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
2025-08-11 04:40:53	EP	SIM:ESU5	Buy	50	0.2900	-0.1300	6,419.3750	6,419.8750	6,419.6650	6,419.7950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6419.375 avg_total: 6419.665 curr_cost_per_share: 0.125 curr_half_min_move: 0.067789610414742 curr_liq_cost: 6.25 curr_opt_t_minutes: 5 daily_vol_normal: 6.4481379228198 destination_price: 6419.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.42 init_drift: 0 init_half_min_move: 0.066047749283949 init_liq_cost: 21 init_min_duration: 0 init_opt_t_minutes: 40.437335880889 init_vol_normal: 6.2824523443803 last_aggressive_qty: 2 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 27 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 209.395 slip_toler: 0 slippage: 0.28999999999996 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 6419.795 total_dollar: 320983.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 13.387894974159 worst_opt_t_minutes: 1.6475779386772
2025-08-11 04:36:41	EP	SIM:ESU5	Sell	50	0.1150	-0.2150	6,418.8750	6,419.1250	6,418.7600	6,418.5450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6418.875 avg_total: 6418.76 curr_cost_per_share: 0.32 curr_half_min_move: 0.065977214503554 curr_liq_cost: 16 curr_opt_t_minutes: 5 daily_vol_normal: 6.2757430862866 destination_price: 6419.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.064360658128005 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 26.289778496505 init_vol_normal: 6.1219764780147 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 24 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 177.909 slip_toler: 0 slippage: 0.11499999999978 slippage_sweep: -0.21500000000015 sweep_residual: 0 sweep_to_fill: 6418.545 total_dollar: 320938 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 13.386852201695 worst_opt_t_minutes: 1.389399389003
2025-08-11 04:33:43	EP	SIM:ESU5	Buy	50	-0.0800	-0.3500	6,419.1250	6,418.8750	6,419.0450	6,419.3950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6419.125 avg_total: 6419.045 curr_cost_per_share: 0.265 curr_half_min_move: 0.06436316482342 curr_liq_cost: 13.25 curr_opt_t_minutes: 1.9366624962304 daily_vol_normal: 6.1222149145194 destination_price: 6418.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.063715953341835 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 17.956891443789 init_vol_normal: 6.0606522521444 last_aggressive_qty: 14 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 21 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 54.943 slip_toler: 0 slippage: -0.079999999999927 slippage_sweep: -0.35000000000036 sweep_residual: 0 sweep_to_fill: 6419.395 total_dollar: 320952.25 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 13.387373587927 worst_opt_t_minutes: 0.4050235897758
2025-08-11 04:32:18	EP	SIM:ESU5	Sell	50	-0.1250	-0.3250	6,418.6250	6,418.8750	6,418.7500	6,418.4250	Diagnostics Diagnostics algo_status: 4 arrival_price: 6418.625 avg_total: 6418.75 curr_cost_per_share: 0.165 curr_half_min_move: 0.062755195266687 curr_liq_cost: 8.25 curr_opt_t_minutes: 0 daily_vol_normal: 5.9692650832093 destination_price: 6418.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.2 init_drift: 0 init_half_min_move: 0.062451765066568 init_liq_cost: 10 init_min_duration: 0 init_opt_t_minutes: 10.25582393903 init_vol_normal: 5.9404028465282 last_aggressive_qty: 19 last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 5 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 6.388 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.32499999999982 sweep_residual: 0 sweep_to_fill: 6418.425 total_dollar: 320937.5 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 13.386330815463 worst_opt_t_minutes: 0
2025-08-11 04:32:11	EP	SIM:ESU5	Buy	50	0.8200	0.6500	6,418.1250	6,418.8750	6,418.9450	6,418.2950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6418.125 avg_total: 6418.945 curr_cost_per_share: 0.175 curr_half_min_move: 0.062446900180003 curr_liq_cost: 8.75 curr_opt_t_minutes: 5 daily_vol_normal: 5.9399400992228 destination_price: 6418.875 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.17 init_drift: 0 init_half_min_move: 0.059211127778762 init_liq_cost: 8.5 init_min_duration: 0 init_opt_t_minutes: 8.2431115437603 init_vol_normal: 5.6321538971426 last_aggressive_qty: last_tactical_qty: 7 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 165.72 slip_toler: 0 slippage: 0.81999999999971 slippage_sweep: 0.64999999999964 sweep_residual: 0 sweep_to_fill: 6418.295 total_dollar: 320947.25 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 13.385288042999 worst_opt_t_minutes: 2.7219476517936
