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Most institutional brokers, and certainly prime brokers, offer a range of automated execution strategies. You can check out the list of algos supported by IB to get started. The basic algos split large orders into smaller order with randomized quantities executed at random intervals to reduce the impact and to avoid detection. Also keep in mind that iceberg, ...

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To Anyone else looking for a base model to go off on, I was not able to incorporate the more high level (market risk, political risk), etc I was looking for. However, Trafigura does publish their value at risk model (VaR) for a single transaction: https://www.trafigura.com/media/1490/2014_trafigura_the_economics_of_commodity_trading_firms_section_iii_english....

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Besides taking the suggested reading materials above and skimming them for help, I have been in commodity markets probably 15 years. I can tell you that there are NO commodity risk programs I've found that will answer your questions we all have as quants. The typical quant will invent their own method combining concepts from the financial markets which are ...

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If you have access to intraday data, they are better ways to estimate the bid-ask spread. If you have Open, High, Low and Close price on each 5min bin $b$ (or any other interval): the Close of the previous bin and the Open of this one are consecutive. Hence $dP(b)=C(b-1)-O(b)$ allows to define an estimate $\psi(b)$ of the bid-ask spread \psi(b):=\min_{b:\, ...

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