Arrival Price AI Analytics
CQG AI Algos
The Arrival Price Algorithm is driven by short-term realized volatility and drift signals as well as market-implied cost of liquidity to execute within a risk-optimized time horizon using trader-defined slippage expectations. Arrival Price is benchmarked against mid-market and sweep to fill (market order) metrics.
"Liquidity Cost, Volatility, and Drift" are the quantities used by the algorithm to compute a theoretically optimal Equilibrium Trading Horizon (White Paper). "Seconds spent" reflects the practical application of this horizon over simulated dynamic market conditions. A "fill stream" is also included to demonstrate the effects of the Market By Order Impact Model, which helps size order slices in a manner consistent with price-level population.
The graphs below illuminate the effects of these indicators on optimal execution horizon and therefore, performance results of hypothetical Arrival Price orders.
Impact Model: MBO
Payup Model: PayupAI
- Liquidity Cost:
- Implicit cost of liquidity per lot
- Volatility:
- Normal volatility in dollar terms
- Drift:
- Short-term directional drift
- Seconds Spent:
- Seconds spent in simulated execution
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2900
Slippage Sweep
-0.1300
Arrival Price
6,419.3750
Average Total
6,419.6650
Destination Price
6,419.8750
Sweep to Fill
6,419.7950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:39:19.221 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:38:32.297 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:38:24.171 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:38:23.713 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:38:16.065 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:40:53.683 | SIM:ESU5 | Buy | 5 | 6420 | Aggressive |
| 2025-08-11T04:40:22.017 | SIM:ESU5 | Buy | 3 | 6419.5 | Aggressive |
| 2025-08-11T04:39:55.486 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:39:49.414 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:39:25.794 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:39:07.522 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:38:40.43 | SIM:ESU5 | Buy | 3 | 6419.75 | Aggressive |
| 2025-08-11T04:38:38.226 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:38:07.126 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:37:55.771 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:37:50.839 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:37:45.725 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:37:20.644 | SIM:ESU5 | Buy | 3 | 6420 | Aggressive |
| 2025-08-11T04:37:20.644 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:39:31.613 | SIM:ESU5 | Buy | 12 | 6419.5 | Aggressive |
| 2025-08-11T04:39:31.613 | SIM:ESU5 | Buy | 2 | 6419.5 | Aggressive |
| 2025-08-11T04:39:31.232 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:39:13.157 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
| 2025-08-11T04:39:00.687 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:38:06.291 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:38:00.815 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:37:40.648 | SIM:ESU5 | Buy | 1 | 6419.75 | Aggressive |
| 2025-08-11T04:37:16.59 | SIM:ESU5 | Buy | 1 | 6419.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1150
Slippage Sweep
-0.2150
Arrival Price
6,418.8750
Average Total
6,418.7600
Destination Price
6,419.1250
Sweep to Fill
6,418.5450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:36:40.405 | SIM:ESU5 | Sell | 1 | 6419 | Aggressive |
| 2025-08-11T04:35:32.688 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:35:32.688 | SIM:ESU5 | Sell | 1 | 6418.75 | Passive |
| 2025-08-11T04:34:47.238 | SIM:ESU5 | Sell | 1 | 6418.75 | Passive |
| 2025-08-11T04:34:47.238 | SIM:ESU5 | Sell | 1 | 6418.75 | Passive |
