  This paper investigates the impact of anonymous trading on the agents'
strategy in an optimal execution framework. It mainly explores the specificity
of order attribution on the Toronto Stock Exchange, where brokers can choose to
either trade with their own identity or under a generic anonymous code that is
common to all the brokers. We formulate a stochastic differential game for the
optimal execution problem of a population of $N$ brokers and incorporate
permanent and temporary price impacts for both the identity-revealed and
anonymous trading processes. We then formulate the limiting mean-field game of
controls with common noise and obtain a solution in closed-form via the
probabilistic approach for the Almgren-Chris price impact framework. Finally,
we perform a sensitivity analysis to explore the impact of the model parameters
on the optimal strategy.
