execution-algo-trading

Skill: Execution Algo Trading | Domain: trading | Category: execution | Level: advanced Tags: trading, execution, twap, vwap, iceberg, algo

Execution Algorithm Trading Skill

Overview

Implements institutional-grade execution algorithms used by buy-side desks to minimise market impact and transaction costs when executing large orders.

Python Module

xtrading/skills/execution_algo.py

Stack

• numpy — Numerical computations, binomial tree, random generation
• pandas — VWAP calculation, fill data management
• scipy — Statistical computations