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Order slicing

Breaking a large order into smaller pieces over time or across venues to reduce signalling and market impact.

Slicing is the oldest idea in execution: do not show the market how much you have. Modern algos randomise slice size and timing precisely because predictable slices are easy to detect and trade ahead of.

A good slice schedule respects the stock's own rhythm, trading more when volume is naturally high and less in the lunchtime lull.

Example: 60,000 shares over six hours is 10,000 an hour if sliced flat. But if 30% of the day's volume trades in the first and last thirty minutes, a flat schedule makes you an unusually large share of midday flow — visible, and expensive. A volume-weighted schedule fixes this.

Related: child-order, twap-algo, vwap-algo, participation-rate, display-size

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