Sizing and Spacing Orders Across a Target Price Interval

Summary

The document addresses how to place several orders when a trading target is expressed as a price interval rather than a single price. Its proposed approach first sets the number of orders according to the capital allocated to the decision and the minimum order size. It then divides the interval into equal price steps and assigns order prices across that range.

A worked example uses an interval from 16.91 to 16.97 and illustrates calculating a step size for twenty orders. The answer also suggests concentrating orders at price points considered likely hotspots, but it does not explain how to identify those points or reconcile that suggestion with equal spacing. The method is a simple execution heuristic, not an optimization supported by evidence: it does not account for fees, tick sizes, changing liquidity, fill probabilities, or the risk of orders executing unevenly. Traders would need to adapt the sizing and placement rules to their instrument and execution constraints.

Key ideas

• The order count can be tied to the capital allocated and the minimum permitted order size.
• Equal spacing can be calculated by dividing the target interval width by the chosen number of orders.
• The answer suggests favoring price hotspots but does not define how to identify them.
• The example omits execution conditions such as tick size, fees, and fill likelihood.

Tags

# Implementing Orders with Interval Estimates


# Implementing Orders with Interval Estimates












There's a better chance that stock price reaches an interval, say between \$16.91 and \$16.97, then a single price, say \$16.95. Hence, I generate an interval for a target price, instead of a single price.

Since there are multiple target prices in the interval, you'll need n target orders. You can't generate an order for each price in the interval as that would be too many.

What's the optimal value for n, and what should be each order's price?

## Answer by Svisstack (score 1, accepted)

https://quant.stackexchange.com/a/9378

Optimal value of n should be calculated based on how much amount you want to invest in that decision, that can be for example 200 000 of base currency, and minimum order size is 10 000 of base currency then you should have 200 000 / 10 000 = 20 orders in my opinion that are targeted at hotspots where is most single price points inside interval.

EDIT: When you have one target interval, I suggest split price range by orders amount.

When you want target interval: .

$$ lr = 16.91; rr = 16.97; n = 20; $$

$$ r = rr - lr = 16.97 - 16.91 = 0.06 $$

$$ step = r / n = 0.06 / 20 = 0.003 $$

$$ Order [Idx] =Idx * step + lr $$

$$ eg. Order [2] = 2 * 0.003 + lr = 16.916 $$

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