Broker
Smart Order Routing
Fee-aware net-price optimization
Algorithm
- Query all connected venues for quotes
- Calculate net price (price + fees + spread)
- Route to venue with best net execution
- Split large orders across venues (VWAP)
Execution Strategies
| Strategy | Description |
|---|---|
| Best Price | Route to single best venue |
| VWAP | Split across venues weighted by volume |
| TWAP | Time-weighted execution over period |
| Iceberg | Hide large order size |