How to execute a large futures order?

I am currently trading futures products on some contracts that have low volumes. More accurately, the volumes of working orders in the book are fairly light. I am trying to execute a relatively large order that could move the market. I would like to break the order up to prevent this but I am unsure of the best algorithm to do it. I know there are iceberg orders but is there any other way to do this?

Answer

You are correct that large orders should be algorithmically broken-up. Perhaps the most straightforward algo is the VWAP (volume-weighted average price), which most brokers offer. Since a VWAP is easy to compute, the trading details are often transparent to the user.

There are more sophisticated algos, like Arrival Price, though not every broker offers these. Here's a list of common broker algos.

In general, refrain from submitting a standard market order for a large number of contracts and you should be alright.