Class CrbRouter

java.lang.Object

com.quantfinlib.crb.CrbRouter

public final class CrbRouter
extends Object

The central risk book's order router — internal cross first, dark pools second, lit last, each leg priced at its expected all-in cost:

• Internal — crossing against the book's own offsetting inventory costs zero bps and leaks nothing: the CRB itself is the firm's first and best dark pool. Capped at the crossable inventory the caller reports;
• Dark pools: midpoint fills pay no spread, but a venue whose fills systematically fade is not free. Each venue carries an adverse-selection charge in bps (a post-fill markout estimate, which VenueScorecard produces), and expected liquidity is discounted by fill probability. A dark venue is only used while its charge undercuts the lit cost;
• Lit: pays the half spread plus expected impact, but fills. Whatever the dark legs are not expected to fill routes lit as well; hedges that might fill are not hedges.

Allocation is greedy by expected cost, deterministic, allocation only at decision time (arrays sized to the venue count). Research/ warm lane; the caller owns the venue statistics and their accuracy.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	CrbRouter.Allocation	Where the notional went.
static final record	CrbRouter.DarkVenue	A dark venue as the router sees it.

Method Summary

Modifier and Type	Method	Description
static CrbRouter.Allocation	route(double notional, double crossableInternal, CrbRouter.DarkVenue[] venues, double halfSpreadBps, double impactBps)	Routes notional (positive, in book-currency units).

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

route

public static CrbRouter.Allocation route(double notional,
 double crossableInternal,
 CrbRouter.DarkVenue[] venues,
 double halfSpreadBps,
 double impactBps)

Routes notional (positive, in book-currency units).

Parameters:

notional - amount to execute, > 0

crossableInternal - offsetting book inventory available to cross against, ≥ 0

venues - dark venues with their measured statistics

halfSpreadBps - lit half spread, > 0

impactBps - expected lit impact for this size, ≥ 0 (a KylesLambda estimate slots in)