Iceberg Buy Orders with Price Limits and Repricing
Summary
The document describes an execution method for spreading a large buy across smaller limit orders. It sets each order near the current best bid, adjusted by a configurable depth, and varies order size around a chosen average. After an order fills, the process submits another until the target spend is reached. If the market moves sufficiently away from the resting order, it cancels and reprices; a maximum acceptable buy price can pause submissions until the market returns below that limit.
The accompanying example tracks account balances and open orders, checks minimum order size, and spaces retries with configurable intervals. It illustrates execution logic rather than a tested trading edge. Results will depend on exchange behavior, fees, liquidity, partial fills, and the price and timing rules. The document provides no backtest or live execution evidence, and its sample implementation should not be taken as proof that the approach reduces market impact in all conditions.
Key ideas
- An iceberg buy order divides a larger target purchase into smaller limit orders.
- Order price is set relative to the current best bid using a configurable depth.
- Order size varies around a configured average, and the process repeats after fills.
- The system cancels and reprices when the market moves sufficiently far from the resting order.
- A maximum buy price, minimum order size, and retry intervals constrain execution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.