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
2025-06-02 14:58:55	EP	SIM:ESM5	Buy	50	0.1000	-0.0250	5,944.3750	5,944.1250	5,944.4750	5,944.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5944.375 avg_total: 5944.475 curr_cost_per_share: 0.225 curr_half_min_move: 0.40353584973466 curr_liq_cost: 11.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.384271571584 destination_price: 5944.125 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40353584973466 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.095952386282599 init_vol_normal: 38.384271571584 last_aggressive_qty: last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.189 slip_toler: 0 slippage: 0.10000000000036 slippage_sweep: -0.024999999999636 sweep_residual: 0 sweep_to_fill: 5944.5 total_dollar: 297223.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.384271571584 worst_opt_t_minutes: 0
2025-06-02 14:58:19	EP	SIM:ESM5	Sell	50	-0.0250	-0.1500	5,942.6250	5,942.8750	5,942.6500	5,942.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.625 avg_total: 5942.65 curr_cost_per_share: 0.215 curr_half_min_move: 0.40341705040974 curr_liq_cost: 10.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.372971397007 destination_price: 5942.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40341705040974 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096008907230924 init_vol_normal: 38.372971397007 last_aggressive_qty: last_tactical_qty: 47 level_tactical_limit: mbo_max: mbo_min: model_size: 47 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.141 slip_toler: 0 slippage: -0.024999999999636 slippage_sweep: -0.14999999999964 sweep_residual: 0 sweep_to_fill: 5942.5 total_dollar: 297132.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.372971397007 worst_opt_t_minutes: 0
2025-06-02 14:58:16	EP	SIM:ESM5	Buy	50	1.3600	1.1000	5,940.8750	5,942.6250	5,942.2350	5,941.1350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5942.235 curr_cost_per_share: 0.125 curr_half_min_move: 0.40329825108483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20066679935007 daily_vol_normal: 38.36167122243 destination_price: 5942.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.40329825108483 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 0.41561768460167 init_vol_normal: 38.36167122243 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.401 slip_toler: 0 slippage: 1.3599999999997 slippage_sweep: 1.0999999999995 sweep_residual: 0 sweep_to_fill: 5941.135 total_dollar: 297111.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.20066679935007
2025-06-02 14:57:07	EP	SIM:ESM5	Sell	50	0.2200	-0.0150	5,941.3750	5,941.1250	5,941.1550	5,941.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.375 avg_total: 5941.155 curr_cost_per_share: 0.125 curr_half_min_move: 0.40333219374909 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20063302629993 daily_vol_normal: 38.364899843738 destination_price: 5941.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40333219374909 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.33947668097547 init_vol_normal: 38.364899843738 last_aggressive_qty: last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.31 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: -0.014999999999418 sweep_residual: 0 sweep_to_fill: 5941.14 total_dollar: 297057.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.364899843738 worst_opt_t_minutes: 0.20063302629993
2025-06-02 14:56:52	EP	SIM:ESM5	Buy	50	1.0900	0.8350	5,939.8750	5,941.3750	5,940.9650	5,940.1300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5940.965 curr_cost_per_share: 0.13 curr_half_min_move: 0.40323036575631 curr_liq_cost: 6.5 curr_opt_t_minutes: 0.2124302485144 daily_vol_normal: 38.355213979815 destination_price: 5941.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.255 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 12.75 init_min_duration: 0 init_opt_t_minutes: 0.39992071608132 init_vol_normal: 38.355213979815 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: 14.341 slip_toler: 0 slippage: 1.0900000000001 slippage_sweep: 0.83500000000004 sweep_residual: 0 sweep_to_fill: 5940.13 total_dollar: 297048.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0.2124302485144
2025-06-02 14:56:06	EP	SIM:ESM5	Sell	50	0.0550	-0.1100	5,941.1250	5,939.3750	5,941.0700	5,940.9600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.07 curr_cost_per_share: 0.125 curr_half_min_move: 0.40331522241696 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20064991175913 daily_vol_normal: 38.363285533084 destination_price: 5939.375 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.165 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 8.25 init_min_duration: 0 init_opt_t_minutes: 0.16737040246269 init_vol_normal: 38.363285533084 last_aggressive_qty: 32 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 15.445 slip_toler: 0 slippage: 0.055000000000291 slippage_sweep: -0.10999999999967 sweep_residual: 0 sweep_to_fill: 5940.96 total_dollar: 297053.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0.20064991175913
2025-06-02 14:55:50	EP	SIM:ESM5	Buy	50	0.5950	0.4150	5,940.8750	5,941.6250	5,941.4700	5,941.0550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5941.47 curr_cost_per_share: 0.145 curr_half_min_move: 0.40329825108483 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.24927433968877 daily_vol_normal: 38.36167122243 destination_price: 5941.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.40329825108483 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.19920137545997 init_vol_normal: 38.36167122243 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: 18.506 slip_toler: 0 slippage: 0.59500000000025 slippage_sweep: 0.41499999999996 sweep_residual: 0 sweep_to_fill: 5941.055 total_dollar: 297073.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.24927433968877
2025-06-02 14:55:00	EP	SIM:ESM5	Sell	50	0.1350	-0.2050	5,940.6250	5,941.1250	5,940.4900	5,940.2850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5940.49 curr_cost_per_share: 0.365 curr_half_min_move: 0.4032812797527 curr_liq_cost: 18.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.360056911777 destination_price: 5941.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.34 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 17 init_min_duration: 0 init_opt_t_minutes: 0.71079065422354 init_vol_normal: 38.360056911777 last_aggressive_qty: 34 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 6 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.473 slip_toler: 0 slippage: 0.13500000000022 slippage_sweep: -0.20499999999993 sweep_residual: 0 sweep_to_fill: 5940.285 total_dollar: 297024.5 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0
2025-06-02 14:54:39	EP	SIM:ESM5	Buy	50	0.4100	0.2850	5,938.6250	5,939.1250	5,939.0350	5,938.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5938.625 avg_total: 5939.035 curr_cost_per_share: 0.125 curr_half_min_move: 0.40314550909565 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2008188836557 daily_vol_normal: 38.347142426546 destination_price: 5939.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40314550909565 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096138285652289 init_vol_normal: 38.347142426546 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.241 slip_toler: 0 slippage: 0.40999999999985 slippage_sweep: 0.28499999999985 sweep_residual: 0 sweep_to_fill: 5938.75 total_dollar: 296951.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.347142426546 worst_opt_t_minutes: 0.2008188836557
2025-06-02 14:53:55	EP	SIM:ESM5	Sell	50	0.1050	-0.0900	5,939.3750	5,939.6250	5,939.2700	5,939.1800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.375 avg_total: 5939.27 curr_cost_per_share: 0.245 curr_half_min_move: 0.40319642309205 curr_liq_cost: 12.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.351985358507 destination_price: 5939.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40319642309205 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.2339030481305 init_vol_normal: 38.351985358507 last_aggressive_qty: last_tactical_qty: 30 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 8.19 slip_toler: 0 slippage: 0.10499999999956 slippage_sweep: -0.090000000000146 sweep_residual: 0 sweep_to_fill: 5939.18 total_dollar: 296963.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.351985358507 worst_opt_t_minutes: 0
2025-06-02 14:53:45	EP	SIM:ESM5	Buy	50	-0.1200	-0.3550	5,939.8750	5,939.6250	5,939.7550	5,940.1100	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.875 avg_total: 5939.755 curr_cost_per_share: 0.21 curr_half_min_move: 0.40323036575631 curr_liq_cost: 10.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.355213979815 destination_price: 5939.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40323036575631 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.33964815910174 init_vol_normal: 38.355213979815 last_aggressive_qty: 11 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.343 slip_toler: 0 slippage: -0.11999999999989 slippage_sweep: -0.35499999999956 sweep_residual: 0 sweep_to_fill: 5940.11 total_dollar: 296987.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.355213979815 worst_opt_t_minutes: 0
2025-06-02 14:53:12	EP	SIM:ESM5	Sell	50	0.0700	-0.0550	5,941.1250	5,941.3750	5,941.0550	5,941.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.055 curr_cost_per_share: 0.125 curr_half_min_move: 0.40331522241696 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.363285533084 destination_price: 5941.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40331522241696 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096057393516235 init_vol_normal: 38.363285533084 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: 14.195 slip_toler: 0 slippage: 0.069999999999709 slippage_sweep: -0.055000000000291 sweep_residual: 0 sweep_to_fill: 5941 total_dollar: 297052.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0
2025-06-02 14:52:56	EP	SIM:ESM5	Buy	50	-0.0900	-0.2800	5,941.6250	5,941.3750	5,941.5350	5,941.8150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.625 avg_total: 5941.535 curr_cost_per_share: 0.205 curr_half_min_move: 0.40334916508122 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.366514154392 destination_price: 5941.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.19 init_drift: 0 init_half_min_move: 0.40334916508122 init_liq_cost: 9.5 init_min_duration: 0 init_opt_t_minutes: 0.22189365164831 init_vol_normal: 38.366514154392 last_aggressive_qty: 32 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 43 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.217 slip_toler: 0 slippage: -0.090000000000146 slippage_sweep: -0.27999999999975 sweep_residual: 0 sweep_to_fill: 5941.815 total_dollar: 297076.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.366514154392 worst_opt_t_minutes: 0
2025-06-02 14:52:21	EP	SIM:ESM5	Sell	50	1.7550	1.4750	5,943.6250	5,941.1250	5,941.8700	5,943.3450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.625 avg_total: 5941.87 curr_cost_per_share: 0.125 curr_half_min_move: 0.40348493573827 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20048115303596 daily_vol_normal: 38.379428639623 destination_price: 5941.125 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.28 init_drift: 0 init_half_min_move: 0.40348493573827 init_liq_cost: 14 init_min_duration: 0 init_opt_t_minutes: 0.4815722053852 init_vol_normal: 38.379428639623 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 21.641 slip_toler: 0 slippage: 1.7550000000001 slippage_sweep: 1.4750000000004 sweep_residual: 0 sweep_to_fill: 5943.345 total_dollar: 297093.5 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.379428639623 worst_opt_t_minutes: 0.20048115303596
2025-06-02 14:51:59	EP	SIM:ESM5	Buy	50	0.0500	-0.0800	5,943.8750	5,943.6250	5,943.9250	5,944.0050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5943.875 avg_total: 5943.925 curr_cost_per_share: 0.125 curr_half_min_move: 0.4035019070704 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.381042950277 destination_price: 5943.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.4035019070704 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.10379956208144 init_vol_normal: 38.381042950277 last_aggressive_qty: last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 7.203 slip_toler: 0 slippage: 0.050000000000182 slippage_sweep: -0.079999999999927 sweep_residual: 0 sweep_to_fill: 5944.005 total_dollar: 297196.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.381042950277 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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