The problem of optimal execution of large orders over a finite interval of time is not new. Interested readers may review the risk-adjusted cost minimization approach introduced by Almgren and Chriss (2001).
Generally speaking, the trader faces the problem of optimal execution of large orders because of limited supply-demand liquidity in the market(s). If the order size is small enough there is no such a problem and the whole volume could be executed immediately.
One of the approaches used by traders is to split the original order into a sequence of orders of smaller sizes and execute them within a required time interval.
The Deltix Quantitative Research Team
Latest posts by The Deltix Quantitative Research Team (see all)
- Improving Order Execution in FX – Rethinking TCA - January 26, 2018
- Using Deltix for Trading Cryptocurrencies and Bitcoin Futures - December 11, 2017
- Advantages Of Recording Your Own Market Data - July 8, 2016