LiquidityOrchestrator is an advanced smart order router (SOR) that manages order flow for any asset class. It provides mechanisms to help achieve and prove best execution, including the capability for custom execution algorithms and order lifecycle management.
LiquidityOrchestrator was designed to bring a higher level of flexibility to the smart order routing process. It has access to an aggregated order book produced by LiquidityAggregator which gives it a view of the full depth across all aggregated venues. In addition, the Orchestrator can be configured to to access an internal liquidity pool, allowing client flow to trade internally, improving execution quality and reducing information leakage.
The system is highly flexible and can be configured in a variety of ways to work with variations in market structure across geographic regions and asset classes. It includes highly flexible Java, .NET or C++ APIs, allowing users to integrate sophisticated algorithms and other proprietary functionality.
LiquidityOrchestrator can be implemented by individual asset class or on a cross-asset basis as part of the organization’s electronic trading backbone.
- Knows at all times the location of open orders and the state of the parent and each related child order.
- Can make changes to the open orders as markets shift to ensure best execution.
- Reconciles ‘child’ orders back to the original source orders for full order lifecycle management and reporting.
- Includes approximately 14 illustrative static and dynamic rules.
- Static rules evaluate the market data and execute based on that decision.
- Dynamic rules re-evaluate market data as it changes and continually executes the order until complete.
LiquidityOrchestrator is one of the core components of smartTrade’s sophisticated liquidity management systems. It is used as a stand-alone system or in combination with LiquidityConnect, LiquidityDistributor, LiquidityAggregator , LiquidityCrosser and the Order Management System. Together, these components can be assembled to develop multi-asset trading platforms that:
- Connect electronically to any number of venues regardless of messaging protocols.
- Aggregate liquidity from dozens of sources to create a single order book.
- Distribute customized pricing to clients.
- Manage client order flow.
- Implement smart order routing using proprietary algorithms.
- Internalize liquidity and/or route it to external venues.
- manage state throughout the order lifecycle.
The system handles multiple asset classes and is in production globally supporting foreign exchange, fixed income, equities, rates, and many other instrument types.
Most of the algo systems keep pinging until they hit, we’re actually listening to the market and virtualizing it. When we see an opportunity, we seize it, rather than merely pinging and hoping to hit