Hot answers tagged order-execution
IBPy + IB Gateway + TWS and you can send order to any interactive brokers, how to setup
My 3 points for you: Earlier checks like pre-compliance checks for orders are usually performed. Three different types of orders are correctly recognized - i.e. proposed orders but not routed, submitted orders and waiting for acknowledgement. When an order is added to the submitted queue, it should go through compliance checks and then be added orders ...
To slice up an order you can use several execution strategies. TWAP which will execute small slices of your order over a time period VWAP which will spread your order over time and try to minimize slippage against the vwap benchmark for a given instrument POV which will split your order up into smaller chunks and attempt to keep your order filled as a ...
Most of the big players offer a suite of execution algorithms for big orders, as seen in this listing from Credit Suisse. Very generally speaking, the algorithms will have a pedigree going back to volume weighted average pricing schedules, or perhaps to the famous paper by Almgren and Chriss. They have various modifications, including use of "unusual" ...
You might find something useful here: Is there a standard model for market impact? And Here's a decent paper about the cost impact on equities: http://www.cims.nyu.edu/~almgren/papers/costestim.pdf I would have added this as a comment but I don't have enough reputation
To start with the simplest model maybe you could start by googling "Kyle's Lambda" and proceed from there.
This is probably a nice paper you should refer to: Yogo, Koijen (2015) (link). They estimate an asset pricing model which endogenizes the price impact of large trades. It is a quite hard paper to grasp, so probably you do not want to start here, but is still one of the main references.
I agree that it is important to correct your question in that you are seeing actual trades and not orders. Near the opening you are likely seeing the crossing of the opening Spins of NYSE and Nasdaq. You will see the same occur after the close with the closing NYSE Exchange spin. During the day it is also possible that large prints are the flip out of an ...
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