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The dynamic programming approach that I am currently following is quite similar to Q-learning. The prices and quantities of a set of limit orders embody the action to be taken by the policy. The state in my execution algorithm is a vector of attributes that describe the current configuration...

Your strategy has a trading frequency which is on the same order of magnitude as mine. On average my system generates 38 round trip trades per instrument per day. It is my experience that at these frequencies, the quality of trade execution becomes important and can be a decisive factor for...

Thank you for posting about your automated trading system project. I am looking forward to reading about your experience in developing your trading system and about your live trading results. I have been slaving away on the development of a fully automated systematic intraday trading system...