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
2024-05-26 22:56:55	EP	SIM:ESM4	Buy	50	-0.1250	-0.3550	5,317.1250	5,316.8750	5,317.0000	5,317.3550	Diagnostics Diagnostics algo_status: 4 arrival_price: 5317.125 avg_total: 5317 curr_cost_per_share: 0.26 curr_half_min_move: 0.1357005733886 curr_liq_cost: 13 curr_opt_t_minutes: 0.34349018608548 daily_vol_normal: 12.907818883484 destination_price: 5316.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.58517970201527 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 0.15448174450962 init_vol_normal: 55.66220848805 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 116 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.35499999999956 sweep_residual: 0 sweep_to_fill: 5317.355 total_dollar: 265850 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.3953670508809 worst_opt_t_minutes: 10
2024-05-26 22:54:24	CLE	SIM:CLN4	Sell	50	0.0052	-0.0148	77.9550	77.9450	77.9498	77.9350	Diagnostics Diagnostics algo_status: 4 arrival_price: 77.955 avg_total: 77.9498 curr_cost_per_share: 0.012199999999999 curr_half_min_move: 0.0052387467854269 curr_liq_cost: 0.60999999999996 curr_opt_t_minutes: 10 daily_vol_normal: 0.49830883535828 destination_price: 77.945 drift: 0.0099999999999909 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.01999999999999 init_drift: 0 init_half_min_move: 0.0085793889875827 init_liq_cost: 0.99999999999949 init_min_duration: 0 init_opt_t_minutes: 5.4343458378922 init_vol_normal: 0.8160702377104 last_aggressive_qty: 3 last_tactical_qty: 12 level_tactical_limit: mbo_max: mbo_min: model_size: 15 n_kids: 31 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 173 slip_toler: 0 slippage: 0.0051999999999879 slippage_sweep: -0.014800000000008 sweep_residual: 0 sweep_to_fill: 77.935 total_dollar: 3897.49 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.8160702377104 worst_opt_t_minutes: 2.0221200862815
2024-05-26 22:34:27	CLE	SIM:CLN4	Buy	50	-0.0076	-0.0218	77.9650	77.9350	77.9574	77.9792	Diagnostics Diagnostics algo_status: 4 arrival_price: 77.965 avg_total: 77.9574 curr_cost_per_share: 0.015599999999989 curr_half_min_move: 0.0052095239478196 curr_liq_cost: 0.77999999999945 curr_opt_t_minutes: 0 daily_vol_normal: 0.49552916327822 destination_price: 77.935 drift: 0.030000000000001 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.014199999999989 init_drift: 0 init_half_min_move: 0.0085804895441842 init_liq_cost: 0.70999999999944 init_min_duration: 0 init_opt_t_minutes: 2.7387510425807 init_vol_normal: 0.81617492249492 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 27 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 131 slip_toler: 0 slippage: -0.0075999999999823 slippage_sweep: -0.021799999999971 sweep_residual: 0 sweep_to_fill: 77.9792 total_dollar: 3897.87 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.81617492249492 worst_opt_t_minutes: 3.3054079236389
2024-05-26 22:20:55	TYA	SIM:ZNM4	Sell	200	0.0078	0.0000	108.8047	108.8047	108.7969	108.7969	Diagnostics Diagnostics algo_status: 4 arrival_price: 108.8046875 avg_total: 108.796875 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0022661779837107 curr_liq_cost: 1.5625 curr_opt_t_minutes: 10 daily_vol_normal: 0.21555852153778 destination_price: 108.8046875 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.01197457171105 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.42565729654464 init_vol_normal: 1.139019526549 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 200 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 597 slip_toler: 0 slippage: 0.0078125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 108.796875 total_dollar: 21759.375 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.04941875152373 worst_opt_t_minutes: 10
2024-05-26 22:00:23	TYA	SIM:ZNM4	Buy	200	0.0078	0.0000	108.7891	108.7891	108.7969	108.7969	Diagnostics Diagnostics algo_status: 4 arrival_price: 108.7890625 avg_total: 108.796875 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0018164459100984 curr_liq_cost: 1.5625 curr_opt_t_minutes: 10 daily_vol_normal: 0.17278007184283 destination_price: 108.7890625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.01197285209136 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.42577957672113 init_vol_normal: 1.1388559565732 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 200 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 597 slip_toler: 0 slippage: 0.0078125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 108.796875 total_dollar: 21759.375 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.049411654697203 worst_opt_t_minutes: 10
