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
2025-06-02 10:27:59	EP	SIM:ESM5	Buy	50	0.2100	0.0000	5,904.8750	5,904.6250	5,905.0850	5,905.0850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5904.875 avg_total: 5905.085 curr_cost_per_share: 0.32 curr_half_min_move: 0.58902448298171 curr_liq_cost: 16 curr_opt_t_minutes: 0.079318590243295 daily_vol_normal: 56.027923496632 destination_price: 5904.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.58879282108277 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.12720775177106 init_vol_normal: 56.005887850363 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.235 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 5905.085 total_dollar: 295254.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.129210488278 worst_opt_t_minutes: 0.17126491964898
2025-06-02 10:27:18	EP	SIM:ESM5	Sell	50	-0.1600	-0.3700	5,905.6250	5,906.1250	5,905.7850	5,905.4150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.625 avg_total: 5905.785 curr_cost_per_share: 0.33 curr_half_min_move: 0.58836881256443 curr_liq_cost: 16.5 curr_opt_t_minutes: 0 daily_vol_normal: 55.965556221519 destination_price: 5906.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.58836881256443 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.12739116259819 init_vol_normal: 55.965556221519 last_aggressive_qty: last_tactical_qty: 35 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.135 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -0.36999999999989 sweep_residual: 0 sweep_to_fill: 5905.415 total_dollar: 295289.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.13405342024 worst_opt_t_minutes: 0
2025-06-02 10:27:16	EP	SIM:ESM5	Buy	50	0.2500	-0.0900	5,905.7500	5,905.6250	5,906.0000	5,906.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5905.75 avg_total: 5906 curr_cost_per_share: 0.26 curr_half_min_move: 0.58838126613227 curr_liq_cost: 13 curr_opt_t_minutes: 0.1054083747671 daily_vol_normal: 55.966740803088 destination_price: 5905.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.58813468924797 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.33419830494601 init_vol_normal: 55.943286445572 last_aggressive_qty: last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.385 slip_toler: 0 slippage: 0.25 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 5906.09 total_dollar: 295300 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.134860575567 worst_opt_t_minutes: 0.2270339602713
2025-06-02 10:26:36	EP	SIM:ESM5	Sell	50	1.1500	0.8500	5,906.8750	5,905.6250	5,905.7250	5,906.5750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5906.875 avg_total: 5905.725 curr_cost_per_share: 0.235 curr_half_min_move: 0.58752816049492 curr_liq_cost: 11.75 curr_opt_t_minutes: 0.24916047354015 daily_vol_normal: 55.885593518442 destination_price: 5905.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.3 init_drift: 0 init_half_min_move: 0.58727820287285 init_liq_cost: 15 init_min_duration: 0 init_opt_t_minutes: 0.26094846425661 init_vol_normal: 55.861817585639 last_aggressive_qty: 6 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: 16.35 slip_toler: 0 slippage: 1.1499999999996 slippage_sweep: 0.84999999999945 sweep_residual: 0 sweep_to_fill: 5906.575 total_dollar: 295286.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.142124973509 worst_opt_t_minutes: 0.5348957081096
2025-06-02 10:26:19	EP	SIM:ESM5	Buy	50	-0.2000	-0.5400	5,907.3750	5,906.8750	5,907.1750	5,907.7150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5907.375 avg_total: 5907.175 curr_cost_per_share: 0.245 curr_half_min_move: 0.58732791428564 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 55.866546128023 destination_price: 5906.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.58709850855773 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.33537901111989 init_vol_normal: 55.844725088415 last_aggressive_qty: last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.292 slip_toler: 0 slippage: -0.19999999999982 slippage_sweep: -0.53999999999996 sweep_residual: 0 sweep_to_fill: 5907.715 total_dollar: 295358.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.145353594816 worst_opt_t_minutes: 0
