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 11:02:59	EP	SIM:ESM5	Sell	50	0.0450	-0.2000	5,961.3750	5,961.6250	5,961.3300	5,961.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.375 avg_total: 5961.33 curr_cost_per_share: 0.18 curr_half_min_move: 0.54158172894604 curr_liq_cost: 9 curr_opt_t_minutes: 0 daily_vol_normal: 51.515175605196 destination_price: 5961.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.54158172894604 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20464642392237 init_vol_normal: 51.515175605196 last_aggressive_qty: 2 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.293 slip_toler: 0 slippage: 0.045000000000073 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5961.13 total_dollar: 298066.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.515175605196 worst_opt_t_minutes: 0
2025-05-19 11:02:50	EP	SIM:ESM5	Buy	50	0.4000	0.1350	5,961.3750	5,961.6250	5,961.7750	5,961.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.375 avg_total: 5961.775 curr_cost_per_share: 0.185 curr_half_min_move: 0.54158172894604 curr_liq_cost: 9.25 curr_opt_t_minutes: 0.20030651668516 daily_vol_normal: 51.515175605196 destination_price: 5961.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.54158172894604 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.23942182623821 init_vol_normal: 51.515175605196 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.404 slip_toler: 0 slippage: 0.39999999999964 slippage_sweep: 0.13499999999931 sweep_residual: 0 sweep_to_fill: 5961.64 total_dollar: 298088.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.515175605196 worst_opt_t_minutes: 0.20030651668516
2025-05-19 11:02:03	EP	SIM:ESM5	Sell	50	0.4150	0.1400	5,961.8750	5,961.1250	5,961.4600	5,961.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.875 avg_total: 5961.46 curr_cost_per_share: 0.145 curr_half_min_move: 0.54162715317527 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.13820679466857 daily_vol_normal: 51.5194963513 destination_price: 5961.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.275 init_drift: 0 init_half_min_move: 0.54162715317527 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.2577890883068 init_vol_normal: 51.5194963513 last_aggressive_qty: 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: 11.294 slip_toler: 0 slippage: 0.41499999999996 slippage_sweep: 0.14000000000033 sweep_residual: 0 sweep_to_fill: 5961.6 total_dollar: 298073 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.5194963513 worst_opt_t_minutes: 0.13820679466857
2025-05-19 11:01:51	EP	SIM:ESM5	Buy	50	-0.1250	-0.4050	5,962.1250	5,961.8750	5,962.0000	5,962.4050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.125 avg_total: 5962 curr_cost_per_share: 0.265 curr_half_min_move: 0.54164986528988 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.027345851124955 daily_vol_normal: 51.521656724352 destination_price: 5961.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.54164986528988 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.26722604479411 init_vol_normal: 51.521656724352 last_aggressive_qty: 30 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.095 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 5962.405 total_dollar: 298100 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.521656724352 worst_opt_t_minutes: 0.027345851124955
2025-05-19 11:01:19	EP	SIM:ESM5	Sell	50	0.0850	-0.1200	5,962.3750	5,962.6250	5,962.2900	5,962.1700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.375 avg_total: 5962.29 curr_cost_per_share: 0.195 curr_half_min_move: 0.54167257740449 curr_liq_cost: 9.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.523817097403 destination_price: 5962.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.205 init_drift: 0 init_half_min_move: 0.54167257740449 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 0.14323001018826 init_vol_normal: 51.523817097403 last_aggressive_qty: 2 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: 7.219 slip_toler: 0 slippage: 0.085000000000036 slippage_sweep: -0.11999999999989 sweep_residual: 0 sweep_to_fill: 5962.17 total_dollar: 298114.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.523817097403 worst_opt_t_minutes: 0
2025-05-19 11:01:12	EP	SIM:ESM5	Buy	50	0.1050	-0.0700	5,962.6250	5,962.3750	5,962.7300	5,962.8000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.625 avg_total: 5962.73 curr_cost_per_share: 0.345 curr_half_min_move: 0.5416952895191 curr_liq_cost: 17.25 curr_opt_t_minutes: 0.12964114699206 daily_vol_normal: 51.525977470455 destination_price: 5962.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.175 init_drift: 0 init_half_min_move: 0.5416952895191 init_liq_cost: 8.75 init_min_duration: 0 init_opt_t_minutes: 0.10436766790135 init_vol_normal: 51.525977470455 last_aggressive_qty: 4 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.175 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.070000000000618 sweep_residual: 0 sweep_to_fill: 5962.8 total_dollar: 298136.5 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.525977470455 worst_opt_t_minutes: 0.12964114699206
2025-05-19 11:00:32	EP	SIM:ESM5	Sell	50	0.1450	-0.1100	5,962.6250	5,962.3750	5,962.4800	5,962.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.625 avg_total: 5962.48 curr_cost_per_share: 0.125 curr_half_min_move: 0.5416952895191 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.1112290128591 daily_vol_normal: 51.525977470455 destination_price: 5962.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.5416952895191 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.22160024833584 init_vol_normal: 51.525977470455 last_aggressive_qty: 3 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.335 slip_toler: 0 slippage: 0.14500000000044 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 5962.37 total_dollar: 298124 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.525977470455 worst_opt_t_minutes: 0.1112290128591
2025-05-19 11:00:23	EP	SIM:ESM5	Buy	50	-0.0350	-0.2000	5,962.8750	5,962.6250	5,962.8400	5,963.0400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.875 avg_total: 5962.84 curr_cost_per_share: 0.275 curr_half_min_move: 0.54171800163371 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.038577416151574 daily_vol_normal: 51.528137843507 destination_price: 5962.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54171800163371 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092772947109831 init_vol_normal: 51.528137843507 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: 3.144 slip_toler: 0 slippage: -0.034999999999854 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 5963.04 total_dollar: 298142 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.528137843507 worst_opt_t_minutes: 0.038577416151574