2024-05-26 21:08:58	ENQ	SIM:NQM4	Buy	25	-0.7100	-1.5933	18,850.5000	18,848.5000	18,849.7900	18,851.3833	Diagnostics Diagnostics algo_status: 4 arrival_price: 18850.5 avg_total: 18849.79 curr_cost_per_share: 0.68181818181818 curr_half_min_move: 0.36506403110709 curr_liq_cost: 7.5 curr_opt_t_minutes: 0 daily_vol_normal: 34.72483775666 destination_price: 18848.5 drift: 2 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.88333333333333 init_drift: 0 init_half_min_move: 2.0746042218001 init_liq_cost: 13.25 init_min_duration: 0 init_opt_t_minutes: 0.18129203491628 init_vol_normal: 197.33605305574 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 15 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 47 slip_toler: 0 slippage: -0.70999999999913 slippage_sweep: -1.5933333333342 sweep_residual: 10 sweep_to_fill: 18851.383333333 total_dollar: 471244.75 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 12.898767496808 worst_opt_t_minutes: 10
2024-05-26 21:05:00	EP	SIM:ESM4	Buy	50	-0.1250	-0.3700	5,318.1250	5,317.8750	5,318.0000	5,318.3700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5318.125 avg_total: 5318 curr_cost_per_share: 0.265 curr_half_min_move: 0.12039696577975 curr_liq_cost: 13.25 curr_opt_t_minutes: 0.55347452972839 daily_vol_normal: 11.452141944571 destination_price: 5317.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.245 init_drift: 0 init_half_min_move: 0.58528975767543 init_liq_cost: 12.25 init_min_duration: 0 init_opt_t_minutes: 0.17522268072734 init_vol_normal: 55.672676966502 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 51 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.36999999999989 sweep_residual: 0 sweep_to_fill: 5318.37 total_dollar: 265900 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.3958175513019 worst_opt_t_minutes: 10
2024-05-26 21:03:34	CLE	SIM:CLN4	Sell	50	-0.0040	-0.0190	77.8750	77.8950	77.8790	77.8600	Diagnostics Diagnostics algo_status: 4 arrival_price: 77.875 avg_total: 77.879 curr_cost_per_share: 0.020800000000004 curr_half_min_move: 0.0045527050243187 curr_liq_cost: 1.0400000000002 curr_opt_t_minutes: 1.9530737693426 daily_vol_normal: 0.43305264241992 destination_price: 77.895 drift: -0.019999999999996 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.015000000000003 init_drift: 0 init_half_min_move: 0.0085705845347701 init_liq_cost: 0.75000000000014 init_min_duration: 0 init_opt_t_minutes: 3.0631032236288 init_vol_normal: 0.81523275943426 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 84 slip_toler: 0 slippage: -0.0039999999999907 slippage_sweep: -0.018999999999991 sweep_residual: 0 sweep_to_fill: 77.86 total_dollar: 3893.95 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.81523275943426 worst_opt_t_minutes: 5.8898710163143
2024-05-26 21:01:15	CLE	SIM:CLN4	Buy	50	-0.0138	-0.0288	77.9150	77.8950	77.9012	77.9300	Diagnostics Diagnostics algo_status: 4 arrival_price: 77.915 avg_total: 77.9012 curr_cost_per_share: 0.016400000000001 curr_half_min_move: 0.0045160189262765 curr_liq_cost: 0.82000000000006 curr_opt_t_minutes: 0 daily_vol_normal: 0.42956306608841 destination_price: 77.895 drift: 0.019999999999996 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.015000000000003 init_drift: 0 init_half_min_move: 0.0085749867611764 init_liq_cost: 0.75000000000016 init_min_duration: 0 init_opt_t_minutes: 3.0599589592837 init_vol_normal: 0.81565149857233 last_aggressive_qty: 7 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 7 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 24 slip_toler: 0 slippage: -0.013800000000003 slippage_sweep: -0.028800000000004 sweep_residual: 0 sweep_to_fill: 77.93 total_dollar: 3895.06 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.81565149857233 worst_opt_t_minutes: 3.6578069408388
2024-05-26 20:49:30	TYA	SIM:ZNM4	Buy	200	-0.0045	-0.0123	108.8047	108.7891	108.8002	108.8125	Diagnostics Diagnostics algo_status: 4 arrival_price: 108.8046875 avg_total: 108.800234375 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0014159912859301 curr_liq_cost: 1.5625 curr_opt_t_minutes: 0 daily_vol_normal: 0.13468888600078 destination_price: 108.7890625 drift: 0.015625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.01197457171105 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.42565729654464 init_vol_normal: 1.139019526549 last_aggressive_qty: 128 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 128 n_kids: 73 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 185 slip_toler: 0 slippage: -0.0044531249999977 slippage_sweep: -0.012265624999998 sweep_residual: 0 sweep_to_fill: 108.8125 total_dollar: 21760.046875 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.04941875152373 worst_opt_t_minutes: 10
