A lot of academic and theoretical works have been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an order through time (optimal trade scheduling”) and space (“smart order routing”) is of high interest for practitioners because of the increasing complexity of the market micro structure since recent evolutions of regulations and liquidity worldwide. This article is translating in quantitative terms these regulatory issues and more broadly the current market design.
It confronts the recent advances in optimal trading, order-book simulation and optimal liquidity seeking to the reality of trading in an emerging global network of liquidity.