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
2025-04-17 12:41:35	EP	SIM:ESM5	Sell	50	0.1950	-0.2000	5,331.3750	5,330.8750	5,331.1800	5,330.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.375 avg_total: 5331.18 curr_cost_per_share: 0.435 curr_half_min_move: 0.69471825040719 curr_liq_cost: 21.75 curr_opt_t_minutes: 0 daily_vol_normal: 66.081499343614 destination_price: 5330.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.395 init_drift: 0 init_half_min_move: 0.6946026553055 init_liq_cost: 19.75 init_min_duration: 0 init_opt_t_minutes: 0.32338607323051 init_vol_normal: 66.070503954286 last_aggressive_qty: 6 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.425 slip_toler: 0 slippage: 0.19499999999971 slippage_sweep: -0.20000000000073 sweep_residual: 0 sweep_to_fill: 5330.98 total_dollar: 266559 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 64.896178671206 worst_opt_t_minutes: 0
2025-04-17 12:41:14	EP	SIM:ESM5	Buy	50	-0.9000	-1.4600	5,334.0000	5,332.2500	5,333.1000	5,334.5600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334 avg_total: 5333.1 curr_cost_per_share: 0.62 curr_half_min_move: 0.69468721508686 curr_liq_cost: 31 curr_opt_t_minutes: 0 daily_vol_normal: 66.07854726844 destination_price: 5332.25 drift: 1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.56 init_drift: 0 init_half_min_move: 0.69452557659189 init_liq_cost: 28 init_min_duration: 0 init_opt_t_minutes: 0.65012904159428 init_vol_normal: 66.063172238212 last_aggressive_qty: 7 last_tactical_qty: 9 level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.599 slip_toler: 0 slippage: -0.89999999999964 slippage_sweep: -1.46 sweep_residual: 0 sweep_to_fill: 5334.56 total_dollar: 266655 total_drift: 1.75 total_filled: 50 total_sent: 50 total_vol: 64.928131491822 worst_opt_t_minutes: 0
2025-04-17 12:38:48	EP	SIM:ESM5	Sell	50	-0.0500	-0.4450	5,334.3750	5,334.6250	5,334.4250	5,333.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.375 avg_total: 5334.425 curr_cost_per_share: 0.46 curr_half_min_move: 0.69099788683459 curr_liq_cost: 23 curr_opt_t_minutes: 0.21387249268081 daily_vol_normal: 65.727618899511 destination_price: 5334.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.395 init_drift: 0 init_half_min_move: 0.6909191567413 init_liq_cost: 19.75 init_min_duration: 0 init_opt_t_minutes: 0.326843402289 init_vol_normal: 65.720130104442 last_aggressive_qty: 1 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.475 slip_toler: 0 slippage: -0.050000000000182 slippage_sweep: -0.44500000000062 sweep_residual: 0 sweep_to_fill: 5333.98 total_dollar: 266721.25 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 64.932696180481 worst_opt_t_minutes: 0.21914111016798
2025-04-17 12:38:26	EP	SIM:ESM5	Buy	50	-0.3300	-0.7300	5,335.6250	5,334.7500	5,335.2950	5,336.0250	Diagnostics Diagnostics algo_status: 4 arrival_price: 5335.625 avg_total: 5335.295 curr_cost_per_share: 0.59 curr_half_min_move: 0.6909648162931 curr_liq_cost: 29.5 curr_opt_t_minutes: 0 daily_vol_normal: 65.724473234395 destination_price: 5334.75 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.4 init_drift: 0 init_half_min_move: 0.69087858363685 init_liq_cost: 20 init_min_duration: 0 init_opt_t_minutes: 0.33520965728892 init_vol_normal: 65.716270796623 last_aggressive_qty: 4 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.407 slip_toler: 0 slippage: -0.32999999999993 slippage_sweep: -0.72999999999956 sweep_residual: 0 sweep_to_fill: 5336.025 total_dollar: 266764.75 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 64.947911809346 worst_opt_t_minutes: 0
2025-04-17 12:37:16	EP	SIM:ESM5	Sell	50	0.8150	0.3200	5,334.8750	5,334.1250	5,334.0600	5,334.3800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.875 avg_total: 5334.06 curr_cost_per_share: 0.54 curr_half_min_move: 0.68929950658862 curr_liq_cost: 27 curr_opt_t_minutes: 0 daily_vol_normal: 65.566069216536 destination_price: 5334.125 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.495 init_drift: 0 init_half_min_move: 0.68919805866943 init_liq_cost: 24.75 init_min_duration: 0 init_opt_t_minutes: 0.51584866026211 init_vol_normal: 65.556419505159 last_aggressive_qty: 10 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.412 slip_toler: 0 slippage: 0.8149999999996 slippage_sweep: 0.31999999999971 sweep_residual: 0 sweep_to_fill: 5334.38 total_dollar: 266703 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 64.938782432027 worst_opt_t_minutes: 0
