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

Date - Time	CQG Symbol	Exchange Symbol	Buy / Sell	Quantity	Slippage	Slippage Sweep	Arrival Price	Destination Price	Average Total	Sweep to Fill
2024-05-20 09:07:55	ZCE	SIM:ZCN4	Buy	50	-0.1250	-0.2500	458.6250	458.3750	458.5000	458.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 458.625 avg_total: 458.5 curr_cost_per_share: 0.125 curr_half_min_move: 0.058318897427187 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 5.547285075347 destination_price: 458.375 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.050474277139761 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.1330966695724 init_vol_normal: 4.8011059299587 last_aggressive_qty: 47 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 47 n_kids: 4 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 18 slip_toler: 0 slippage: -0.12500000000006 slippage_sweep: -0.25000000000006 sweep_residual: 0 sweep_to_fill: 458.75 total_dollar: 22925 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 5.547285075347 worst_opt_t_minutes: 4.5941102868786
2024-05-20 09:07:06	ENQ	SIM:NQM4	Sell	25	-0.9300	-1.5900	18,740.7500	18,741.7500	18,741.6800	18,740.0900	Diagnostics Diagnostics algo_status: 4 arrival_price: 18740.75 avg_total: 18741.68 curr_cost_per_share: 0.64 curr_half_min_move: 1.1172131455636 curr_liq_cost: 16 curr_opt_t_minutes: 0 daily_vol_normal: 106.26915256936 destination_price: 18741.75 drift: -1 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.66 init_drift: 0 init_half_min_move: 2.0625256130978 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.10239745674438 init_vol_normal: 196.18713754565 last_aggressive_qty: 2 last_tactical_qty: level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 7 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 9 slip_toler: 0 slippage: -0.93000000000029 slippage_sweep: -1.5900000000001 sweep_residual: 0 sweep_to_fill: 18740.09 total_dollar: 468542 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 119.92490139166 worst_opt_t_minutes: 0.25768169487167
2024-05-20 09:06:57	ENQ	SIM:NQM4	Buy	25	-0.4250	-0.8000	18,741.1250	18,740.7500	18,740.7000	18,741.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 18741.125 avg_total: 18740.7 curr_cost_per_share: 0.49 curr_half_min_move: 1.1447121728849 curr_liq_cost: 12.25 curr_opt_t_minutes: 0.051873908084516 daily_vol_normal: 108.88485606472 destination_price: 18740.75 drift: 0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.375 init_drift: 0 init_half_min_move: 2.0625668839704 init_liq_cost: 9.375 init_min_duration: 0 init_opt_t_minutes: 0.033055707304839 init_vol_normal: 196.19106322507 last_aggressive_qty: 9 last_tactical_qty: level_tactical_limit: mbo_max: mbo_min: model_size: 9 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 5 slip_toler: 0 slippage: -0.42499999999927 slippage_sweep: -0.79999999999927 sweep_residual: 0 sweep_to_fill: 18741.5 total_dollar: 468517.5 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 119.92730107353 worst_opt_t_minutes: 0.15104223392703
2024-05-20 09:05:41	EP	SIM:ESM4	Sell	50	0.3250	0.2000	5,341.6250	5,340.8750	5,341.3000	5,341.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 5341.625 avg_total: 5341.3 curr_cost_per_share: 0.125 curr_half_min_move: 0.14225084099182 curr_liq_cost: 6.25 curr_opt_t_minutes: 7.5445011672964 daily_vol_normal: 13.530879389047 destination_price: 5340.875 drift: 0.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.58787606568913 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.045211453352585 init_vol_normal: 55.918686210119 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 31 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 31 slip_toler: 0 slippage: 0.32499999999982 slippage_sweep: 0.19999999999982 sweep_residual: 0 sweep_to_fill: 5341.5 total_dollar: 267065 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 16.77330328 worst_opt_t_minutes: 0.50248741287917
2024-05-20 09:04:44	EP	SIM:ESM4	Buy	50	0.1400	0.0150	5,342.1250	5,341.8750	5,342.2650	5,342.2500	Diagnostics Diagnostics algo_status: 4 arrival_price: 5342.125 avg_total: 5342.265 curr_cost_per_share: 0.125 curr_half_min_move: 0.14022184897638 curr_liq_cost: 6.25 curr_opt_t_minutes: 0 daily_vol_normal: 13.337881962453 destination_price: 5341.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.58793109351921 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 0.045202990552191 init_vol_normal: 55.923920449345 last_aggressive_qty: 12 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 12 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24 slip_toler: 0 slippage: 0.14000000000033 slippage_sweep: 0.015000000000327 sweep_residual: 0 sweep_to_fill: 5342.25 total_dollar: 267113.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 16.774873336236 worst_opt_t_minutes: 0.50239335594535
