Looking for advice on best algorithms for order execution. I am writing software to enter my orders obviously. Once I determine to enter or exit a position I simply want the most efficient executions, on average, over a large number of trades. The obvious first approach is to break an order into small chunks, sit on the bid or ask, and then move very slowly if the market moves away. The algorithm you suggest will obviously be a function of things like very recent volume, price, spread, size that must be filled, NBBO sizes, etc. If you have no clue what I am talking about and don't know what an algorithm is then please do not respond. I am NOT looking for these things: 1) The many simple order entry algos at places like IB 2) General answers such as, "Just hit the bid and find the dark liquidity!" 3) An answer that derives from zero experience with efficient order executions Thank you!