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Are there any free online liquidity seeking algorithms? Possible an open source implementation? Not looking for anything state-of-the-art, but just to get an idea how they work.

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up vote 4 down vote accepted

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work.

There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.

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