Execution Algorithms for Order Slicing, Price Triggers, and Spread Hedging

Summary

This guide explains execution algorithms that divide large orders, react to market prices, and adjust positions on a grid or across a spread. It describes time-weighted execution, iceberg orders, a tick-driven sniper approach, conditional orders, and best-limit quoting. A time-weighted example schedules repeated orders and only submits when the top of book meets a specified price condition; the other examples specify when orders are placed, cancelled, or sized using remaining quantity and displayed liquidity.

The grid method maps the gap between market and target prices into position increments, while a spread method trades an active leg and hedges the passive leg. The guide also outlines an engine, reusable templates, example algorithms, and monitoring controls. It provides implementation logic rather than performance evidence. Results depend on market data, order handling, and execution conditions; the examples do not establish profitability, and the spread excerpt is incomplete.

Key ideas

• Time-weighted execution spreads a target quantity across intervals and applies a limit-price condition.
• Iceberg and sniper methods expose only part of the desired quantity or size orders against displayed top-of-book liquidity.
• Conditional orders trigger after a price threshold is crossed, while best-limit orders track the current bid or ask.
• A grid converts price distance into target position changes and uses different rounding for buys and sells.
• Spread execution can hedge passive legs and cap active-leg exposure with a maximum position.

Tags

From a private course collection; the original is not published.