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
2024-06-12 05:59:10	CLE	SIM:CLN4	Sell	50	0.0162	0.0046	78.8450	78.8250	78.8288	78.8334	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.845 avg_total: 78.8288 curr_cost_per_share: 0.01079999999999 curr_half_min_move: 0.0097556782640024 curr_liq_cost: 0.53999999999951 curr_opt_t_minutes: 3.8582330200245 daily_vol_normal: 0.92795870328918 destination_price: 78.825 drift: 0.02000000000001 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.011600000000004 init_drift: 0 init_half_min_move: 0.0086773385251229 init_liq_cost: 0.58000000000018 init_min_duration: 0 init_opt_t_minutes: 1.7870754841146 init_vol_normal: 0.82538718353251 last_aggressive_qty: 1 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: 82 slip_toler: 0 slippage: 0.016200000000012 slippage_sweep: 0.0046000000000106 sweep_residual: 0 sweep_to_fill: 78.8334 total_dollar: 3941.44 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.89617599691487 worst_opt_t_minutes: 1.3140238750018
2024-06-12 05:57:38	CLE	SIM:CLN4	Buy	50	-0.0034	-0.0202	78.8650	78.8550	78.8616	78.8818	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.865 avg_total: 78.8616 curr_cost_per_share: 0.010400000000005 curr_half_min_move: 0.0097421296452752 curr_liq_cost: 0.52000000000024 curr_opt_t_minutes: 0.10663256888604 daily_vol_normal: 0.92666996063846 destination_price: 78.855 drift: 0.010000000000005 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.016800000000001 init_drift: 0 init_half_min_move: 0.008679539638326 init_liq_cost: 0.84000000000007 init_min_duration: 0 init_opt_t_minutes: 3.7464952104152 init_vol_normal: 0.82559655310154 last_aggressive_qty: 4 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 4 n_kids: 21 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 46 slip_toler: 0 slippage: -0.0033999999999565 slippage_sweep: -0.02019999999996 sweep_residual: 0 sweep_to_fill: 78.8818 total_dollar: 3943.08 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.89640332293349 worst_opt_t_minutes: 1.2178733396958
2024-06-12 05:53:52	TYA	SIM:ZNU4	Sell	200	-0.0078	-0.0156	109.5391	109.5547	109.5469	109.5313	Diagnostics Diagnostics algo_status: 4 arrival_price: 109.5390625 avg_total: 109.546875 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0010669224677346 curr_liq_cost: 1.5625 curr_opt_t_minutes: 0 daily_vol_normal: 0.10148551057925 destination_price: 109.5546875 drift: -0.015625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.012055393836478 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.41996902013351 init_vol_normal: 1.1467073154121 last_aggressive_qty: 181 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 181 n_kids: 20 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 47 slip_toler: 0 slippage: -0.0078125 slippage_sweep: -0.015625 sweep_residual: 0 sweep_to_fill: 109.53125 total_dollar: 21909.375 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.10243569605642 worst_opt_t_minutes: 10
2024-06-12 05:42:46	TYA	SIM:ZNU4	Buy	200	-0.0062	-0.0140	109.5547	109.5391	109.5485	109.5625	Diagnostics Diagnostics algo_status: 4 arrival_price: 109.5546875 avg_total: 109.548515625 curr_cost_per_share: 0.0078125 curr_half_min_move: 0.0010719469805978 curr_liq_cost: 1.5625 curr_opt_t_minutes: 0 daily_vol_normal: 0.10196344151495 destination_price: 109.5390625 drift: 0.015625 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0078125 init_drift: 0 init_half_min_move: 0.012057113456168 init_liq_cost: 1.5625 init_min_duration: 0 init_opt_t_minutes: 0.4198492343326 init_vol_normal: 1.1468708853879 last_aggressive_qty: 113 last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 113 n_kids: 23 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 56 slip_toler: 0 slippage: -0.0061718750000068 slippage_sweep: -0.013984375000007 sweep_residual: 0 sweep_to_fill: 109.5625 total_dollar: 21909.703125 total_drift: 0 total_filled: 200 total_sent: 200 total_vol: 0.10245030780966 worst_opt_t_minutes: 10
2024-06-12 05:41:19	ZCE	SIM:ZCN4	Sell	50	0.2550	0.1300	452.6250	452.1250	452.3700	452.5000	Diagnostics Diagnostics algo_status: 4 arrival_price: 452.625 avg_total: 452.37 curr_cost_per_share: 0.125 curr_half_min_move: 0.037197089648372 curr_liq_cost: 6.25 curr_opt_t_minutes: 10 daily_vol_normal: 3.5381817790774 destination_price: 452.125 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.049813943178816 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.2967751280214 init_vol_normal: 4.7382950592479 last_aggressive_qty: last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 50 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 586 slip_toler: 0 slippage: 0.255 slippage_sweep: 0.13 sweep_residual: 0 sweep_to_fill: 452.5 total_dollar: 22618.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 3.5754717318219 worst_opt_t_minutes: 10
2024-06-12 05:31:03	ZCE	SIM:ZCN4	Buy	50	0.0650	-0.0600	452.6250	452.6250	452.6900	452.7500	Diagnostics Diagnostics algo_status: 4 arrival_price: 452.625 avg_total: 452.69 curr_cost_per_share: 0.195 curr_half_min_move: 0.037589120867181 curr_liq_cost: 9.75 curr_opt_t_minutes: 10 daily_vol_normal: 3.5754717318219 destination_price: 452.625 drift: 0 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.125 init_drift: 0 init_half_min_move: 0.049813943178816 init_liq_cost: 6.25 init_min_duration: 0 init_opt_t_minutes: 6.2967751280214 init_vol_normal: 4.7382950592479 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 50 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 586 slip_toler: 0 slippage: 0.064999999999998 slippage_sweep: -0.060000000000002 sweep_residual: 0 sweep_to_fill: 452.75 total_dollar: 22634.5 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 3.5754717318219 worst_opt_t_minutes: 10
2024-06-12 05:20:13	ENQ	SIM:NQM4	Buy	25	0.1600	-0.8059	19,269.7500	19,269.2500	19,269.9100	19,270.7159	Diagnostics Diagnostics algo_status: 4 arrival_price: 19269.75 avg_total: 19269.91 curr_cost_per_share: 0.71875 curr_half_min_move: 0.29088248976923 curr_liq_cost: 11.5 curr_opt_t_minutes: 2.1098920772886 daily_vol_normal: 27.668700290351 destination_price: 19269.25 drift: 0.5 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.96590909090909 init_drift: 0 init_half_min_move: 2.1207450573212 init_liq_cost: 21.25 init_min_duration: 0 init_opt_t_minutes: 0.20744146943249 init_vol_normal: 201.72496264666 last_aggressive_qty: 2 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 87 slip_toler: 0 slippage: 0.15999999999985 slippage_sweep: -0.80590909090824 sweep_residual: 3 sweep_to_fill: 19270.715909091 total_dollar: 481747.75 total_drift: 0 total_filled: 25 total_sent: 25 total_vol: 32.995170495532 worst_opt_t_minutes: 4.2933601622756
2024-06-12 05:16:21	EP	SIM:ESM4	Sell	50	-0.1100	-0.2400	5,389.8750	5,390.1250	5,389.9850	5,389.7450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5389.875 avg_total: 5389.985 curr_cost_per_share: 0.24 curr_half_min_move: 0.08466197930784 curr_liq_cost: 12 curr_opt_t_minutes: 0 daily_vol_normal: 8.0530352078428 destination_price: 5390.125 drift: -0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.13 init_drift: 0 init_half_min_move: 0.59318625129173 init_liq_cost: 6.5 init_min_duration: 0 init_opt_t_minutes: 0.048029111386143 init_vol_normal: 56.423790295419 last_aggressive_qty: 5 last_tactical_qty: 3 level_tactical_limit: mbo_max: mbo_min: model_size: 5 n_kids: 9 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 26 slip_toler: 0 slippage: -0.10999999999967 slippage_sweep: -0.23999999999978 sweep_residual: 0 sweep_to_fill: 5389.745 total_dollar: 269499.25 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 8.8369043877061 worst_opt_t_minutes: 6.6736669857168
