Routing and Venue Selection
Routing distributes orders across venues whose prices, fees, queues, latency, fill quality, and rules differ.
Central questions
- Which displayed quantity is reachable before it changes?
- How are fill probability and adverse selection estimated per venue?
- What obligations or protections constrain routing?
Planned model
Route one parent order across venues with different depth, fees, delays, and toxicity. Show expected and realized net outcomes.