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Order Execution is addressing the way to interact optimally with other market participants.

Order Execution is addressing the way to interact optimally with other market participants.

  • in Limit Orderbook, the challenge is when to insert, cancel, reassess an order in the book? at which limit price? and when to decide to cross the bid-ask spread and pay for immediacy (and certainty) of execution?
  • in request for quote markets, the problem is asymmetric for the liquidity providers (who can take into account the expected toxicity of the clients, since she knows them by name, or ID) and for liquidity consumers (who challenges a limited number of dealers to get good actionable quotes).

Here are a few reference papers: