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

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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 11:09:10	EP	SIM:ESM5	Buy	50	-0.1650	-0.3700	5,964.1250	5,963.6250	5,963.9600	5,964.3300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.125 avg_total: 5963.96 curr_cost_per_share: 0.285 curr_half_min_move: 0.54183156220676 curr_liq_cost: 14.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.538939708765 destination_price: 5963.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.54183156220676 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.14314596911116 init_vol_normal: 51.538939708765 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.156 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.36999999999989 sweep_residual: 0 sweep_to_fill: 5964.33 total_dollar: 298198 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.538939708765 worst_opt_t_minutes: 0
2025-05-19 11:08:37	EP	SIM:ESM5	Sell	50	0.0350	-0.1350	5,963.8750	5,964.1250	5,963.8400	5,963.7050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.875 avg_total: 5963.84 curr_cost_per_share: 0.245 curr_half_min_move: 0.54180885009215 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 51.536779335714 destination_price: 5964.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.54180885009215 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.098447717929927 init_vol_normal: 51.536779335714 last_aggressive_qty: last_tactical_qty: 19 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.173 slip_toler: 0 slippage: 0.034999999999854 slippage_sweep: -0.13500000000022 sweep_residual: 0 sweep_to_fill: 5963.705 total_dollar: 298192 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.536779335714 worst_opt_t_minutes: 0
2025-05-19 11:08:27	EP	SIM:ESM5	Buy	50	0.6450	0.3500	5,963.1250	5,964.1250	5,963.7700	5,963.4200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.125 avg_total: 5963.77 curr_cost_per_share: 0.14 curr_half_min_move: 0.54174071374832 curr_liq_cost: 7 curr_opt_t_minutes: 0.13115928467388 daily_vol_normal: 51.530298216559 destination_price: 5964.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.54174071374832 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.29652484036038 init_vol_normal: 51.530298216559 last_aggressive_qty: 1 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: 12.295 slip_toler: 0 slippage: 0.64500000000044 slippage_sweep: 0.35000000000036 sweep_residual: 0 sweep_to_fill: 5963.42 total_dollar: 298188.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.530298216559 worst_opt_t_minutes: 0.13115928467388
2025-05-19 11:07:43	EP	SIM:ESM5	Sell	50	0.0150	-0.1800	5,962.8750	5,962.8750	5,962.8600	5,962.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.875 avg_total: 5962.86 curr_cost_per_share: 0.175 curr_half_min_move: 0.54171800163371 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.10435891662952 daily_vol_normal: 51.528137843507 destination_price: 5962.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.54171800163371 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.1295754385253 init_vol_normal: 51.528137843507 last_aggressive_qty: 26 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: 7.191 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.17999999999938 sweep_residual: 0 sweep_to_fill: 5962.68 total_dollar: 298143 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.528137843507 worst_opt_t_minutes: 0.10435891662952
2025-05-19 11:07:36	EP	SIM:ESM5	Buy	50	0.0850	-0.2250	5,963.1250	5,962.8750	5,963.2100	5,963.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.125 avg_total: 5963.21 curr_cost_per_share: 0.315 curr_half_min_move: 0.54174071374832 curr_liq_cost: 15.75 curr_opt_t_minutes: 0.087074384307688 daily_vol_normal: 51.530298216559 destination_price: 5962.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.54174071374832 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.32744656315579 init_vol_normal: 51.530298216559 last_aggressive_qty: last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.238 slip_toler: 0 slippage: 0.085000000000036 slippage_sweep: -0.22500000000036 sweep_residual: 0 sweep_to_fill: 5963.435 total_dollar: 298160.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.530298216559 worst_opt_t_minutes: 0.087074384307688
2025-05-19 11:06:59	EP	SIM:ESM5	Sell	50	0.5000	0.2400	5,963.1250	5,963.1250	5,962.6250	5,962.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.125 avg_total: 5962.625 curr_cost_per_share: 0.255 curr_half_min_move: 0.54174071374832 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.22156308812909 daily_vol_normal: 51.530298216559 destination_price: 5963.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.54174071374832 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.23033702049252 init_vol_normal: 51.530298216559 last_aggressive_qty: 5 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.318 slip_toler: 0 slippage: 0.5 slippage_sweep: 0.23999999999978 sweep_residual: 0 sweep_to_fill: 5962.865 total_dollar: 298131.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.530298216559 worst_opt_t_minutes: 0.22156308812909
2025-05-19 11:06:45	EP	SIM:ESM5	Buy	50	0.0400	-0.2500	5,963.3750	5,963.1250	5,963.4150	5,963.6650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.375 avg_total: 5963.415 curr_cost_per_share: 0.24 curr_half_min_move: 0.54176342586293 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 51.53245858961 destination_price: 5963.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.54176342586293 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.28653430864649 init_vol_normal: 51.53245858961 last_aggressive_qty: 1 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: 6.288 slip_toler: 0 slippage: 0.039999999999964 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 5963.665 total_dollar: 298170.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.53245858961 worst_opt_t_minutes: 0