2024-05-20 09:02:40	CLE	SIM:CLN4	Sell	50	-0.0138	-0.0258	79.6550	79.7150	79.6688	79.6430	Diagnostics Diagnostics algo_status: 4 arrival_price: 79.655 avg_total: 79.6688 curr_cost_per_share: 0.016800000000012 curr_half_min_move: 0.0079252042465024 curr_liq_cost: 0.8400000000006 curr_opt_t_minutes: 0 daily_vol_normal: 0.75384427990239 destination_price: 79.715 drift: -0.060000000000002 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.012000000000003 init_drift: 0 init_half_min_move: 0.0087664836098505 init_liq_cost: 0.60000000000016 init_min_duration: 0 init_opt_t_minutes: 1.8737499823081 init_vol_normal: 0.83386665107847 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 17 slip_toler: 0 slippage: -0.013799999999989 slippage_sweep: -0.02579999999999 sweep_residual: 0 sweep_to_fill: 79.643 total_dollar: 3983.44 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.91231523511555 worst_opt_t_minutes: 3.0681110099669
2024-05-20 09:01:56	CLE	SIM:CLN4	Buy	50	-0.0080	-0.0198	79.6950	79.6750	79.6870	79.7068	Diagnostics Diagnostics algo_status: 4 arrival_price: 79.695 avg_total: 79.687 curr_cost_per_share: 0.013 curr_half_min_move: 0.0090354987863415 curr_liq_cost: 0.64999999999998 curr_opt_t_minutes: 0 daily_vol_normal: 0.85945533569744 destination_price: 79.675 drift: 0.019999999999996 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.011799999999999 init_drift: 0 init_half_min_move: 0.0087708858362568 init_liq_cost: 0.58999999999995 init_min_duration: 0 init_opt_t_minutes: 1.8099938459909 init_vol_normal: 0.83428539021654 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 20 slip_toler: 0 slippage: -0.0079999999999956 slippage_sweep: -0.019799999999989 sweep_residual: 0 sweep_to_fill: 79.7068 total_dollar: 3984.35 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.91277336843304 worst_opt_t_minutes: 1.8352834330959
2024-05-17 08:33:37	ZCE	SIM:ZCN4	Buy	50	0.1700	0.0450	456.6250	456.3750	456.7950	456.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 456.625 avg_total: 456.795 curr_cost_per_share: 0.12500000000006 curr_half_min_move: 0.083006851948229 curr_liq_cost: 6.2500000000028 curr_opt_t_minutes: 0 daily_vol_normal: 7.8955997331542 destination_price: 456.375 drift: 0.25000000000006 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.050254165819446 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.1869397840208 init_vol_normal: 4.7801689730551 last_aggressive_qty: last_tactical_qty: 20 level_tactical_limit: mbo_max: mbo_min: model_size: 20 n_kids: 30 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 76 slip_toler: 0 slippage: 0.16999999999996 slippage_sweep: 0.044999999999959 sweep_residual: 0 sweep_to_fill: 456.75 total_dollar: 22839.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 8.1212243008987 worst_opt_t_minutes: 2.1434797033015
2024-05-17 08:11:50	CLE	SIM:CLN4	Sell	50	0.0312	0.0170	79.3050	79.2250	79.2738	79.2908	Diagnostics Diagnostics algo_status: 4 arrival_price: 79.305 avg_total: 79.2738 curr_cost_per_share: 0.0095999999999978 curr_half_min_move: 0.013074229104923 curr_liq_cost: 0.47999999999989 curr_opt_t_minutes: 7.7764252277731 daily_vol_normal: 1.2436187785607 destination_price: 79.225 drift: 0.080000000000013 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.014200000000013 init_drift: 0 init_half_min_move: 0.0087279641287954 init_liq_cost: 0.71000000000063 init_min_duration: 0 init_opt_t_minutes: 2.6469807530079 init_vol_normal: 0.83020268362034 last_aggressive_qty: last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 64 slip_toler: 0 slippage: 0.031200000000027 slippage_sweep: 0.01700000000001 sweep_residual: 0 sweep_to_fill: 79.2908 total_dollar: 3963.69 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.0739576807738 worst_opt_t_minutes: 0.72295370845556
2024-05-17 08:06:29	ZCE	SIM:ZCN4	Sell	50	-0.1250	-0.2500	457.8750	457.8750	458.0000	457.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 457.875 avg_total: 458 curr_cost_per_share: 0.125 curr_half_min_move: 0.079810445109393 curr_liq_cost: 6.25 curr_opt_t_minutes: 2.4530170124909 daily_vol_normal: 7.5915579776675 destination_price: 457.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.050391735394643 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.1532051697551 init_vol_normal: 4.7932545711199 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 50 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 128 slip_toler: 0 slippage: -0.12499999999994 slippage_sweep: -0.24999999999994 sweep_residual: 0 sweep_to_fill: 457.75 total_dollar: 22442 total_drift: 0 total_filled: 49 total_sent: 49 total_vol: 8.1434559578954 worst_opt_t_minutes: 2.131792267588
