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 12:17:13	EP	SIM:ESM5	Buy	50	0.9450	0.3350	5,331.1250	5,331.8750	5,332.0700	5,331.7350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.125 avg_total: 5332.07 curr_cost_per_share: 0.635 curr_half_min_move: 0.6588276062947 curr_liq_cost: 31.75 curr_opt_t_minutes: 0 daily_vol_normal: 62.667586474661 destination_price: 5331.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61 init_drift: 0 init_half_min_move: 0.65846713137979 init_liq_cost: 30.5 init_min_duration: 0 init_opt_t_minutes: 0.85820584405923 init_vol_normal: 62.633298152972 last_aggressive_qty: 9 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.391 slip_toler: 0 slippage: 0.94499999999971 slippage_sweep: 0.33500000000004 sweep_residual: 0 sweep_to_fill: 5331.735 total_dollar: 266603.5 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 64.893135545433 worst_opt_t_minutes: 0
2025-04-17 12:16:24	EP	SIM:ESM5	Sell	50	-0.5850	-1.1150	5,332.1250	5,333.3750	5,332.7100	5,331.5950	Diagnostics Diagnostics algo_status: 4 arrival_price: 5332.125 avg_total: 5332.71 curr_cost_per_share: 0.705 curr_half_min_move: 0.65766201984424 curr_liq_cost: 35.25 curr_opt_t_minutes: 0 daily_vol_normal: 62.556716060337 destination_price: 5333.375 drift: -1.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.65750579858713 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 0.64975939041016 init_vol_normal: 62.541856316991 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.439 slip_toler: 0 slippage: -0.58500000000004 slippage_sweep: -1.1149999999998 sweep_residual: 0 sweep_to_fill: 5331.595 total_dollar: 266635.5 total_drift: -1.25 total_filled: 50 total_sent: 50 total_vol: 64.905308048524 worst_opt_t_minutes: 0
2025-04-17 12:16:10	EP	SIM:ESM5	Buy	50	-1.8450	-2.3200	5,334.8750	5,332.6250	5,333.0300	5,335.3500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.875 avg_total: 5333.03 curr_cost_per_share: 0.505 curr_half_min_move: 0.65754528766084 curr_liq_cost: 25.25 curr_opt_t_minutes: 0 daily_vol_normal: 62.545612511962 destination_price: 5332.625 drift: 2.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.475 init_drift: 0 init_half_min_move: 0.6573259600554 init_liq_cost: 23.75 init_min_duration: 0 init_opt_t_minutes: 0.52218651270478 init_vol_normal: 62.524750101903 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.512 slip_toler: 0 slippage: -1.8450000000003 slippage_sweep: -2.3200000000006 sweep_residual: 0 sweep_to_fill: 5335.35 total_dollar: 266651.5 total_drift: 2.25 total_filled: 50 total_sent: 50 total_vol: 64.938782432027 worst_opt_t_minutes: 0
2025-04-17 12:15:29	EP	SIM:ESM5	Sell	50	-0.4000	-0.9550	5,334.8750	5,336.6250	5,335.2750	5,334.3200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.875 avg_total: 5335.275 curr_cost_per_share: 0.5 curr_half_min_move: 0.65593797992917 curr_liq_cost: 25 curr_opt_t_minutes: 0 daily_vol_normal: 62.392725633356 destination_price: 5336.625 drift: -1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.555 init_drift: 0 init_half_min_move: 0.65582607042635 init_liq_cost: 27.75 init_min_duration: 0 init_opt_t_minutes: 0.71615761254397 init_vol_normal: 62.382080817658 last_aggressive_qty: 9 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.715 slip_toler: 0 slippage: -0.39999999999964 slippage_sweep: -0.95499999999993 sweep_residual: 0 sweep_to_fill: 5334.32 total_dollar: 266763.75 total_drift: -1.75 total_filled: 50 total_sent: 50 total_vol: 64.938782432027 worst_opt_t_minutes: 0
2025-04-17 12:15:07	EP	SIM:ESM5	Buy	50	-0.5100	-0.9700	5,334.8750	5,334.3750	5,334.3650	5,335.3350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.875 avg_total: 5334.365 curr_cost_per_share: 0.505 curr_half_min_move: 0.65545589304739 curr_liq_cost: 25.25 curr_opt_t_minutes: 0.031156677017024 daily_vol_normal: 62.346869598995 destination_price: 5334.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.46 init_drift: 0 init_half_min_move: 0.65528723356715 init_liq_cost: 23 init_min_duration: 0 init_opt_t_minutes: 0.49277906514075 init_vol_normal: 62.330826733666 last_aggressive_qty: 11 last_tactical_qty: 8 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4.371 slip_toler: 0 slippage: -0.51000000000022 slippage_sweep: -0.97000000000025 sweep_residual: 0 sweep_to_fill: 5335.335 total_dollar: 266718.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.938782432027 worst_opt_t_minutes: 0.028719187858755