2025-05-19 11:06:09	EP	SIM:ESM5	Sell	50	-0.0900	-0.3550	5,962.5000	5,962.8750	5,962.5900	5,962.2350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.5 avg_total: 5962.59 curr_cost_per_share: 0.28 curr_half_min_move: 0.54168393346179 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 51.524897283929 destination_price: 5962.875 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.54168393346179 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.23933148690264 init_vol_normal: 51.524897283929 last_aggressive_qty: last_tactical_qty: 25 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.222 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.35500000000047 sweep_residual: 0 sweep_to_fill: 5962.235 total_dollar: 298129.5 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 51.524897283929 worst_opt_t_minutes: 0
2025-05-19 11:06:03	EP	SIM:ESM5	Buy	50	0.2400	-0.0100	5,962.5000	5,962.3750	5,962.7400	5,962.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.5 avg_total: 5962.74 curr_cost_per_share: 0.285 curr_half_min_move: 0.54168393346179 curr_liq_cost: 14.25 curr_opt_t_minutes: 0.16017148074207 daily_vol_normal: 51.524897283929 destination_price: 5962.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.54168393346179 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.21300417132666 init_vol_normal: 51.524897283929 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.4 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: -0.010000000000218 sweep_residual: 0 sweep_to_fill: 5962.75 total_dollar: 298137 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.524897283929 worst_opt_t_minutes: 0.16017148074207
2025-05-19 11:05:19	EP	SIM:ESM5	Sell	50	-0.1000	-0.2850	5,964.1250	5,964.3750	5,964.2250	5,963.9400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.125 avg_total: 5964.225 curr_cost_per_share: 0.2 curr_half_min_move: 0.54183156220676 curr_liq_cost: 10 curr_opt_t_minutes: 0 daily_vol_normal: 51.538939708765 destination_price: 5964.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54183156220676 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.11657753225055 init_vol_normal: 51.538939708765 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.189 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.28500000000076 sweep_residual: 0 sweep_to_fill: 5963.94 total_dollar: 298211.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.538939708765 worst_opt_t_minutes: 0
2025-05-19 11:05:12	EP	SIM:ESM5	Buy	50	-0.0700	-0.2950	5,964.6250	5,964.1250	5,964.5550	5,964.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.625 avg_total: 5964.555 curr_cost_per_share: 0.345 curr_half_min_move: 0.54187698643598 curr_liq_cost: 17.25 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: 0.225 init_drift: 0 init_half_min_move: 0.54187698643598 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.17241046472043 init_vol_normal: 51.543260454869 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.22 slip_toler: 0 slippage: -0.069999999999709 slippage_sweep: -0.29500000000007 sweep_residual: 0 sweep_to_fill: 5964.85 total_dollar: 298227.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.543260454869 worst_opt_t_minutes: 0
2025-05-19 11:04:36	EP	SIM:ESM5	Sell	50	-0.0050	-0.1300	5,964.3750	5,964.6250	5,964.3800	5,964.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5964.375 avg_total: 5964.38 curr_cost_per_share: 0.14 curr_half_min_move: 0.54185427432137 curr_liq_cost: 7 curr_opt_t_minutes: 0 daily_vol_normal: 51.541100081817 destination_price: 5964.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54185427432137 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053217567400883 init_vol_normal: 51.541100081817 last_aggressive_qty: last_tactical_qty: 26 level_tactical_limit: mbo_max: mbo_min: model_size: 26 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.105 slip_toler: 0 slippage: -0.0050000000001091 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5964.25 total_dollar: 298219 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.541100081817 worst_opt_t_minutes: 0
2025-05-19 11:04:31	EP	SIM:ESM5	Buy	50	0.1450	0.0150	5,963.8750	5,964.6250	5,964.0200	5,964.0050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.875 avg_total: 5964.02 curr_cost_per_share: 0.125 curr_half_min_move: 0.54180885009215 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.1111823915951 daily_vol_normal: 51.536779335714 destination_price: 5964.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.54180885009215 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.057569772768711 init_vol_normal: 51.536779335714 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: 8.135 slip_toler: 0 slippage: 0.14500000000044 slippage_sweep: 0.015000000000327 sweep_residual: 0 sweep_to_fill: 5964.005 total_dollar: 298201 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.536779335714 worst_opt_t_minutes: 0.1111823915951
2025-05-19 11:03:52	EP	SIM:ESM5	Sell	50	0.0900	-0.2400	5,962.1250	5,962.6250	5,962.0350	5,961.7950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.125 avg_total: 5962.035 curr_cost_per_share: 0.28 curr_half_min_move: 0.54164986528988 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 51.521656724352 destination_price: 5962.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.54164986528988 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.37118515660814 init_vol_normal: 51.521656724352 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.493 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.23999999999978 sweep_residual: 0 sweep_to_fill: 5961.795 total_dollar: 298101.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.521656724352 worst_opt_t_minutes: 0
2025-05-19 11:03:43	EP	SIM:ESM5	Buy	50	0.0550	-0.2550	5,961.8750	5,962.1250	5,961.9300	5,962.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.875 avg_total: 5961.93 curr_cost_per_share: 0.195 curr_half_min_move: 0.54162715317527 curr_liq_cost: 9.75 curr_opt_t_minutes: 0.21749192411156 daily_vol_normal: 51.5194963513 destination_price: 5962.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.54162715317527 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.32758388609962 init_vol_normal: 51.5194963513 last_aggressive_qty: last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 13.419 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.25500000000011 sweep_residual: 0 sweep_to_fill: 5962.185 total_dollar: 298096.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.5194963513 worst_opt_t_minutes: 0.21749192411156

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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