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 12:52:22	EP	SIM:ESM5	Sell	50	0.9700	0.2250	5,345.8750	5,345.3750	5,344.9050	5,345.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5345.875 avg_total: 5344.905 curr_cost_per_share: 0.615 curr_half_min_move: 0.71704705356516 curr_liq_cost: 30.75 curr_opt_t_minutes: 0.17653732650806 daily_vol_normal: 68.205411865506 destination_price: 5345.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.745 init_drift: 0 init_half_min_move: 0.71683745501648 init_liq_cost: 37.25 init_min_duration: 0 init_opt_t_minutes: 1.0801179087912 init_vol_normal: 68.185474881917 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.482 slip_toler: 0 slippage: 0.97000000000025 slippage_sweep: 0.22500000000036 sweep_residual: 0 sweep_to_fill: 5345.13 total_dollar: 267245.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.072679966037 worst_opt_t_minutes: 0.19394421529343
2025-04-17 12:52:00	EP	SIM:ESM5	Buy	50	0.8600	0.2900	5,343.0000	5,343.5000	5,343.8600	5,343.5700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343 avg_total: 5343.86 curr_cost_per_share: 0.56 curr_half_min_move: 0.71617479258709 curr_liq_cost: 28 curr_opt_t_minutes: 0.10123580842745 daily_vol_normal: 68.122442527625 destination_price: 5343.5 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.57 init_drift: 0 init_half_min_move: 0.71568629019244 init_liq_cost: 28.5 init_min_duration: 0 init_opt_t_minutes: 0.63431402737078 init_vol_normal: 68.07597625061 last_aggressive_qty: 8 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.55 slip_toler: 0 slippage: 0.85999999999967 slippage_sweep: 0.28999999999996 sweep_residual: 0 sweep_to_fill: 5343.57 total_dollar: 267193 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 65.037684019648 worst_opt_t_minutes: 0.11106684676756
2025-04-17 12:51:09	EP	SIM:ESM5	Sell	50	0.2000	-0.3450	5,340.6250	5,341.6250	5,340.4250	5,340.0800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5340.625 avg_total: 5340.425 curr_cost_per_share: 0.69 curr_half_min_move: 0.71394679088569 curr_liq_cost: 34.5 curr_opt_t_minutes: 0 daily_vol_normal: 67.910515328531 destination_price: 5341.625 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.71336357577283 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 0.5836750691378 init_vol_normal: 67.855039991479 last_aggressive_qty: 8 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15.707 slip_toler: 0 slippage: 0.19999999999982 slippage_sweep: -0.34500000000025 sweep_residual: 0 sweep_to_fill: 5340.08 total_dollar: 267021.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 65.008774324805 worst_opt_t_minutes: 0
2025-04-17 12:50:08	EP	SIM:ESM5	Sell	50	0.1000	-0.5100	5,338.5000	5,337.2500	5,338.4000	5,337.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5338.5 avg_total: 5338.4 curr_cost_per_share: 0.575 curr_half_min_move: 0.71158554181065 curr_liq_cost: 28.75 curr_opt_t_minutes: 0 daily_vol_normal: 67.685913658558 destination_price: 5337.25 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61 init_drift: 0 init_half_min_move: 0.7111655616496 init_liq_cost: 30.5 init_min_duration: 0 init_opt_t_minutes: 0.73572960963611 init_vol_normal: 67.645965206476 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.589 slip_toler: 0 slippage: 0.10000000000036 slippage_sweep: -0.50999999999931 sweep_residual: 0 sweep_to_fill: 5337.89 total_dollar: 266920 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 64.982907755735 worst_opt_t_minutes: 0
2025-04-17 12:49:48	EP	SIM:ESM5	Buy	50	-1.6600	-2.2800	5,340.7500	5,337.6250	5,339.0900	5,341.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5340.75 avg_total: 5339.09 curr_cost_per_share: 0.59 curr_half_min_move: 0.71079231583247 curr_liq_cost: 29.5 curr_opt_t_minutes: 0 daily_vol_normal: 67.610462118418 destination_price: 5337.625 drift: 3.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.62 init_drift: 0 init_half_min_move: 0.71079231583247 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 0.76084804798909 init_vol_normal: 67.610462118418 last_aggressive_qty: 5 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.378 slip_toler: 0 slippage: -1.6599999999999 slippage_sweep: -2.2799999999997 sweep_residual: 0 sweep_to_fill: 5341.37 total_dollar: 266954.5 total_drift: 3.125 total_filled: 50 total_sent: 50 total_vol: 65.010295887691 worst_opt_t_minutes: 0
