⚡ Smart Order Router

K.I.T.'s Execution Engine - Best prices, minimal slippage, maximum profit!

Features

🎯 Best Execution

• Real-time price comparison across 10+ exchanges
• Order book depth analysis
• Liquidity scoring
• Market impact estimation

📊 Slippage Minimization

• TWAP (Time-Weighted Average Price)
• VWAP (Volume-Weighted Average Price)
• Iceberg orders
• Hidden liquidity detection

✂️ Order Splitting

• Intelligent order fragmentation
• Cross-exchange distribution
• Timing optimization
• Fee optimization

🌑 Dark Pool Access

• Institutional-grade execution
• Block trading
• Minimal market impact
• Price improvement

Usage

from smart_router import SmartRouter

router = SmartRouter()

# Find best execution path
route = await router.find_best_route(
    symbol="BTC/USDT",
    side="buy",
    amount=10,  # BTC
    max_slippage=0.001  # 0.1%
)

print(f"Best execution plan:")
print(f"  Total cost: ${route.total_cost:,.2f}")
print(f"  Avg price: ${route.avg_price:,.2f}")
print(f"  Expected slippage: {route.expected_slippage:.3%}")

for leg in route.legs:
    print(f"  - {leg.exchange}: {leg.amount} @ ${leg.price}")

# Execute with TWAP
result = await router.execute_twap(
    symbol="BTC/USDT",
    side="buy",
    amount=10,
    duration_minutes=30,
    interval_seconds=60
)

# Execute with VWAP
result = await router.execute_vwap(
    symbol="ETH/USDT",
    side="sell",
    amount=100,
    participation_rate=0.1  # 10% of volume
)

Execution Algorithms

Algorithm	Best For	Market Impact
Market	Small orders, urgent	High
Limit	Price-sensitive	Low
TWAP	Large orders, time flexible	Medium
VWAP	Track market volume	Low
Iceberg	Hide size	Low
Sniper	Best price hunting	Very Low

Configuration

smart_router:
  exchanges:
    - name: binance
      priority: 1
      max_volume_pct: 40
    - name: coinbase
      priority: 2
      max_volume_pct: 30
    - name: kraken
      priority: 3
      max_volume_pct: 30

  execution:
    default_algo: "smart"
    max_slippage: 0.1%
    retry_attempts: 3
    timeout_ms: 5000

  order_splitting:
    enabled: true
    min_split_size: $1000
    max_splits: 10

  twap:
    default_duration: 30m
    min_interval: 30s
    randomize: true

  vwap:
    lookback_period: 1h
    max_participation: 20%

Metrics

• Fill rate
• Price improvement
• Execution time
• Slippage vs benchmark
• Market impact

Dependencies

• ccxt>=4.0.0
• numpy>=1.24.0
• pandas>=2.0.0
• aiohttp>=3.8.0