Class SmartOrderRouter

java.lang.Object

com.quantfinlib.execution.SmartOrderRouter

public final class SmartOrderRouter
extends Object

Smart Order Router: splits a marketable order across venues to minimize the all-in (fee-adjusted) execution price, respecting each venue's displayed/estimated size. Dark venues price at their midpoint; with preferDark they are swept first regardless of ranking (to minimize information leakage), otherwise every venue competes purely on all-in price.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	SmartOrderRouter.RouteLeg	One child order of the routing plan.
static final record	SmartOrderRouter.RoutingPlan

Method Summary

Modifier and Type	Method	Description
static SmartOrderRouter.RoutingPlan	route(Side side, long quantity, List<VenueQuote> venues, boolean preferDark)
static SmartOrderRouter.RoutingPlan	route(Side side, long quantity, List<VenueQuote> venues, boolean preferDark, double limitPrice)	As route(Side, long, List, boolean), but skips any venue whose price would violate limitPrice (through-the-limit on the relevant side) — the double-price analogue of HftSor.route(Side, long, int, long[])'s limitTick.
static SmartOrderRouter.RoutingPlan	route(Side side, long quantity, List<VenueQuote> venues, boolean preferDark, double limitPrice, long nowNanos, long maxQuoteAgeNanos)	As route(Side, long, List, boolean, double), additionally excluding any venue whose quote is stale — the same treatment a NaN or zero-size venue already gets, mirroring HftSor.venueDown(int) as the way a dead/frozen feed is kept from receiving child orders.

Methods inherited from class Object

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

Method Details

route

public static SmartOrderRouter.RoutingPlan route(Side side,
 long quantity,
 List<VenueQuote> venues,
 boolean preferDark)

route

public static SmartOrderRouter.RoutingPlan route(Side side,
 long quantity,
 List<VenueQuote> venues,
 boolean preferDark,
 double limitPrice)

As route(Side, long, List, boolean), but skips any venue whose price would violate limitPrice (through-the-limit on the relevant side) — the double-price analogue of HftSor.route(Side, long, int, long[])'s limitTick.

Parameters:

limitPrice - worst acceptable raw (pre-fee) price; pass Double.POSITIVE_INFINITY (buy) / Double.NEGATIVE_INFINITY (sell) for pure market

route

public static SmartOrderRouter.RoutingPlan route(Side side,
 long quantity,
 List<VenueQuote> venues,
 boolean preferDark,
 double limitPrice,
 long nowNanos,
 long maxQuoteAgeNanos)

As route(Side, long, List, boolean, double), additionally excluding any venue whose quote is stale — the same treatment a NaN or zero-size venue already gets, mirroring HftSor.venueDown(int) as the way a dead/frozen feed is kept from receiving child orders.

Parameters:

nowNanos - current time, same clock as VenueQuote.lastUpdateNanos

maxQuoteAgeNanos - a venue is excluded when nowNanos - quote.lastUpdateNanos() > maxQuoteAgeNanos; pass Long.MAX_VALUE to disable the staleness check