Definition
Slicing (Order)
Slicing is the breaking of a large parent order into many smaller child orders released over time, the core technique by which execution algorithms reduce market impact and conceal size.
Rather than dumping a large order at once, an Indian execution algo slices it according to a schedule (TWAP, VWAP) or a participation target (POV), feeding child orders into the market so the price is not pushed adversely. Disclosed quantity iceberg orders are a simple exchange-native form of slicing.
The slicing logic balances market impact against timing risk: slicing too finely may not finish in time, while slicing too coarsely moves the price. Adaptive algos adjust slice size and aggression in real time based on liquidity, spread and volatility.
Related terms
- Execution AlgorithmAn execution algorithm is a program that works a large parent order into many smaller child orders over time to minimise market impact and achieve a target benchmark such as VWAP or the arrival price.
- Percentage of Volume (POV)Percentage of Volume, also called participation rate, is an execution algorithm that keeps the order's trading volume at a fixed percentage of the market's total volume until the order is filled.
- Market ImpactMarket impact is the adverse price movement caused by the act of trading itself, where a large buy pushes the price up and a large sell pushes it down as the order consumes available liquidity.
- Disclosed Quantity (Iceberg Order)Disclosed quantity, the basis of an iceberg order, shows only a portion of a large order to the market at a time, hiding the full size to reduce market impact and information leakage.
Plain-English explainer from The Dispatch Investors Encyclopedia. General information, not financial advice.