| 2025-08-11T04:34:47.238 | SIM:ESU5 | Sell | 1 | 6418.75 | Passive |
| 2025-08-11T04:34:38.203 | SIM:ESU5 | Sell | 3 | 6418.75 | Aggressive |
| 2025-08-11T04:34:38.203 | SIM:ESU5 | Sell | 10 | 6418.75 | Aggressive |
| 2025-08-11T04:34:24.582 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:34:23.119 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:34:23.119 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:36:40.405 | SIM:ESU5 | Sell | 3 | 6419 | Passive |
| 2025-08-11T04:36:12.823 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:36:12.823 | SIM:ESU5 | Sell | 1 | 6418.75 | Passive |
| 2025-08-11T04:34:18.731 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:34:13.502 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:36:41.713 | SIM:ESU5 | Sell | 6 | 6419 | Aggressive |
| 2025-08-11T04:36:12.824 | SIM:ESU5 | Sell | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:36:12.824 | SIM:ESU5 | Sell | 3 | 6418.5 | Aggressive |
| 2025-08-11T04:36:12.824 | SIM:ESU5 | Sell | 2 | 6418.5 | Aggressive |
| 2025-08-11T04:36:12.823 | SIM:ESU5 | Sell | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:36:12.823 | SIM:ESU5 | Sell | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:34:48.609 | SIM:ESU5 | Sell | 1 | 6418.75 | Passive |
| 2025-08-11T04:34:01.685 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:34:01.685 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:34:01.685 | SIM:ESU5 | Sell | 2 | 6418.75 | Aggressive |
| 2025-08-11T04:34:01.684 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:33:47.537 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
-0.0800
Slippage Sweep
-0.3500
Arrival Price
6,419.1250
Average Total
6,419.0450
Destination Price
6,418.8750
Sweep to Fill
6,419.3950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:33:43.354 | SIM:ESU5 | Buy | 7 | 6419 | Aggressive |
| 2025-08-11T04:33:43.354 | SIM:ESU5 | Buy | 14 | 6419 | Aggressive |
| 2025-08-11T04:33:42.446 | SIM:ESU5 | Buy | 9 | 6419 | Aggressive |
| 2025-08-11T04:33:30.951 | SIM:ESU5 | Buy | 1 | 6419.25 | Passive |
| 2025-08-11T04:33:30.951 | SIM:ESU5 | Buy | 1 | 6419.25 | Passive |
| 2025-08-11T04:33:38.753 | SIM:ESU5 | Buy | 4 | 6419 | Aggressive |
| 2025-08-11T04:33:30.951 | SIM:ESU5 | Buy | 1 | 6419.25 | Passive |
| 2025-08-11T04:33:30.951 | SIM:ESU5 | Buy | 1 | 6419.25 | Passive |
| 2025-08-11T04:33:30.874 | SIM:ESU5 | Buy | 2 | 6419.5 | Aggressive |
| 2025-08-11T04:32:55.245 | SIM:ESU5 | Buy | 9 | 6419 | Aggressive |
| 2025-08-11T04:32:54.096 | SIM:ESU5 | Buy | 1 | 6419.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.1250
Slippage Sweep
-0.3250
Arrival Price
6,418.6250
Average Total
6,418.7500
Destination Price
6,418.8750
Sweep to Fill
6,418.4250
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:32:18.335 | SIM:ESU5 | Sell | 7 | 6418.75 | Aggressive |
| 2025-08-11T04:32:17.042 | SIM:ESU5 | Sell | 17 | 6418.75 | Aggressive |
| 2025-08-11T04:32:17.042 | SIM:ESU5 | Sell | 19 | 6418.75 | Aggressive |
| 2025-08-11T04:32:15.065 | SIM:ESU5 | Sell | 6 | 6418.75 | Aggressive |
| 2025-08-11T04:32:14.006 | SIM:ESU5 | Sell | 1 | 6418.75 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.8200
Slippage Sweep
0.6500
Arrival Price
6,418.1250
Average Total
6,418.9450
Destination Price
6,418.8750
Sweep to Fill
6,418.2950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:32:05.282 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:32:05.282 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:32:05.282 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:31:59.268 | SIM:ESU5 | Buy | 2 | 6419 | Passive |
| 2025-08-11T04:31:54.21 | SIM:ESU5 | Buy | 4 | 6419 | Aggressive |
| 2025-08-11T04:31:01.333 | SIM:ESU5 | Buy | 1 | 6419 | Aggressive |
| 2025-08-11T04:31:01.333 | SIM:ESU5 | Buy | 1 | 6419 | Passive |
