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Lists

  • In this example, Dynamic IS will consider the total of 150,000 shares of stock B across the three lists
  • Both Urgency and Volume Cap shares are calculated at the aggregate list level, ensuring against over-participation when a stock is present across multiple lists
  • Urgency level sets the level of aggressiveness in determining the number of shares to trade
  • Volume Cap constraint calculates the maximum number of shares to trade
  • High participation and price impact are minimized
  • Each sublist is independently optimized for risk minimization and dollar balance control

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