Tutorial 4: Order Execution with ETTO
Order Execution
Formally, OE is to trade fixed amount of shares within a predetermined time horizon (e.g., one hour or one day). At each time step 𝑡 , traders can propose to trade a quantity of 𝑞𝑡 ≥ 0 shares at current market price 𝑝𝑡 , The matching system will then return the execution results at time 𝑡 + 1. Taking the sell side as an example, assuming a total of Q shares required to be executed during the whole time horizon, the OE task can be formulated as:
OE not only completes the liquidation requirement but also the maximize/minimize average execution price for the sell/buy side execution respectively.
ETEO
ETEO is an end-to-end adaptive framework for optimal trade execution based on Proximal Policy Optimization (PPO).Two methods to account for the time dependencies in the market data based on two different neural networksarchitecture: 1) Long short-term memory (LSTM) networks, 2) Fully-connected networks (FCN) by stacking the most recent limit order book (LOB) information as model inputs. The proposed framework can make trade execution decisions based on level-2 limit order book (LOB) information such as bid/ask prices and volumes directly without manually designed attributes as in previous research.
Notebook and Script
In this notebook, we implement the training and testing process of ETEO based on the TradeMaster framework.
And this is the script for training and testing.