Maintaining a Best Bid While Accumulating a Spot Position

Summary

This document outlines an order-placement plugin for gradually buying a target quantity of a spot asset while seeking to remain at the best bid. It checks account balances and market quotes repeatedly, cancels and replaces an outstanding order when the bid improves, and adjusts the remaining order size for the amount already filled. Its two listed controls are the total buy amount and the pause between checks. It also estimates average acquisition cost from the change in account balances when the target is complete.

The stated rationale is to accumulate gradually with lower market impact than taking liquidity at once. The supplied material is a short implementation description rather than a measured execution study: it gives no venue, sample, benchmark, or comparison of slippage. It does not discuss queue priority, partial fill risks, fees beyond noting that the cost estimate includes them, or what happens if the order cannot complete. Results and execution quality therefore remain unsubstantiated.

Key ideas

• The plugin repeatedly places the remaining target quantity at the current best bid.
• It cancels and replaces its order when the observed bid rises.
• The amount and polling interval are configurable, and the completion report estimates average cost from balance changes.
• The document gives no execution benchmark or evidence quantifying market impact.

Tags

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