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
2024-05-17 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
2024-05-17 06:22:19	CLE	SIM:CLN4	Sell	50	-0.0036	-0.0174	78.6750	78.6900	78.6786	78.6612	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.675 avg_total: 78.6786 curr_cost_per_share: 0.016399999999999 curr_half_min_move: 0.011083185490871 curr_liq_cost: 0.81999999999996 curr_opt_t_minutes: 0.31567496102401 daily_vol_normal: 1.0542309984096 destination_price: 78.69 drift: -0.015000000000001 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0138 init_drift: 0 init_half_min_move: 0.0086586290628961 init_liq_cost: 0.69 init_min_duration: 0 init_opt_t_minutes: 2.5401531586439 init_vol_normal: 0.8236075421957 last_aggressive_qty: 3 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 46 slip_toler: 0 slippage: -0.0035999999999916 slippage_sweep: -0.017399999999995 sweep_residual: 0 sweep_to_fill: 78.6612 total_dollar: 3933.93 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.0654261463322 worst_opt_t_minutes: 2.1437955030462
2024-05-17 06:01:00	EP	SIM:ESM4	Buy	50	0.2100	0.0500	5,320.6250	5,320.6250	5,320.8350	5,320.7850	Diagnostics Diagnostics algo_status: 4 arrival_price: 5320.625 avg_total: 5320.835 curr_cost_per_share: 0.17 curr_half_min_move: 0.23596863327067 curr_liq_cost: 8.5 curr_opt_t_minutes: 0.51902620874604 daily_vol_normal: 22.445302214891 destination_price: 5320.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.16 init_drift: 0 init_half_min_move: 0.58556489682582 init_liq_cost: 8 init_min_duration: 0 init_opt_t_minutes: 0.074660328665435 init_vol_normal: 55.698848162631 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 46 slip_toler: 0 slippage: 0.21000000000004 slippage_sweep: 0.050000000000182 sweep_residual: 0 sweep_to_fill: 5320.785 total_dollar: 266041.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.6015666259855 worst_opt_t_minutes: 10
2024-05-17 05:56:28	TYA	SIM:ZNM4	Sell	200	0.0078	0.0000	109.3984	109.3984	109.3906	109.3906	Diagnostics Diagnostics algo_status: 4 arrival_price: 109.3984375 avg_total: 109.390625 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.005803889226494 curr_liq_cost: 1.5625 curr_opt_t_minutes: 1.8119317328456 daily_vol_normal: 0.55206510248748 destination_price: 109.3984375 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.012039917259268 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.42104940304615 init_vol_normal: 1.1452351856298 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 153 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 109 slip_toler: 0 slippage: 0.0078125 slippage_sweep: 0 sweep_residual: 0 sweep_to_fill: 109.390625 total_dollar: 21878.125 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.062433123395139 worst_opt_t_minutes: 10
2024-05-17 05:50:50	TYA	SIM:ZNM4	Buy	200	0.0078	-0.0021	109.3828	109.3828	109.3906	109.3927	Diagnostics Diagnostics algo_status: 4 arrival_price: 109.3828125 avg_total: 109.390625 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0057376022441089 curr_liq_cost: 1.5625 curr_opt_t_minutes: 1.8540403655007 daily_vol_normal: 0.54575989432518 destination_price: 109.3828125 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.009921875 init_drift: 0 init_half_min_move: 0.012038197639578 init_liq_cost: 1.984375 init_min_duration: 0 init_opt_t_minutes: 0.67930461376705 init_vol_normal: 1.145071615654 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 198 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 112 slip_toler: 0 slippage: 0.0078125 slippage_sweep: -0.0021093750000034 sweep_residual: 0 sweep_to_fill: 109.392734375 total_dollar: 21878.125 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.062424206288319 worst_opt_t_minutes: 10
2024-05-17 05:39:56	ZCE	SIM:ZCN4	Buy	50	-0.1150	-0.3450	459.6250	459.6250	459.5100	459.8550	Diagnostics Diagnostics algo_status: 4 arrival_price: 459.625 avg_total: 459.51 curr_cost_per_share: 0.125 curr_half_min_move: 0.06936972438648 curr_liq_cost: 6.25 curr_opt_t_minutes: 3.2469835471453 daily_vol_normal: 6.5984381349202 destination_price: 459.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.23 init_drift: 0 init_half_min_move: 0.050584332799919 init_liq_cost: 11.5 init_min_duration: 0 init_opt_t_minutes: 20.673957534058 init_vol_normal: 4.8115744084105 last_aggressive_qty: 1 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: 127 slip_toler: 0 slippage: -0.11500000000007 slippage_sweep: -0.34500000000008 sweep_residual: 0 sweep_to_fill: 459.855 total_dollar: 22975.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 8.1745802776908 worst_opt_t_minutes: 2.1155897792153
2024-05-17 05:32:25	CLE	SIM:CLN4	Sell	50	-0.0026	-0.0202	78.8950	78.9100	78.8976	78.8774	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.895 avg_total: 78.8976 curr_cost_per_share: 0.017199999999999 curr_half_min_move: 0.010642278322294 curr_liq_cost: 0.85999999999993 curr_opt_t_minutes: 0.48424541043627 daily_vol_normal: 1.0122919724032 destination_price: 78.91 drift: -0.015000000000001 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.017600000000002 init_drift: 0 init_half_min_move: 0.0086828413081308 init_liq_cost: 0.88000000000009 init_min_duration: 0 init_opt_t_minutes: 4.1086732845306 init_vol_normal: 0.8259106074551 last_aggressive_qty: 3 last_tactical_qty: 4 level_tactical_limit: mbo_max: mbo_min: model_size: 3 n_kids: 16 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 36 slip_toler: 0 slippage: -0.002600000000001 slippage_sweep: -0.020200000000003 sweep_residual: 0 sweep_to_fill: 78.8774 total_dollar: 3944.88 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.0684054123277 worst_opt_t_minutes: 2.3449149498544
2024-05-17 05:31:15	CLE	SIM:CLN4	Buy	50	0.0082	-0.0112	78.9250	78.9150	78.9332	78.9444	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.925 avg_total: 78.9332 curr_cost_per_share: 0.014200000000003 curr_half_min_move: 0.010616433006878 curr_liq_cost: 0.71000000000015 curr_opt_t_minutes: 0.60450380649415 daily_vol_normal: 1.0098335697447 destination_price: 78.915 drift: 0.010000000000005 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.019399999999996 init_drift: 0 init_half_min_move: 0.0086861429779355 init_liq_cost: 0.96999999999981 init_min_duration: 0 init_opt_t_minutes: 4.9882649441482 init_vol_normal: 0.82622466180865 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 74 slip_toler: 0 slippage: 0.0082000000000164 slippage_sweep: -0.011199999999974 sweep_residual: 0 sweep_to_fill: 78.9444 total_dollar: 3946.66 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.0688116758725 worst_opt_t_minutes: 1.5970432233135