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 10:20:33	EP	SIM:ESM5	Sell	50	-0.2400	-0.5200	5,912.3750	5,912.8750	5,912.6150	5,912.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5912.375 avg_total: 5912.615 curr_cost_per_share: 0.265 curr_half_min_move: 0.58236485763472 curr_liq_cost: 13.25 curr_opt_t_minutes: 0 daily_vol_normal: 55.394460898323 destination_price: 5912.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.58227441271834 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.23123877000381 init_vol_normal: 55.385857790978 last_aggressive_qty: 2 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.184 slip_toler: 0 slippage: -0.23999999999978 slippage_sweep: -0.51999999999953 sweep_residual: 0 sweep_to_fill: 5912.095 total_dollar: 295630.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.177639807893 worst_opt_t_minutes: 0
2025-06-02 10:20:28	EP	SIM:ESM5	Buy	50	1.2350	0.9750	5,911.1250	5,912.3750	5,912.3600	5,911.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.125 avg_total: 5912.36 curr_cost_per_share: 0.2 curr_half_min_move: 0.58215130770286 curr_liq_cost: 10 curr_opt_t_minutes: 0.19593986322169 daily_vol_normal: 55.374148059739 destination_price: 5912.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.58194069707306 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.1996131904396 init_vol_normal: 55.354114807141 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.387 slip_toler: 0 slippage: 1.2349999999997 slippage_sweep: 0.97499999999945 sweep_residual: 0 sweep_to_fill: 5911.385 total_dollar: 295618 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.169568254624 worst_opt_t_minutes: 0.4123845827981
2025-06-02 10:19:42	EP	SIM:ESM5	Sell	50	-0.1650	-0.4050	5,910.8750	5,911.3750	5,911.0400	5,910.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.875 avg_total: 5911.04 curr_cost_per_share: 0.305 curr_half_min_move: 0.58143819284437 curr_liq_cost: 15.25 curr_opt_t_minutes: 0 daily_vol_normal: 55.3063166777 destination_price: 5911.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.58136691060042 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.17042051141074 init_vol_normal: 55.29953632098 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.297 slip_toler: 0 slippage: -0.16499999999996 slippage_sweep: -0.40499999999975 sweep_residual: 0 sweep_to_fill: 5910.635 total_dollar: 295552 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.16795394397 worst_opt_t_minutes: 0
2025-06-02 10:19:36	EP	SIM:ESM5	Buy	50	-0.1000	-0.4400	5,911.1250	5,910.8750	5,911.0250	5,911.4650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.125 avg_total: 5911.025 curr_cost_per_share: 0.245 curr_half_min_move: 0.58139149946884 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 55.301875210583 destination_price: 5910.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.58139149946884 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.34199556863125 init_vol_normal: 55.301875210583 last_aggressive_qty: 21 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.249 slip_toler: 0 slippage: -0.10000000000036 slippage_sweep: -0.44000000000051 sweep_residual: 0 sweep_to_fill: 5911.465 total_dollar: 295551.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.169568254624 worst_opt_t_minutes: 0
2025-06-02 10:19:03	EP	SIM:ESM5	Sell	50	-0.1200	-0.3600	5,909.8750	5,910.2500	5,909.9950	5,909.6350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5909.875 avg_total: 5909.995 curr_cost_per_share: 0.32 curr_half_min_move: 0.5807144889881 curr_liq_cost: 16 curr_opt_t_minutes: 0 daily_vol_normal: 55.237478071725 destination_price: 5910.25 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.5807144889881 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.17080365488183 init_vol_normal: 55.237478071725 last_aggressive_qty: last_tactical_qty: 36 level_tactical_limit: mbo_max: mbo_min: model_size: 36 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.172 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.35999999999967 sweep_residual: 0 sweep_to_fill: 5909.635 total_dollar: 295499.75 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 38.161496701355 worst_opt_t_minutes: 0
