Arrival Price

CQG 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: Theo Queue

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 04:39:09	TYA	SIM:ZNU5	Sell	200	0.0170	0.0033	111.9766	111.9609	111.9596	111.9629	Diagnostics Diagnostics algo_status: 4 arrival_price: 111.9765625 avg_total: 111.959609375 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.002170082789071 curr_liq_cost: 1.5625 curr_opt_t_minutes: 5 daily_vol_normal: 0.20641796054376 destination_price: 111.9609375 drift: 0.0078125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.013671875 init_drift: 0 init_half_min_move: 0.0020941376650602 init_liq_cost: 2.734375 init_min_duration: 0 init_opt_t_minutes: 42.623165654021 init_vol_normal: 0.19919407134907 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 200 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 298.273 slip_toler: 0 slippage: 0.016953125000001 slippage_sweep: 0.0032812500000006 sweep_residual: 0 sweep_to_fill: 111.962890625 total_dollar: 22391.921875 total_drift: 0.0078125 total_filled: 200 total_sent: 200 total_vol: 0.084917755170361 worst_opt_t_minutes: 5
2025-08-11 04:33:08	TYA	SIM:ZNU5	Buy	200	0.0078	0.0000	111.9609	111.9609	111.9688	111.9688	Diagnostics Diagnostics algo_status: 4 arrival_price: 111.9609375 avg_total: 111.96875 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0020679144053606 curr_liq_cost: 1.5625 curr_opt_t_minutes: 5 daily_vol_normal: 0.19669971868508 destination_price: 111.9609375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.0019607638346178 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 15.875575758873 init_vol_normal: 0.18650757191758 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 200 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 298.886 slip_toler: 0 slippage: 0.0078125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 111.96875 total_dollar: 22393.75 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.084905905905703 worst_opt_t_minutes: 5
2025-08-11 04:26:37	CLE	SIM:CLU5	Sell	50	-0.0026	-0.0198	63.7900	63.8050	63.7926	63.7728	Diagnostics Diagnostics algo_status: 4 arrival_price: 63.79 avg_total: 63.7926 curr_cost_per_share: 0.016599999999995 curr_half_min_move: 0.0063200731793125 curr_liq_cost: 0.82999999999977 curr_opt_t_minutes: 1.0700032811692 daily_vol_normal: 0.60116444530648 destination_price: 63.805 drift: -0.015000000000001 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.017199999999997 init_drift: 0 init_half_min_move: 0.0063200731793125 init_liq_cost: 0.85999999999983 init_min_duration: 0 init_opt_t_minutes: 7.4064940778004 init_vol_normal: 0.60116444530648 last_aggressive_qty: 3 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 64.418 slip_toler: 0 slippage: -0.0026000000000082 slippage_sweep: -0.019800000000004 sweep_residual: 0 sweep_to_fill: 63.7728 total_dollar: 3189.63 total_drift: -0.015000000000001 total_filled: 50 total_sent: 50 total_vol: 0.60116444530648 worst_opt_t_minutes: 1.0700032811692
2025-08-11 04:25:33	CLE	SIM:CLU5	Buy	50	0.0524	0.0348	63.6750	63.7750	63.7274	63.6926	Diagnostics Diagnostics algo_status: 4 arrival_price: 63.675 avg_total: 63.7274 curr_cost_per_share: 0.019400000000006 curr_half_min_move: 0.0063086794120194 curr_liq_cost: 0.9700000000003 curr_opt_t_minutes: 5 daily_vol_normal: 0.60008067181204 destination_price: 63.775 drift: -0.005 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.017599999999999 init_drift: 0 init_half_min_move: 0.0063086794120194 init_liq_cost: 0.87999999999995 init_min_duration: 0 init_opt_t_minutes: 7.7830248799081 init_vol_normal: 0.60008067181204 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 50 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 293.087 slip_toler: 0 slippage: 0.052399999999984 slippage_sweep: 0.034799999999983 sweep_residual: 0 sweep_to_fill: 63.6926 total_dollar: 3186.37 total_drift: -0.005 total_filled: 50 total_sent: 50 total_vol: 0.60008067181204 worst_opt_t_minutes: 5
