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
2025-04-17 13:22:30	EP	SIM:ESM5	Sell	50	1.4800	1.1350	5,357.6250	5,356.6250	5,356.1450	5,357.2800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5357.625 avg_total: 5356.145 curr_cost_per_share: 0.465 curr_half_min_move: 0.76285761245088 curr_liq_cost: 23.25 curr_opt_t_minutes: 0 daily_vol_normal: 72.562905590715 destination_price: 5356.625 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.76261188561679 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.20465909570811 init_vol_normal: 72.539532089852 last_aggressive_qty: last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 5 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.233 slip_toler: 0 slippage: 1.4799999999996 slippage_sweep: 1.1349999999993 sweep_residual: 0 sweep_to_fill: 5357.28 total_dollar: 267807.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 65.215706877366 worst_opt_t_minutes: 0
2025-04-17 13:12:17	EP	SIM:ESM5	Sell	50	0.2350	-0.3600	5,354.7500	5,355.2500	5,354.5150	5,354.1550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.75 avg_total: 5354.515 curr_cost_per_share: 0.32 curr_half_min_move: 0.74783794066773 curr_liq_cost: 16 curr_opt_t_minutes: 0 daily_vol_normal: 71.134236586413 destination_price: 5355.25 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.595 init_drift: 0 init_half_min_move: 0.74763812365983 init_liq_cost: 29.75 init_min_duration: 0 init_opt_t_minutes: 0.63336061511237 init_vol_normal: 71.115230021567 last_aggressive_qty: 1 last_tactical_qty: 17 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.542 slip_toler: 0 slippage: 0.23499999999967 slippage_sweep: -0.36000000000058 sweep_residual: 0 sweep_to_fill: 5354.155 total_dollar: 267725.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.180710930977 worst_opt_t_minutes: 0
2025-04-17 13:11:51	EP	SIM:ESM5	Buy	50	-0.0200	-0.5200	5,353.6250	5,353.0000	5,353.6050	5,354.1250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5353.625 avg_total: 5353.605 curr_cost_per_share: 0.49 curr_half_min_move: 0.74714824503219 curr_liq_cost: 24.5 curr_opt_t_minutes: 0 daily_vol_normal: 71.068632837468 destination_price: 5353 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.5 init_drift: 0 init_half_min_move: 0.74703728527409 init_liq_cost: 25 init_min_duration: 0 init_opt_t_minutes: 0.44797672652646 init_vol_normal: 71.058078361351 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.459 slip_toler: 0 slippage: -0.020000000000437 slippage_sweep: -0.52000000000044 sweep_residual: 0 sweep_to_fill: 5354.125 total_dollar: 267680.25 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 65.167016864999 worst_opt_t_minutes: 0
2025-04-17 13:09:03	EP	SIM:ESM5	Sell	50	-0.3750	-0.9250	5,354.6250	5,354.1250	5,355.0000	5,354.0750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5354.625 avg_total: 5355 curr_cost_per_share: 0.495 curr_half_min_move: 0.74367448970896 curr_liq_cost: 24.75 curr_opt_t_minutes: 0 daily_vol_normal: 70.738209734322 destination_price: 5354.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.55 init_drift: 0 init_half_min_move: 0.74353282158597 init_liq_cost: 27.5 init_min_duration: 0 init_opt_t_minutes: 0.54717354344905 init_vol_normal: 70.724734282985 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.284 slip_toler: 0 slippage: -0.375 slippage_sweep: -0.92500000000018 sweep_residual: 0 sweep_to_fill: 5354.075 total_dollar: 267750 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.179189368091 worst_opt_t_minutes: 0
2025-04-17 13:08:05	EP	SIM:ESM5	Sell	50	0.2900	-0.3200	5,351.1250	5,351.6250	5,350.8350	5,350.5150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.125 avg_total: 5350.835 curr_cost_per_share: 0.585 curr_half_min_move: 0.74154691109003 curr_liq_cost: 29.25 curr_opt_t_minutes: 0.12551089323554 daily_vol_normal: 70.535834764285 destination_price: 5351.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61 init_drift: 0 init_half_min_move: 0.74141763953804 init_liq_cost: 30.5 init_min_duration: 0 init_opt_t_minutes: 0.67691453762099 init_vol_normal: 70.523538472986 last_aggressive_qty: 10 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.792 slip_toler: 0 slippage: 0.28999999999996 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5350.515 total_dollar: 267541.75 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.136585607269 worst_opt_t_minutes: 0.14718076709103
