Optimal order placement in limit order markets
AdvancedHFTIntradayTheoryFree to readTestable with your data
How to split an order across venues and between limit and market orders given fill probabilities. A blueprint for a smart order router.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- HFT, Intraday
- Data needed
- L2 depth (every update) Set what data you have
- Themes
- Execution
- Assets
- Equities
- Market
- Global