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
2025-05-19 10:57:08	EP	SIM:ESM5	Buy	50	0.1100	-0.1000	5,963.1250	5,962.8750	5,963.2350	5,963.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5963.125 avg_total: 5963.235 curr_cost_per_share: 0.22 curr_half_min_move: 0.54174071374832 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 51.530298216559 destination_price: 5962.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.54174071374832 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 0.1502642397 init_vol_normal: 51.530298216559 last_aggressive_qty: 11 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.227 slip_toler: 0 slippage: 0.10999999999967 slippage_sweep: -0.10000000000036 sweep_residual: 0 sweep_to_fill: 5963.335 total_dollar: 298161.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.530298216559 worst_opt_t_minutes: 0
2025-05-19 10:56:31	EP	SIM:ESM5	Sell	50	-0.1200	-0.3450	5,961.3750	5,961.6250	5,961.4950	5,961.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.375 avg_total: 5961.495 curr_cost_per_share: 0.195 curr_half_min_move: 0.54158172894604 curr_liq_cost: 9.75 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: 0.225 init_drift: 0 init_half_min_move: 0.54158172894604 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.17259850414111 init_vol_normal: 51.515175605196 last_aggressive_qty: 33 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.173 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5961.15 total_dollar: 298074.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.515175605196 worst_opt_t_minutes: 0
2025-05-19 10:56:29	EP	SIM:ESM5	Buy	50	0.3550	0.1350	5,959.8750	5,961.3750	5,960.2300	5,960.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5959.875 avg_total: 5960.23 curr_cost_per_share: 0.13 curr_half_min_move: 0.54144545625838 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.11781847297593 daily_vol_normal: 51.502213366886 destination_price: 5961.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.54144545625838 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.16509576561706 init_vol_normal: 51.502213366886 last_aggressive_qty: 7 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: 15.347 slip_toler: 0 slippage: 0.35499999999956 slippage_sweep: 0.13499999999931 sweep_residual: 0 sweep_to_fill: 5960.095 total_dollar: 298011.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.502213366886 worst_opt_t_minutes: 0.11781847297593
2025-05-19 10:55:44	EP	SIM:ESM5	Sell	50	0.0250	-0.1600	5,960.6250	5,960.8750	5,960.6000	5,960.4400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5960.625 avg_total: 5960.6 curr_cost_per_share: 0.26 curr_half_min_move: 0.54151359260221 curr_liq_cost: 13 curr_opt_t_minutes: 0.021570438505881 daily_vol_normal: 51.508694486041 destination_price: 5960.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54151359260221 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.11671447800884 init_vol_normal: 51.508694486041 last_aggressive_qty: last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.179 slip_toler: 0 slippage: 0.024999999999636 slippage_sweep: -0.16000000000076 sweep_residual: 0 sweep_to_fill: 5960.44 total_dollar: 298030 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.508694486041 worst_opt_t_minutes: 0.021570438505881
2025-05-19 10:55:36	EP	SIM:ESM5	Buy	50	-0.2400	-0.4400	5,961.1250	5,960.6250	5,960.8850	5,961.3250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.125 avg_total: 5960.885 curr_cost_per_share: 0.27 curr_half_min_move: 0.54155901683143 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 51.513015232145 destination_price: 5960.625 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.54155901683143 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 0.13638556559194 init_vol_normal: 51.513015232145 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.21 slip_toler: 0 slippage: -0.23999999999978 slippage_sweep: -0.4399999999996 sweep_residual: 0 sweep_to_fill: 5961.325 total_dollar: 298044.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.513015232145 worst_opt_t_minutes: 0
