Market microstructure knowledge needed to control an intra-day trading process

A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an or-der through time (‘optimal trade scheduling’) and space (‘smart order routing’) is of high interest to practitioners because of the increasing complexity of the mar-ket micro structure because of the evolution recently of regulations and liquidity worldwide. This chapter translates into quantitative terms these regulatory issues and, more broadly, current market design. It relates the recent advances in optimal trading, order-book simulation an