Smart Order Router

Description

An implementation of a cross-border, multi-venue (lit & dark) SOR that makes latency adjustments such that child orders arrive at different venues at the same time.

Project Components

• Consolidated Order Book for Order Sweeping
• Probabilistic Model for Order Posting
• FIX 4.2 Gateway for sending single orders and receiving rejects and executions
• FX Service for calculating best execution across international venues

High-Level Diagram

Research Notes

https://pdfs.semanticscholar.org/be6a/9d7dfd3d4e95a7f7632f5c5181361bba5f8d.pdf

http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.190.3057

http://qes.bmo.com/papers/17_BMO_SmartOrderRouters.pdf