2025-06-02 10:19:01	EP	SIM:ESM5	Buy	50	0.1300	-0.1300	5,909.8750	5,909.7500	5,910.0050	5,910.1350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5909.875 avg_total: 5910.005 curr_cost_per_share: 0.315 curr_half_min_move: 0.5807144889881 curr_liq_cost: 15.75 curr_opt_t_minutes: 0.18163534337135 daily_vol_normal: 55.237478071725 destination_price: 5909.75 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.58053901193276 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.20057826811078 init_vol_normal: 55.22078671964 last_aggressive_qty: 4 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: 15.175 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 5910.135 total_dollar: 295500.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.161496701355 worst_opt_t_minutes: 0.38055483547689
2025-06-02 10:18:15	EP	SIM:ESM5	Sell	50	0.0200	-0.4200	5,910.8750	5,911.1250	5,910.8550	5,910.4350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.875 avg_total: 5910.855 curr_cost_per_share: 0.265 curr_half_min_move: 0.58024594187775 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.023828927751539 daily_vol_normal: 55.192909938461 destination_price: 5911.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.44 init_drift: 0 init_half_min_move: 0.58005246295471 init_liq_cost: 22 init_min_duration: 0 init_opt_t_minutes: 0.57540125210017 init_vol_normal: 55.174506251328 last_aggressive_qty: 18 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.319 slip_toler: 0 slippage: 0.020000000000437 slippage_sweep: -0.41999999999916 sweep_residual: 0 sweep_to_fill: 5910.435 total_dollar: 295542.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.16795394397 worst_opt_t_minutes: 0.049827985052637
2025-06-02 10:18:07	EP	SIM:ESM5	Buy	50	0.9600	0.6550	5,910.1250	5,910.8750	5,911.0850	5,910.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5910.125 avg_total: 5911.085 curr_cost_per_share: 0.225 curr_half_min_move: 0.57997886313282 curr_liq_cost: 11.25 curr_opt_t_minutes: 0.238295236456 daily_vol_normal: 55.167505446932 destination_price: 5910.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.57973173142804 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.27678690197217 init_vol_normal: 55.143998314972 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 20.469 slip_toler: 0 slippage: 0.96000000000004 slippage_sweep: 0.65499999999975 sweep_residual: 0 sweep_to_fill: 5910.43 total_dollar: 295554.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.163111012009 worst_opt_t_minutes: 0.49796006237384
2025-06-02 10:17:16	EP	SIM:ESM5	Sell	50	0.0800	-0.1650	5,911.6250	5,911.8750	5,911.5450	5,911.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.625 avg_total: 5911.545 curr_cost_per_share: 0.325 curr_half_min_move: 0.57937235838951 curr_liq_cost: 16.25 curr_opt_t_minutes: 0.087973022441349 daily_vol_normal: 55.109814803605 destination_price: 5911.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.57923375695332 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.17890580839502 init_vol_normal: 55.096631055072 last_aggressive_qty: 1 last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.226 slip_toler: 0 slippage: 0.079999999999927 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5911.38 total_dollar: 295577.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.172796875932 worst_opt_t_minutes: 0.18335782702473
2025-06-02 10:17:10	EP	SIM:ESM5	Buy	50	0.9600	0.7150	5,911.3750	5,911.6250	5,912.3350	5,911.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.375 avg_total: 5912.335 curr_cost_per_share: 0.275 curr_half_min_move: 0.57920926141458 curr_liq_cost: 13.75 curr_opt_t_minutes: 0.33208872422534 daily_vol_normal: 55.094301042975 destination_price: 5911.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.57890660747383 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.17910807065689 init_vol_normal: 55.065512643973 last_aggressive_qty: 2 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: 20.389 slip_toler: 0 slippage: 0.96000000000004 slippage_sweep: 0.71500000000015 sweep_residual: 0 sweep_to_fill: 5911.62 total_dollar: 295616.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.171182565278 worst_opt_t_minutes: 0.69182500601224
