[wolframhempel]

Yeah - I've been toying with a similar approach in my banking days. Basically, we've used "Genetic Programming" (very pompous term) to optimize order routing to minimize slippage (the difference between the expected price of a trade and the actual executed price).

Basically, you create a "population" out of possible placement strategies for orders. You then cycle through "generations" that quickly adapt to the changing market conditions.

Ultimately, you end up with something that - on average - provides execution closer to the target price than traditional, more static strategies. But the problem for us was that the outliers where really far out. Basically, if it got it wrong, it got it really wrong and you were often stuck with a set of half executed orders that had to be cleaned up manually.