Patient algos and 'regret': The problem with passive
THE TRADE-OFF
It is well understood that the more patient you are willing to be, the cheaper on average
you can trade.
In return for this you must run some market risk: the market may drift further if you
take an hour to patiently work an order than if you push the same order through in ten
minutes.
Execution specialists who aim to reduce costs across a large portfolio of algo orders -
accepting market risk on individual orders - will therefore often opt to trade patiently.