SOR Decision Tree
Smart Order Routing is the brain of NDD execution. When an order arrives, the SOR doesn't simply send it to the first available LP. It runs a rapid evaluation across multiple dimensions to find the best execution venue. This decision tree shows the logic.
Step-by-Step Breakdown
Order Received
SOR receives a validated order with instrument, volume, direction, and any price constraints.
LP Price Check
Query all connected LPs for current best bid/offer and available depth for the requested instrument and volume.
Depth Evaluation
Filter LPs that have sufficient depth for the full order volume. LPs with insufficient depth may still be used for partial fills.
Price Ranking
Rank remaining LPs by best available price. Apply any volume-weighted scoring if the order needs to be split across venues.
Quality Score
Apply historical quality weights: fill ratio, average slippage, rejection rate, latency percentile. A cheap price from an unreliable LP may rank lower.
Route Decision
Send to the top-ranked LP (or split across top N if volume requires). Start cascade timer in case of rejection.
Key Insight
Unlike simple waterfall routing (try LP #1, if rejected try #2), SOR evaluates all venues simultaneously. This parallel evaluation is what makes SOR superior: it optimizes across price, depth, and reliability in a single decision cycle.