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
2024-04-16 02:37:00	TYA	SIM:ZNM4	Sell	200	-0.0133	-0.0211	107.8516	107.8672	107.8648	107.8438	Diagnostics Diagnostics algo_status: 4 arrival_price: 107.8515625 avg_total: 107.86484375 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0085622415183618 curr_liq_cost: 1.5625 curr_opt_t_minutes: 1.0927068492535 daily_vol_normal: 0.81443917292205 destination_price: 107.8671875 drift: 0.0023759596581444 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.011869674909962 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.43321392871159 init_vol_normal: 1.1290417580247 last_aggressive_qty: 1 last_tactical_qty: 62 level_tactical_limit: 0 mbo_max: 111 mbo_min: 9 model_size: 8 n_kids: 30 order_time_minutes: 10 pov_agg_limit: 1 ready: 1 seconds_spent: 63 slip_toler: 0 slippage: -0.013281250000006 slippage_sweep: -0.021093750000006 sweep_residual: 0 sweep_to_fill: 107.84375 total_dollar: 21572.96875 total_drift: 0.14838375724113 total_filled: 200 total_sent: 200 total_vol: 0.59465362339975 worst_opt_t_minutes: 10
2024-04-16 02:33:16	TYA	SIM:ZNM4	Buy	200	0.0094	0.0016	107.8516	107.8594	107.8609	107.8594	Diagnostics Diagnostics algo_status: 4 arrival_price: 107.8515625 avg_total: 107.8609375 curr_cost_per_share: 0.015625 curr_half_min_move: 0.0085306734037506 curr_liq_cost: 3.125 curr_opt_t_minutes: 2.4774146789026 daily_vol_normal: 0.81143641843311 destination_price: 107.859375 drift: 0.0041881292662284 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.011869674909962 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.43321392871159 init_vol_normal: 1.1290417580247 last_aggressive_qty: 1 last_tactical_qty: 43 level_tactical_limit: 94 mbo_max: 67 mbo_min: 5 model_size: 0 n_kids: 97 order_time_minutes: 10 pov_agg_limit: 0 ready: 1 seconds_spent: 88 slip_toler: 0 slippage: 0.0093750000000057 slippage_sweep: 0.0015625000000057 sweep_residual: 0 sweep_to_fill: 107.859375 total_dollar: 21572.1875 total_drift: 0.14838375724113 total_filled: 200 total_sent: 200 total_vol: 0.59465362339975 worst_opt_t_minutes: 0
2024-04-16 02:31:16	ZCE	SIM:ZCK4	Sell	50	0.9750	0.6300	431.6250	430.7500	430.6500	431.2800	Diagnostics Diagnostics algo_status: 4 arrival_price: 431.625 avg_total: 430.65 curr_cost_per_share: 0.25 curr_half_min_move: 0.037966782119967 curr_liq_cost: 12.5 curr_opt_t_minutes: 10 daily_vol_normal: 3.6113948154798 destination_price: 430.75 drift: 0.01325182614024 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.345 init_drift: 0 init_half_min_move: 0.047502774315507 init_liq_cost: 17.25 init_min_duration: 0 init_opt_t_minutes: 52.747300838483 init_vol_normal: 4.51845701176 last_aggressive_qty: 1 last_tactical_qty: 6 level_tactical_limit: 2 mbo_max: 5 mbo_min: 2 model_size: 25 n_kids: 19 order_time_minutes: 10 pov_agg_limit: 0 ready: 1 seconds_spent: 592 slip_toler: 0 slippage: 0.97500000000002 slippage_sweep: 0.63 sweep_residual: 0 sweep_to_fill: 431.28 total_dollar: 21532.5 total_drift: 0.12503621089224 total_filled: 50 total_sent: 50 total_vol: 3.8528804122897 worst_opt_t_minutes: 10
2024-04-16 02:20:59	ZCE	SIM:ZCK4	Buy	50	0.2750	0.0050	431.3750	431.6250	431.6500	431.6450	Diagnostics Diagnostics algo_status: 4 arrival_price: 431.375 avg_total: 431.65 curr_cost_per_share: 0.125 curr_half_min_move: 0.036881629019756 curr_liq_cost: 6.25 curr_opt_t_minutes: 8.7679415403647 daily_vol_normal: 3.5081752097803 destination_price: 431.625 drift: 0.030249588235822 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.27 init_drift: 0 init_half_min_move: 0.047475260400468 init_liq_cost: 13.5 init_min_duration: 0 init_opt_t_minutes: 32.343932151668 init_vol_normal: 4.5158398921471 last_aggressive_qty: 1 last_tactical_qty: 5 level_tactical_limit: 0 mbo_max: 2 mbo_min: 1 model_size: 23 n_kids: 12 order_time_minutes: 10 pov_agg_limit: 0 ready: 1 seconds_spent: 585 slip_toler: 0 slippage: 0.27499999999998 slippage_sweep: 0.0049999999999955 sweep_residual: 0 sweep_to_fill: 431.645 total_dollar: 21582.5 total_drift: 0.12496378910776 total_filled: 50 total_sent: 50 total_vol: 3.8506487989608 worst_opt_t_minutes: 0.19584602547757
