Smart Order Routing

The Smart Order Router (SOR) finds the best execution venue for every order by polling all connected providers in parallel and ranking them by net execution price.

How It Works

Parallel venue polling -- Query all registered providers simultaneously for the symbol's current quote (bid/ask/spread).
Net-price ranking -- For each venue, calculate the effective price including taker fees: net_price = ask_price * (1 + taker_fee_bps / 10000) for buys, net_price = bid_price * (1 - taker_fee_bps / 10000) for sells. Lower score wins for buys; higher score wins for sells.
VWAP split algorithm -- For large orders, the router distributes quantity across venues weighted inversely by score. Better-priced venues receive more volume. The last leg gets the remainder to avoid rounding issues.

Route Endpoints

Method	Path	Description
GET	`/v1/route/{symbol}`	Best venues for a symbol, ranked by net price
GET	`/v1/route/{symbol}/{quote}`	Best venues for a pair (e.g. BTC/USD)
GET	`/v1/route/{symbol}/split`	VWAP split plan for a symbol
GET	`/v1/route/{symbol}/{quote}/split`	VWAP split plan for a pair
POST	`/v1/smart-order`	Execute order via best venue
POST	`/v1/smart-order/split`	Execute split order across venues

Route Result

Each venue in the route response includes:

{
  "provider": "binance",
  "symbol": "BTC/USD",
  "bid_price": 42150.00,
  "ask_price": 42155.00,
  "spread": 5.00,
  "spread_bps": 1.19,
  "maker_fee_bps": 10,
  "taker_fee_bps": 10,
  "net_price": 42197.16,
  "score": 42197.16
}

Split Plan Structure

The split plan distributes volume across venues based on price quality:

{
  "symbol": "BTC/USD",
  "side": "buy",
  "total_qty": "10.00000000",
  "algorithm": "split",
  "legs": [
    {
      "provider": "binance",
      "qty": "6.50000000",
      "estimated_price": 42155.00,
      "estimated_fee": 27.40,
      "bid_price": 42150.00,
      "ask_price": 42155.00
    },
    {
      "provider": "kraken",
      "qty": "3.50000000",
      "estimated_price": 42160.00,
      "estimated_fee": 38.35,
      "bid_price": 42145.00,
      "ask_price": 42160.00
    }
  ],
  "estimated_vwap": 42156.75,
  "estimated_fees": 65.75,
  "estimated_net": 42163.33,
  "savings_vs_single_venue": 2.15
}

The savings_vs_single_venue field shows how many basis points the split saves compared to sending the entire order to the worst venue.

Execution Result

After executing a split, the response includes per-leg fill details:

{
  "plan_id": "exec_1710000000000000000",
  "symbol": "BTC/USD",
  "side": "buy",
  "algorithm": "split",
  "total_qty": "10.00000000",
  "filled_qty": "10.00000000",
  "vwap": 42157.50,
  "legs": [
    {
      "provider": "binance",
      "order_id": "ord_abc123",
      "qty": "6.50000000",
      "filled_qty": "6.50000000",
      "price": 42155.00,
      "status": "filled",
      "latency": "45ms"
    }
  ],
  "status": "filled",
  "latency": "120ms"
}

Execution status is filled if all legs fill, partial if some legs fill, or failed if no legs fill. All legs execute in parallel for minimum latency.