613799
2025-06-02 10:28:35	EP	SIM:ESM5	Buy	50	-0.1000	-0.4200	5,904.1250	5,903.6250	5,904.0250	5,904.4450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.125 avg_total: 5904.025 curr_cost_per_share: 0.31 curr_half_min_move: 0.5896133799816 curr_liq_cost: 15.5 curr_opt_t_minutes: 0 daily_vol_normal: 56.083939293956 destination_price: 5903.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.58954161983222 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.29462596357314 init_vol_normal: 56.077113478942 last_aggressive_qty: 14 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.386 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.42000000000007 sweep_residual: 0 sweep_to_fill: 5904.445 total_dollar: 295201.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.124367556317 worst_opt_t_minutes: 0
2025-06-02 10:28:02	EP	SIM:ESM5	Sell	50	0.0200	-0.2050	5,904.6250	5,904.8750	5,904.6050	5,904.4000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.625 avg_total: 5904.605 curr_cost_per_share: 0.28 curr_half_min_move: 0.58899954492278 curr_liq_cost: 14 curr_opt_t_minutes: 0.037418149636225 daily_vol_normal: 56.025551392079 destination_price: 5904.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.58899954492278 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.14592681973292 init_vol_normal: 56.025551392079 last_aggressive_qty: last_tactical_qty: 43 level_tactical_limit: mbo_max: mbo_min: model_size: 43 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.215 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5904.4 total_dollar: 295230.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.127596177624 worst_opt_t_minutes: 0.080793372287694

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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