Iceberg Buy Orders with Price Limits and Order Repricing

Summary

This execution method divides a large spot-market purchase into smaller buy orders. The trader sets a total budget, an average child-order size, a size variation, a price depth below the best bid, and a maximum purchase price. After a child order fills, the process submits another while budget remains. If the latest trade moves above the outstanding order price by more than a set multiple of the depth, the order is canceled and repriced. Buying pauses when the calculated limit price exceeds the maximum, and the process ends when the budget is spent or the remaining order would fall below the minimum trade size.

The document also describes retry and polling intervals and checks for sufficient account balance before starting. This is an execution utility, not a directional trading signal: it does not estimate fair value or demonstrate reduced market impact. The source restricts use to spot markets, and no backtest or execution-quality evidence is provided. Order-book changes, partial fills, fees, and actual market impact could affect results.

Key ideas

• The method slices a target spot purchase into smaller orders with randomized sizes around a configured average.
• Child orders are priced below the best bid and repriced after a sufficiently large upward move in the latest trade.
• A maximum buy price and total budget constrain execution, while a minimum trade size can stop further orders.
• The document provides execution logic but no evidence that it reduces market impact or improves fill quality.

Tags

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