High frequency trading holds a rapidly growing

interest both for researchers and financial investment entities.

Finding better order execution rates is an intriguing problem.

For brokers trading large orders, the effect of order size and the

market’s trend and volatility are crucial for order scheduling.

The cumulated order quantity of these institutional traders

usually represents a big proportion of the daily trading volume,

requiring sophisticated order splitting mechanisms to reduce

market impact. This paper proposes a new framework for high

frequency order execution using a novel way of momentum

analysis which makes use of fuzzy logic reasoning mechanisms.

The suggested order placement algorithm also considers the