2024-04-16 02:10:13	ENQ	SIM:NQM4	Sell	25	-0.1600	-3.4600	17,852.2500	17,853.7500	17,852.4100	17,848.9500	Diagnostics Diagnostics algo_status: 4 arrival_price: 17852.25 avg_total: 17852.41 curr_cost_per_share: 1.0357142857143 curr_half_min_move: 1.1777941780155 curr_liq_cost: 14.5 curr_opt_t_minutes: 0.70866572171917 daily_vol_normal: 112.03161160057 destination_price: 17853.75 drift: -0.087219462405173 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.98214285714286 init_drift: 0 init_half_min_move: 1.9647411590478 init_liq_cost: 13.75 init_min_duration: 0 init_opt_t_minutes: 0.24988410891383 init_vol_normal: 186.88589444122 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: 0 mbo_max: 1 mbo_min: 1 model_size: 0 n_kids: 22 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 10 slip_toler: 0 slippage: -0.15999999999985 slippage_sweep: -3.4599999999991 sweep_residual: 11 sweep_to_fill: 17848.95 total_dollar: 446310.25 total_drift: 2.746307950493 total_filled: 25 total_sent: 25 total_vol: 319.44570603332 worst_opt_t_minutes: 0.40361569274399
2024-04-16 02:10:00	ENQ	SIM:NQM4	Buy	25	-1.8550	-4.5300	17,855.1250	17,851.7500	17,853.2700	17,857.8000	Diagnostics Diagnostics algo_status: 4 arrival_price: 17855.125 avg_total: 17853.27 curr_cost_per_share: 1.0909090909091 curr_half_min_move: 1.177082403064 curr_liq_cost: 12 curr_opt_t_minutes: 0.91335822879675 daily_vol_normal: 111.96390767028 destination_price: 17851.75 drift: -0.068719968379522 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.99264705882353 init_drift: 0 init_half_min_move: 1.9650575690708 init_liq_cost: 16.875 init_min_duration: 0 init_opt_t_minutes: 0.255175611359 init_vol_normal: 186.91599131677 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: 0 mbo_max: 2 mbo_min: 1 model_size: 0 n_kids: 17 order_time_minutes: 10 pov_agg_limit: 14 ready: 1 seconds_spent: 6 slip_toler: 0 slippage: -1.8549999999996 slippage_sweep: -4.5299999999988 sweep_residual: 8 sweep_to_fill: 17857.8 total_dollar: 446331.75 total_drift: 2.7467502272568 total_filled: 25 total_sent: 25 total_vol: 319.49715088789 worst_opt_t_minutes: 0
2024-04-16 02:09:03	EP	SIM:ESM4	Sell	50	-0.2850	-0.6150	5,094.8750	5,095.3750	5,095.1600	5,094.5450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5094.875 avg_total: 5095.16 curr_cost_per_share: 0.46 curr_half_min_move: 0.34727091228378 curr_liq_cost: 23 curr_opt_t_minutes: 1.6748835341721 daily_vol_normal: 33.032358871652 destination_price: 5095.375 drift: -0.020986812688344 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.33 init_drift: 0 init_half_min_move: 0.56071983154525 init_liq_cost: 16.5 init_min_duration: 0 init_opt_t_minutes: 0.34636663209245 init_vol_normal: 53.335589152136 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: 0 mbo_max: 2 mbo_min: 1 model_size: 0 n_kids: 11 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 4 slip_toler: 0 slippage: -0.28499999999985 slippage_sweep: -0.61499999999978 sweep_residual: 0 sweep_to_fill: 5094.545 total_dollar: 254758 total_drift: -2.620306989616 total_filled: 50 total_sent: 50 total_vol: 75.31024903755 worst_opt_t_minutes: 0