2024-05-17 07:47:15	CLE	SIM:CLN4	Sell	50	-0.0046	-0.0168	79.1550	79.1650	79.1596	79.1428	Diagnostics Diagnostics algo_status: 4 arrival_price: 79.155 avg_total: 79.1596 curr_cost_per_share: 0.011999999999999 curr_half_min_move: 0.012305335541703 curr_liq_cost: 0.59999999999995 curr_opt_t_minutes: 0.21055811904333 daily_vol_normal: 1.1704817342072 destination_price: 79.165 drift: -0.0099999999999909 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.012200000000003 init_drift: 0 init_half_min_move: 0.0087114557797717 init_liq_cost: 0.61000000000016 init_min_duration: 0 init_opt_t_minutes: 1.9612736269842 init_vol_normal: 0.82863241185257 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15 slip_toler: 0 slippage: -0.0045999999999964 slippage_sweep: -0.016800000000003 sweep_residual: 0 sweep_to_fill: 79.1428 total_dollar: 3957.98 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.0719263630496 worst_opt_t_minutes: 1.1339005038905
2024-05-17 07:19:01	ENQ	SIM:NQM4	Sell	25	1.1350	0.3537	18,669.1250	18,667.7500	18,667.9900	18,668.3438	Diagnostics Diagnostics algo_status: 4 arrival_price: 18669.125 avg_total: 18667.99 curr_cost_per_share: 0.875 curr_half_min_move: 0.73218152086716 curr_liq_cost: 15.75 curr_opt_t_minutes: 3.9799798317211 daily_vol_normal: 69.645000202932 destination_price: 18667.75 drift: 1.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.78125 init_drift: 0 init_half_min_move: 2.054642876439 init_liq_cost: 18.75 init_min_duration: 0 init_opt_t_minutes: 0.14457971595321 init_vol_normal: 195.43733277654 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 240 slip_toler: 0 slippage: 1.1349999999984 slippage_sweep: 0.3537499999984 sweep_residual: 1 sweep_to_fill: 18668.34375 total_dollar: 466699.75 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 10.271125868374 worst_opt_t_minutes: 10
2024-05-17 07:14:04	EP	SIM:ESM4	Buy	50	0.0800	-0.1850	5,322.8750	5,322.8750	5,322.9550	5,323.1400	Diagnostics Diagnostics algo_status: 4 arrival_price: 5322.875 avg_total: 5322.955 curr_cost_per_share: 0.125 curr_half_min_move: 0.25047268701205 curr_liq_cost: 6.25 curr_opt_t_minutes: 0.2490573004287 daily_vol_normal: 23.82492570575 destination_price: 5322.875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.265 init_drift: 0 init_half_min_move: 0.58581252206118 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.20463242289254 init_vol_normal: 55.722402239148 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 10 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 15 slip_toler: 0 slippage: 0.079999999999927 slippage_sweep: -0.1850000000004 sweep_residual: 0 sweep_to_fill: 5323.14 total_dollar: 266147.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.6022439007245 worst_opt_t_minutes: 10
2024-05-17 06:48:46	CLE	SIM:CLN4	Sell	50	-0.0070	-0.0194	78.6550	78.6750	78.6620	78.6426	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.655 avg_total: 78.662 curr_cost_per_share: 0.014 curr_half_min_move: 0.011337694125065 curr_liq_cost: 0.7 curr_opt_t_minutes: 0 daily_vol_normal: 1.0784398228266 destination_price: 78.675 drift: -0.019999999999996 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.012400000000003 init_drift: 0 init_half_min_move: 0.008656427949693 init_liq_cost: 0.62000000000015 init_min_duration: 0 init_opt_t_minutes: 2.0519460266068 init_vol_normal: 0.82339817262667 last_aggressive_qty: 10 last_tactical_qty: 10 level_tactical_limit: mbo_max: mbo_min: model_size: 10 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 31 slip_toler: 0 slippage: -0.0069999999999908 slippage_sweep: -0.01939999999999 sweep_residual: 0 sweep_to_fill: 78.6426 total_dollar: 3933.1 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.065155303969 worst_opt_t_minutes: 1.5630488931249
2024-05-17 06:28:28	ZCE	SIM:ZCN4	Buy	50	0.1000	-0.0250	458.3750	458.6250	458.4750	458.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 458.375 avg_total: 458.475 curr_cost_per_share: 0.125 curr_half_min_move: 0.071949033733729 curr_liq_cost: 6.25 curr_opt_t_minutes: 10 daily_vol_normal: 6.8437816663984 destination_price: 458.625 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.050446763224722 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.1397885366902 init_vol_normal: 4.7984888103458 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 46 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 128 slip_toler: 0 slippage: 0.099999999999966 slippage_sweep: -0.025000000000034 sweep_residual: 0 sweep_to_fill: 458.5 total_dollar: 22923.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 8.1523486206941 worst_opt_t_minutes: 2.1271440438029