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 honestly:

• 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 — VenueScorecard produces exactly this), 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 venue statistics and their honesty.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	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 java.lang.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 honest statistics

halfSpreadBps - lit half spread, > 0

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