2025-08-11 04:28:55	EP	SIM:ESU5	Sell	50	0.1300	-0.0800	6,418.3750	6,418.3750	6,418.2450	6,418.1650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6418.375 avg_total: 6418.245 curr_cost_per_share: 0.15 curr_half_min_move: 0.058979664268705 curr_liq_cost: 7.5 curr_opt_t_minutes: 5 daily_vol_normal: 5.6101371215951 destination_price: 6418.375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.21 init_drift: 0 init_half_min_move: 0.060007605454407 init_liq_cost: 10.5 init_min_duration: 0 init_opt_t_minutes: 12.246895029832 init_vol_normal: 5.7079147382741 last_aggressive_qty: last_tactical_qty: 22 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 76.715 slip_toler: 0 slippage: 0.13000000000011 slippage_sweep: -0.079999999999927 sweep_residual: 0 sweep_to_fill: 6418.165 total_dollar: 320912.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 13.385809429231 worst_opt_t_minutes: 1.1361498174937
2025-08-11 04:27:38	EP	SIM:ESU5	Buy	50	0.2550	0.0100	6,418.1250	6,418.3750	6,418.3800	6,418.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 6418.125 avg_total: 6418.38 curr_cost_per_share: 0.125 curr_half_min_move: 0.060005268118031 curr_liq_cost: 6.25 curr_opt_t_minutes: 5 daily_vol_normal: 5.7076924111766 destination_price: 6418.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.064678584141408 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 14.348653894797 init_vol_normal: 6.1522175543556 last_aggressive_qty: last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 128.217 slip_toler: 0 slippage: 0.25500000000011 slippage_sweep: 0.010000000000218 sweep_residual: 0 sweep_to_fill: 6418.37 total_dollar: 320919 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 13.385288042999 worst_opt_t_minutes: 1.6482197687992
2025-08-11 04:25:00	EP	SIM:ESU5	Sell	50	0.1550	-0.2000	6,417.6250	6,417.6250	6,417.4700	6,417.2700	Diagnostics Diagnostics algo_status: 4 arrival_price: 6417.625 avg_total: 6417.47 curr_cost_per_share: 0.275 curr_half_min_move: 0.065984819141216 curr_liq_cost: 13.75 curr_opt_t_minutes: 5 daily_vol_normal: 6.2764664383195 destination_price: 6417.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.355 init_drift: 0 init_half_min_move: 0.083090251982664 init_liq_cost: 17.75 init_min_duration: 0 init_opt_t_minutes: 18.253937283325 init_vol_normal: 7.9035327323485 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 25 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 238.384 slip_toler: 0 slippage: 0.15499999999975 slippage_sweep: -0.19999999999982 sweep_residual: 0 sweep_to_fill: 6417.27 total_dollar: 320873.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 13.384245270535 worst_opt_t_minutes: 3.8196183834579
2025-08-11 04:20:58	EP	SIM:ESU5	Buy	50	0.3600	0.0450	6,416.8750	6,417.3750	6,417.2350	6,417.1900	Diagnostics Diagnostics algo_status: 4 arrival_price: 6416.875 avg_total: 6417.235 curr_cost_per_share: 0.18 curr_half_min_move: 0.083497431609412 curr_liq_cost: 9 curr_opt_t_minutes: 5 daily_vol_normal: 7.9422635994618 destination_price: 6417.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.315 init_drift: 0 init_half_min_move: 0.10569929198186 init_liq_cost: 15.75 init_min_duration: 0 init_opt_t_minutes: 8.8813084017712 init_vol_normal: 10.054101341984 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 28 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 254.686 slip_toler: 0 slippage: 0.35999999999967 slippage_sweep: 0.045000000000073 sweep_residual: 0 sweep_to_fill: 6417.19 total_dollar: 320861.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 13.382681111839 worst_opt_t_minutes: 2.844294655677
2025-08-11 04:15:49	EP	SIM:ESU5	Sell	50	-0.2800	-0.5400	6,416.1250	6,416.8750	6,416.4050	6,415.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6416.125 avg_total: 6416.405 curr_cost_per_share: 0.435 curr_half_min_move: 0.10891850935791 curr_liq_cost: 21.75 curr_opt_t_minutes: 0 daily_vol_normal: 10.360312832466 destination_price: 6416.875 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.26 init_drift: 0 init_half_min_move: 0.11168603669745 init_liq_cost: 13 init_min_duration: 0 init_opt_t_minutes: 5.4193716656187 init_vol_normal: 10.623559632106 last_aggressive_qty: 8 last_tactical_qty: 5 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 11 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 24.191 slip_toler: 0 slippage: -0.27999999999975 slippage_sweep: -0.53999999999996 sweep_residual: 0 sweep_to_fill: 6415.865 total_dollar: 320820.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 13.381116953142 worst_opt_t_minutes: 0