2025-06-02 10:16:19	EP	SIM:ESM5	Sell	50	1.0400	0.7500	5,911.6250	5,910.1250	5,910.5850	5,911.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.625 avg_total: 5910.585 curr_cost_per_share: 0.235 curr_half_min_move: 0.57829675714907 curr_liq_cost: 11.75 curr_opt_t_minutes: 0.25717870694378 daily_vol_normal: 55.007503769423 destination_price: 5910.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.5777603488158 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.25194197483558 init_vol_normal: 54.956480686464 last_aggressive_qty: 5 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 18.382 slip_toler: 0 slippage: 1.04 slippage_sweep: 0.75 sweep_residual: 0 sweep_to_fill: 5911.335 total_dollar: 295529.25 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.172796875932 worst_opt_t_minutes: 0.53403647435802
2025-06-02 10:16:00	EP	SIM:ESM5	Buy	50	-0.0500	-0.3750	5,911.8750	5,911.6250	5,911.8250	5,912.2000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5911.875 avg_total: 5911.825 curr_cost_per_share: 0.25 curr_half_min_move: 0.57778478204477 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 54.958804771665 destination_price: 5911.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.325 init_drift: 0 init_half_min_move: 0.57767119730845 init_liq_cost: 16.25 init_min_duration: 0 init_opt_t_minutes: 0.31652301482301 init_vol_normal: 54.948000608 last_aggressive_qty: 10 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.354 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.375 sweep_residual: 0 sweep_to_fill: 5912.2 total_dollar: 295591.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.174411186586 worst_opt_t_minutes: 0
2025-06-02 10:15:23	EP	SIM:ESM5	Sell	50	0.5750	0.3300	5,913.3750	5,912.6250	5,912.8000	5,913.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.375 avg_total: 5912.8 curr_cost_per_share: 0.215 curr_half_min_move: 0.57729146671833 curr_liq_cost: 10.75 curr_opt_t_minutes: 0.22356267333911 daily_vol_normal: 54.911880689274 destination_price: 5912.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.57670180984221 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.18048019022286 init_vol_normal: 54.855792612634 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 16.386 slip_toler: 0 slippage: 0.57499999999982 slippage_sweep: 0.32999999999993 sweep_residual: 0 sweep_to_fill: 5913.13 total_dollar: 295640 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.184097050509 worst_opt_t_minutes: 0.46234576111984
2025-06-02 10:15:05	EP	SIM:ESM5	Buy	50	-0.1350	-0.4250	5,913.8750	5,913.3750	5,913.7400	5,914.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.875 avg_total: 5913.74 curr_cost_per_share: 0.45 curr_half_min_move: 0.57675057233485 curr_liq_cost: 22.5 curr_opt_t_minutes: 0 daily_vol_normal: 54.860430893871 destination_price: 5913.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.29 init_drift: 0 init_half_min_move: 0.57675057233485 init_liq_cost: 14.5 init_min_duration: 0 init_opt_t_minutes: 0.2528249485144 init_vol_normal: 54.860430893871 last_aggressive_qty: last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.292 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.42500000000018 sweep_residual: 0 sweep_to_fill: 5914.165 total_dollar: 295687 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.187325671816 worst_opt_t_minutes: 0
2025-06-02 10:14:31	EP	SIM:ESM5	Sell	50	0.2750	-0.0950	5,913.3750	5,913.3750	5,913.1000	5,913.0050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5913.375 avg_total: 5913.1 curr_cost_per_share: 0.245 curr_half_min_move: 0.57631540726136 curr_liq_cost: 12.25 curr_opt_t_minutes: 0.18072228470467 daily_vol_normal: 54.819038055117 destination_price: 5913.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.37 init_drift: 0 init_half_min_move: 0.57611159076412 init_liq_cost: 18.5 init_min_duration: 0 init_opt_t_minutes: 0.41246796347842 init_vol_normal: 54.799651059424 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.462 slip_toler: 0 slippage: 0.27499999999964 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5913.005 total_dollar: 295655 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.184097050509 worst_opt_t_minutes: 0.37248559218681

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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