2025-05-19 10:55:04	EP	SIM:ESM5	Sell	50	0.2350	-0.0200	5,960.8750	5,960.6250	5,960.6400	5,960.6200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5960.875 avg_total: 5960.64 curr_cost_per_share: 0.125 curr_half_min_move: 0.54153630471682 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.11129433190886 daily_vol_normal: 51.510854859093 destination_price: 5960.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.54153630471682 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.22173038270706 init_vol_normal: 51.510854859093 last_aggressive_qty: 1 last_tactical_qty: 14 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.224 slip_toler: 0 slippage: 0.23499999999967 slippage_sweep: -0.020000000000437 sweep_residual: 0 sweep_to_fill: 5960.62 total_dollar: 298032 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.510854859093 worst_opt_t_minutes: 0.11129433190886
2025-05-19 10:54:56	EP	SIM:ESM5	Buy	50	0.8000	0.5350	5,960.1250	5,960.8750	5,960.9250	5,960.3900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5960.125 avg_total: 5960.925 curr_cost_per_share: 0.135 curr_half_min_move: 0.54146816837299 curr_liq_cost: 6.75 curr_opt_t_minutes: 0.1244649098986 daily_vol_normal: 51.504373739938 destination_price: 5960.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.54146816837299 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.23952226328142 init_vol_normal: 51.504373739938 last_aggressive_qty: 8 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.266 slip_toler: 0 slippage: 0.80000000000018 slippage_sweep: 0.53499999999985 sweep_residual: 0 sweep_to_fill: 5960.39 total_dollar: 298046.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.504373739938 worst_opt_t_minutes: 0.1244649098986
2025-05-19 10:54:12	EP	SIM:ESM5	Sell	50	0.4850	0.2650	5,961.3750	5,960.8750	5,960.8900	5,961.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.375 avg_total: 5960.89 curr_cost_per_share: 0.17 curr_half_min_move: 0.54158172894604 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.17575096705499 daily_vol_normal: 51.515175605196 destination_price: 5960.875 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.54158172894604 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.16501269334182 init_vol_normal: 51.515175605196 last_aggressive_qty: 3 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.265 slip_toler: 0 slippage: 0.48499999999967 slippage_sweep: 0.26499999999942 sweep_residual: 0 sweep_to_fill: 5961.155 total_dollar: 298044.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 51.515175605196 worst_opt_t_minutes: 0.17575096705499
2025-05-19 10:53:58	EP	SIM:ESM5	Buy	50	-0.0300	-0.2600	5,961.6250	5,961.3750	5,961.5950	5,961.8550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.625 avg_total: 5961.595 curr_cost_per_share: 0.29 curr_half_min_move: 0.54160444106065 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.05585004852654 daily_vol_normal: 51.517335978248 destination_price: 5961.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.54160444106065 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.18033965660539 init_vol_normal: 51.517335978248 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.21 slip_toler: 0 slippage: -0.029999999999745 slippage_sweep: -0.25999999999931 sweep_residual: 0 sweep_to_fill: 5961.855 total_dollar: 298079.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.517335978248 worst_opt_t_minutes: 0.05585004852654
2025-05-19 10:53:23	EP	SIM:ESM5	Sell	50	-0.0750	-0.3450	5,961.6250	5,961.8750	5,961.7000	5,961.3550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.625 avg_total: 5961.7 curr_cost_per_share: 0.28 curr_half_min_move: 0.54160444106065 curr_liq_cost: 14 curr_opt_t_minutes: 0.04425351707597 daily_vol_normal: 51.517335978248 destination_price: 5961.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.54160444106065 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 0.24852100125771 init_vol_normal: 51.517335978248 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.16 slip_toler: 0 slippage: -0.074999999999818 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5961.355 total_dollar: 298085 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 51.517335978248 worst_opt_t_minutes: 0.04425351707597
