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Quantitative Finance · المسرد

ما معنى Synchronised routing؟

Definition 18.4 Microstructure and Execution · الفصل 18 — Smart Order Routing

Synchronised routing delays each piece of a multi-venue order by the difference between its venue’s latency and the largest, so that all pieces arrive at their venues at about the same time and no fill can warn anyone before the last piece lands.

The race at each venue: when the router’s sprayed piece arrives, when the fast provider’s cancel arrives after its fill at A, and when a synchronised piece arrives. Every cancel beats the spray (at E the sprayed and synchronised pieces arrive together); none can beat the synchronised pieces. Data: mx_sor.race, from the latencies of the experiment.
Figure 18.1. The race at each venue: when the router’s sprayed piece arrives, when the fast provider’s cancel arrives after its fill at A, and when a synchronised piece arrives. Every cancel beats the spray (at E the sprayed and synchronised pieces arrive together); none can beat the synchronised pieces. Data: mx_sor.race, from the latencies of the experiment.
Fill ratio of a sweep of the five venues’ 2 500 displayed shares against the jitter of the router’s latencies: 100 trials per level in the simulated market with a fading fast provider. Data: mx_sor.sweep_study.
Figure 18.2. Fill ratio of a sweep of the five venues’ 2 500 displayed shares against the jitter of the router’s latencies: 100 trials per level in the simulated market with a fading fast provider. Data: mx_sor.sweep_study.
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