Spot Iceberg Selling with Price-Offset and Repricing Rules
Summary
This document describes a spot selling tool that breaks a large target quantity into smaller orders. Each order is sized around a configurable average, with a random variation, and priced as an offset from the current best ask. The tool waits for an order to fill before placing the next one. If the latest trade moves sufficiently far below the outstanding order price, it cancels and reprices; it also pauses selling below a specified minimum price and resumes when the market recovers above it.
The published parameters include total quantity, average order size, variation, price depth, minimum sale price, polling interval, and minimum trade size. The implementation checks that the account holds enough assets and restricts use to spot markets. No execution results, market impact measurements, or comparison with alternative execution methods are provided. The approach depends on exchange order handling and live liquidity, and its repricing and pause thresholds require calibration to the asset and market conditions.
Key ideas
- The tool divides a target spot sale into sequential smaller orders with randomized sizes around a configured average.
- It prices each order relative to the current best ask using a configurable offset.
- An unfilled order is canceled and replaced when the latest trade moves beyond a specified distance from its price.
- Selling pauses below a minimum price and resumes after the market rises above that threshold.
- The document describes implementation rules but offers no measured evidence about execution quality or market impact.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.