| 2025-08-11T04:31:01.333 | SIM:ESU5 | Buy | 1 | 6419 | Passive |
| 2025-08-11T04:31:01.333 | SIM:ESU5 | Buy | 1 | 6419 | Passive |
| 2025-08-11T04:30:02.407 | SIM:ESU5 | Buy | 6 | 6419 | Aggressive |
| 2025-08-11T04:32:05.283 | SIM:ESU5 | Buy | 1 | 6419 | Aggressive |
| 2025-08-11T04:32:05.283 | SIM:ESU5 | Buy | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:31:25.722 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:30:10.382 | SIM:ESU5 | Buy | 6 | 6419.75 | Aggressive |
| 2025-08-11T04:29:55.194 | SIM:ESU5 | Buy | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:29:45.064 | SIM:ESU5 | Buy | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:32:11.519 | SIM:ESU5 | Buy | 5 | 6419 | Aggressive |
| 2025-08-11T04:32:11.519 | SIM:ESU5 | Buy | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:32:11.519 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:31:45.133 | SIM:ESU5 | Buy | 1 | 6419 | Aggressive |
| 2025-08-11T04:31:45.002 | SIM:ESU5 | Buy | 3 | 6419 | Aggressive |
| 2025-08-11T04:31:25.723 | SIM:ESU5 | Buy | 1 | 6418.75 | Aggressive |
| 2025-08-11T04:31:25.723 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:31:25.723 | SIM:ESU5 | Buy | 1 | 6418.75 | Passive |
| 2025-08-11T04:29:54.775 | SIM:ESU5 | Buy | 2 | 6418.5 | Aggressive |
| 2025-08-11T04:29:46.065 | SIM:ESU5 | Buy | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:29:31 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:29:29.331 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:29:27.29 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1300
Slippage Sweep
-0.0800
Arrival Price
6,418.3750
Average Total
6,418.2450
Destination Price
6,418.3750
Sweep to Fill
6,418.1650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:28:26.196 | SIM:ESU5 | Sell | 13 | 6418.25 | Aggressive |
| 2025-08-11T04:28:22.169 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:20.051 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:04.317 | SIM:ESU5 | Sell | 2 | 6418.25 | Aggressive |
| 2025-08-11T04:28:00.936 | SIM:ESU5 | Sell | 2 | 6418.25 | Aggressive |
| 2025-08-11T04:27:53.856 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:55.551 | SIM:ESU5 | Sell | 22 | 6418.25 | Aggressive |
| 2025-08-11T04:28:54.533 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:06.433 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:27:46.78 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:14.815 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:11.881 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:28:10.595 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:27:53.598 | SIM:ESU5 | Sell | 1 | 6418 | Aggressive |
| 2025-08-11T04:27:41.815 | SIM:ESU5 | Sell | 1 | 6418.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.2550
Slippage Sweep
0.0100
Arrival Price
6,418.1250
Average Total
6,418.3800
Destination Price
6,418.3750
Sweep to Fill
6,418.3700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 1 | 6418.25 | Passive |
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 9 | 6418.5 | Aggressive |
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 7 | 6418.5 | Aggressive |
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 1 | 6418.25 | Passive |
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 1 | 6418.25 | Passive |
| 2025-08-11T04:26:11.815 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:27:38.65 | SIM:ESU5 | Buy | 4 | 6418.5 | Aggressive |
| 2025-08-11T04:27:10.906 | SIM:ESU5 | Buy | 6 | 6418.75 | Aggressive |
| 2025-08-11T04:27:10.906 | SIM:ESU5 | Buy | 2 | 6418.5 | Aggressive |
| 2025-08-11T04:27:01.55 | SIM:ESU5 | Buy | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:26:58.787 | SIM:ESU5 | Buy | 1 | 6418.5 | Aggressive |
| 2025-08-11T04:25:41.128 | SIM:ESU5 | Buy | 1 | 6418 | Aggressive |
