I had a few questions about how to properly execute a large order of crypto currency without moving the price much.
I know a lot of funds employ a TWAP/VWAP algorithm to liquidate or purchase a large number of shares. But I am not sure if this would work in an HFT style setting.
What I am trying to do is this.
Say I have 100 BCH (bitcoin cash) and I want to sell it at the best price I can, without moving the price much in a short amount of time (under 5 mins). If I was to market sell this, I would walk the book massively and the price would fluctuate very largely due to this. Now If I was to space orders out, it wouldn't affect price much but I'm not sure if I would get the right price.
I am trying to figure out a formula to calculate the optimal timing between orders, the size of the orders, and total time of execution.
I am leaning towards a model I found that uses the theory of stochastic optimal control to do this, however I am not quite sure how to implement this into python.
I have access to live feeds of both executed trades, and the orderbook.
Any help with this would be much appreciated.