A parent order can be economically justified and still be implemented badly by concentrating demand in a thin interval or waiting until its forecast has expired. This lesson constructs time-weighted, predicted-volume and participation schedules, then supplies the child-order and residual policies that make those schedules operational. It builds on cost and capacity models and distinguishes a price benchmark from a trading algorithm.
Learning objectives. By the end of this note you should be able to:
- allocate a parent quantity by time and predicted volume;
- calculate participation under an explicit denominator;
- explain why realised future volume cannot be a live scheduling input;
- identify the execution instructions missing from a schedule;
- choose between schedules using urgency, liquidity and completion requirements.
In this lesson
- A schedule is an allocation rule
- VWAP benchmark and predicted-volume schedule
- Participation is feedback from activity
- The missing child-order policy
- Choosing for an economic objective
Before you start
The full lesson, with worked examples and exercise solutions, is for members.
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