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OPTIMAL EQUITY ORDER EXECUTION: VEHICLE ROUTING PROBLEM WITH TIME WINDOWS INSPIRED MULTI-VENUE OPTIMIZATION FRAMEWORK

AUTHORS:
Sadika Thakur
Anam Nensey
Jalaj Sheth
Kiritimaan Khandelwal
Shreyas Nair
Sohum Sampat
Mentor
Affiliation
Anil Surendra Modi School of Commerce (ASMSOC), SVKM’s NMIMS, Mumbai, Maharashtra, India
DOI: 10.55041/ijsmt.v2i10.058
CC BY 4.0 License:
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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Abstract
Large institutional equity orders require simultaneous decisions regarding execution timing, venue allocation, liquidity, transaction costs and market impact. This paper develops a Vehicle Routing Problem with Time Windows (VRPTW) inspired optimization framework, integrating these decisions within a unified operations research model. The proposed model represents the execution horizon as a time expanded network in which child order execution units are allocated across trading venues and time periods subject to capacity, liquidity, time window and flow constraints. The objective function incorporates venue transaction costs, switching costs, a convex market impact component and a penalty for deviations from a target execution schedule. This study combines mathematical modeling and computational implementation in Python to evaluate the proposed framework and demonstrates how an operations research framework can integrate when to execute, where to execute and how much to execute within a single equity execution model.
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PUBLICATION DETAILS
Review Type:
Double-Blind Peer Review
License:
CC BY-NC 4.0
Volume/Issue:
Volume 02, Issue 10
Review Rounds:
2
Article Type:
Research Article
Publication Date:
Oct 12 2026
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Thakur, S., Nensey, A., Sheth, J., Khandelwal, K., Nair, S. & Sampat, S. (2026). Optimal Equity Order Execution: Vehicle Routing Problem with Time Windows Inspired Multi-Venue Optimization Framework. International Journal of Science, Strategic Management and Technology, 02(10), 1-9. https://doi.org/10.55041/ijsmt.v2i10.058

Thakur, Sadika, et al.. "Optimal Equity Order Execution: Vehicle Routing Problem with Time Windows Inspired Multi-Venue Optimization Framework." International Journal of Science, Strategic Management and Technology, vol. 02, no. 10, 2026, pp. 1-9. doi:https://doi.org/10.55041/ijsmt.v2i10.058.

Thakur, Sadika,Anam Nensey,Jalaj Sheth,Kiritimaan Khandelwal,Shreyas Nair, and Sohum Sampat. "Optimal Equity Order Execution: Vehicle Routing Problem with Time Windows Inspired Multi-Venue Optimization Framework." International Journal of Science, Strategic Management and Technology 02, no. 10 (2026): 1-9. https://doi.org/https://doi.org/10.55041/ijsmt.v2i10.058.

References
Almgren, R. (2003). Optimal execution with nonlinear impact functions and trading-enhanced risk.

Applied Mathematical Finance, 10(1), 1–18.

Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3(2), 5–40.

Almgren, R., Thum, C., Hauptmann, E., & Li, H. (2005). Direct estimation of equity market impact.

Risk, 18(7), 58–62.

Bertsimas, D., & Lo, A. W. (1998). Optimal control of execution costs. Journal of Financial Markets, 1(1), 1–50.

Bräysy, O., & Gendreau, M. (2005). Vehicle routing problem with time windows, Part I: Route construction and local search algorithms. Transportation Science, 39(1), 104–118.

Dantzig, G. B., & Ramser, J. H. (1959). The truck dispatching problem. Management Science, 6(1), 80–91.

Desrochers, M., Desrosiers, J., & Solomon, M. (1992). A new optimization algorithm for the vehicle routing problem with time windows. Operations Research, 40(2), 342–354.

Foucault, T., & Menkveld, A. J. (2008). Competition for order flow and smart order routing systems.

Journal of Finance, 63(1), 119–158.

Gould, M. D., Porter, M. A., Williams, S., McDonald, M., Fenn, D. J., & Howison, S. D. (2013). Limit order books. Quantitative Finance, 13(11), 1709–1742.
Ethics and Compliance
✓ All ethical standards met
This article has undergone plagiarism screening and double-blind peer review. Editorial policies have been followed. Authors retain copyright under CC BY-NC 4.0 license. The research complies with ethical standards and institutional guidelines.
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