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
2025-06-02 14:38:31	EP	SIM:ESM5	Sell	50	0.2400	0.1150	5,940.8750	5,940.8750	5,940.6350	5,940.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.875 avg_total: 5940.635 curr_cost_per_share: 0.125 curr_half_min_move: 0.40329825108483 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096065478134631 daily_vol_normal: 38.36167122243 destination_price: 5940.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40329825108483 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096065478134631 init_vol_normal: 38.36167122243 last_aggressive_qty: last_tactical_qty: 23 level_tactical_limit: mbo_max: mbo_min: model_size: 23 n_kids: 8 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 11.198 slip_toler: 0 slippage: 0.23999999999978 slippage_sweep: 0.11499999999978 sweep_residual: 0 sweep_to_fill: 5940.75 total_dollar: 297031.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.36167122243 worst_opt_t_minutes: 0.096065478134631
2025-06-02 14:38:19	EP	SIM:ESM5	Buy	50	-0.6100	-0.8550	5,941.6250	5,941.1250	5,941.0150	5,941.8700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.625 avg_total: 5941.015 curr_cost_per_share: 0.135 curr_half_min_move: 0.40334916508122 curr_liq_cost: 6.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.366514154392 destination_price: 5941.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.40334916508122 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.36895197895262 init_vol_normal: 38.366514154392 last_aggressive_qty: 28 last_tactical_qty: 21 level_tactical_limit: mbo_max: mbo_min: model_size: 49 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 1.39 slip_toler: 0 slippage: -0.60999999999967 slippage_sweep: -0.85499999999956 sweep_residual: 0 sweep_to_fill: 5941.87 total_dollar: 297050.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.366514154392 worst_opt_t_minutes: 0
2025-06-02 14:37:48	EP	SIM:ESM5	Sell	50	-0.0450	-0.2400	5,941.6250	5,941.8750	5,941.6700	5,941.4300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.625 avg_total: 5941.67 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: 5941.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.195 init_drift: 0 init_half_min_move: 0.40334916508122 init_liq_cost: 9.75 init_min_duration: 0 init_opt_t_minutes: 0.2337259308567 init_vol_normal: 38.366514154392 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.301 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.23999999999978 sweep_residual: 0 sweep_to_fill: 5941.43 total_dollar: 297083.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.366514154392 worst_opt_t_minutes: 0
2025-06-02 14:37:44	EP	SIM:ESM5	Buy	50	0.0700	-0.0550	5,941.8750	5,941.6250	5,941.9450	5,942.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.875 avg_total: 5941.945 curr_cost_per_share: 0.235 curr_half_min_move: 0.40336613641335 curr_liq_cost: 11.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.368128465046 destination_price: 5941.625 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40336613641335 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096033145783524 init_vol_normal: 38.368128465046 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: 8.172 slip_toler: 0 slippage: 0.069999999999709 slippage_sweep: -0.055000000000291 sweep_residual: 0 sweep_to_fill: 5942 total_dollar: 297097.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.368128465046 worst_opt_t_minutes: 0
2025-06-02 14:37:05	EP	SIM:ESM5	Sell	50	-0.1350	-0.2600	5,941.1250	5,941.6250	5,941.2600	5,941.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.125 avg_total: 5941.26 curr_cost_per_share: 0.205 curr_half_min_move: 0.40331522241696 curr_liq_cost: 10.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.363285533084 destination_price: 5941.625 drift: -0.5 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: 15 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 3 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.104 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.26000000000022 sweep_residual: 0 sweep_to_fill: 5941 total_dollar: 297063 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 38.363285533084 worst_opt_t_minutes: 0
2025-06-02 14:37:03	EP	SIM:ESM5	Buy	50	-0.3000	-0.5350	5,941.6250	5,941.1250	5,941.3250	5,941.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.625 avg_total: 5941.325 curr_cost_per_share: 0.275 curr_half_min_move: 0.40334916508122 curr_liq_cost: 13.75 curr_opt_t_minutes: 0 daily_vol_normal: 38.366514154392 destination_price: 5941.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.40334916508122 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.33944811391351 init_vol_normal: 38.366514154392 last_aggressive_qty: 13 last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.335 slip_toler: 0 slippage: -0.30000000000018 slippage_sweep: -0.53499999999985 sweep_residual: 0 sweep_to_fill: 5941.86 total_dollar: 297066.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 38.366514154392 worst_opt_t_minutes: 0
2025-06-02 14:36:30	EP	SIM:ESM5	Sell	50	0.0650	-0.0950	5,942.1250	5,942.3750	5,942.0600	5,941.9650	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.125 avg_total: 5942.06 curr_cost_per_share: 0.25 curr_half_min_move: 0.40338310774548 curr_liq_cost: 12.5 curr_opt_t_minutes: 0 daily_vol_normal: 38.3697427757 destination_price: 5942.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.40338310774548 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.15732746689939 init_vol_normal: 38.3697427757 last_aggressive_qty: 4 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 5.198 slip_toler: 0 slippage: 0.0649999999996 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5941.965 total_dollar: 297103 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.3697427757 worst_opt_t_minutes: 0
2025-06-02 14:36:25	EP	SIM:ESM5	Buy	50	1.2950	1.1150	5,940.6250	5,942.1250	5,941.9200	5,940.8050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5941.92 curr_cost_per_share: 0.125 curr_half_min_move: 0.4032812797527 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20068368907309 daily_vol_normal: 38.360056911777 destination_price: 5942.125 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.18 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 9 init_min_duration: 0 init_opt_t_minutes: 0.1992181418412 init_vol_normal: 38.360056911777 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.529 slip_toler: 0 slippage: 1.2950000000001 slippage_sweep: 1.1149999999998 sweep_residual: 0 sweep_to_fill: 5940.805 total_dollar: 297096 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0.20068368907309
