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smartTrade Transaction Platform (STTP)
Technology
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Product Information
LiquidityOrchestrator is an advanced smart order router (SOR) that manages the lifecycle of the orders and reconciles the 'child' orders back to the original source order for proof of best execution. One of the four pillars of the smartTrade STTP platform, LiquidityOrchestrator can run as a standalone application or be used in coordination with LiquidityCrosser, LiquidityAggregator and LiquidityConnect as a complete Liquidity Management System (LMS) to create an infinite combination of aggregation, crossing and smart order routing matrices that enables the execution process to be closely ingrained with the flow rather than reactionary to events.
LiquidityOrchestrator was designed to bring a higher level of flexibility, and true lifecycle management and reconciliation to the execution process, especially when compared with the rigid structure of the 'parent/child' routing that exists in the market today. For best execution, LiquidityOrchestrator works in combination with the LiquidityAggregator to create various best execution strategies because LiquidityAggregator has permanent access to the depth of the venues. They include:
- Routing the entire quantity to the venue where there is the best limit
- Routing only the partial quantity to the venue where the best limit is seen (it then reassess the rule)
- Splitting the quantity according to the depth seen in the aggregated view (it then reassesses the rule for non-executed amounts)
- Taking into account fees to determine the priority of the venues
- Taking into account clients' preferences in terms of venue ranking once all prices (net of fees) are equal
LiquidityOrchestrator also enables firms to set rules defined specifically for each of their clients. For example, the lifecycle of each order going through the SOR, including the routing destination, can be affected by rules that generate triggers based on:
- the market data events (price changes in one venue, for example, or FX rate changes)
- order lifecycle (depending on the execution lifecycle of the order, e.g., where has it been routed, is it partially matched, cancelled, etc. as well as the lifecycle of other orders in the book, the SOR can generate or modify routing instructions for the order in question)
- Splitting the quantity according to the depth seen in the aggregated view (it then reassesses the rule for non-executed amounts)
- parameters that are contained in configuration files, which can include elements that are customized for a specific rules execution, such as venue priority ranking per instrument, fungibility criteria, execution fees categories, etc.
Rules are then written and applied using these parameters, events, status as well as all objects and information already available in the platform. At this point, all rules within LiquidityOrchestrator can be executed following one of the following modes:
- sequential mode ("if this criteria is validated, then do this, if not do that")
- state mode ("as soon as this criteria is validated, then do this or that").
In the state mode, conditions must be constantly reevaluated and be able to trigger actions as soon as criteria are met. LiquidityOrchestrator then relies on the entire STTP framework to process the execution up to its final stage, maintaining full persistency and control of the lifecycle of the orders, whether orders are kept outside or inside of the platform.
For more information or to schedule a product demo in the US, please click here.
In EMEA, please click here.
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