2025-05-19 10:59:50	EP	SIM:ESM5	Sell	50	0.0200	-0.1950	5,962.6250	5,962.8750	5,962.6050	5,962.4100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.625 avg_total: 5962.605 curr_cost_per_share: 0.27 curr_half_min_move: 0.5416952895191 curr_liq_cost: 13.5 curr_opt_t_minutes: 0.032970214141003 daily_vol_normal: 51.525977470455 destination_price: 5962.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.215 init_drift: 0 init_half_min_move: 0.5416952895191 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.15753127995885 init_vol_normal: 51.525977470455 last_aggressive_qty: 4 last_tactical_qty: 27 level_tactical_limit: mbo_max: mbo_min: model_size: 27 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.232 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.19499999999971 sweep_residual: 0 sweep_to_fill: 5962.41 total_dollar: 298130.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.525977470455 worst_opt_t_minutes: 0.032970214141003
2025-05-19 10:59:43	EP	SIM:ESM5	Buy	50	-0.0950	-0.2200	5,963.1250	5,962.6250	5,963.0300	5,963.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.125 avg_total: 5963.03 curr_cost_per_share: 0.28 curr_half_min_move: 0.54174071374832 curr_liq_cost: 14 curr_opt_t_minutes: 0 daily_vol_normal: 51.530298216559 destination_price: 5962.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.54174071374832 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.053239880846089 init_vol_normal: 51.530298216559 last_aggressive_qty: last_tactical_qty: 25 level_tactical_limit: mbo_max: mbo_min: model_size: 25 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.071 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5963.25 total_dollar: 298151.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.530298216559 worst_opt_t_minutes: 0
2025-05-19 10:59:10	EP	SIM:ESM5	Sell	50	0.1400	-0.0500	5,962.1250	5,962.1250	5,961.9850	5,961.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.125 avg_total: 5961.985 curr_cost_per_share: 0.135 curr_half_min_move: 0.54164986528988 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.062119829928222 daily_vol_normal: 51.521656724352 destination_price: 5962.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.54164986528988 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.12304668644218 init_vol_normal: 51.521656724352 last_aggressive_qty: 11 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.257 slip_toler: 0 slippage: 0.14000000000033 slippage_sweep: -0.049999999999272 sweep_residual: 0 sweep_to_fill: 5961.935 total_dollar: 298099.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.521656724352 worst_opt_t_minutes: 0.062119829928222
2025-05-19 10:59:05	EP	SIM:ESM5	Buy	50	0.7500	0.5050	5,961.3750	5,962.1250	5,962.1250	5,961.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.375 avg_total: 5962.125 curr_cost_per_share: 0.175 curr_half_min_move: 0.54158172894604 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.18376586458432 daily_vol_normal: 51.515175605196 destination_price: 5962.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.54158172894604 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.20464642392237 init_vol_normal: 51.515175605196 last_aggressive_qty: 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: 15.544 slip_toler: 0 slippage: 0.75 slippage_sweep: 0.50500000000011 sweep_residual: 0 sweep_to_fill: 5961.62 total_dollar: 298106.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.515175605196 worst_opt_t_minutes: 0.18376586458432
2025-05-19 10:58:19	EP	SIM:ESM5	Sell	50	0.8050	0.5550	5,962.6250	5,960.6250	5,961.8200	5,962.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.625 avg_total: 5961.82 curr_cost_per_share: 0.125 curr_half_min_move: 0.5416952895191 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.1112290128591 daily_vol_normal: 51.525977470455 destination_price: 5960.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.5416952895191 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 0.21299524061499 init_vol_normal: 51.525977470455 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: 20.512 slip_toler: 0 slippage: 0.80500000000029 slippage_sweep: 0.55500000000029 sweep_residual: 0 sweep_to_fill: 5962.375 total_dollar: 298091 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.525977470455 worst_opt_t_minutes: 0.1112290128591
2025-05-19 10:57:59	EP	SIM:ESM5	Buy	50	0.2200	-0.0650	5,962.6250	5,962.6250	5,962.8450	5,962.9100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.625 avg_total: 5962.845 curr_cost_per_share: 0.175 curr_half_min_move: 0.5416952895191 curr_liq_cost: 8.75 curr_opt_t_minutes: 0.10436766790135 daily_vol_normal: 51.525977470455 destination_price: 5962.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.5416952895191 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.27680861470325 init_vol_normal: 51.525977470455 last_aggressive_qty: 3 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.335 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: -0.0649999999996 sweep_residual: 0 sweep_to_fill: 5962.91 total_dollar: 298142.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.525977470455 worst_opt_t_minutes: 0.10436766790135
2025-05-19 10:57:18	EP	SIM:ESM5	Sell	50	0.2600	-0.0750	5,962.8750	5,962.8750	5,962.6150	5,962.5400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5962.875 avg_total: 5962.615 curr_cost_per_share: 0.19 curr_half_min_move: 0.54171800163371 curr_liq_cost: 9.5 curr_opt_t_minutes: 0.1230157351943 daily_vol_normal: 51.528137843507 destination_price: 5962.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.335 init_drift: 0 init_half_min_move: 0.54171800163371 init_liq_cost: 16.75 init_min_duration: 0 init_opt_t_minutes: 0.38242218510196 init_vol_normal: 51.528137843507 last_aggressive_qty: 2 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.418 slip_toler: 0 slippage: 0.26000000000022 slippage_sweep: -0.074999999999818 sweep_residual: 0 sweep_to_fill: 5962.54 total_dollar: 298130.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 51.528137843507 worst_opt_t_minutes: 0.1230157351943

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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