An execution algorithm (trade executing algorithm) that slices large orders (institutional size orders)- i.e., parent orders– into a sequence of smaller trades (child orders) to be executed over time. The child orders cover minute horizons over the time assigned to the parent order. However, this algorithm might reconsider a trade schedule based on the new market conditions.

The algorithm attempts to strike a balance between minimizing opportunity cost by trading quickly and minimizing market impact by trading carefully and slowly.