The appearance of new trading destinations facilitates trading the same financial instrument simultaneously in different venues. To execute a large order, market participants may need to make decisions about how to split the order across multiple venues and at what prices to post the limit orders during the trading horizon to control the overall trade off between market impact and market risk. The decisions are influenced by traders' risk aversions and the micro-structural market impact. We adopt a similar quantitative model framework as in Avellaneda and Stoikov (2008) to study the optimal liquidation problem with limit and market orders across multiple venues. A two-point jump-diffusion model with fast mean-reverting stochastic volatility is employed to describe the dynamics of the underlying stock price. In the case of a single trading venue, we derive an optimal split between market and limit orders as well as the optimal quoting strategy for the orders posted to the limit order book. For the general case of multiple exchanges, we derive an optimal order allocation strategy characterized by different rebate rates, execution risks and micro-structural features.
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