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.
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.
I can't post comments yet, so I will put it here. The second link to the answer above does not work. Can anyone provide the reference to the iceberg chasing paper by Almgren?