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There's a better chance that stock price reaches an interval, say between \$16.91 and \$16.97, then a single price, say \$16.95. Hence, I generate an interval for a target price, instead of a single price.

Since there are multiple target prices in the interval, you'll need n target orders. You can't generate an order for each price in the interval as that would be too many.

What's the optimal value for n, and what should be each order's price?

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  • $\begingroup$ This is unclear to me. Can you provide more background/references? $\endgroup$ – Shane Nov 3 '13 at 19:52
  • $\begingroup$ See the edit please. $\endgroup$ – Tom Tucker Nov 3 '13 at 20:18
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Optimal value of n should be calculated based on how much amount you want to invest in that decision, that can be for example 200 000 of base currency, and minimum order size is 10 000 of base currency then you should have 200 000 / 10 000 = 20 orders in my opinion that are targeted at hotspots where is most single price points inside interval.

EDIT: When you have one target interval, I suggest split price range by orders amount.

When you want target interval: .

$$ lr = 16.91; rr = 16.97; n = 20; $$

$$ r = rr - lr = 16.97 - 16.91 = 0.06 $$

$$ step = r / n = 0.06 / 20 = 0.003 $$

$$ Order [Idx] =Idx * step + lr $$

$$ eg. Order [2] = 2 * 0.003 + lr = 16.916 $$

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  • $\begingroup$ Thanks. Could you elaborate on how to find 20 prices in your example? $\endgroup$ – Tom Tucker Nov 6 '13 at 21:49
  • $\begingroup$ @TomTucker: edit. $\endgroup$ – Svisstack Nov 7 '13 at 11:30

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