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.
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2 Answers
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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.
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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?
answered Aug 15, 2017 at 15:03
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1$\begingroup$ complexevents.com/wp-content/uploads/2008/09/… $\endgroup$ Commented Aug 15, 2017 at 15:07