| 2025-08-11T04:25:41.127 | SIM:ESU5 | Buy | 1 | 6418 | Passive |
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:26:39.039 | SIM:ESU5 | Buy | 1 | 6418.25 | Passive |
| 2025-08-11T04:26:30.778 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:26:29.763 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:26:04.026 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
| 2025-08-11T04:25:58.815 | SIM:ESU5 | Buy | 3 | 6418 | Aggressive |
| 2025-08-11T04:25:55.687 | SIM:ESU5 | Buy | 3 | 6418 | Aggressive |
| 2025-08-11T04:25:50.468 | SIM:ESU5 | Buy | 1 | 6418 | Aggressive |
| 2025-08-11T04:25:46.627 | SIM:ESU5 | Buy | 1 | 6418 | Aggressive |
| 2025-08-11T04:25:36.852 | SIM:ESU5 | Buy | 1 | 6418.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
0.1550
Slippage Sweep
-0.2000
Arrival Price
6,417.6250
Average Total
6,417.4700
Destination Price
6,417.6250
Sweep to Fill
6,417.2700
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:25:00.067 | SIM:ESU5 | Sell | 1 | 6417.75 | Aggressive |
| 2025-08-11T04:24:00.941 | SIM:ESU5 | Sell | 1 | 6417 | Passive |
| 2025-08-11T04:24:00.941 | SIM:ESU5 | Sell | 1 | 6417 | Passive |
| 2025-08-11T04:24:00.941 | SIM:ESU5 | Sell | 2 | 6417 | Passive |
| 2025-08-11T04:24:00.941 | SIM:ESU5 | Sell | 1 | 6417 | Passive |
| 2025-08-11T04:24:00.941 | SIM:ESU5 | Sell | 1 | 6417 | Passive |
| 2025-08-11T04:22:50.315 | SIM:ESU5 | Sell | 4 | 6417.75 | Aggressive |
| 2025-08-11T04:22:40.171 | SIM:ESU5 | Sell | 2 | 6417.75 | Aggressive |
| 2025-08-11T04:22:40.171 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:22:40.171 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:22:40.171 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:22:40.17 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:22:36.588 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:22:28.51 | SIM:ESU5 | Sell | 1 | 6417.5 | Aggressive |
| 2025-08-11T04:22:04.558 | SIM:ESU5 | Sell | 1 | 6417.5 | Passive |
| 2025-08-11T04:22:03.576 | SIM:ESU5 | Sell | 2 | 6417.25 | Aggressive |
| 2025-08-11T04:21:38.811 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:21:38.81 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:22:39.551 | SIM:ESU5 | Sell | 10 | 6417.5 | Aggressive |
| 2025-08-11T04:22:31.401 | SIM:ESU5 | Sell | 1 | 6417.5 | Aggressive |
| 2025-08-11T04:22:27.665 | SIM:ESU5 | Sell | 1 | 6417.5 | Aggressive |
| 2025-08-11T04:21:22.74 | SIM:ESU5 | Sell | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:21:12.904 | SIM:ESU5 | Sell | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:21:12.819 | SIM:ESU5 | Sell | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:23:49.72 | SIM:ESU5 | Sell | 3 | 6417 | Aggressive |
| 2025-08-11T04:22:36.588 | SIM:ESU5 | Sell | 1 | 6417.75 | Passive |
| 2025-08-11T04:21:33.737 | SIM:ESU5 | Sell | 1 | 6417.75 | Aggressive |
| 2025-08-11T04:21:32.793 | SIM:ESU5 | Sell | 3 | 6417.75 | Aggressive |
| 2025-08-11T04:21:27.966 | SIM:ESU5 | Sell | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:21:18.453 | SIM:ESU5 | Sell | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:21:03.56 | SIM:ESU5 | Sell | 1 | 6417.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.3600
Slippage Sweep
0.0450
Arrival Price
6,416.8750
Average Total
6,417.2350
Destination Price
6,417.3750
Sweep to Fill
6,417.1900
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:19:42.902 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:19:37.617 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:19:28.709 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:19:18.383 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:18:28.9 | SIM:ESU5 | Buy | 1 | 6416.75 | Passive |
| 2025-08-11T04:18:28.9 | SIM:ESU5 | Buy | 1 | 6416.75 | Passive |
| 2025-08-11T04:18:26.744 | SIM:ESU5 | Buy | 3 | 6417 | Aggressive |
