A venue ranking orders the venues by the expected cost of routing a share there, from the fill probability the router has measured on its own orders, the fee, and the cost of what does not fill.
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
A venue ranking orders the venues by the expected cost of routing a share there, from the fill probability the router has measured on its own orders, the fee, and the cost of what does not fill.