2024-06-12 05:15:51	EP	SIM:ESM4	Buy	50	-0.0850	-0.3200	5,390.1250	5,389.8750	5,390.0400	5,390.3600	Diagnostics Diagnostics algo_status: 4 arrival_price: 5390.125 avg_total: 5390.04 curr_cost_per_share: 0.255 curr_half_min_move: 0.085090813719079 curr_liq_cost: 12.75 curr_opt_t_minutes: 0.61710814731487 daily_vol_normal: 8.09382587492 destination_price: 5389.875 drift: 0.25 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.235 init_drift: 0 init_half_min_move: 0.59321376520677 init_liq_cost: 11.75 init_min_duration: 0 init_opt_t_minutes: 0.15693264134687 init_vol_normal: 56.426407415032 last_aggressive_qty: 22 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 22 n_kids: 13 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 60 slip_toler: 0 slippage: -0.085000000000036 slippage_sweep: -0.31999999999971 sweep_residual: 0 sweep_to_fill: 5390.36 total_dollar: 269502 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 8.8373142721834 worst_opt_t_minutes: 7.5332455213419
2024-06-12 05:13:40	CLE	SIM:CLN4	Sell	50	0.0066	-0.0088	78.8000	78.7950	78.7934	78.7846	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.8 avg_total: 78.7934 curr_cost_per_share: 0.010199999999991 curr_half_min_move: 0.0092341492392435 curr_liq_cost: 0.50999999999954 curr_opt_t_minutes: 1.844673813821 daily_vol_normal: 0.87835093800147 destination_price: 78.795 drift: 0.0050000000000097 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.0154 init_drift: 0 init_half_min_move: 0.0086723860204158 init_liq_cost: 0.77000000000001 init_min_duration: 0 init_opt_t_minutes: 3.1532923723724 init_vol_normal: 0.82491610200218 last_aggressive_qty: 1 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 34 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 76 slip_toler: 0 slippage: 0.0065999999999917 slippage_sweep: -0.0088000000000079 sweep_residual: 0 sweep_to_fill: 78.7846 total_dollar: 3939.67 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.89566451337297 worst_opt_t_minutes: 1.1734159001558
2024-06-12 05:10:21	CLE	SIM:CLN4	Buy	50	0.0074	-0.0080	78.7450	78.7750	78.7524	78.7604	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.745 avg_total: 78.7524 curr_cost_per_share: 0.012799999999988 curr_half_min_move: 0.009201342505651 curr_liq_cost: 0.63999999999942 curr_opt_t_minutes: 7.3745758991989 daily_vol_normal: 0.87523036625446 destination_price: 78.775 drift: -0.030000000000001 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.015399999999988 init_drift: 0 init_half_min_move: 0.0086663329591071 init_liq_cost: 0.76999999999941 init_min_duration: 0 init_opt_t_minutes: 3.1576987892209 init_vol_normal: 0.82434033568733 last_aggressive_qty: last_tactical_qty: 6 level_tactical_limit: mbo_max: mbo_min: model_size: 6 n_kids: 17 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 117 slip_toler: 0 slippage: 0.0073999999999899 slippage_sweep: -0.0079999999999956 sweep_residual: 0 sweep_to_fill: 78.7604 total_dollar: 3937.62 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.89503936682175 worst_opt_t_minutes: 1.8504528550757
