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mizhael
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Posts: 623
Joined: September 25th, 2005, 4:46 pm

Any pointers to smart order splitting algo?

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!
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Any pointers to smart order splitting algo?

February 18th, 2011, 10:36 am

Don't have experience with this myself but was asking similar questions a while back and it was suggested that I should take a look at some of the brokers equity research databases but I haven't had time.Might have some luck if you look in there.
 
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RBradley
Posts: 4
Joined: March 23rd, 2009, 6:06 pm

Any pointers to smart order splitting algo?

February 18th, 2011, 11:49 am

This paper discusses using fuzzy momentum analysis for HFT order routing. Might not be what you're looking for.http://www.iaeng.org/publication/WCE201 ... 52-357.pdf
 
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marcoaaguiar
Posts: 10
Joined: February 4th, 2011, 4:03 pm

Any pointers to smart order splitting algo?

February 20th, 2011, 6:17 pm

I'm reading the book "Algorithmic Trading and DMA", im in first pages but im pretty sure that it could answer some questions. Take look!
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Any pointers to smart order splitting algo?

February 20th, 2011, 10:11 pm

QuoteOriginally posted by: marcoaaguiarI'm reading the book "Algorithmic Trading and DMA", im in first pages but im pretty sure that it could answer some questions. Take look!It doesn't cover order routing in any detail only at a rather high level.