Smart Order Routing
The DMALINK SOR server is a multi-server that is implemented as a client connecting to other markets, consolidating the order book and routing the orders by implementing different routing algorithms.
There are two main functional parts of DMALINK SOR server.
Consolidated order book
SOR requests market data from the list of other markets and consolidates the data into a consolidated order book. Client application is connecting to a SOR server and sees market data updates from the consolidated order book, not individual sub-markets.
Order routing algorithms
When SOR server receives a request for a new order it goes through the consolidated order book and splits the original order into the set of suborders. Then individual suborders are sent to their corresponding markets (sub-markets).
An example of two current routing algorithms include
:: IOC direct
:: IOC consolidated
Both algorithms support IOC orders only:
IOC direct takes the original SOR order quantity and splits it according to depth levels in the consolidated order book. So if there are two different depth levels (different price) from the same sub-market, two different IOC orders will be sent.
IOC consolidated groups consolidated market levels by market, adds all the quantities for the same market in adjacent depth levels and sends out the orders with consolidated quantities.
All markets can be configured in order of priority, which is used to determine routing when price and quantity available are equivalent on two or more markets.
Additional algorithms can be added based on your trading requirement.
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