2025-08-11 04:19:01	ENQ	SIM:NQU5	Sell	25	0.8700	0.0016	23,713.2500	23,712.2500	23,712.3800	23,712.3816	Diagnostics Diagnostics algo_status: 4 arrival_price: 23713.25 avg_total: 23712.38 curr_cost_per_share: 0.84375 curr_half_min_move: 0.35765982228608 curr_liq_cost: 13.5 curr_opt_t_minutes: 5 daily_vol_normal: 34.02055048616 destination_price: 23712.25 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.86842105263158 init_drift: 0 init_half_min_move: 0.43287778011307 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 4.0246683548435 init_vol_normal: 41.175271738781 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 22 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 93.453 slip_toler: 0 slippage: 0.86999999999898 slippage_sweep: 0.0015789473691257 sweep_residual: 6 sweep_to_fill: 23712.381578947 total_dollar: 592809.5 total_drift: 0.125 total_filled: 25 total_sent: 25 total_vol: 70.135069061037 worst_opt_t_minutes: 1.5060877336288
2025-08-11 04:17:28	ENQ	SIM:NQU5	Buy	25	0.7750	-0.2389	23,713.6250	23,713.5000	23,714.4000	23,714.6389	Diagnostics Diagnostics algo_status: 4 arrival_price: 23713.625 avg_total: 23714.4 curr_cost_per_share: 0.77777777777778 curr_half_min_move: 0.43288462561791 curr_liq_cost: 7 curr_opt_t_minutes: 2.716985584664 daily_vol_normal: 41.17592288221 destination_price: 23713.5 drift: 0.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 1.0138888888889 init_drift: 0 init_half_min_move: 0.48105573769296 init_liq_cost: 18.25 init_min_duration: 0 init_opt_t_minutes: 4.4421163482224 init_vol_normal: 45.757952084844 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 22 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 69.049 slip_toler: 0 slippage: 0.77500000000146 slippage_sweep: -0.23888888888905 sweep_residual: 7 sweep_to_fill: 23714.638888889 total_dollar: 592860 total_drift: 0.125 total_filled: 25 total_sent: 25 total_vol: 70.136178173069 worst_opt_t_minutes: 0.93646127793016
2025-08-11 04:15:49	EP	SIM:ESU5	Sell	50	-0.2100	-0.4700	6,416.1250	6,416.6250	6,416.3350	6,415.8650	Diagnostics Diagnostics algo_status: 4 arrival_price: 6416.125 avg_total: 6416.335 curr_cost_per_share: 0.26 curr_half_min_move: 0.10891850935791 curr_liq_cost: 13 curr_opt_t_minutes: 0 daily_vol_normal: 10.360312832466 destination_price: 6416.625 drift: -0.5 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: 2 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 10 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.213 slip_toler: 0 slippage: -0.21000000000004 slippage_sweep: -0.47000000000025 sweep_residual: 0 sweep_to_fill: 6415.865 total_dollar: 320816.75 total_drift: -0.5 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	0.1650	-0.1300	6,416.1250	6,416.1250	6,416.2900	6,416.4200	Diagnostics Diagnostics algo_status: 4 arrival_price: 6416.125 avg_total: 6416.29 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: 268.353 slip_toler: 0 slippage: 0.16499999999996 slippage_sweep: -0.13000000000011 sweep_residual: 0 sweep_to_fill: 6416.42 total_dollar: 320814.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 13.381116953142 worst_opt_t_minutes: 3.0331214205486
