A Barebone Order Executor (w Code)
Last week we shared paper on trading costs.
We saw how important it was to account for costs, and the possibility of reducing transaction costs using passive orders that provide liquidity by sitting in the order book.
This week, we create a simple engine that executes this plan in Python using the asyncio framework. (Refer to code attachments in the paper)
Then in the coming weeks, we drastically improve this barebone implementation and build a library to add to our suite of quant toolkits that we have been developing. This will be made avaiable to our paid readers! Join us for the fun.