2024-06-12 03:59:50	CLE	SIM:CLN4	Buy	50	0.0244	0.0108	78.6250	78.6450	78.6494	78.6386	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.625 avg_total: 78.6494 curr_cost_per_share: 0.011599999999999 curr_half_min_move: 0.0089329142330841 curr_liq_cost: 0.57999999999994 curr_opt_t_minutes: 5.0285977383405 daily_vol_normal: 0.84969750785173 destination_price: 78.645 drift: -0.019999999999996 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.013599999999999 init_drift: 0 init_half_min_move: 0.0086531262798882 init_liq_cost: 0.67999999999994 init_min_duration: 0 init_opt_t_minutes: 2.4701978160643 init_vol_normal: 0.82308411827311 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 1 n_kids: 30 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 102 slip_toler: 0 slippage: 0.024400000000028 slippage_sweep: 0.010800000000032 sweep_residual: 0 sweep_to_fill: 78.6386 total_dollar: 3932.47 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.86005197625364 worst_opt_t_minutes: 1.6459208344031
2024-06-12 03:53:07	EP	SIM:ESM4	Buy	50	0.5700	0.3500	5,387.6250	5,389.3750	5,388.1950	5,387.8450	Diagnostics Diagnostics algo_status: 4 arrival_price: 5387.625 avg_total: 5388.195 curr_cost_per_share: 0.245 curr_half_min_move: 0.19688058467511 curr_liq_cost: 12.25 curr_opt_t_minutes: 10 daily_vol_normal: 18.727252694676 destination_price: 5389.375 drift: -1.75 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.22 init_drift: 0 init_half_min_move: 0.59293862605638 init_liq_cost: 11 init_min_duration: 0 init_opt_t_minutes: 0.13766574084242 init_vol_normal: 56.400236218902 last_aggressive_qty: 1 last_tactical_qty: 1 level_tactical_limit: mbo_max: mbo_min: model_size: 0 n_kids: 29 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 586 slip_toler: 0 slippage: 0.56999999999971 slippage_sweep: 0.34999999999945 sweep_residual: 0 sweep_to_fill: 5387.845 total_dollar: 269409.75 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 1.9859261706634 worst_opt_t_minutes: 10
2024-06-12 03:41:17	CLE	SIM:CLN4	Sell	50	0.0512	0.0390	78.5700	78.5550	78.5188	78.5578	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.57 avg_total: 78.5188 curr_cost_per_share: 0.011600000000013 curr_half_min_move: 0.0086548140192448 curr_liq_cost: 0.58000000000065 curr_opt_t_minutes: 4.3836818370238 daily_vol_normal: 0.82324465579623 destination_price: 78.555 drift: 0.014999999999986 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.012199999999992 init_drift: 0 init_half_min_move: 0.0086470732185796 init_liq_cost: 0.6099999999996 init_min_duration: 0 init_opt_t_minutes: 1.9905880320267 init_vol_normal: 0.82250835195826 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 30 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 120 slip_toler: 0 slippage: 0.05119999999998 slippage_sweep: 0.038999999999987 sweep_residual: 0 sweep_to_fill: 78.5578 total_dollar: 3925.94 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.85945035006993 worst_opt_t_minutes: 1.6482259720028
2024-06-12 03:38:13	CLE	SIM:CLN4	Buy	50	-0.0128	-0.0290	78.6050	78.5850	78.5922	78.6212	Diagnostics Diagnostics algo_status: 4 arrival_price: 78.605 avg_total: 78.5922 curr_cost_per_share: 0.018600000000002 curr_half_min_move: 0.0085767954224235 curr_liq_cost: 0.93000000000012 curr_opt_t_minutes: 0 daily_vol_normal: 0.81582353816816 destination_price: 78.585 drift: 0.019999999999996 economic_model: 0 has_mbo: impact_model: 2 init_cost_per_share: 0.016200000000003 init_drift: 0 init_half_min_move: 0.0086509251666851 init_liq_cost: 0.81000000000016 init_min_duration: 0 init_opt_t_minutes: 3.5067509118896 init_vol_normal: 0.82287474870407 last_aggressive_qty: 2 last_tactical_qty: 2 level_tactical_limit: mbo_max: mbo_min: model_size: 2 n_kids: 12 order_time_minutes: 10 pov_agg_limit: ready: 1 seconds_spent: 27 slip_toler: 0 slippage: -0.012799999999984 slippage_sweep: -0.028999999999982 sweep_residual: 0 sweep_to_fill: 78.6212 total_dollar: 3929.61 total_drift: 0 total_filled: 50 total_sent: 50 total_vol: 0.85983320309593 worst_opt_t_minutes: 4.2338924857458

CQG Execution Technologies

Arrival Price

CQG Algos

Metrics

Impact Model: MBO

Payup Model: Theo Queue

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