Smart Order Routing Across Interchangeable Quote Asset Books
Summary
Smart order routing can seek liquidity across eligible order books that share a base asset and use quote assets with a fixed one-to-one exchange rate. For a submitted symbol, the router scans configured books and takes available liquidity at the best prices. The examples show that a buy order may source cheaper offers from other stablecoin-quoted books while the buyer is credited in the quote asset of the originally submitted symbol. A sell order can similarly access bids from those books.
The examples also explain partial fills and order behavior when available liquidity is insufficient. Market and limit IOC orders expire after available eligible liquidity is exhausted; a limit GTC remainder rests on the originally selected book. SOR fills from other books are represented as allocations rather than direct trades, with separate identifiers and queries from ordinary trade records. The examples omit commissions and use fictional symbols and prices, so they illustrate mechanics rather than live execution quality. SOR availability depends on the exchange's configured symbol groups.
Key ideas
- SOR searches eligible books sharing a base asset and interchangeable quote assets for available prices.
- A buyer continues to receive the quote asset of the symbol used to submit the order.
- Market and limit IOC orders expire when eligible liquidity cannot satisfy the full quantity, while limit GTC orders can rest their remainder on the original book.
- Fills sourced from other books are recorded as allocations, which can be queried separately from direct trades.
- The examples exclude commissions and do not establish actual live liquidity or execution outcomes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.