2024-04-16 02:08:38	EP	SIM:ESM4	Buy	50	-0.2850	-0.5900	5,096.3750	5,095.6250	5,096.0900	5,096.6800	Diagnostics Diagnostics algo_status: 4 arrival_price: 5096.375 avg_total: 5096.09 curr_cost_per_share: 0.315 curr_half_min_move: 0.34664633223446 curr_liq_cost: 15.75 curr_opt_t_minutes: 0.89904646884681 daily_vol_normal: 32.972948907836 destination_price: 5095.625 drift: -0.027739215862527 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.305 init_drift: 0 init_half_min_move: 0.56088491503549 init_liq_cost: 15.25 init_min_duration: 0 init_opt_t_minutes: 0.29570056817653 init_vol_normal: 53.351291869814 last_aggressive_qty: 12 last_tactical_qty: 2 level_tactical_limit: 0 mbo_max: 3 mbo_min: 1 model_size: 0 n_kids: 8 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 12 slip_toler: 0 slippage: -0.28499999999985 slippage_sweep: -0.59000000000015 sweep_residual: 0 sweep_to_fill: 5096.68 total_dollar: 254804.5 total_drift: -2.6210784433777 total_filled: 50 total_sent: 50 total_vol: 75.332421391838 worst_opt_t_minutes: 2.2775736956471
2024-04-16 02:07:45	CLE	SIM:CLK4	Sell	50	-0.0144	-0.0312	85.7150	85.7350	85.7294	85.6982	Diagnostics Diagnostics algo_status: 4 arrival_price: 85.715 avg_total: 85.7294 curr_cost_per_share: 0.02119999999999 curr_half_min_move: 0.0093759952440245 curr_liq_cost: 1.0599999999995 curr_opt_t_minutes: 5.1729626210639 daily_vol_normal: 0.8918433094288 destination_price: 85.735 drift: 0.0002502719153955 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.016800000000011 init_drift: 0 init_half_min_move: 0.0094334209104053 init_liq_cost: 0.84000000000057 init_min_duration: 0 init_opt_t_minutes: 3.1716126260083 init_vol_normal: 0.8973056304964 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: 0 mbo_max: 1 mbo_min: 1 model_size: 0 n_kids: 19 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 6 slip_toler: 0 slippage: -0.014399999999995 slippage_sweep: -0.031200000000013 sweep_residual: 0 sweep_to_fill: 85.6982 total_dollar: 4286.47 total_drift: 0.28099988291769 total_filled: 50 total_sent: 50 total_vol: 1.6535530900238 worst_opt_t_minutes: 10
2024-04-16 02:06:46	CLE	SIM:CLK4	Buy	50	0.0914	0.0742	85.6550	85.7400	85.7464	85.6722	Diagnostics Diagnostics algo_status: 4 arrival_price: 85.655 avg_total: 85.7464 curr_cost_per_share: 0.016599999999999 curr_half_min_move: 0.0093545557900874 curr_liq_cost: 0.82999999999996 curr_opt_t_minutes: 3.0884032362629 daily_vol_normal: 0.88980399167596 destination_price: 85.74 drift: 0.00031989089276765 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.017199999999997 init_drift: 0 init_half_min_move: 0.0094268175707959 init_liq_cost: 0.85999999999986 init_min_duration: 0 init_opt_t_minutes: 3.3290988333072 init_vol_normal: 0.8966775217893 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: 0 mbo_max: 1 mbo_min: 1 model_size: 1 n_kids: 50 order_time_minutes: 10 pov_agg_limit: 1 ready: 1 seconds_spent: 259 slip_toler: 0 slippage: 0.091400000000036 slippage_sweep: 0.074200000000033 sweep_residual: 0 sweep_to_fill: 85.6722 total_dollar: 4287.32 total_drift: 0.2808031846388 total_filled: 50 total_sent: 50 total_vol: 1.6523956125064 worst_opt_t_minutes: 0
2024-04-16 02:00:13	TYA	SIM:ZNM4	Sell	200	-0.0065	-0.0143	107.8203	107.8281	107.8268	107.8125	Diagnostics Diagnostics algo_status: 4 arrival_price: 107.8203125 avg_total: 107.826796875 curr_cost_per_share: 0.015625 curr_half_min_move: 0.0075124632838225 curr_liq_cost: 3.125 curr_opt_t_minutes: 5.8421591064983 daily_vol_normal: 0.71458441932088 destination_price: 107.828125 drift: 0.0053132471201913 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.011866235670582 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.43346508541547 init_vol_normal: 1.1287146180731 last_aggressive_qty: last_tactical_qty: 86 level_tactical_limit: 93 mbo_max: 106 mbo_min: 11 model_size: 0 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 21 slip_toler: 0 slippage: -0.0064843749999994 slippage_sweep: -0.014296874999999 sweep_residual: 0 sweep_to_fill: 107.8125 total_dollar: 21565.359375 total_drift: 0.14834076303403 total_filled: 200 total_sent: 200 total_vol: 0.59448132245852 worst_opt_t_minutes: 10
