All Questions
Tagged with liquidity order-execution
3 questions
1
vote
0
answers
117
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Settlement/Spot/(bid ask spread) ratio
Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size.
I'm looking for a function such as ...
- 111
8
votes
3
answers
1k
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Papers and algorithms on bidding schemes for best order execution?
I'm building an automated option trading bot that executes common options multi-leg strategies (straddles, spreads) and I want to learn the best way to execute my orders.
As you know, the bid-ask ...
- 131
2
votes
2
answers
1k
views
Liquidity seeking algorithms open source implementation
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.
- 1,404