Module algorithm 

Execution algorithm infrastructure for order slicing and execution optimization.

This module provides the ExecutionAlgorithm trait and supporting infrastructure for implementing algorithms like TWAP (Time-Weighted Average Price) and VWAP (Volume-Weighted Average Price) that slice large orders into smaller child orders.

Architecture

Execution algorithms extend [DataActor] (not Strategy) because:

• They don’t own positions (the parent Strategy does).
• Spawned orders carry the parent Strategy’s ID, not the algorithm’s ID.
• They act as order processors/transformers, not position managers.

Order Flow

1. A Strategy submits an order with exec_algorithm_id set.
2. The order is routed to the algorithm’s {id}.execute endpoint.
3. The algorithm receives the order via on_order().
4. The algorithm spawns child orders using spawn_market(), spawn_limit(), etc.
5. Spawned orders are submitted through the RiskEngine.
6. The algorithm receives fill events and manages remaining quantity.

Re-exports

pub use core::ExecutionAlgorithmCore;

pub use config::ExecutionAlgorithmConfig;

pub use twap::TwapAlgorithm;

pub use twap::TwapAlgorithmConfig;

Modules

config

Configuration for execution algorithms.

core

Core component for execution algorithms.

twap

Time-Weighted Average Price (TWAP) execution algorithm.

Traits

ExecutionAlgorithm

Core trait for implementing execution algorithms in NautilusTrader.