Best order execution Algorithm

FreeGoldRush said:
That's a neat idea but option spreads are too costly.
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I guess by "spreads" you mean the Bid/Ask spreads, or do you rather mean option strategy spreads like Bull Call Spread, Bear Put Spread etc.?

Since for example your buy order means to buy the stock, then there is not much difference in doing this via options, ie. buying a Call. Options are normally not intended for short time-frames, ie. your hold period should not be too short, but I think this is already the case from your description.
With options you can control your risk much better than with stocks, of course if done right.
 
Those are some good quality questions. People ask about ~same stuff every now and then but guys who have figured this out are either not here or not gonna respond. Rob (@globalarbtrader) posted about his experiments for futures in his blog. I haven't seen anything worthy for equities.

Judging by the way you formulated the question - you have likely already surpassed what's in a public domain.

Val
 
FreeGoldRush said:
The bid/ask spread. Trading options just comes at too high of a cost.
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IMO such big stock investments should be done by using "Cash Secured Options" (ie. Cash Covered Short Put Options) as by this one gets the stocks cheaper. Ie. this means you have to modify your strategy a little bit for this. The general idea is as follows: you think in the long term the stock will go higher, but at the moment it looks like it will go down for a short time. And exactly for this scenario is the CSP strategy intended for: one gets the desired stock cheaper, otherwise one got paid for the time being (ie. the credit aka premium one has earned when writing (short selling) the Put). IMO a brilliant strategy if you are sure longterm the stock will rise. See for example this video:
Beware: in the 2nd part of the video he explains another strategy called "Covered Call".
See also for example this text: https://www.optionsplaybook.com/rookies-corner/cash-secured-puts/
 
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I don’t see how you can accomplish your goal without having level2 data, Colo, and fast DMA. Maybe best bet is to find a broker that allows you to use algos provided by the exchanges plus dark pools. You can’t have SOR without good full depth data, imho.
 
qlai said:
I don’t see how you can accomplish your goal without having level2 data, Colo, and fast DMA. Maybe best bet is to find a broker that allows you to use algos provided by the exchanges plus dark pools. You can’t have SOR without good full depth data, imho.
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This has nothing to do with trading fast, looking at lit liquidity or probing dark pools. The point of the thread is to suggest an optimal algorithm, not ask a broker for one.

So far no one has even proposed an algorithm yet the point of the thread was to talk ideas on the design of the algorithm. lol. It's pretty clear that anyone who has their own test data on this subject isn't willing to share.
 
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