2025-04-17 12:36:55	EP	SIM:ESM5	Buy	50	-0.1400	-0.6400	5,333.8750	5,333.3750	5,333.7350	5,334.3750	Diagnostics Diagnostics algo_status: 4 arrival_price: 5333.875 avg_total: 5333.735 curr_cost_per_share: 0.505 curr_half_min_move: 0.68884460230743 curr_liq_cost: 25.25 curr_opt_t_minutes: 0.028209510992128 daily_vol_normal: 65.522798787206 destination_price: 5333.375 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.5 init_drift: 0 init_half_min_move: 0.68862641957604 init_liq_cost: 25 init_min_duration: 0 init_opt_t_minutes: 0.5271966565755 init_vol_normal: 65.502045277401 last_aggressive_qty: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9.622 slip_toler: 0 slippage: -0.14000000000033 slippage_sweep: -0.64000000000033 sweep_residual: 0 sweep_to_fill: 5334.375 total_dollar: 266686.75 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.926609928935 worst_opt_t_minutes: 0.02872995746997
2025-04-17 12:36:02	EP	SIM:ESM5	Sell	50	-0.2200	-0.7100	5,332.3750	5,333.2500	5,332.5950	5,331.8850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5332.375 avg_total: 5332.595 curr_cost_per_share: 0.62 curr_half_min_move: 0.68735412197103 curr_liq_cost: 31 curr_opt_t_minutes: 0 daily_vol_normal: 65.381024513515 destination_price: 5333.25 drift: -0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.68714054700074 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 0.50851176760498 init_vol_normal: 65.360709293279 last_aggressive_qty: 8 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 7.565 slip_toler: 0 slippage: -0.22000000000025 slippage_sweep: -0.71000000000004 sweep_residual: 0 sweep_to_fill: 5331.885 total_dollar: 266629.75 total_drift: -0.875 total_filled: 50 total_sent: 50 total_vol: 64.908351174297 worst_opt_t_minutes: 0
2025-04-17 12:34:57	EP	SIM:ESM5	Sell	50	0.0900	-0.4000	5,334.6250	5,334.3750	5,334.5350	5,334.1350	Diagnostics Diagnostics algo_status: 4 arrival_price: 5334.625 avg_total: 5334.535 curr_cost_per_share: 0.405 curr_half_min_move: 0.68605862739505 curr_liq_cost: 20.25 curr_opt_t_minutes: 0.14493601754571 daily_vol_normal: 65.25779725711 destination_price: 5334.375 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.49 init_drift: 0 init_half_min_move: 0.68588744119116 init_liq_cost: 24.5 init_min_duration: 0 init_opt_t_minutes: 0.51037155131475 init_vol_normal: 65.241514050194 last_aggressive_qty: 11 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 16 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17.686 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.39999999999964 sweep_residual: 0 sweep_to_fill: 5334.135 total_dollar: 266726.75 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 64.935739306254 worst_opt_t_minutes: 0.14637724389877
2025-04-17 12:33:39	EP	SIM:ESM5	Buy	50	0.4850	-0.0950	5,331.3750	5,331.8750	5,331.8600	5,331.9550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5331.375 avg_total: 5331.86 curr_cost_per_share: 0.47 curr_half_min_move: 0.68438531444198 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 65.098631971405 destination_price: 5331.875 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.6842351584053 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 0.71853051232027 init_vol_normal: 65.084349150948 last_aggressive_qty: 16 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: 9.696 slip_toler: 0 slippage: 0.48499999999967 slippage_sweep: -0.095000000000255 sweep_residual: 0 sweep_to_fill: 5331.955 total_dollar: 266593 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.896178671206 worst_opt_t_minutes: 0
2025-04-17 12:32:49	EP	SIM:ESM5	Sell	50	-0.1700	-0.7500	5,329.5000	5,331.1250	5,329.6700	5,328.9200	Diagnostics Diagnostics algo_status: 4 arrival_price: 5329.5 avg_total: 5329.67 curr_cost_per_share: 0.44 curr_half_min_move: 0.68300068560692 curr_liq_cost: 22 curr_opt_t_minutes: 0 daily_vol_normal: 64.966926277189 destination_price: 5331.125 drift: -1.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.58 init_drift: 0 init_half_min_move: 0.68277814547679 init_liq_cost: 29 init_min_duration: 0 init_opt_t_minutes: 0.72160039754346 init_vol_normal: 64.945758292248 last_aggressive_qty: 10 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: 9.401 slip_toler: 0 slippage: -0.17000000000007 slippage_sweep: -0.75 sweep_residual: 0 sweep_to_fill: 5328.92 total_dollar: 266483.5 total_drift: -1.625 total_filled: 50 total_sent: 50 total_vol: 64.873355227908 worst_opt_t_minutes: 0