2025-08-11 03:29:47	CLE	SIM:CLU5	Sell	50	0.0586	0.0400	63.4450	63.3550	63.3864	63.4264	Diagnostics Diagnostics algo_status: 4 arrival_price: 63.445 avg_total: 63.3864 curr_cost_per_share: 0.021199999999999 curr_half_min_move: 0.0062858918774334 curr_liq_cost: 1.06 curr_opt_t_minutes: 5 daily_vol_normal: 0.59791312482316 destination_price: 63.355 drift: 0.005 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.018599999999999 init_drift: 0 init_half_min_move: 0.0062858918774334 init_liq_cost: 0.92999999999994 init_min_duration: 0 init_opt_t_minutes: 8.7557242463269 init_vol_normal: 0.59791312482316 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 50 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 293.01 slip_toler: 0 slippage: 0.058599999999991 slippage_sweep: 0.039999999999992 sweep_residual: 0 sweep_to_fill: 63.4264 total_dollar: 3169.32 total_drift: 0.005 total_filled: 50 total_sent: 50 total_vol: 0.59791312482316 worst_opt_t_minutes: 5
2025-08-11 03:23:46	CLE	SIM:CLU5	Buy	50	-0.0126	-0.0298	63.4750	63.4500	63.4624	63.4922	Diagnostics Diagnostics algo_status: 4 arrival_price: 63.475 avg_total: 63.4624 curr_cost_per_share: 0.022800000000001 curr_half_min_move: 0.0062888641645533 curr_liq_cost: 1.14 curr_opt_t_minutes: 0 daily_vol_normal: 0.59819584834345 destination_price: 63.45 drift: 0.024999999999999 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.017200000000001 init_drift: 0 init_half_min_move: 0.0062888641645533 init_liq_cost: 0.86000000000003 init_min_duration: 0 init_opt_t_minutes: 7.4801871727741 init_vol_normal: 0.59819584834345 last_aggressive_qty: 11 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 43.972 slip_toler: 0 slippage: -0.012599999999999 slippage_sweep: -0.029800000000002 sweep_residual: 0 sweep_to_fill: 63.4922 total_dollar: 3173.12 total_drift: 0.024999999999999 total_filled: 50 total_sent: 50 total_vol: 0.59819584834345 worst_opt_t_minutes: 0
2025-08-11 03:22:31	ENQ	SIM:NQU5	Sell	25	-0.4950	-1.5200	23,683.6250	23,685.6250	23,684.1200	23,682.6000	Diagnostics Diagnostics algo_status: 4 arrival_price: 23683.625 avg_total: 23684.12 curr_cost_per_share: 0.91346153846154 curr_half_min_move: 0.65438860422135 curr_liq_cost: 11.875 curr_opt_t_minutes: 0 daily_vol_normal: 62.245349240466 destination_price: 23685.625 drift: -2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 1.025 init_drift: 0 init_half_min_move: 0.65241570093692 init_liq_cost: 10.25 init_min_duration: 0 init_opt_t_minutes: 2.4683055655419 init_vol_normal: 62.057686965841 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 15 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 39.77 slip_toler: 0 slippage: -0.49499999999898 slippage_sweep: -1.5200000000004 sweep_residual: 15 sweep_to_fill: 23682.6 total_dollar: 592103 total_drift: -2 total_filled: 25 total_sent: 25 total_vol: 36.480161732314 worst_opt_t_minutes: 0