2025-06-02 14:35:41	EP	SIM:ESM5	Sell	50	-0.0700	-0.1950	5,939.6250	5,939.8750	5,939.6950	5,939.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.625 avg_total: 5939.695 curr_cost_per_share: 0.125 curr_half_min_move: 0.40321339442418 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.353599669161 destination_price: 5939.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40321339442418 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096105916540537 init_vol_normal: 38.353599669161 last_aggressive_qty: 30 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 39 n_kids: 4 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 2.109 slip_toler: 0 slippage: -0.069999999999709 slippage_sweep: -0.19499999999971 sweep_residual: 0 sweep_to_fill: 5939.5 total_dollar: 296984.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 38.353599669161 worst_opt_t_minutes: 0
2025-06-02 14:35:38	EP	SIM:ESM5	Buy	50	0.5650	0.4200	5,939.1250	5,939.6250	5,939.6900	5,939.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5939.125 avg_total: 5939.69 curr_cost_per_share: 0.125 curr_half_min_move: 0.40317945175992 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20078507220528 daily_vol_normal: 38.350371047854 destination_price: 5939.625 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.145 init_drift: 0 init_half_min_move: 0.40317945175992 init_liq_cost: 7.25 init_min_duration: 0 init_opt_t_minutes: 0.12934189648519 init_vol_normal: 38.350371047854 last_aggressive_qty: 1 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.403 slip_toler: 0 slippage: 0.5649999999996 slippage_sweep: 0.41999999999916 sweep_residual: 0 sweep_to_fill: 5939.27 total_dollar: 296984.5 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 38.350371047854 worst_opt_t_minutes: 0.20078507220528
2025-06-02 14:34:55	EP	SIM:ESM5	Sell	50	0.3150	0.1450	5,940.3750	5,940.3750	5,940.0600	5,940.2050	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.375 avg_total: 5940.06 curr_cost_per_share: 0.145 curr_half_min_move: 0.40326430842057 curr_liq_cost: 7.25 curr_opt_t_minutes: 0.12928746882358 daily_vol_normal: 38.358442601123 destination_price: 5940.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.40326430842057 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 0.17771262064216 init_vol_normal: 38.358442601123 last_aggressive_qty: last_tactical_qty: 18 level_tactical_limit: mbo_max: mbo_min: model_size: 18 n_kids: 7 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.196 slip_toler: 0 slippage: 0.3149999999996 slippage_sweep: 0.14499999999953 sweep_residual: 0 sweep_to_fill: 5940.205 total_dollar: 297003 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.358442601123 worst_opt_t_minutes: 0.12928746882358
2025-06-02 14:34:43	EP	SIM:ESM5	Buy	50	-0.1100	-0.2350	5,940.6250	5,940.3750	5,940.5150	5,940.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5940.625 avg_total: 5940.515 curr_cost_per_share: 0.125 curr_half_min_move: 0.4032812797527 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 38.360056911777 destination_price: 5940.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.4032812797527 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096073563773726 init_vol_normal: 38.360056911777 last_aggressive_qty: 7 last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 29 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 3.119 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.23499999999967 sweep_residual: 0 sweep_to_fill: 5940.75 total_dollar: 297025.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 38.360056911777 worst_opt_t_minutes: 0
2025-06-02 14:34:09	EP	SIM:ESM5	Sell	50	0.6300	0.5050	5,941.6250	5,940.6250	5,940.9950	5,941.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.625 avg_total: 5940.995 curr_cost_per_share: 0.125 curr_half_min_move: 0.40334916508122 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.20061614297211 daily_vol_normal: 38.366514154392 destination_price: 5940.625 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40334916508122 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096041227340853 init_vol_normal: 38.366514154392 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 12.231 slip_toler: 0 slippage: 0.63000000000011 slippage_sweep: 0.50500000000011 sweep_residual: 0 sweep_to_fill: 5941.5 total_dollar: 297049.75 total_drift: 0.125 total_filled: 50 total_sent: 50 total_vol: 38.366514154392 worst_opt_t_minutes: 0.20061614297211
2025-06-02 14:33:57	EP	SIM:ESM5	Buy	50	0.2950	0.1400	5,941.6250	5,941.6250	5,941.9200	5,941.7800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5941.625 avg_total: 5941.92 curr_cost_per_share: 0.125 curr_half_min_move: 0.40334916508122 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096041227340853 daily_vol_normal: 38.366514154392 destination_price: 5941.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.155 init_drift: 0 init_half_min_move: 0.40334916508122 init_liq_cost: 7.75 init_min_duration: 0 init_opt_t_minutes: 0.1476729911593 init_vol_normal: 38.366514154392 last_aggressive_qty: 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: 10.202 slip_toler: 0 slippage: 0.29500000000007 slippage_sweep: 0.14000000000033 sweep_residual: 0 sweep_to_fill: 5941.78 total_dollar: 297096 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.366514154392 worst_opt_t_minutes: 0.096041227340853
2025-06-02 14:33:16	EP	SIM:ESM5	Sell	50	0.2200	0.0950	5,942.3750	5,942.3750	5,942.1550	5,942.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5942.375 avg_total: 5942.155 curr_cost_per_share: 0.125 curr_half_min_move: 0.40340007907761 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.096016985728731 daily_vol_normal: 38.371357086353 destination_price: 5942.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.40340007907761 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.096016985728731 init_vol_normal: 38.371357086353 last_aggressive_qty: 4 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 14.231 slip_toler: 0 slippage: 0.22000000000025 slippage_sweep: 0.095000000000255 sweep_residual: 0 sweep_to_fill: 5942.25 total_dollar: 297107.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 38.371357086353 worst_opt_t_minutes: 0.096016985728731

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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