Iginla2011

hey bromion, good to see you around.

i can help you on the execution front, but need more detail. (you have my email so feel free to hit me up there if you can't share detail here.) would you be trading a significant portion of ADV? are you taking or providing liquidity? are you willing to trade in dark pools? what kind of holding period are you talking (seconds, minutes, months, etc.)?

as you probably know, most PBs have sell-side VWAP-like algos and/or smart order routing. if not, familiarize yourself with those terms. their algos would probably do better than your own naive trading, unless you are not trading much volume (no market impact) or looking to foster execution expertise within your firm (non-trivial for sure).

perhaps a good place to start is Durbin's book "All About High Frequency Trading". it's technical but pretty accessible, and he's got pretty good credentials. (he's a former Citadel options HFT guy.) it's also only $15.