Liquidity Seeking Algorithms and Order Allocation Research

Summary

The document points readers seeking an open source liquidity seeking algorithm toward research on splitting orders across liquidity pools with a stochastic algorithm. It presents this paper as a way to learn the theoretical mechanics of liquidity seeking. It also recommends Robert Almgren’s work on iceberg chasing as informative background on how an algorithm can respond to displayed or replenishing liquidity.

The material is a short reference exchange rather than a tutorial or implementation. It gives no algorithm details, code, performance evidence, or comparison of approaches, and the follow-up notes that a cited reference was unavailable. As a result, it helps identify topics and sources for further study but does not provide a runnable strategy or enough information to assess how either approach behaves under particular market conditions. Readers would need to locate the underlying research and evaluate its assumptions, venue model, and execution costs before applying the ideas.

Key ideas

• Order splitting across liquidity pools is one theoretical approach to liquidity seeking.
• A stochastic algorithm framework is cited as a source for studying this approach.
• Iceberg chasing is suggested as related research on responding to hidden or replenishing liquidity.
• The document provides references rather than algorithm specifications or an open source implementation.
• The cited materials’ assumptions and practical execution performance are not evaluated.

Tags

# Liquidity seeking algorithms open source implementation


# Liquidity seeking algorithms open source implementation












Are there any free online liquidity seeking algorithms? Possible an open source implementation? Not looking for anything state-of-the-art, but just to get an idea how they work.

## Answer by lehalle (score 5, accepted)

https://quant.stackexchange.com/a/9969

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work.

There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.

## Answer by python_enthusiast (score 1)

https://quant.stackexchange.com/a/35624

I can't post comments yet, so I will put it here. The second link to the answer above does not work. Can anyone provide the reference to the iceberg chasing paper by Almgren?

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