| 2025-08-11T04:17:12.939 | SIM:ESU5 | Buy | 3 | 6417.25 | Passive |
| 2025-08-11T04:16:49.815 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:20:17.241 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:20:10.479 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:20:04.256 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:19:56.936 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:19:03.66 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:17:12.938 | SIM:ESU5 | Buy | 2 | 6417.25 | Passive |
| 2025-08-11T04:17:12.938 | SIM:ESU5 | Buy | 2 | 6417.25 | Passive |
| 2025-08-11T04:16:50.122 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:16:29.315 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:20:58.792 | SIM:ESU5 | Buy | 1 | 6417.5 | Aggressive |
| 2025-08-11T04:20:22.361 | SIM:ESU5 | Buy | 6 | 6417.5 | Aggressive |
| 2025-08-11T04:20:22.361 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:20:22.36 | SIM:ESU5 | Buy | 1 | 6417.25 | Passive |
| 2025-08-11T04:19:50.472 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:19:23.815 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:19:11.187 | SIM:ESU5 | Buy | 1 | 6417 | Passive |
| 2025-08-11T04:18:57.938 | SIM:ESU5 | Buy | 1 | 6417 | Passive |
| 2025-08-11T04:18:20.911 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:18:15.116 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:18:09.054 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:17:12.939 | SIM:ESU5 | Buy | 1 | 6417.25 | Passive |
| 2025-08-11T04:16:53.226 | SIM:ESU5 | Buy | 6 | 6417.5 | Aggressive |
| 2025-08-11T04:16:38.315 | SIM:ESU5 | Buy | 1 | 6417 | Aggressive |
| 2025-08-11T04:16:34.315 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
| 2025-08-11T04:16:24.223 | SIM:ESU5 | Buy | 1 | 6417.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2800
Slippage Sweep
-0.5400
Arrival Price
6,416.1250
Average Total
6,416.4050
Destination Price
6,416.8750
Sweep to Fill
6,415.8650
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:15:48.816 | SIM:ESU5 | Sell | 9 | 6416.5 | Aggressive |
| 2025-08-11T04:15:41.453 | SIM:ESU5 | Sell | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:15:40.416 | SIM:ESU5 | Sell | 3 | 6416.25 | Aggressive |
| 2025-08-11T04:15:40.416 | SIM:ESU5 | Sell | 2 | 6416.25 | Aggressive |
| 2025-08-11T04:15:39.395 | SIM:ESU5 | Sell | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:15:49.5 | SIM:ESU5 | Sell | 5 | 6416.75 | Aggressive |
| 2025-08-11T04:15:48.815 | SIM:ESU5 | Sell | 8 | 6416.5 | Aggressive |
| 2025-08-11T04:15:47.623 | SIM:ESU5 | Sell | 14 | 6416.25 | Aggressive |
| 2025-08-11T04:15:47.623 | SIM:ESU5 | Sell | 4 | 6416.5 | Aggressive |
| 2025-08-11T04:15:43.915 | SIM:ESU5 | Sell | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:15:36.011 | SIM:ESU5 | Sell | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:15:29.511 | SIM:ESU5 | Sell | 1 | 6416.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.1900
Slippage Sweep
-0.1050
Arrival Price
6,416.1250
Average Total
6,416.3150
Destination Price
6,416.1250
Sweep to Fill
6,416.4200
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T04:13:18.046 | SIM:ESU5 | Buy | 2 | 6416 | Aggressive |
| 2025-08-11T04:13:13.815 | SIM:ESU5 | Buy | 4 | 6416 | Aggressive |
| 2025-08-11T04:13:03.3 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:15:14.17 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:14:22.8 | SIM:ESU5 | Buy | 3 | 6416 | Passive |
| 2025-08-11T04:14:22.8 | SIM:ESU5 | Buy | 1 | 6416 | Aggressive |
| 2025-08-11T04:14:22.8 | SIM:ESU5 | Buy | 3 | 6416 | Aggressive |
| 2025-08-11T04:14:10.04 | SIM:ESU5 | Buy | 2 | 6416.25 | Aggressive |
| 2025-08-11T04:13:12.809 | SIM:ESU5 | Buy | 3 | 6416.25 | Aggressive |