2025-04-17 12:32:27	EP	SIM:ESM5	Buy	50	-0.4850	-0.9900	5,329.7500	5,328.8750	5,329.2650	5,330.2550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5329.75 avg_total: 5329.265 curr_cost_per_share: 0.47 curr_half_min_move: 0.68251535870281 curr_liq_cost: 23.5 curr_opt_t_minutes: 0 daily_vol_normal: 64.920762052373 destination_price: 5328.875 drift: 0.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.505 init_drift: 0 init_half_min_move: 0.68246095361871 init_liq_cost: 25.25 init_min_duration: 0 init_opt_t_minutes: 0.54755423071414 init_vol_normal: 64.915587048654 last_aggressive_qty: 6 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5.593 slip_toler: 0 slippage: -0.48499999999967 slippage_sweep: -0.98999999999978 sweep_residual: 0 sweep_to_fill: 5330.255 total_dollar: 266463.25 total_drift: 0.875 total_filled: 50 total_sent: 50 total_vol: 64.876398353681 worst_opt_t_minutes: 0
2025-04-17 12:30:22	EP	SIM:ESM5	Sell	50	-0.0450	-0.7350	5,327.3750	5,327.8750	5,327.4200	5,326.6850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5327.375 avg_total: 5327.42 curr_cost_per_share: 0.55 curr_half_min_move: 0.67957150514841 curr_liq_cost: 27.5 curr_opt_t_minutes: 0.098054909242645 daily_vol_normal: 64.640743128717 destination_price: 5327.875 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.69 init_drift: 0 init_half_min_move: 0.67908086912821 init_liq_cost: 34.5 init_min_duration: 0 init_opt_t_minutes: 1.0324171015529 init_vol_normal: 64.594073901549 last_aggressive_qty: 5 last_tactical_qty: 24 level_tactical_limit: mbo_max: mbo_min: model_size: 24 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.571 slip_toler: 0 slippage: -0.045000000000073 slippage_sweep: -0.73499999999967 sweep_residual: 0 sweep_to_fill: 5326.685 total_dollar: 266371 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 64.847488658838 worst_opt_t_minutes: 0.097430672327747
2025-04-17 12:30:02	EP	SIM:ESM5	Buy	50	0.2350	-0.3000	5,323.6250	5,324.2500	5,323.8600	5,324.1600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5323.625 avg_total: 5323.86 curr_cost_per_share: 0.525 curr_half_min_move: 0.678219865562 curr_liq_cost: 26.25 curr_opt_t_minutes: 0 daily_vol_normal: 64.512175367054 destination_price: 5324.25 drift: 0.625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.535 init_drift: 0 init_half_min_move: 0.67813710347118 init_liq_cost: 26.75 init_min_duration: 0 init_opt_t_minutes: 0.62240425094267 init_vol_normal: 64.504303048964 last_aggressive_qty: 3 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 13.651 slip_toler: 0 slippage: 0.23499999999967 slippage_sweep: -0.30000000000018 sweep_residual: 0 sweep_to_fill: 5324.16 total_dollar: 266193 total_drift: 0.625 total_filled: 50 total_sent: 50 total_vol: 64.801841772244 worst_opt_t_minutes: 0
2025-04-17 12:29:01	EP	SIM:ESM5	Sell	50	1.0950	0.6900	5,327.8750	5,325.8750	5,326.7800	5,327.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5327.875 avg_total: 5326.78 curr_cost_per_share: 0.535 curr_half_min_move: 0.67756813801931 curr_liq_cost: 26.75 curr_opt_t_minutes: 0 daily_vol_normal: 64.4501831376 destination_price: 5325.875 drift: -2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.405 init_drift: 0 init_half_min_move: 0.67707868969847 init_liq_cost: 20.25 init_min_duration: 0 init_opt_t_minutes: 0.35779293134827 init_vol_normal: 64.403626884222 last_aggressive_qty: 10 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 11.449 slip_toler: 0 slippage: 1.0950000000003 slippage_sweep: 0.69000000000051 sweep_residual: 0 sweep_to_fill: 5327.47 total_dollar: 266339 total_drift: -2 total_filled: 50 total_sent: 50 total_vol: 64.853574910384 worst_opt_t_minutes: 0
2025-04-17 12:28:47	EP	SIM:ESM5	Buy	50	0.8400	0.4950	5,328.6250	5,329.1250	5,329.4650	5,328.9700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5328.625 avg_total: 5329.465 curr_cost_per_share: 0.52 curr_half_min_move: 0.67717400143481 curr_liq_cost: 26 curr_opt_t_minutes: 0.05517433888947 daily_vol_normal: 64.412692922776 destination_price: 5329.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.67713320376741 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.25959120210519 init_vol_normal: 64.408812254563 last_aggressive_qty: 10 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6.302 slip_toler: 0 slippage: 0.84000000000015 slippage_sweep: 0.49499999999989 sweep_residual: 0 sweep_to_fill: 5328.97 total_dollar: 266473.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 64.862704287703 worst_opt_t_minutes: 0.054411405893983

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

Connect