Smart Routing and

Aggregation
 Smart Routing and Aggregation

Smart Routing and Aggregation

Terms and Definitions

Term Meaning

PT server A Protrader application server.

An interface between a PT server and a Liquidity Provider used for transferring

Route price and order messages.

A route splicing tool used for price aggregation, feed failover, order splitting,
Smart Route and custom instrument creation.

Price Aggregation The sorting of prices from multiple price feeds used for best price execution.

Switching from a redundant or stopped route to a route specified as second

Failover priority.

The separation of an initial order quantity into multiple fillable orders to be

Order Splitting executed on multiple routes, enabling each partial quantity to be executed at
the best possible price.
 Smart Routing and Aggregation

Introduction
The Smart Route is a part of the Protrader application and can be used by license holders on any PT server.
Smart Routes offer several possibilities for high-level aggregation and business process improvement. Below
are some of the most common advantages and features of the Smart Route technology.

Aggregation
The main feature of Smart Routing is the option to aggregate prices for best price execution. Aggregation
is an application function that works on any PT server by sorting prices from multiple LP connections and
presenting them to the End User in an ordered format.

Order Splitting
An optional addition to aggregation, order splitting can be used to break bulk orders into smaller tradable
orders across different Liquidity Providers. Order splitting can only work when aggregation is enabled.

STP Reporting
The non-standard Client Trade report is offered when using aggregation in order to keep track of order fills on
the Liquidity Provider side.

Failover
An alternate use of the Smart Route is for business continuity practices, such as ensuring 100% uptime of
a trade route. The failover function, known on the application level as UsePriority, enables automatic route
switching based on predefined parameters.

System Configuration
Routes
Price and trade routes must be properly configured in order to be added to the Smart Route. The following
parameters are required.

• Login – the login provided by the Liquidity Provider.

• Password – the password provided by the Liquidity Provider.
• SenderCompID – user ID associated with the FIX session.
• TargetCompID – Liquidity Provider ID associated with the FIX session.
• SocketConnectPort – socket port for session connection.
• SocketConnectHost – host IP in for format x.x.x.x or a domain name.
 Smart Routing and Aggregation

Order type and TIF matching

Trade routes added to the splicer need to support the same order types and TIFs. Before adding and
aggregating prices, common order types and TIFs must be chosen to avoid system malfunctions.
An example of this is shown below.

LP Connection Order Types Supported TIFs Supported Smart Route Supports

Route 1 Market, Limit Day, GTC

Route 2 Order Types:

Market, Limit, Stop Day
Market, Limit

TIFs:
Route 3 Market, Limit, Stop Day, GTC, GTD Day

Route 4 Market, Limit, Stop,

Day, GTC, GTD, FOK
Stop Limit

Limit orders
Several different possibilities exist for limit order types on the Smart Route. The limit order type can be used
for trading when it is supported by all Liquidity Providers on the aggregated Smart Route.

Aggregation with order splitting enabled, STP disabled.

Limit orders are kept on the PT server until completely filled or cancelled. They are sent as market orders to
the Liquidity Provider when the quoted price is equal or better than the order price.
This method, however, introduces the risk of slippage as the market order is being filled. The following
options exist to counteract negative slippage.

• Using a “previous quote” function. This applies to Liquidity Providers that support previous quote
functionality for FIX order execution. Order messages sent will include an additional FIX tag XX, which
guarantees execution of the order at the previously quoted price. See practical examples for more info.

• Sending limit orders with TIF “Fill or Kill.” This ensures that the market order sent will be filled at the
specified price or cancelled.

Aggregation with order splitting disabled, STP enabled.

Limit orders are sent directly to the Liquidity Provider which offering the best price for the full order amount.
The orders are filled on the Liquidity Provider side when the price can be met.
 Smart Routing and Aggregation

Practical examples
Order splitting
Order Splitting with conditions:
Market Resend Interval = M
Max Resend Attempts = N
Start

Market Order Buy 20

Price Size Source

10016 5 Route 2
10017 10 Route 4
Time interval = M

10018 15 Route 1
10019 20 Route 3

Orders filled

No
If Max Resend Attempts < N Yes
Fully filled? Order executed at VWAP Finish

No
If Max Resend Attempts > N

Remaining quantity can celled

Finish
 Smart Routing and Aggregation

Limit orders with «Previous quote» setting

Start

Limit order sent @Price «A»

Stored on server Price Size Source

A 5 Route 2
B 10 Route 4
C 15 Route 1
Market order sent @Price «A»
With «previous quote» FIX tagXX D 20 Route 3

No Order
executed
@Price «A»?

Yes

No
Fully filled?

Yes

Order executed at VWAP

Finish