Smart Order Routing Across Markets with Interchangeable Quote Assets
Summary
The document explains smart order routing (SOR) as a way to seek liquidity across configured order books that share a base asset and use interchangeable quote assets, such as stablecoins treated as having a fixed one-to-one exchange rate. An order submitted in one symbol can interact with eligible books; for a sale, proceeds are credited in the quote asset of the submitted symbol. Worked examples show SOR selecting the best available prices across books and combining fills when an order is larger than the liquidity at one price level.
The examples also describe order handling when liquidity is insufficient: market and immediate-or-cancel orders expire with any unfilled remainder, while a good-til-cancelled limit order places its remainder on the originally submitted book. The document covers identifying supported symbol groups, placing SOR orders through APIs, and distinguishing allocations from trades in responses. Examples assume fictional settings and exclude commissions; they do not quantify latency, execution risk, fees, or whether quote assets will maintain parity in practice.
Key ideas
- SOR searches configured order books that share a base asset and interchangeable quote assets.
- The submitted symbol determines the quote asset credited to the user.
- SOR may combine liquidity at different prices and across multiple books to fill an order.
- Unfilled quantity expires for market and immediate-or-cancel orders, while a good-til-cancelled limit remainder rests on the original book.
- SOR fills may appear as allocations, and API responses expose fields indicating SOR use and the working venue.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.