| 2025-08-11T04:12:56.686 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:12:44.688 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:12:39.864 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:11:55.315 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:11:44.315 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:11:39.753 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:11:28.927 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:11:20.657 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:15:25.129 | SIM:ESU5 | Buy | 2 | 6416.5 | Aggressive |
| 2025-08-11T04:15:25.129 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:15:25.129 | SIM:ESU5 | Buy | 2 | 6416.25 | Aggressive |
| 2025-08-11T04:15:21.315 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:13:08.998 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:12:50.657 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:11:09.815 | SIM:ESU5 | Buy | 2 | 6416.5 | Aggressive |
| 2025-08-11T04:12:01.565 | SIM:ESU5 | Buy | 7 | 6416.75 | Aggressive |
| 2025-08-11T04:11:50.369 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:11:34.426 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:11:16.962 | SIM:ESU5 | Buy | 1 | 6416.5 | Aggressive |
| 2025-08-11T04:11:06.373 | SIM:ESU5 | Buy | 1 | 6416.25 | Aggressive |
| 2025-08-11T04:10:55.692 | SIM:ESU5 | Buy | 1 | 6416.25 | Passive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.2350
Slippage Sweep
-0.6250
Arrival Price
6,412.1250
Average Total
6,412.3600
Destination Price
6,412.6250
Sweep to Fill
6,411.7350
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T03:29:46.45 | SIM:ESU5 | Sell | 3 | 6412.5 | Aggressive |
| 2025-08-11T03:29:43.509 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:42.315 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:42.315 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:33.315 | SIM:ESU5 | Sell | 2 | 6412.25 | Aggressive |
| 2025-08-11T03:29:29.755 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:28.094 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:39.24 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:37.19 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:36.046 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:36.046 | SIM:ESU5 | Sell | 3 | 6412.25 | Aggressive |
| 2025-08-11T03:29:27.376 | SIM:ESU5 | Sell | 2 | 6412.25 | Aggressive |
| 2025-08-11T03:29:25.175 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:45.311 | SIM:ESU5 | Sell | 6 | 6412.25 | Aggressive |
| 2025-08-11T03:29:45.311 | SIM:ESU5 | Sell | 8 | 6412.5 | Aggressive |
| 2025-08-11T03:29:44.315 | SIM:ESU5 | Sell | 3 | 6412.25 | Aggressive |
| 2025-08-11T03:29:44.315 | SIM:ESU5 | Sell | 11 | 6412.5 | Aggressive |
| 2025-08-11T03:29:38.435 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:26.355 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:22.052 | SIM:ESU5 | Sell | 1 | 6412.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.7900
Slippage Sweep
0.3200
Arrival Price
6,412.1250
Average Total
6,412.9150
Destination Price
6,412.3750
Sweep to Fill
6,412.5950
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T03:29:19.25 | SIM:ESU5 | Buy | 1 | 6412.25 | Passive |
| 2025-08-11T03:28:42.036 | SIM:ESU5 | Buy | 1 | 6413 | Passive |
| 2025-08-11T03:28:01.485 | SIM:ESU5 | Buy | 2 | 6413.5 | Aggressive |
| 2025-08-11T03:28:00.114 | SIM:ESU5 | Buy | 3 | 6413.5 | Aggressive |
| 2025-08-11T03:27:52.56 | SIM:ESU5 | Buy | 4 | 6413.5 | Aggressive |
| 2025-08-11T03:27:46.001 | SIM:ESU5 | Buy | 5 | 6413.25 | Aggressive |
| 2025-08-11T03:27:43.011 | SIM:ESU5 | Buy | 1 | 6413 | Passive |
| 2025-08-11T03:27:21.636 | SIM:ESU5 | Buy | 2 | 6412.75 | Aggressive |
| 2025-08-11T03:27:18.225 | SIM:ESU5 | Buy | 1 | 6412.75 | Aggressive |
| 2025-08-11T03:27:00.457 | SIM:ESU5 | Buy | 3 | 6413 | Aggressive |
| 2025-08-11T03:26:57.615 | SIM:ESU5 | Buy | 1 | 6412.75 | Aggressive |
