Smart Order Router (SOR)

Optimizes trade execution by routing orders across multiple venues to achieve best price, lowest fees, and minimal slippage.

Features

Multi-Venue Routing

• CEX Aggregation: Route across Binance, Coinbase, Kraken, OKX, Bybit
• DEX Aggregation: 1inch, Jupiter, Uniswap, SushiSwap, Curve
• Cross-chain: Seamlessly route between chains (ETH, BSC, Arbitrum, Solana)

Execution Strategies

• TWAP (Time-Weighted Average Price): Split large orders over time
• VWAP (Volume-Weighted Average Price): Execute proportional to volume
• Iceberg: Hide large order size with visible chunks
• Sniper: Rapid execution for time-sensitive trades

Price Optimization

• Real-time spread analysis across venues
• Fee-adjusted best price calculation
• Slippage prediction based on order book depth
• Gas cost optimization for DEX routes

Execution Analytics

• Fill rate tracking
• Execution quality scoring
• Venue performance comparison
• Post-trade analysis reports

Usage

Basic Order

Route 1 ETH buy order across best venues

With Strategy

Execute $50k BTC buy using TWAP over 2 hours

DEX Only

Swap 10,000 USDC to ETH on DEXs only, max 0.5% slippage

Cross-Chain

Route 5 ETH from Ethereum to Arbitrum via best bridge

Configuration

{
  "sor": {
    "venues": {
      "cex": ["binance", "coinbase", "kraken"],
      "dex": ["1inch", "uniswap"],
      "enabled": true
    },
    "defaults": {
      "strategy": "best-price",
      "maxSlippage": 0.5,
      "splitThreshold": 10000,
      "gasBuffer": 1.2
    },
    "analytics": {
      "trackFills": true,
      "compareVenues": true
    }
  }
}

Strategies

Strategy	Best For	Description
best-price	Small orders	Route to single venue with best price
split	Medium orders	Distribute across venues for better fill
twap	Large orders	Time-weighted execution over duration
vwap	Market hours	Volume-weighted to minimize impact
iceberg	Whale orders	Hide size, execute in chunks
sniper	Time-sensitive	Fastest execution, accept higher cost

Output

The SOR provides execution reports:

📊 Order Execution Report
━━━━━━━━━━━━━━━━━━━━━━━━
Order: BUY 2.5 ETH
Strategy: SPLIT

Fills:
├── Binance:  1.2 ETH @ $2,485.32 (fee: $1.49)
├── Coinbase: 0.8 ETH @ $2,486.01 (fee: $1.19)
└── 1inch:    0.5 ETH @ $2,484.98 (gas: $2.10)

Summary:
• Avg Price: $2,485.47
• Total Fees: $4.78
• Savings vs single venue: $12.34 (0.2%)
• Execution Time: 4.2s

Requirements

• API keys for connected exchanges
• Wallet connection for DEX trades
• Sufficient balance on each venue (or auto-rebalance enabled)