Smart Order Routing

Top-of-book quotes say what the first unit costs. Depth says what the whole order costs. The router reads the full visible book on every venue, estimates the hidden and refreshing liquidity behind it from recent fills, and computes the expected cost of taking a given size from each venue at that moment. Orders go where the expected all-in cost is lowest, and are re-routed as books change.

For orders too large to fill at once without impact, the router schedules execution over a window, participating at a fraction of observed volume and adjusting to conditions. Passive orders capture spread when the market comes to them; aggressive orders take liquidity when urgency demands. Human traders set the urgency and the participation ceiling. The system works within them.

Every execution is measured against its arrival price, the mid-market when the order was received, and against the routing decision that produced it. The result is a slippage number per order, per venue and per algorithm. That number is reviewed post-trade and fed back into routing parameters. Execution quality is a metric, not an impression.