2025-06-02 10:25:45	EP	SIM:ESM5	Sell	50	1.4600	1.1650	5,911.3750	5,909.3750	5,909.9150	5,911.0800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.375 avg_total: 5909.915 curr_cost_per_share: 0.13 curr_half_min_move: 0.58683220447106 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.10029861549973 daily_vol_normal: 55.819394282268 destination_price: 5909.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.58658193750307 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.2529220309621 init_vol_normal: 55.795588924525 last_aggressive_qty: 3 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.44 slip_toler: 0 slippage: 1.46 slippage_sweep: 1.165 sweep_residual: 0 sweep_to_fill: 5911.08 total_dollar: 295495.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.171182565278 worst_opt_t_minutes: 0.21448352935928
2025-06-02 10:25:30	EP	SIM:ESM5	Buy	50	-0.1850	-0.4400	5,911.8750	5,911.3750	5,911.6900	5,912.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.875 avg_total: 5911.69 curr_cost_per_share: 0.255 curr_half_min_move: 0.58663155218134 curr_liq_cost: 12.75 curr_opt_t_minutes: 0 daily_vol_normal: 55.800308265535 destination_price: 5911.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.58663155218134 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.18895114368583 init_vol_normal: 55.800308265535 last_aggressive_qty: 11 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.186 slip_toler: 0 slippage: -0.1850000000004 slippage_sweep: -0.44000000000051 sweep_residual: 0 sweep_to_fill: 5912.13 total_dollar: 295584.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.174411186586 worst_opt_t_minutes: 0
2025-06-02 10:24:56	EP	SIM:ESM5	Sell	50	1.0400	0.7350	5,912.6250	5,911.1250	5,911.5850	5,912.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.625 avg_total: 5911.585 curr_cost_per_share: 0.28 curr_half_min_move: 0.58634369415142 curr_liq_cost: 14 curr_opt_t_minutes: 0.33394669441644 daily_vol_normal: 55.772927251428 destination_price: 5911.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.58618164262486 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.27072929451527 init_vol_normal: 55.757512933695 last_aggressive_qty: 10 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 22.51 slip_toler: 0 slippage: 1.04 slippage_sweep: 0.73499999999967 sweep_residual: 0 sweep_to_fill: 5912.32 total_dollar: 295579.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.179254118547 worst_opt_t_minutes: 0.71263828121106
2025-06-02 10:24:34	EP	SIM:ESM5	Buy	50	0.2100	0.0100	5,912.6250	5,912.6250	5,912.8350	5,912.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.625 avg_total: 5912.835 curr_cost_per_share: 0.23 curr_half_min_move: 0.58614039758608 curr_liq_cost: 11.5 curr_opt_t_minutes: 0.15397576230827 daily_vol_normal: 55.753589711582 destination_price: 5912.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.58602254097206 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.11647463252844 init_vol_normal: 55.742379207528 last_aggressive_qty: 4 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 10.262 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5912.825 total_dollar: 295641.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.179254118547 worst_opt_t_minutes: 0.32835463660878
2025-06-02 10:23:53	EP	SIM:ESM5	Sell	50	0.0950	-0.1900	5,911.3750	5,912.1250	5,911.2800	5,911.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.375 avg_total: 5911.28 curr_cost_per_share: 0.235 curr_half_min_move: 0.58531790008229 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 55.675353868166 destination_price: 5912.125 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.285 init_drift: 0 init_half_min_move: 0.58514379304634 init_liq_cost: 14.25 init_min_duration: 0 init_opt_t_minutes: 0.23722721745808 init_vol_normal: 55.658792832127 last_aggressive_qty: 7 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.322 slip_toler: 0 slippage: 0.095000000000255 slippage_sweep: -0.1899999999996 sweep_residual: 0 sweep_to_fill: 5911.09 total_dollar: 295564 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 38.171182565278 worst_opt_t_minutes: 0