2025-04-17 12:48:59	EP	SIM:ESM5	Buy	50	1.3550	0.6850	5,341.3750	5,344.1250	5,342.7300	5,342.0450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.375 avg_total: 5342.73 curr_cost_per_share: 0.61 curr_half_min_move: 0.70787671140361 curr_liq_cost: 30.5 curr_opt_t_minutes: 0 daily_vol_normal: 67.333130247492 destination_price: 5344.125 drift: 2.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.67 init_drift: 0 init_half_min_move: 0.70731918421518 init_liq_cost: 33.5 init_min_duration: 0 init_opt_t_minutes: 0.89726087477595 init_vol_normal: 67.280098342091 last_aggressive_qty: 8 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.561 slip_toler: 0 slippage: 1.3549999999996 slippage_sweep: 0.68499999999949 sweep_residual: 0 sweep_to_fill: 5342.045 total_dollar: 267136.5 total_drift: 2.75 total_filled: 50 total_sent: 50 total_vol: 65.017903702124 worst_opt_t_minutes: 0
2025-04-17 12:48:05	EP	SIM:ESM5	Sell	50	-0.5950	-1.2150	5,346.2500	5,346.8750	5,346.8450	5,345.6300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5346.25 avg_total: 5346.845 curr_cost_per_share: 0.615 curr_half_min_move: 0.70653322842495 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 67.205338341176 destination_price: 5346.875 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.62 init_drift: 0 init_half_min_move: 0.7061934045523 init_liq_cost: 31 init_min_duration: 0 init_opt_t_minutes: 0.77078998761609 init_vol_normal: 67.173014343635 last_aggressive_qty: 10 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.487 slip_toler: 0 slippage: -0.59500000000025 slippage_sweep: -1.2150000000001 sweep_residual: 0 sweep_to_fill: 5345.63 total_dollar: 267342.25 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 65.077244654696 worst_opt_t_minutes: 0
2025-04-17 12:47:54	EP	SIM:ESM5	Buy	50	-0.0950	-0.6550	5,346.7500	5,345.6250	5,346.6550	5,347.3100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5346.75 avg_total: 5346.655 curr_cost_per_share: 0.58 curr_half_min_move: 0.70597692624578 curr_liq_cost: 29 curr_opt_t_minutes: 0 daily_vol_normal: 67.152422958477 destination_price: 5345.625 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.56 init_drift: 0 init_half_min_move: 0.70564660057573 init_liq_cost: 28 init_min_duration: 0 init_opt_t_minutes: 0.62979839083183 init_vol_normal: 67.121002428592 last_aggressive_qty: 8 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.692 slip_toler: 0 slippage: -0.095000000000255 slippage_sweep: -0.65500000000065 sweep_residual: 0 sweep_to_fill: 5347.31 total_dollar: 267332.75 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 65.083330906242 worst_opt_t_minutes: 0
2025-04-17 12:47:03	EP	SIM:ESM5	Sell	50	-0.5300	-1.0150	5,341.6250	5,343.0000	5,342.1550	5,341.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.625 avg_total: 5342.155 curr_cost_per_share: 0.54 curr_half_min_move: 0.70383074516154 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 66.948278524634 destination_price: 5343 drift: -1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.70360253766371 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 0.47514775640194 init_vol_normal: 66.926571460499 last_aggressive_qty: 2 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.304 slip_toler: 0 slippage: -0.52999999999975 slippage_sweep: -1.0149999999994 sweep_residual: 0 sweep_to_fill: 5341.14 total_dollar: 267107.75 total_drift: -1.375 total_filled: 50 total_sent: 50 total_vol: 65.020946827897 worst_opt_t_minutes: 0
2025-04-17 12:46:14	EP	SIM:ESM5	Sell	50	-0.4450	-1.0400	5,337.5000	5,338.5000	5,337.9450	5,336.9050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.5 avg_total: 5337.945 curr_cost_per_share: 0.66 curr_half_min_move: 0.70154727020506 curr_liq_cost: 33 curr_opt_t_minutes: 0 daily_vol_normal: 66.731074717553 destination_price: 5338.5 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.595 init_drift: 0 init_half_min_move: 0.70147341649709 init_liq_cost: 29.75 init_min_duration: 0 init_opt_t_minutes: 0.71946802365149 init_vol_normal: 66.724049763549 last_aggressive_qty: 11 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.492 slip_toler: 0 slippage: -0.44499999999971 slippage_sweep: -1.04 sweep_residual: 0 sweep_to_fill: 5336.905 total_dollar: 266897.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 64.970735252643 worst_opt_t_minutes: 0
