Smart Order Routing and Best Execution

Parent order to venue scoring, child routing, fill aggregation, and TCA evidence

Smart Order Routing and Best Execution Parent order to venue scoring, child routing, fill aggregation, and TCA evidence 01 / Order Handling 02 / Lit Venue 03 / SOR Engine 04 / Dark Venue 05 / Fill Aggregation 06 / Best-Ex Evidence EX / Re-route Intake + slice Score + route Execute + prove Parent Order · buy 500k · Order Handling › Intake + slice Parent Order buy 500k Slice Order · VWAP/POV plan · Order Handling › Intake + slice Slice Order VWAP/POV plan Score · price/fee/fill · SOR Engine › Score + route · ranking Score price/fee/fill ranking Route Child · limit + IOC · SOR Engine › Score + route · SOR Route Child limit + IOC SOR Lit Exchange · displayed book · Lit Venue › Execute + prove Lit Exchange displayed book Dark Pool · midpoint match · Dark Venue › Execute + prove Dark Pool midpoint match Aggregate · avg px + qty · Fill Aggregation › Execute + prove Aggregate avg px + qty TCA · arrival/VWAP/IS · Best-Ex Evidence › Execute + prove · best-ex TCA arrival/VWAP/IS best-ex Re-route · residual order · Re-route › Execute + prove Re-route residual order post-trade reject re-slice Legend User UI Agent logic Policy Tool action Context / trace

One Happy Path

  • • Every venue is scored on price, liquidity, fee, latency, and fill probability
  • • The parent is sliced into scheduled child orders before anything is sent
  • • A fill is complete only once aggregated into one average price

Recovery Paths

  • • Partial fills return a residual to be re-sliced and re-routed
  • • A venue reject or timeout retries without losing the order
  • • No child order silently disappears

Best-Ex Evidence

  • • TCA benchmarks fills against arrival price, VWAP, and shortfall
  • • Routing decisions are retained per child order
  • • Best execution is proven, not assumed