Basic Spot Iceberg Buying with Timed Partial Orders

Summary

This short example demonstrates a basic iceberg-style spot buying method. It records the initial account balance and asset holdings, then repeatedly submits a small buy order at the current ask while the accumulated purchase remains below the requested total. Each order is left open for a configurable interval and then canceled if still active. When the target amount is nearly reached, the program calculates an average cost from the change in balance and holdings.

The document provides parameters for total quantity, clip size, and order duration, but no backtest, execution analysis, or market-impact measurements. Its claim that splitting orders can reduce market impact is an intended rationale, not an evidenced result here. The example is deliberately simple: it does not describe price limits, partial-fill edge cases, fees, slippage, minimum order constraints, or robust handling of account changes. Its main value is illustrating order slicing and timed cancellation as an introductory execution technique.

Key ideas

• A target purchase is divided into smaller spot buy orders.
• Each child order uses the current ask and is canceled after a configurable wait if it remains open.
• The process tracks asset holdings against the initial account to estimate completed quantity.
• Average cost is inferred from the balance change divided by the holdings change.
• The example gives no evidence about realized market impact or execution quality.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.