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Snake Algorithm


A trading algorithm that combines displayed liquidity (lit liquidity) and non-displayed liquidity (dark liquidity) with aggressive and passive strategies. This means that the algorithm places quickly marketable orders as soon as a security of the market at large deviate from trends. This algorithm actively interacts with lit liquidity as long as the market remains within range. Otherwise, it uses dark pools to probe for dark liquidity when the market slips out of range.

Electronic traders employ snake algorithm for static or illiquid instruments with a wide bid-ask spread, or when execution is need irrespective of current market price. The algorithm uses a set of parameters: start time, end time, minimum acceptable quantity (MAQ), and limit. For example, minimum acceptable quantity can be engaged to avoid unwanted fills.



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