2025-04-17 12:14:24	EP	SIM:ESM5	Sell	50	1.0650	0.5000	5,336.6250	5,335.8750	5,335.5600	5,336.0600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5336.625 avg_total: 5335.56 curr_cost_per_share: 0.63 curr_half_min_move: 0.65427527620849 curr_liq_cost: 31.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.2345694963 destination_price: 5335.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.565 init_drift: 0 init_half_min_move: 0.65395578385957 init_liq_cost: 28.25 init_min_duration: 0 init_opt_t_minutes: 0.7464489736223 init_vol_normal: 62.204179430351 last_aggressive_qty: 8 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: 7.59 slip_toler: 0 slippage: 1.0649999999996 slippage_sweep: 0.5 sweep_residual: 0 sweep_to_fill: 5336.06 total_dollar: 266778 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.960084312438 worst_opt_t_minutes: 0
2025-04-17 12:14:07	EP	SIM:ESM5	Buy	50	-0.1900	-0.6550	5,337.6250	5,337.3750	5,337.4350	5,338.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 5337.625 avg_total: 5337.435 curr_cost_per_share: 0.465 curr_half_min_move: 0.65382609131527 curr_liq_cost: 23.25 curr_opt_t_minutes: 0.2467888436296 daily_vol_normal: 62.191843094325 destination_price: 5337.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.465 init_drift: 0 init_half_min_move: 0.65367154470828 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 0.50604221263645 init_vol_normal: 62.177142643455 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 14.529 slip_toler: 0 slippage: -0.1899999999996 slippage_sweep: -0.65499999999975 sweep_residual: 0 sweep_to_fill: 5338.09 total_dollar: 266871.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 64.972256815529 worst_opt_t_minutes: 0.22611869672809
2025-04-17 12:12:42	EP	SIM:ESM5	Buy	50	-1.0200	-1.5250	5,339.2500	5,337.8750	5,338.2300	5,339.7550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5339.25 avg_total: 5338.23 curr_cost_per_share: 0.51 curr_half_min_move: 0.65237128499761 curr_liq_cost: 25.5 curr_opt_t_minutes: 0 daily_vol_normal: 62.053462128128 destination_price: 5337.875 drift: 1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.65210648500454 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 0.59971611359033 init_vol_normal: 62.028274391146 last_aggressive_qty: 9 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.338 slip_toler: 0 slippage: -1.0200000000004 slippage_sweep: -1.5250000000005 sweep_residual: 0 sweep_to_fill: 5339.755 total_dollar: 266911.5 total_drift: 1.375 total_filled: 50 total_sent: 50 total_vol: 64.992037133054 worst_opt_t_minutes: 0
2025-04-17 12:11:01	EP	SIM:ESM5	Sell	50	0.5800	0.0500	5,343.0000	5,341.6250	5,342.4200	5,342.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343 avg_total: 5342.42 curr_cost_per_share: 0.575 curr_half_min_move: 0.6503754464905 curr_liq_cost: 28.75 curr_opt_t_minutes: 0 daily_vol_normal: 61.863618258444 destination_price: 5341.625 drift: -1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.64989071366935 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 0.66507569430435 init_vol_normal: 61.817510542713 last_aggressive_qty: 8 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 8.587 slip_toler: 0 slippage: 0.57999999999993 slippage_sweep: 0.050000000000182 sweep_residual: 0 sweep_to_fill: 5342.47 total_dollar: 267121 total_drift: -1.375 total_filled: 50 total_sent: 50 total_vol: 65.037684019648 worst_opt_t_minutes: 0
2025-04-17 12:10:05	EP	SIM:ESM5	Sell	50	0.9500	0.4450	5,343.8750	5,342.3750	5,342.9250	5,343.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343.875 avg_total: 5342.925 curr_cost_per_share: 0.63 curr_half_min_move: 0.64850579063408 curr_liq_cost: 31.5 curr_opt_t_minutes: 0 daily_vol_normal: 61.685776864215 destination_price: 5342.375 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.64829805123987 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 0.60678288703358 init_vol_normal: 61.66601672313 last_aggressive_qty: 3 last_tactical_qty: 16 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12.584 slip_toler: 0 slippage: 0.94999999999982 slippage_sweep: 0.44499999999971 sweep_residual: 0 sweep_to_fill: 5343.37 total_dollar: 267146.25 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 65.048334959853 worst_opt_t_minutes: 0
