Can someone shed some light on optimal ways to execute medium sized orders ~2000 shares in the market?
Unfortunately the execution algo I have access to is very dumb. It follows the top-of-book price and hence I can see that the algo I am using is getting gamed by some predatory algo. For example, if the spread is 2 cents wide, a tiny order (say 100 shares) comes in to tighten the spread to 1 cent and is immediately canceled. Meanwhile my order moves its price to be top-of-book, but then sits alone after the cancel. My order gets hit and the market price moves against me.
I switched over to using a TWAP / VWAP algo, but I want to get a better grasp of order execution. What rules should one follow to not get adversely selected or gamed like that?