2024-05-26 20:05:23	ENQ	SIM:NQM4	Sell	25	-0.5900	-1.4169	18,848.7500	18,849.8750	18,849.3400	18,847.9231	Diagnostics Diagnostics algo_status: 4 arrival_price: 18848.75 avg_total: 18849.34 curr_cost_per_share: 0.84375 curr_half_min_move: 0.32501992818295 curr_liq_cost: 13.5 curr_opt_t_minutes: 0 daily_vol_normal: 30.915848487203 destination_price: 18849.875 drift: -1.125 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.82692307692308 init_drift: 0 init_half_min_move: 2.0744116243948 init_liq_cost: 10.75 init_min_duration: 0 init_opt_t_minutes: 0.15890601952153 init_vol_normal: 197.31773321845 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 14 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 55 slip_toler: 0 slippage: -0.59000000000015 slippage_sweep: -1.4169230769221 sweep_residual: 12 sweep_to_fill: 18847.923076923 total_dollar: 471233.5 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 12.897570030262 worst_opt_t_minutes: 10
2024-05-26 20:04:27	ENQ	SIM:NQM4	Buy	25	2.5650	1.5650	18,845.6250	18,848.5000	18,848.1900	18,846.6250	Diagnostics Diagnostics algo_status: 4 arrival_price: 18845.625 avg_total: 18848.19 curr_cost_per_share: 0.875 curr_half_min_move: 0.32356580982499 curr_liq_cost: 12.25 curr_opt_t_minutes: 10 daily_vol_normal: 30.777532959633 destination_price: 18848.5 drift: -2.875 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 1 init_drift: 0 init_half_min_move: 2.0740677004568 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.23246316340752 init_vol_normal: 197.28501922328 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 25 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 572 slip_toler: 0 slippage: 2.5649999999987 slippage_sweep: 1.5649999999987 sweep_residual: 13 sweep_to_fill: 18846.625 total_dollar: 471204.75 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 12.895431697145 worst_opt_t_minutes: 10
2024-05-26 19:52:30	EP	SIM:ESM4	Sell	50	-0.1250	-0.3650	5,315.6250	5,316.0000	5,315.7500	5,315.3850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5315.625 avg_total: 5315.75 curr_cost_per_share: 0.3 curr_half_min_move: 0.098949248982142 curr_liq_cost: 15 curr_opt_t_minutes: 0 daily_vol_normal: 9.4120382296449 destination_price: 5316 drift: -0.375 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.24 init_drift: 0 init_half_min_move: 0.58501461852503 init_liq_cost: 12 init_min_duration: 0 init_opt_t_minutes: 0.1683019106815 init_vol_normal: 55.646505770372 last_aggressive_qty: 30 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 30 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 83 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.36499999999978 sweep_residual: 0 sweep_to_fill: 5315.385 total_dollar: 265787.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.3946913002495 worst_opt_t_minutes: 10
2024-05-26 19:43:26	EP	SIM:ESM4	Buy	50	-0.0850	-0.4300	5,316.1250	5,315.8750	5,316.0400	5,316.4700	Diagnostics Diagnostics algo_status: 4 arrival_price: 5316.125 avg_total: 5316.04 curr_cost_per_share: 0.275 curr_half_min_move: 0.096233494703044 curr_liq_cost: 13.75 curr_opt_t_minutes: 1.2224388864219 daily_vol_normal: 9.1537160760143 destination_price: 5315.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.58506964635511 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 0.3477147033419 init_vol_normal: 55.651740009598 last_aggressive_qty: 5 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 166 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.43000000000029 sweep_residual: 0 sweep_to_fill: 5316.47 total_dollar: 265802 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 2.39491655046 worst_opt_t_minutes: 10
2024-05-26 19:29:53	CLE	SIM:CLN4	Sell	50	0.0130	-0.0028	77.8950	77.8850	77.8820	77.8792	Diagnostics Diagnostics algo_status: 4 arrival_price: 77.895 avg_total: 77.882 curr_cost_per_share: 0.011999999999999 curr_half_min_move: 0.003294900622342 curr_liq_cost: 0.59999999999994 curr_opt_t_minutes: 10 daily_vol_normal: 0.31341046990625 destination_price: 77.885 drift: 0.010000000000005 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.015800000000001 init_drift: 0 init_half_min_move: 0.0085727856479732 init_liq_cost: 0.79000000000005 init_min_duration: 0 init_opt_t_minutes: 3.3968020911937 init_vol_normal: 0.81544212900329 last_aggressive_qty: 3 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 34 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 148 slip_toler: 0 slippage: 0.012999999999963 slippage_sweep: -0.0028000000000361 sweep_residual: 0 sweep_to_fill: 77.8792 total_dollar: 3894.1 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.81544212900329 worst_opt_t_minutes: 1.9593795110228