2025-06-02 10:23:40	EP	SIM:ESM5	Buy	50	1.0700	0.6600	5,910.1250	5,911.6250	5,911.1950	5,910.5350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.125 avg_total: 5911.195 curr_cost_per_share: 0.24 curr_half_min_move: 0.58493596374804 curr_liq_cost: 12 curr_opt_t_minutes: 0.26014297065801 daily_vol_normal: 55.639024139378 destination_price: 5911.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.41 init_drift: 0 init_half_min_move: 0.58474554147945 init_liq_cost: 20.5 init_min_duration: 0 init_opt_t_minutes: 0.4916249046634 init_vol_normal: 55.620911200774 last_aggressive_qty: 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: 17.385 slip_toler: 0 slippage: 1.0699999999997 slippage_sweep: 0.65999999999985 sweep_residual: 0 sweep_to_fill: 5910.535 total_dollar: 295559.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.163111012009 worst_opt_t_minutes: 0.55294707168871
2025-06-02 10:22:53	EP	SIM:ESM5	Sell	50	-0.0700	-0.3400	5,910.1250	5,910.3750	5,910.1950	5,909.8550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.125 avg_total: 5910.195 curr_cost_per_share: 0.285 curr_half_min_move: 0.58425662705685 curr_liq_cost: 14.25 curr_opt_t_minutes: 0.042964549960243 daily_vol_normal: 55.574405731719 destination_price: 5910.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.58422411161554 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.21358393060763 init_vol_normal: 55.571312867652 last_aggressive_qty: 20 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: 7.308 slip_toler: 0 slippage: -0.069999999999709 slippage_sweep: -0.34000000000015 sweep_residual: 0 sweep_to_fill: 5909.855 total_dollar: 295509.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.163111012009 worst_opt_t_minutes: 0.091111328791927
2025-06-02 10:22:45	EP	SIM:ESM5	Buy	50	-0.0650	-0.3750	5,910.8750	5,910.2500	5,910.8100	5,911.1850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.875 avg_total: 5910.81 curr_cost_per_share: 0.37 curr_half_min_move: 0.58429825016316 curr_liq_cost: 18.5 curr_opt_t_minutes: 0 daily_vol_normal: 55.578364915562 destination_price: 5910.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.31 init_drift: 0 init_half_min_move: 0.58407210409111 init_liq_cost: 15.5 init_min_duration: 0 init_opt_t_minutes: 0.28170234285949 init_vol_normal: 55.556853933947 last_aggressive_qty: 9 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 9.276 slip_toler: 0 slippage: -0.0649999999996 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5911.185 total_dollar: 295540.5 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 38.16795394397 worst_opt_t_minutes: 0
2025-06-02 10:22:06	EP	SIM:ESM5	Sell	50	1.2350	0.9750	5,913.3750	5,911.6250	5,912.1400	5,913.1150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.375 avg_total: 5912.14 curr_cost_per_share: 0.26 curr_half_min_move: 0.58343974811204 curr_liq_cost: 13 curr_opt_t_minutes: 0.29820438156843 daily_vol_normal: 55.49670432482 destination_price: 5911.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.58304141680805 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.19886020525 init_vol_normal: 55.458815108886 last_aggressive_qty: 8 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.374 slip_toler: 0 slippage: 1.2349999999997 slippage_sweep: 0.97499999999945 sweep_residual: 0 sweep_to_fill: 5913.115 total_dollar: 295607 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.184097050509 worst_opt_t_minutes: 0.62991703977117
2025-06-02 10:21:25	EP	SIM:ESM5	Buy	50	0.9550	0.6650	5,911.6250	5,913.3750	5,912.5800	5,911.9150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.625 avg_total: 5912.58 curr_cost_per_share: 0.275 curr_half_min_move: 0.58286887194503 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.32793169954805 daily_vol_normal: 55.442402666509 destination_price: 5913.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.5827044706006 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.24768476587209 init_vol_normal: 55.426764834442 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.42 slip_toler: 0 slippage: 0.95499999999993 slippage_sweep: 0.66499999999996 sweep_residual: 0 sweep_to_fill: 5911.915 total_dollar: 295629 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.172796875932 worst_opt_t_minutes: 0.69176649330402

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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