February 18th, 2011, 2:58 am
Any pointers to smart order splitting algo?Lets say you are executing one share (I am making it simple to discuss), you goal is to get the best possible price but you have to complete executing this one share within a time window... how do you do it?Of course, you should be conservative, and keep a limit order passively waiting for it to be hit...It's not only about how much chance you will get it hit, but also about the question of to wait or not to wait...------------------------------------------Moreover, now if you want to execute N shares, how do you do that optimally? I know people talking about TWAP, VWAP, etc.But suppose according to TWAP or VWAP, you come down to the sub-interval level and you have to execute 5 shares within 3 seconds... What's the best way to do those 5 shares in 3 seconds? I mean, even under the TWAP or VWAP framework, you still have to get the best execution result for micro-number of shares... what's the best way to do that?Thank you!