Smart Order Routing Algorithm Analyzer

Simulate and compare different order routing algorithms to optimize trade execution.

What is Smart Order Routing (SOR)?

Smart Order Routing (SOR) is an automated process used by brokers and traders to find the best possible price for executing an order across various trading venues (exchanges, dark pools, electronic communication networks). The goal is to achieve "best execution" – not just the lowest price for a buy order or highest for a sell order, but also considering factors like speed, market impact, and liquidity.

Why is SOR Important?

Price Improvement: Finding better prices than available on a single exchange.
Minimizing Market Impact: Large orders can move the market against the trader. SOR algorithms aim to minimize this by carefully distributing trades.
Latency Reduction: Executing trades quickly to capitalize on fleeting opportunities.
Liquidity Access: Tapping into liquidity across multiple venues.

Common SOR Algorithms:

Market Order: Simplest. Executes immediately at the best available price. High market impact for large orders.
TWAP (Time-Weighted Average Price): Divides a large order into smaller pieces and executes them at regular intervals over a specified time period. Aims to achieve the average price over that period.
VWAP (Volume-Weighted Average Price): Attempts to execute an order in proportion to the actual trading volume throughout the day. Aims to achieve the average price weighted by volume.
POV (Percentage of Volume): Executes orders as a specified percentage of the total market volume. This adapts to market activity.

This tool provides a simplified simulation to illustrate how different algorithms might perform in a hypothetical market scenario.

Setup Your Simulation

Configure market conditions and the parameters for the algorithms you wish to simulate.

Global Market Parameters:

Initial Asset Price ($):

Total Order Quantity (Shares):

Simulation Intervals (e.g., minutes/hours):

Number of time intervals for simulation.

Market Volatility (% per interval):

Randomness in price movement per interval.

Market Impact Factor:

Price change per share traded (e.g., 0.0001 means $0.0001 impact per share).

Select Algorithms & Parameters:

Market Order (Benchmark)

Executes entire order immediately at current price.

TWAP (Time-Weighted Average Price)

Divides order equally over simulation intervals.

VWAP (Volume-Weighted Average Price)

Distributes order proportionally to estimated volume profile.

VWAP Volume Profile (e.g., 0.2,0.6,0.2 for start, middle, end):

Comma-separated percentages for 3 phases (sum to 1.0).

POV (Percentage of Volume)

Executes as a percentage of real-time market volume.

POV Percentage (%):

Live Simulation Progress

Configure your setup and algorithms on the previous tab to begin.

0% Complete

Live Trade Data (Last 5 Intervals):

Interval	Market Price ($)	Algo	Traded Qty	Remaining Qty	Avg Price ($)
No simulation data yet. Run simulation.

Simulation Results & Analysis

Initial Price:

Total Order Quantity:

Final Market Price:

Algorithm Performance Comparison:

Algorithm	Avg Exec Price ($)	Total Cost ($)	Market Impact Cost ($)	Execution (%)
Run simulation to see results.

Key Insights:

Insights will appear here after simulation completion.