Machine Learning For Limit-Order Routing in Cash Treasury Markets

June 12, 2018 - Cash Treasuries, unlike most of the products traded by QB, are available to trade on multiple venues. As a result, trades in cash Treasuries allow us to be opportunistic with respect to where we place our orders. In general, we should place our aggressive orders(orders intended to be filled immediately) so as to get the best price, and to minimize client transaction fees. Determining the appropriate venue for an aggressive order should thus be relatively simple. Passive orders (orders intended to rest in the book for sometime) on the other hand should be divided between venues in such a way as to maximize the expected passive fill quantity, presenting a more challenging problem. This report deals exclusively with the latter problem of placing passive orders on multiple venues.

Request the full whitepaper by filling out the form below.