2025-05-19 10:53:20	EP	SIM:ESM5	Buy	50	0.0600	-0.2150	5,961.8750	5,961.6250	5,961.9350	5,962.1500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.875 avg_total: 5961.935 curr_cost_per_share: 0.215 curr_half_min_move: 0.54162715317527 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 51.5194963513 destination_price: 5961.625 drift: 0.25 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: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.215 slip_toler: 0 slippage: 0.0600000000004 slippage_sweep: -0.21499999999924 sweep_residual: 0 sweep_to_fill: 5962.15 total_dollar: 298096.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 51.5194963513 worst_opt_t_minutes: 0
2025-05-19 10:52:45	EP	SIM:ESM5	Sell	50	-0.1450	-0.3100	5,961.1250	5,961.6250	5,961.2700	5,960.9600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.125 avg_total: 5961.27 curr_cost_per_share: 0.26 curr_half_min_move: 0.54155901683143 curr_liq_cost: 13 curr_opt_t_minutes: 0 daily_vol_normal: 51.513015232145 destination_price: 5961.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.54155901683143 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.092827425581017 init_vol_normal: 51.513015232145 last_aggressive_qty: 23 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 4.124 slip_toler: 0 slippage: -0.14500000000044 slippage_sweep: -0.3100000000004 sweep_residual: 0 sweep_to_fill: 5960.96 total_dollar: 298063.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 51.513015232145 worst_opt_t_minutes: 0
2025-05-19 10:52:40	EP	SIM:ESM5	Buy	50	0.0050	-0.2200	5,961.6250	5,961.1250	5,961.6300	5,961.8500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5961.625 avg_total: 5961.63 curr_cost_per_share: 0.34 curr_half_min_move: 0.54160444106065 curr_liq_cost: 17 curr_opt_t_minutes: 0 daily_vol_normal: 51.517335978248 destination_price: 5961.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.225 init_drift: 0 init_half_min_move: 0.54160444106065 init_liq_cost: 11.25 init_min_duration: 0 init_opt_t_minutes: 0.17258402865119 init_vol_normal: 51.517335978248 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.23 slip_toler: 0 slippage: 0.0050000000001091 slippage_sweep: -0.22000000000025 sweep_residual: 0 sweep_to_fill: 5961.85 total_dollar: 298081.5 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 51.517335978248 worst_opt_t_minutes: 0
2025-05-19 10:52:02	EP	SIM:ESM5	Sell	50	-0.0500	-0.2450	5,960.3750	5,960.7500	5,960.4250	5,960.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5960.375 avg_total: 5960.425 curr_cost_per_share: 0.3 curr_half_min_move: 0.5414908804876 curr_liq_cost: 15 curr_opt_t_minutes: 0 daily_vol_normal: 51.506534112989 destination_price: 5960.75 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.5414908804876 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.12968415870891 init_vol_normal: 51.506534112989 last_aggressive_qty: last_tactical_qty: 35 level_tactical_limit: mbo_max: mbo_min: model_size: 35 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.169 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.24499999999989 sweep_residual: 0 sweep_to_fill: 5960.18 total_dollar: 298021.25 total_drift: -0.375 total_filled: 50 total_sent: 50 total_vol: 51.506534112989 worst_opt_t_minutes: 0
2025-05-19 10:51:59	EP	SIM:ESM5	Buy	50	0.4400	0.2550	5,959.6250	5,960.6250	5,960.0650	5,959.8100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5959.625 avg_total: 5960.065 curr_cost_per_share: 0.22 curr_half_min_move: 0.54142274414377 curr_liq_cost: 11 curr_opt_t_minutes: 0.26371897105224 daily_vol_normal: 51.500052993834 destination_price: 5960.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.185 init_drift: 0 init_half_min_move: 0.54142274414377 init_liq_cost: 9.25 init_min_duration: 0 init_opt_t_minutes: 0.11675364969166 init_vol_normal: 51.500052993834 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: 17.333 slip_toler: 0 slippage: 0.4399999999996 slippage_sweep: 0.2549999999992 sweep_residual: 0 sweep_to_fill: 5959.81 total_dollar: 298003.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 51.500052993834 worst_opt_t_minutes: 0.26371897105224

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect