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 12:28:07	EP	SIM:ESM5	Sell	50	0.6950	0.0100	5,328.3750	5,327.6250	5,327.6800	5,327.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.375 avg_total: 5327.68 curr_cost_per_share: 0.69 curr_half_min_move: 0.67648370709903 curr_liq_cost: 34.5 curr_opt_t_minutes: 0 daily_vol_normal: 64.347032225551 destination_price: 5327.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.685 init_drift: 0 init_half_min_move: 0.6763994546345 init_liq_cost: 34.25 init_min_duration: 0 init_opt_t_minutes: 1.0255920494209 init_vol_normal: 64.339018143329 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.685 slip_toler: 0 slippage: 0.69499999999971 slippage_sweep: 0.0099999999993088 sweep_residual: 0 sweep_to_fill: 5327.69 total_dollar: 266384 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.85966116193 worst_opt_t_minutes: 0
2025-04-17 12:27:31	EP	SIM:ESM5	Buy	50	0.3600	-0.1400	5,326.3750	5,326.7500	5,326.7350	5,326.8750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5326.375 avg_total: 5326.735 curr_cost_per_share: 0.455 curr_half_min_move: 0.67552087388272 curr_liq_cost: 22.75 curr_opt_t_minutes: 0.10425385664121 daily_vol_normal: 64.255447669489 destination_price: 5326.75 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.5 init_drift: 0 init_half_min_move: 0.67532271753814 init_liq_cost: 25 init_min_duration: 0 init_opt_t_minutes: 0.5481725570311 init_vol_normal: 64.236599066697 last_aggressive_qty: 17 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.411 slip_toler: 0 slippage: 0.35999999999967 slippage_sweep: -0.14000000000033 sweep_residual: 0 sweep_to_fill: 5326.875 total_dollar: 266336.75 total_drift: 0.375 total_filled: 50 total_sent: 50 total_vol: 64.835316155746 worst_opt_t_minutes: 0.10239736267774
2025-04-17 12:26:03	EP	SIM:ESM5	Sell	50	0.8450	0.2100	5,331.3750	5,330.6250	5,330.5300	5,330.7400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.375 avg_total: 5330.53 curr_cost_per_share: 0.405 curr_half_min_move: 0.67359739329431 curr_liq_cost: 20.25 curr_opt_t_minutes: 0 daily_vol_normal: 64.07248647455 destination_price: 5330.625 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.635 init_drift: 0 init_half_min_move: 0.67344993934627 init_liq_cost: 31.75 init_min_duration: 0 init_opt_t_minutes: 0.88907175701279 init_vol_normal: 64.058460676373 last_aggressive_qty: 6 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.538 slip_toler: 0 slippage: 0.84500000000025 slippage_sweep: 0.21000000000004 sweep_residual: 0 sweep_to_fill: 5330.74 total_dollar: 266526.5 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.896178671206 worst_opt_t_minutes: 0
2025-04-17 12:25:06	EP	SIM:ESM5	Sell	50	-0.9400	-1.4250	5,327.1250	5,329.0000	5,328.0650	5,326.6400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5327.125 avg_total: 5328.065 curr_cost_per_share: 0.525 curr_half_min_move: 0.67156467831373 curr_liq_cost: 26.25 curr_opt_t_minutes: 0 daily_vol_normal: 63.879134920051 destination_price: 5329 drift: -1.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.485 init_drift: 0 init_half_min_move: 0.67141681607514 init_liq_cost: 24.25 init_min_duration: 0 init_opt_t_minutes: 0.52179396130709 init_vol_normal: 63.865070285336 last_aggressive_qty: 12 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.266 slip_toler: 0 slippage: -0.9399999999996 slippage_sweep: -1.4249999999993 sweep_residual: 0 sweep_to_fill: 5326.64 total_dollar: 266403.25 total_drift: -1.875 total_filled: 50 total_sent: 50 total_vol: 64.844445533065 worst_opt_t_minutes: 0
2025-04-17 12:24:50	EP	SIM:ESM5	Buy	50	0.7250	0.4200	5,327.1250	5,327.7500	5,327.8500	5,327.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5327.125 avg_total: 5327.85 curr_cost_per_share: 0.355 curr_half_min_move: 0.67119177003177 curr_liq_cost: 17.75 curr_opt_t_minutes: 0 daily_vol_normal: 63.84366393829 destination_price: 5327.75 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.67099361718834 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.20661550104245 init_vol_normal: 63.824815668527 last_aggressive_qty: 5 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 17 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.246 slip_toler: 0 slippage: 0.72500000000036 slippage_sweep: 0.42000000000007 sweep_residual: 0 sweep_to_fill: 5327.43 total_dollar: 266392.5 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 64.844445533065 worst_opt_t_minutes: 0
2025-04-17 12:23:59	EP	SIM:ESM5	Buy	50	-0.0550	-0.5000	5,325.6250	5,325.0000	5,325.5700	5,326.0700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.625 avg_total: 5325.57 curr_cost_per_share: 0.54 curr_half_min_move: 0.66971985461115 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 63.703655556699 destination_price: 5325 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.445 init_drift: 0 init_half_min_move: 0.66948516357645 init_liq_cost: 22.25 init_min_duration: 0 init_opt_t_minutes: 0.44181261068242 init_vol_normal: 63.681331779474 last_aggressive_qty: 7 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.475 slip_toler: 0 slippage: -0.055000000000291 slippage_sweep: -0.5 sweep_residual: 0 sweep_to_fill: 5326.07 total_dollar: 266278.5 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 64.826186778427 worst_opt_t_minutes: 0
2025-04-17 12:23:18	EP	SIM:ESM5	Sell	50	0.4350	-0.0550	5,326.8750	5,327.3750	5,326.4400	5,326.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5326.875 avg_total: 5326.44 curr_cost_per_share: 0.535 curr_half_min_move: 0.66873230654671 curr_liq_cost: 26.75 curr_opt_t_minutes: 0.079169150697717 daily_vol_normal: 63.609720127863 destination_price: 5327.375 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.66828795343869 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 0.53760697520719 init_vol_normal: 63.567453324596 last_aggressive_qty: 10 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 19.558 slip_toler: 0 slippage: 0.4350000000004 slippage_sweep: -0.054999999999382 sweep_residual: 0 sweep_to_fill: 5326.385 total_dollar: 266322 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 64.841402407292 worst_opt_t_minutes: 0.076190032156612
2025-04-17 12:22:54	EP	SIM:ESM5	Buy	50	0.8250	0.2200	5,325.1250	5,325.8750	5,325.9500	5,325.7300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5325.125 avg_total: 5325.95 curr_cost_per_share: 0.375 curr_half_min_move: 0.66789134819222 curr_liq_cost: 18.75 curr_opt_t_minutes: 0 daily_vol_normal: 63.529728291003 destination_price: 5325.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.605 init_drift: 0 init_half_min_move: 0.66782153280699 init_liq_cost: 30.25 init_min_duration: 0 init_opt_t_minutes: 0.82071035536147 init_vol_normal: 63.523087461672 last_aggressive_qty: 15 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.712 slip_toler: 0 slippage: 0.82499999999982 slippage_sweep: 0.22000000000025 sweep_residual: 0 sweep_to_fill: 5325.73 total_dollar: 266297.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.820100526882 worst_opt_t_minutes: 0
2025-04-17 12:22:11	EP	SIM:ESM5	Sell	50	0.8500	0.3150	5,327.3750	5,326.3750	5,326.5250	5,326.8400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5327.375 avg_total: 5326.525 curr_cost_per_share: 0.46 curr_half_min_move: 0.66713172981251 curr_liq_cost: 23 curr_opt_t_minutes: 0 daily_vol_normal: 63.457473500761 destination_price: 5326.375 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.535 init_drift: 0 init_half_min_move: 0.66699319355932 init_liq_cost: 26.75 init_min_duration: 0 init_opt_t_minutes: 0.64337585709939 init_vol_normal: 63.444295952425 last_aggressive_qty: 7 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.568 slip_toler: 0 slippage: 0.85000000000036 slippage_sweep: 0.31500000000051 sweep_residual: 0 sweep_to_fill: 5326.84 total_dollar: 266326.25 total_drift: -1 total_filled: 50 total_sent: 50 total_vol: 64.847488658838 worst_opt_t_minutes: 0
2025-04-17 12:21:50	EP	SIM:ESM5	Buy	50	0.9300	0.5050	5,326.6250	5,327.7500	5,327.5550	5,327.0500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5326.625 avg_total: 5327.555 curr_cost_per_share: 0.54 curr_half_min_move: 0.66670642012304 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 63.417018104708 destination_price: 5327.75 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.425 init_drift: 0 init_half_min_move: 0.66625934010963 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 0.40690332569163 init_vol_normal: 63.374491918595 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.418 slip_toler: 0 slippage: 0.93000000000029 slippage_sweep: 0.50500000000011 sweep_residual: 0 sweep_to_fill: 5327.05 total_dollar: 266377.75 total_drift: 1.125 total_filled: 50 total_sent: 50 total_vol: 64.838359281519 worst_opt_t_minutes: 0
2025-04-17 12:21:07	EP	SIM:ESM5	Sell	50	0.8350	0.1350	5,329.3750	5,328.7500	5,328.5400	5,328.6750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5329.375 avg_total: 5328.54 curr_cost_per_share: 0.54 curr_half_min_move: 0.66511793443347 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 63.26592157602 destination_price: 5328.75 drift: -0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.7 init_drift: 0 init_half_min_move: 0.66501924651439 init_liq_cost: 35 init_min_duration: 0 init_opt_t_minutes: 1.1079691061043 init_vol_normal: 63.256534395453 last_aggressive_qty: 9 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.626 slip_toler: 0 slippage: 0.83500000000004 slippage_sweep: 0.13500000000022 sweep_residual: 0 sweep_to_fill: 5328.675 total_dollar: 266427 total_drift: -0.625 total_filled: 50 total_sent: 50 total_vol: 64.871833665022 worst_opt_t_minutes: 0
2025-04-17 12:19:47	EP	SIM:ESM5	Sell	50	-0.4600	-0.9050	5,331.1250	5,332.0000	5,331.5850	5,330.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.125 avg_total: 5331.585 curr_cost_per_share: 0.52 curr_half_min_move: 0.66389371814459 curr_liq_cost: 26 curr_opt_t_minutes: 0 daily_vol_normal: 63.149474299958 destination_price: 5332 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.445 init_drift: 0 init_half_min_move: 0.66384818977562 init_liq_cost: 22.25 init_min_duration: 0 init_opt_t_minutes: 0.44934764642276 init_vol_normal: 63.145143648097 last_aggressive_qty: 16 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 19 n_kids: 5 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 3.492 slip_toler: 0 slippage: -0.46000000000004 slippage_sweep: -0.90499999999975 sweep_residual: 0 sweep_to_fill: 5330.68 total_dollar: 266579.25 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 64.893135545433 worst_opt_t_minutes: 0
2025-04-17 12:19:27	EP	SIM:ESM5	Buy	50	0.4700	0.0100	5,330.3750	5,330.8750	5,330.8450	5,330.8350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5330.375 avg_total: 5330.845 curr_cost_per_share: 0.545 curr_half_min_move: 0.66341781717315 curr_liq_cost: 27.25 curr_opt_t_minutes: 0.095399702770958 daily_vol_normal: 63.104206668493 destination_price: 5330.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.46 init_drift: 0 init_half_min_move: 0.66337226224643 init_liq_cost: 23 init_min_duration: 0 init_opt_t_minutes: 0.48084050740584 init_vol_normal: 63.099873490462 last_aggressive_qty: 13 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.521 slip_toler: 0 slippage: 0.47000000000025 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 5330.835 total_dollar: 266542.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.884006168114 worst_opt_t_minutes: 0.090237765020153
2025-04-17 12:18:21	EP	SIM:ESM5	Buy	50	-1.3750	-1.8900	5,329.3750	5,327.6250	5,328.0000	5,329.8900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5329.375 avg_total: 5328 curr_cost_per_share: 0.47 curr_half_min_move: 0.66121368199928 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.89454965004 destination_price: 5327.625 drift: 1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.515 init_drift: 0 init_half_min_move: 0.66094978210446 init_liq_cost: 25.75 init_min_duration: 0 init_opt_t_minutes: 0.60712418094857 init_vol_normal: 62.869447530272 last_aggressive_qty: 14 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.243 slip_toler: 0 slippage: -1.375 slippage_sweep: -1.8900000000003 sweep_residual: 0 sweep_to_fill: 5329.89 total_dollar: 266400 total_drift: 1.75 total_filled: 50 total_sent: 50 total_vol: 64.871833665022 worst_opt_t_minutes: 0
2025-04-17 12:17:35	EP	SIM:ESM5	Sell	50	-0.4150	-0.8800	5,331.1250	5,331.8750	5,331.5400	5,330.6600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.125 avg_total: 5331.54 curr_cost_per_share: 0.55 curr_half_min_move: 0.65936196475007 curr_liq_cost: 27.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.71841457353 destination_price: 5331.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.65925982314562 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 0.49749954346477 init_vol_normal: 62.70869887891 last_aggressive_qty: 9 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.486 slip_toler: 0 slippage: -0.41499999999996 slippage_sweep: -0.88000000000011 sweep_residual: 0 sweep_to_fill: 5330.66 total_dollar: 266577 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.893135545433 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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