Abstract: In a realistic market,order execution delay is a popular phenomenon,and has not attracted the at tention of researchers during the study of optimal trading strategy.In the framework of Polimenis,this paper studies the institution investor's optimal strategy of breaking a block,and whose profit from price misevaluation in the face of order execution delay.Finally,numerical example is given and sensitivity of coefficients is analyzed.Results show that the institution investor's profit and liquidity cost are affected by market liquidity and depth,the degree of breaking,risk aversion,and misevaluation.

Key words: order execution delay, trading strategy, liquidity cost