2025-08-11 03:21:52	ENQ	SIM:NQU5	Buy	25	-0.9750	-2.0000	23,684.6250	23,683.5000	23,683.6500	23,685.6500	Diagnostics Diagnostics algo_status: 4 arrival_price: 23684.625 avg_total: 23683.65 curr_cost_per_share: 0.98333333333333 curr_half_min_move: 0.65233602912671 curr_liq_cost: 14.75 curr_opt_t_minutes: 0 daily_vol_normal: 62.050108594795 destination_price: 23683.5 drift: 1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 1.025 init_drift: 0 init_half_min_move: 0.65088089204676 init_liq_cost: 25.625 init_min_duration: 0 init_opt_t_minutes: 2.4799600601237 init_vol_normal: 61.911696166538 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 18 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 23.893 slip_toler: 0 slippage: -0.97499999999854 slippage_sweep: -2 sweep_residual: 0 sweep_to_fill: 23685.65 total_dollar: 592091.25 total_drift: 1.125 total_filled: 25 total_sent: 25 total_vol: 36.481702043889 worst_opt_t_minutes: 0
2025-08-11 03:20:55	EP	SIM:ESU5	Sell	50	-0.2600	-0.6300	6,411.6250	6,412.1250	6,411.8850	6,411.2550	Diagnostics Diagnostics algo_status: 4 arrival_price: 6411.625 avg_total: 6411.885 curr_cost_per_share: 0.4 curr_half_min_move: 0.1986303281385 curr_liq_cost: 20 curr_opt_t_minutes: 0 daily_vol_normal: 18.89368803945 destination_price: 6412.125 drift: -0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.37 init_drift: 0 init_half_min_move: 0.19804260084106 init_liq_cost: 18.5 init_min_duration: 0 init_opt_t_minutes: 3.4904884542084 init_vol_normal: 18.837783504055 last_aggressive_qty: 11 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 14 n_kids: 12 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 28.179 slip_toler: 0 slippage: -0.26000000000022 slippage_sweep: -0.63000000000011 sweep_residual: 0 sweep_to_fill: 6411.255 total_dollar: 320594.25 total_drift: -0.5 total_filled: 50 total_sent: 50 total_vol: 10.60470104717 worst_opt_t_minutes: 0
2025-08-11 03:20:25	EP	SIM:ESU5	Buy	50	-0.2250	-0.6650	6,412.2500	6,411.7500	6,412.0250	6,412.6900	Diagnostics Diagnostics algo_status: 4 arrival_price: 6412.25 avg_total: 6412.025 curr_cost_per_share: 0.455 curr_half_min_move: 0.19806190587302 curr_liq_cost: 22.75 curr_opt_t_minutes: 0 daily_vol_normal: 18.839619795898 destination_price: 6411.75 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.44 init_drift: 0 init_half_min_move: 0.19732815453684 init_liq_cost: 22 init_min_duration: 0 init_opt_t_minutes: 4.9719556312407 init_vol_normal: 18.76982547509 last_aggressive_qty: 8 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 13 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 40.63 slip_toler: 0 slippage: -0.22500000000036 slippage_sweep: -0.66499999999996 sweep_residual: 0 sweep_to_fill: 6412.69 total_dollar: 320601.25 total_drift: 0.5 total_filled: 50 total_sent: 50 total_vol: 10.60573478482 worst_opt_t_minutes: 0
2025-08-11 03:19:14	ZCE	SIM:ZCZ5	Sell	50	-0.0950	-0.2200	407.6250	407.8750	407.7200	407.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 407.625 avg_total: 407.72 curr_cost_per_share: 0.22 curr_half_min_move: 0.039707918475507 curr_liq_cost: 11 curr_opt_t_minutes: 0 daily_vol_normal: 3.7770114534022 destination_price: 407.875 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.039424454308695 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 10.052837084171 init_vol_normal: 3.7500483829169 last_aggressive_qty: last_tactical_qty: 37 level_tactical_limit: mbo_max: mbo_min: model_size: 37 n_kids: 14 order_time_minutes: 5 pov_agg_limit: ready: 1 seconds_spent: 66.071 slip_toler: 0 slippage: -0.095000000000027 slippage_sweep: -0.22000000000003 sweep_residual: 0 sweep_to_fill: 407.5 total_dollar: 20386 total_drift: -0.25 total_filled: 50 total_sent: 50 total_vol: 3.5287655050134 worst_opt_t_minutes: 0

CQG Execution Technologies

Arrival Price

CQG Algos

Metrics

Impact Model: MBO

Payup Model: Theo Queue

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