| 2025-08-11T03:29:19.251 | SIM:ESU5 | Buy | 3 | 6412.5 | Aggressive |
| 2025-08-11T03:29:19.25 | SIM:ESU5 | Buy | 2 | 6412.5 | Aggressive |
| 2025-08-11T03:29:19.25 | SIM:ESU5 | Buy | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:19.25 | SIM:ESU5 | Buy | 1 | 6412.25 | Passive |
| 2025-08-11T03:29:19.25 | SIM:ESU5 | Buy | 2 | 6412.5 | Aggressive |
| 2025-08-11T03:29:19.25 | SIM:ESU5 | Buy | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:29:07.707 | SIM:ESU5 | Buy | 3 | 6412.5 | Aggressive |
| 2025-08-11T03:28:50.65 | SIM:ESU5 | Buy | 3 | 6413 | Aggressive |
| 2025-08-11T03:28:33.082 | SIM:ESU5 | Buy | 1 | 6413.25 | Aggressive |
| 2025-08-11T03:28:33.082 | SIM:ESU5 | Buy | 1 | 6413 | Aggressive |
| 2025-08-11T03:27:39.038 | SIM:ESU5 | Buy | 3 | 6413 | Aggressive |
| 2025-08-11T03:27:37.815 | SIM:ESU5 | Buy | 1 | 6413 | Aggressive |
| 2025-08-11T03:27:33.269 | SIM:ESU5 | Buy | 1 | 6412.75 | Aggressive |
| 2025-08-11T03:26:50.015 | SIM:ESU5 | Buy | 1 | 6412.75 | Aggressive |
| 2025-08-11T03:26:48.391 | SIM:ESU5 | Buy | 1 | 6412.75 | Aggressive |
| 2025-08-11T03:26:43.315 | SIM:ESU5 | Buy | 1 | 6412.5 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Sell
Quantity
50
Total Filled
50
Slippage
-0.3100
Slippage Sweep
-0.7050
Arrival Price
6,411.3750
Average Total
6,411.6850
Destination Price
6,412.1250
Sweep to Fill
6,410.9800
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T03:26:08.571 | SIM:ESU5 | Sell | 5 | 6412 | Aggressive |
| 2025-08-11T03:26:06.548 | SIM:ESU5 | Sell | 5 | 6411.5 | Aggressive |
| 2025-08-11T03:26:06.548 | SIM:ESU5 | Sell | 7 | 6411.75 | Aggressive |
| 2025-08-11T03:26:06.506 | SIM:ESU5 | Sell | 6 | 6411.5 | Aggressive |
| 2025-08-11T03:26:06.506 | SIM:ESU5 | Sell | 7 | 6411.75 | Aggressive |
| 2025-08-11T03:26:02.49 | SIM:ESU5 | Sell | 4 | 6411.5 | Aggressive |
| 2025-08-11T03:26:08.571 | SIM:ESU5 | Sell | 3 | 6412 | Aggressive |
| 2025-08-11T03:26:07.553 | SIM:ESU5 | Sell | 8 | 6411.75 | Aggressive |
| 2025-08-11T03:26:04.558 | SIM:ESU5 | Sell | 1 | 6411.5 | Aggressive |
| 2025-08-11T03:26:01.483 | SIM:ESU5 | Sell | 1 | 6411.75 | Aggressive |
| 2025-08-11T03:26:01.483 | SIM:ESU5 | Sell | 1 | 6411.75 | Passive |
| 2025-08-11T03:25:59.446 | SIM:ESU5 | Sell | 1 | 6411 | Aggressive |
| 2025-08-11T03:25:53.671 | SIM:ESU5 | Sell | 1 | 6411.25 | Aggressive |
Date - Time
CQG Symbol
EP
Exchange Symbol
SIM:ESU5
Buy / Sell
Buy
Quantity
50
Total Filled
50
Slippage
0.0900
Slippage Sweep
-0.3300
Arrival Price
6,411.6250
Average Total
6,411.7150
Destination Price
6,411.3750
Sweep to Fill
6,412.0450
| Timestamp | Security | Side | LastShares | LastPrice | Aggressor |
|---|---|---|---|---|---|
| 2025-08-11T03:25:49.144 | SIM:ESU5 | Buy | 7 | 6411.5 | Aggressive |
| 2025-08-11T03:25:49.144 | SIM:ESU5 | Buy | 1 | 6411.5 | Aggressive |
| 2025-08-11T03:25:48.12 | SIM:ESU5 | Buy | 10 | 6411.5 | Aggressive |
| 2025-08-11T03:25:25.237 | SIM:ESU5 | Buy | 3 | 6412.25 | Aggressive |
| 2025-08-11T03:25:13.763 | SIM:ESU5 | Buy | 1 | 6412.25 | Aggressive |
| 2025-08-11T03:24:38.53 | SIM:ESU5 | Buy | 7 | 6411.75 | Aggressive |
| 2025-08-11T03:24:08.185 | SIM:ESU5 | Buy | 1 | 6412 | Passive |
| 2025-08-11T03:25:47.061 | SIM:ESU5 | Buy | 1 | 6411.75 | Aggressive |
| 2025-08-11T03:25:47.061 | SIM:ESU5 | Buy | 9 | 6411.5 | Aggressive |
| 2025-08-11T03:25:19.066 | SIM:ESU5 | Buy | 2 | 6412.5 | Aggressive |
| 2025-08-11T03:24:50.317 | SIM:ESU5 | Buy | 2 | 6412 | Aggressive |
| 2025-08-11T03:24:28.427 | SIM:ESU5 | Buy | 1 | 6411.75 | Aggressive |
| 2025-08-11T03:24:28.427 | SIM:ESU5 | Buy | 1 | 6411.75 | Aggressive |
| 2025-08-11T03:24:20.872 | SIM:ESU5 | Buy | 1 | 6411.75 | Aggressive |
| 2025-08-11T03:24:07.169 | SIM:ESU5 | Buy | 2 | 6412 | Aggressive |
| 2025-08-11T03:24:06.804 | SIM:ESU5 | Buy | 1 | 6412 | Aggressive |