2024-04-16 01:56:25	TYA	SIM:ZNM4	Buy	200	-0.0065	-0.0143	107.8359	107.8359	107.8295	107.8438	Diagnostics Diagnostics algo_status: 4 arrival_price: 107.8359375 avg_total: 107.829453125 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0073831139942065 curr_liq_cost: 1.5625 curr_opt_t_minutes: 0.64624156138497 daily_vol_normal: 0.70228073362982 destination_price: 107.8359375 drift: 0.0034388494204801 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.011867955290272 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.43333947976982 init_vol_normal: 1.1288781880489 last_aggressive_qty: last_tactical_qty: 82 level_tactical_limit: 39 mbo_max: 97 mbo_min: 10 model_size: 78 n_kids: 6 order_time_minutes: 10 pov_agg_limit: 0 ready: 1 seconds_spent: 83 slip_toler: 0 slippage: -0.0064843749999994 slippage_sweep: -0.014296874999999 sweep_residual: 0 sweep_to_fill: 107.84375 total_dollar: 21565.890625 total_drift: 0.14836226013758 total_filled: 200 total_sent: 200 total_vol: 0.59456747292914 worst_opt_t_minutes: 0
2024-04-16 01:53:57	ZCE	SIM:ZCN4	Sell	50	-0.1250	-0.2500	443.6250	443.8750	443.7500	443.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 443.625 avg_total: 443.75 curr_cost_per_share: 0.125 curr_half_min_move: 0.034412159161231 curr_liq_cost: 6.25 curr_opt_t_minutes: 10 daily_vol_normal: 3.2732795945585 destination_price: 443.875 drift: -0.026512204059664 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.048823442237398 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.5548572003658 init_vol_normal: 4.6440787531817 last_aggressive_qty: last_tactical_qty: 11 level_tactical_limit: 0 mbo_max: 13 mbo_min: 6 model_size: 1 n_kids: 6 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 480 slip_toler: 0 slippage: -0.125 slippage_sweep: -0.25 sweep_residual: 0 sweep_to_fill: 443.5 total_dollar: 22187.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 3.4183896767974 worst_opt_t_minutes: 10
2024-04-16 01:43:41	ZCE	SIM:ZCN4	Buy	50	0.2300	-0.0200	443.7500	443.6250	443.9800	444.0000	Diagnostics Diagnostics algo_status: 4 arrival_price: 443.75 avg_total: 443.98 curr_cost_per_share: 0.125 curr_half_min_move: 0.033377442631664 curr_liq_cost: 6.25 curr_opt_t_minutes: 10 daily_vol_normal: 3.1748575081524 destination_price: 443.625 drift: -0.023858702704234 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.25 init_drift: 0 init_half_min_move: 0.048837199194918 init_liq_cost: 12.5 init_min_duration: 0 init_opt_t_minutes: 26.204659372774 init_vol_normal: 4.6453873129881 last_aggressive_qty: last_tactical_qty: 39 level_tactical_limit: 3 mbo_max: 50 mbo_min: 16 model_size: 0 n_kids: 2 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 153 slip_toler: 0 slippage: 0.23000000000002 slippage_sweep: -0.019999999999982 sweep_residual: 0 sweep_to_fill: 444 total_dollar: 22199 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 3.4193528747903 worst_opt_t_minutes: 10
2024-04-16 01:39:50	ENQ	SIM:NQM4	Sell	25	-1.2050	-2.3850	17,841.8750	17,844.6250	17,843.0800	17,840.6950	Diagnostics Diagnostics algo_status: 4 arrival_price: 17841.875 avg_total: 17843.08 curr_cost_per_share: 1.0986842105263 curr_half_min_move: 1.0905462419371 curr_liq_cost: 20.875 curr_opt_t_minutes: 0.96211343244706 daily_vol_normal: 103.7326005593 destination_price: 17844.625 drift: -0.05750001884981 economic_model: 0 has_mbo: 1 impact_model: 0 init_cost_per_share: 0.96875 init_drift: 0 init_half_min_move: 1.9635993315737 init_liq_cost: 23.25 init_min_duration: 0 init_opt_t_minutes: 0.24339837803975 init_vol_normal: 186.77728397729 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: 0 mbo_max: 1 mbo_min: 1 model_size: 0 n_kids: 19 order_time_minutes: 10 pov_agg_limit: 0 ready: 1 seconds_spent: 27 slip_toler: 0 slippage: -1.2050000000017 slippage_sweep: -2.385000000002 sweep_residual: 1 sweep_to_fill: 17840.695 total_dollar: 446077 total_drift: 2.7447119082582 total_filled: 25 total_sent: 25 total_vol: 319.26005721034 worst_opt_t_minutes: 0.43141803192746