2025-04-17 12:45:54	EP	SIM:ESM5	Buy	50	0.9850	0.6650	5,333.3750	5,335.1250	5,334.3600	5,333.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5333.375 avg_total: 5334.36 curr_cost_per_share: 0.505 curr_half_min_move: 0.70063706513514 curr_liq_cost: 25.25 curr_opt_t_minutes: 0 daily_vol_normal: 66.644496143152 destination_price: 5335.125 drift: 1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.32 init_drift: 0 init_half_min_move: 0.70047805805994 init_liq_cost: 16 init_min_duration: 0 init_opt_t_minutes: 0.20869444289876 init_vol_normal: 66.629371413192 last_aggressive_qty: 16 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.348 slip_toler: 0 slippage: 0.98499999999967 slippage_sweep: 0.66499999999996 sweep_residual: 0 sweep_to_fill: 5333.695 total_dollar: 266718 total_drift: 1.75 total_filled: 50 total_sent: 50 total_vol: 64.920523677389 worst_opt_t_minutes: 0
2025-04-17 12:45:00	EP	SIM:ESM5	Buy	50	-0.4450	-0.8450	5,332.6250	5,331.6250	5,332.1800	5,333.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5332.625 avg_total: 5332.18 curr_cost_per_share: 0.685 curr_half_min_move: 0.69910975872186 curr_liq_cost: 34.25 curr_opt_t_minutes: 0 daily_vol_normal: 66.499218978362 destination_price: 5331.625 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.69894668280494 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 0.3275155213294 init_vol_normal: 66.483707220768 last_aggressive_qty: last_tactical_qty: 13 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.381 slip_toler: 0 slippage: -0.44499999999971 slippage_sweep: -0.84499999999935 sweep_residual: 0 sweep_to_fill: 5333.025 total_dollar: 266609 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 64.91139430007 worst_opt_t_minutes: 0
2025-04-17 12:44:17	EP	SIM:ESM5	Sell	50	-0.6400	-1.2650	5,330.6250	5,332.0000	5,331.2650	5,330.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5330.625 avg_total: 5331.265 curr_cost_per_share: 0.63 curr_half_min_move: 0.69787376913267 curr_liq_cost: 31.5 curr_opt_t_minutes: 0 daily_vol_normal: 66.38165182768 destination_price: 5332 drift: -1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.625 init_drift: 0 init_half_min_move: 0.69787376913267 init_liq_cost: 31.25 init_min_duration: 0 init_opt_t_minutes: 0.80205894178963 init_vol_normal: 66.38165182768 last_aggressive_qty: 9 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.576 slip_toler: 0 slippage: -0.64000000000033 slippage_sweep: -1.2650000000003 sweep_residual: 0 sweep_to_fill: 5330 total_dollar: 266563.25 total_drift: -1.375 total_filled: 50 total_sent: 50 total_vol: 64.887049293887 worst_opt_t_minutes: 0
2025-04-17 12:44:07	EP	SIM:ESM5	Buy	50	-0.2250	-0.6950	5,329.6250	5,328.8750	5,329.4000	5,330.0950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5329.625 avg_total: 5329.4 curr_cost_per_share: 0.505 curr_half_min_move: 0.69761658630789 curr_liq_cost: 25.25 curr_opt_t_minutes: 0 daily_vol_normal: 66.357188634642 destination_price: 5328.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.69754850148455 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 0.45399063654448 init_vol_normal: 66.350712416109 last_aggressive_qty: 11 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.259 slip_toler: 0 slippage: -0.22500000000036 slippage_sweep: -0.69500000000062 sweep_residual: 0 sweep_to_fill: 5330.095 total_dollar: 266470 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.874876790795 worst_opt_t_minutes: 0
2025-04-17 12:42:20	EP	SIM:ESM5	Buy	50	-0.4200	-0.8100	5,328.1250	5,326.6250	5,327.7050	5,328.5150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.125 avg_total: 5327.705 curr_cost_per_share: 0.55 curr_half_min_move: 0.69520897674747 curr_liq_cost: 27.5 curr_opt_t_minutes: 0 daily_vol_normal: 66.128177162016 destination_price: 5326.625 drift: 1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.39 init_drift: 0 init_half_min_move: 0.69512699620286 init_liq_cost: 19.5 init_min_duration: 0 init_opt_t_minutes: 0.31477548629594 init_vol_normal: 66.120379184488 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.335 slip_toler: 0 slippage: -0.42000000000007 slippage_sweep: -0.8100000000004 sweep_residual: 0 sweep_to_fill: 5328.515 total_dollar: 266385.25 total_drift: 1.5 total_filled: 50 total_sent: 50 total_vol: 64.856618036157 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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