2025-08-11 04:15:25	EP	SIM:ESU5	Buy	50	0.1900	-0.1050	6,416.1250	6,416.1250	6,416.3150	6,416.4200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6416.125 avg_total: 6416.315 curr_cost_per_share: 0.245 curr_half_min_move: 0.11168603669745 curr_liq_cost: 12.25 curr_opt_t_minutes: 4.8120973998337 daily_vol_normal: 10.623559632106 destination_price: 6416.125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.295 init_drift: 0 init_half_min_move: 0.70613087252843 init_liq_cost: 14.75 init_min_duration: 0 init_opt_t_minutes: 0.17453142429112 init_vol_normal: 67.167066306583 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 27 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 268.403 slip_toler: 0 slippage: 0.1899999999996 slippage_sweep: -0.10500000000047 sweep_residual: 0 sweep_to_fill: 6416.42 total_dollar: 320815.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 13.381116953142 worst_opt_t_minutes: 3.0331214205486
2025-08-11 03:29:46	EP	SIM:ESU5	Sell	50	-0.2350	-0.6250	6,412.1250	6,412.6250	6,412.3600	6,411.7350	Diagnostics Diagnostics algo_status: 4 arrival_price: 6412.125 avg_total: 6412.36 curr_cost_per_share: 0.455 curr_half_min_move: 0.20334162829633 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 19.341826227996 destination_price: 6412.625 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.39 init_drift: 0 init_half_min_move: 0.20323119460287 init_liq_cost: 19.5 init_min_duration: 0 init_opt_t_minutes: 3.6825484898453 init_vol_normal: 19.331321791071 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 26.855 slip_toler: 0 slippage: -0.23499999999967 slippage_sweep: -0.625 sweep_residual: 0 sweep_to_fill: 6411.735 total_dollar: 320618 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 10.60552803729 worst_opt_t_minutes: 0
2025-08-11 03:29:19	EP	SIM:ESU5	Buy	50	0.7900	0.3200	6,412.1250	6,412.3750	6,412.9150	6,412.5950	Diagnostics Diagnostics algo_status: 4 arrival_price: 6412.125 avg_total: 6412.915 curr_cost_per_share: 0.24 curr_half_min_move: 0.20323119460287 curr_liq_cost: 12 curr_opt_t_minutes: 2.1550036166927 daily_vol_normal: 19.331321791071 destination_price: 6412.375 drift: -0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.47 init_drift: 0 init_half_min_move: 0.20170044370133 init_liq_cost: 23.5 init_min_duration: 0 init_opt_t_minutes: 5.4297771895734 init_vol_normal: 19.185716987057 last_aggressive_qty: last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 22 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 159.897 slip_toler: 0 slippage: 0.78999999999996 slippage_sweep: 0.31999999999971 sweep_residual: 0 sweep_to_fill: 6412.595 total_dollar: 320645.75 total_drift: -0.125 total_filled: 50 total_sent: 50 total_vol: 10.60552803729 worst_opt_t_minutes: 5
2025-08-11 03:26:08	EP	SIM:ESU5	Sell	50	-0.3100	-0.7050	6,411.3750	6,412.1250	6,411.6850	6,410.9800	Diagnostics Diagnostics algo_status: 4 arrival_price: 6411.375 avg_total: 6411.685 curr_cost_per_share: 0.52 curr_half_min_move: 0.20151842972759 curr_liq_cost: 26 curr_opt_t_minutes: 0 daily_vol_normal: 19.168403844241 destination_price: 6412.125 drift: -0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.395 init_drift: 0 init_half_min_move: 0.20116245612095 init_liq_cost: 19.75 init_min_duration: 0 init_opt_t_minutes: 3.8556742242539 init_vol_normal: 19.134543686343 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 19.266 slip_toler: 0 slippage: -0.3100000000004 slippage_sweep: -0.70500000000084 sweep_residual: 0 sweep_to_fill: 6410.98 total_dollar: 320584.25 total_drift: -0.75 total_filled: 50 total_sent: 50 total_vol: 10.604287552111 worst_opt_t_minutes: 0
2025-08-11 03:25:49	EP	SIM:ESU5	Buy	50	0.0900	-0.3300	6,411.6250	6,411.3750	6,411.7150	6,412.0450	Diagnostics Diagnostics algo_status: 4 arrival_price: 6411.625 avg_total: 6411.715 curr_cost_per_share: 0.41 curr_half_min_move: 0.20117030008797 curr_liq_cost: 20.5 curr_opt_t_minutes: 1.7556949346963 daily_vol_normal: 19.13528980335 destination_price: 6411.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.42 init_drift: 0 init_half_min_move: 0.20036610001439 init_liq_cost: 21 init_min_duration: 0 init_opt_t_minutes: 4.3938992115824 init_vol_normal: 19.058794408845 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 8 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 106.174 slip_toler: 0 slippage: 0.090000000000146 slippage_sweep: -0.32999999999993 sweep_residual: 0 sweep_to_fill: 6412.045 total_dollar: 320585.75 total_drift: 0.25 total_filled: 50 total_sent: 50 total_vol: 10.60470104717 worst_opt_t_minutes: 5

CQG Execution Technologies

Arrival Price AI

CQG AI Algos

Metrics

Impact Model: MBO

Payup Model: PayupAI

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