2025-04-17 13:07:40	EP	SIM:ESM5	Buy	50	-0.2200	-0.8200	5,351.8750	5,351.2500	5,351.6550	5,352.4750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5351.875 avg_total: 5351.655 curr_cost_per_share: 0.58 curr_half_min_move: 0.7414679746156 curr_liq_cost: 29 curr_opt_t_minutes: 0 daily_vol_normal: 70.528326338272 destination_price: 5351.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.74120238485063 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 0.65528297516679 init_vol_normal: 70.5030634783 last_aggressive_qty: 9 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.323 slip_toler: 0 slippage: -0.22000000000025 slippage_sweep: -0.82000000000062 sweep_residual: 0 sweep_to_fill: 5352.475 total_dollar: 267582.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 65.145714984588 worst_opt_t_minutes: 0
2025-04-17 13:06:20	EP	SIM:ESM5	Sell	50	1.1500	0.5400	5,352.8750	5,351.3750	5,351.7250	5,352.2650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5352.875 avg_total: 5351.725 curr_cost_per_share: 0.485 curr_half_min_move: 0.73971907409396 curr_liq_cost: 24.25 curr_opt_t_minutes: 0 daily_vol_normal: 70.361971173994 destination_price: 5351.375 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61 init_drift: 0 init_half_min_move: 0.73940029133399 init_liq_cost: 30.5 init_min_duration: 0 init_opt_t_minutes: 0.68061330600782 init_vol_normal: 70.331648604044 last_aggressive_qty: 8 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.295 slip_toler: 0 slippage: 1.1499999999996 slippage_sweep: 0.53999999999996 sweep_residual: 0 sweep_to_fill: 5352.265 total_dollar: 267586.25 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 65.15788748768 worst_opt_t_minutes: 0
2025-04-17 13:03:23	EP	SIM:ESM5	Buy	50	0.6750	0.2500	5,342.5000	5,343.1250	5,343.1750	5,342.9250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.5 avg_total: 5343.175 curr_cost_per_share: 0.54 curr_half_min_move: 0.7343522745445 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 69.851481978271 destination_price: 5343.125 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.73411825373164 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 0.33515508610702 init_vol_normal: 69.829221952451 last_aggressive_qty: 7 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.468 slip_toler: 0 slippage: 0.67500000000018 slippage_sweep: 0.25 sweep_residual: 0 sweep_to_fill: 5342.925 total_dollar: 267158.75 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 65.031597768102 worst_opt_t_minutes: 0
2025-04-17 13:01:29	EP	SIM:ESM5	Sell	50	-0.2650	-0.9150	5,344.3750	5,345.2500	5,344.6400	5,343.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.375 avg_total: 5344.64 curr_cost_per_share: 0.665 curr_half_min_move: 0.73177608054446 curr_liq_cost: 33.25 curr_opt_t_minutes: 0 daily_vol_normal: 69.606434778168 destination_price: 5345.25 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.65 init_drift: 0 init_half_min_move: 0.73159905425354 init_liq_cost: 32.5 init_min_duration: 0 init_opt_t_minutes: 0.7893696828231 init_vol_normal: 69.589596063019 last_aggressive_qty: 4 last_tactical_qty: 31 level_tactical_limit: mbo_max: mbo_min: model_size: 31 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.417 slip_toler: 0 slippage: -0.26500000000033 slippage_sweep: -0.91499999999996 sweep_residual: 0 sweep_to_fill: 5343.725 total_dollar: 267232 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 65.054421211399 worst_opt_t_minutes: 0
2025-04-17 13:01:07	EP	SIM:ESM5	Buy	50	0.0150	-0.5850	5,343.1250	5,343.7500	5,343.1400	5,343.7250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343.125 avg_total: 5343.14 curr_cost_per_share: 0.55 curr_half_min_move: 0.73105377010065 curr_liq_cost: 27.5 curr_opt_t_minutes: 0 daily_vol_normal: 69.537728713385 destination_price: 5343.75 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.6 init_drift: 0 init_half_min_move: 0.73092972200238 init_liq_cost: 30 init_min_duration: 0 init_opt_t_minutes: 0.67383141817293 init_vol_normal: 69.525929276247 last_aggressive_qty: 12 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.432 slip_toler: 0 slippage: 0.015000000000327 slippage_sweep: -0.58500000000004 sweep_residual: 0 sweep_to_fill: 5343.725 total_dollar: 267157 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 65.039205582535 worst_opt_t_minutes: 0