2025-04-17 12:09:48	EP	SIM:ESM5	Buy	50	-0.1350	-0.5850	5,345.3750	5,344.6250	5,345.2400	5,345.8250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5345.375 avg_total: 5345.24 curr_cost_per_share: 0.585 curr_half_min_move: 0.64829885077272 curr_liq_cost: 29.25 curr_opt_t_minutes: 0 daily_vol_normal: 61.666092774579 destination_price: 5344.625 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.45 init_drift: 0 init_half_min_move: 0.64806707058164 init_liq_cost: 22.5 init_min_duration: 0 init_opt_t_minutes: 0.4821532716854 init_vol_normal: 61.644045876378 last_aggressive_qty: 7 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.528 slip_toler: 0 slippage: -0.13500000000022 slippage_sweep: -0.58500000000004 sweep_residual: 0 sweep_to_fill: 5345.825 total_dollar: 267262 total_drift: 0.75 total_filled: 50 total_sent: 50 total_vol: 65.066593714491 worst_opt_t_minutes: 0
2025-04-17 12:08:57	EP	SIM:ESM5	Sell	50	-1.0200	-1.6300	5,343.1250	5,344.7500	5,344.1450	5,342.5150	Diagnostics Diagnostics algo_status: 4 arrival_price: 5343.125 avg_total: 5344.145 curr_cost_per_share: 0.615 curr_half_min_move: 0.6462842744563 curr_liq_cost: 30.75 curr_opt_t_minutes: 0 daily_vol_normal: 61.474466567188 destination_price: 5344.75 drift: -1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.61 init_drift: 0 init_half_min_move: 0.6460797937381 init_liq_cost: 30.5 init_min_duration: 0 init_opt_t_minutes: 0.8914302199156 init_vol_normal: 61.455016390893 last_aggressive_qty: 13 last_tactical_qty: 11 level_tactical_limit: mbo_max: mbo_min: model_size: 11 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.427 slip_toler: 0 slippage: -1.0200000000004 slippage_sweep: -1.6300000000001 sweep_residual: 0 sweep_to_fill: 5342.515 total_dollar: 267207.25 total_drift: -1.625 total_filled: 50 total_sent: 50 total_vol: 65.039205582535 worst_opt_t_minutes: 0
2025-04-17 12:08:31	EP	SIM:ESM5	Buy	50	-0.5950	-1.1200	5,342.5000	5,341.5000	5,341.9050	5,343.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.5 avg_total: 5341.905 curr_cost_per_share: 0.59 curr_half_min_move: 0.6455963302768 curr_liq_cost: 29.5 curr_opt_t_minutes: 0 daily_vol_normal: 61.409029416487 destination_price: 5341.5 drift: 1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.525 init_drift: 0 init_half_min_move: 0.64515876981018 init_liq_cost: 26.25 init_min_duration: 0 init_opt_t_minutes: 0.66219423660318 init_vol_normal: 61.367408728286 last_aggressive_qty: 5 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: 9.467 slip_toler: 0 slippage: -0.59500000000025 slippage_sweep: -1.1199999999999 sweep_residual: 0 sweep_to_fill: 5343.025 total_dollar: 267095.25 total_drift: 1 total_filled: 50 total_sent: 50 total_vol: 65.031597768102 worst_opt_t_minutes: 0
2025-04-17 12:07:45	EP	SIM:ESM5	Sell	50	0.5150	-0.0300	5,342.3750	5,341.8750	5,341.8600	5,341.8300	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.375 avg_total: 5341.86 curr_cost_per_share: 0.59 curr_half_min_move: 0.64370619473461 curr_liq_cost: 29.5 curr_opt_t_minutes: 0.17506931906582 daily_vol_normal: 61.229239997515 destination_price: 5341.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.545 init_drift: 0 init_half_min_move: 0.64331036251211 init_liq_cost: 27.25 init_min_duration: 0 init_opt_t_minutes: 0.71771481388668 init_vol_normal: 61.19158849385 last_aggressive_qty: 10 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10.532 slip_toler: 0 slippage: 0.51500000000033 slippage_sweep: -0.029999999999745 sweep_residual: 0 sweep_to_fill: 5341.83 total_dollar: 267093 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 65.030076205216 worst_opt_t_minutes: 0.15520269360452
2025-04-17 12:06:28	EP	SIM:ESM5	Sell	50	1.2450	0.7150	5,341.3750	5,339.8750	5,340.1300	5,340.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.375 avg_total: 5340.13 curr_cost_per_share: 0.46 curr_half_min_move: 0.64021157377341 curr_liq_cost: 23 curr_opt_t_minutes: 0 daily_vol_normal: 60.896832157907 destination_price: 5339.875 drift: -1.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.53 init_drift: 0 init_half_min_move: 0.64009963035047 init_liq_cost: 26.5 init_min_duration: 0 init_opt_t_minutes: 0.68557754797526 init_vol_normal: 60.886184115733 last_aggressive_qty: 10 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 13 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.29 slip_toler: 0 slippage: 1.2449999999999 slippage_sweep: 0.71500000000015 sweep_residual: 0 sweep_to_fill: 5340.845 total_dollar: 267006.5 total_drift: -1.5 total_filled: 50 total_sent: 50 total_vol: 65.017903702124 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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