2025-04-17 13:00:21	EP	SIM:ESM5	Sell	50	0.7200	0.1850	5,341.6250	5,340.7500	5,340.9050	5,341.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.625 avg_total: 5340.905 curr_cost_per_share: 0.4 curr_half_min_move: 0.72916151034356 curr_liq_cost: 20 curr_opt_t_minutes: 0 daily_vol_normal: 69.357737239399 destination_price: 5340.75 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.535 init_drift: 0 init_half_min_move: 0.72896133828649 init_liq_cost: 26.75 init_min_duration: 0 init_opt_t_minutes: 0.53863996506042 init_vol_normal: 69.338696902326 last_aggressive_qty: 14 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.726 slip_toler: 0 slippage: 0.72000000000025 slippage_sweep: 0.1850000000004 sweep_residual: 0 sweep_to_fill: 5341.09 total_dollar: 267045.25 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 65.020946827897 worst_opt_t_minutes: 0
2025-04-17 12:58:48	EP	SIM:ESM5	Sell	50	-0.2950	-0.8100	5,343.5000	5,344.1250	5,343.7950	5,342.9850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343.5 avg_total: 5343.795 curr_cost_per_share: 0.535 curr_half_min_move: 0.72741739695909 curr_liq_cost: 26.75 curr_opt_t_minutes: 0 daily_vol_normal: 69.191837426915 destination_price: 5344.125 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.515 init_drift: 0 init_half_min_move: 0.72729395203821 init_liq_cost: 25.75 init_min_duration: 0 init_opt_t_minutes: 0.50141174874434 init_vol_normal: 69.180095363923 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.56 slip_toler: 0 slippage: -0.29500000000007 slippage_sweep: -0.8100000000004 sweep_residual: 0 sweep_to_fill: 5342.985 total_dollar: 267189.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 65.043770271194 worst_opt_t_minutes: 0
2025-04-17 12:57:31	EP	SIM:ESM5	Buy	50	0.9050	0.3850	5,344.8750	5,346.2500	5,345.7800	5,345.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5344.875 avg_total: 5345.78 curr_cost_per_share: 0.56 curr_half_min_move: 0.72612554145549 curr_liq_cost: 28 curr_opt_t_minutes: 0 daily_vol_normal: 69.068956318548 destination_price: 5346.25 drift: 1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.52 init_drift: 0 init_half_min_move: 0.72591384450888 init_liq_cost: 26 init_min_duration: 0 init_opt_t_minutes: 0.51314077848313 init_vol_normal: 69.048819735652 last_aggressive_qty: 11 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.628 slip_toler: 0 slippage: 0.90499999999975 slippage_sweep: 0.38499999999931 sweep_residual: 0 sweep_to_fill: 5345.395 total_dollar: 267289 total_drift: 1.375 total_filled: 50 total_sent: 50 total_vol: 65.060507462945 worst_opt_t_minutes: 0
2025-04-17 12:54:47	EP	SIM:ESM5	Sell	50	0.4600	-0.1650	5,346.3750	5,345.7500	5,345.9150	5,345.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5346.375 avg_total: 5345.915 curr_cost_per_share: 0.57 curr_half_min_move: 0.72176759935206 curr_liq_cost: 28.5 curr_opt_t_minutes: 0 daily_vol_normal: 68.65442949695 destination_price: 5345.75 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.625 init_drift: 0 init_half_min_move: 0.72148761295001 init_liq_cost: 31.25 init_min_duration: 0 init_opt_t_minutes: 0.75041633005741 init_vol_normal: 68.627797230945 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 16.693 slip_toler: 0 slippage: 0.46000000000004 slippage_sweep: -0.16499999999996 sweep_residual: 0 sweep_to_fill: 5345.75 total_dollar: 267295.75 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 65.078766217583 worst_opt_t_minutes: 0
2025-04-17 12:54:11	EP	SIM:ESM5	Buy	50	-0.2650	-0.8600	5,348.1250	5,347.1250	5,347.8600	5,348.7200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5348.125 avg_total: 5347.86 curr_cost_per_share: 0.56 curr_half_min_move: 0.72096693743224 curr_liq_cost: 28 curr_opt_t_minutes: 0 daily_vol_normal: 68.578270651118 destination_price: 5347.125 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.595 init_drift: 0 init_half_min_move: 0.72063864916502 init_liq_cost: 29.75 init_min_duration: 0 init_opt_t_minutes: 0.68170869074381 init_vol_normal: 68.547043918696 last_aggressive_qty: 10 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.332 slip_toler: 0 slippage: -0.26500000000033 slippage_sweep: -0.86000000000058 sweep_residual: 0 sweep_to_fill: 5348.72 total_dollar: 267393 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 65.100068097994 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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