Smart Order Router

The SOR module optimally splits and routes orders across multiple venues to minimize execution cost.

Features

Cost Estimation: Walk the orderbook to estimate slippage and fees
Venue Scoring: Rank venues by total cost + confidence penalty
Balance Constraints: Respects available balances per account
Daily Limits: Enforces trading limits per exchange account
Multi-venue Splitting: Splits orders across up to 3 venues (configurable)

Cost Calculation

For each venue, the SOR:

Walks the orderbook to estimate VWAP for the order size
Calculates slippage vs mid price in basis points
Adds exchange taker fees (4-6 bps depending on venue)
Applies confidence penalty for stale or unreliable data

Fee Rates (Taker):

Venue	Fee (bps)
Binance	4
Bybit	6
Gate.io	4
Kraken	5

Venue Scoring

score = total_cost_bps + (1 - confidence) * 10

Lower score = better venue. The confidence penalty prevents routing to venues with stale data even if displayed prices look better.

POST /order-execution/sor/estimate

Get routing estimate without executing.

Request Body (JSON)

symbol (string, required): Trading pair (e.g., “BTC/USDT”)
side (string, required): Order side: “buy” or “sell”
quantity (number, required): Order quantity in base currency
exchange_account_ids (array, required): List of eligible exchange account IDs
max_venues (number, optional): Maximum venues to use for splitting. Default: 3
max_slippage_bps (number, optional): Maximum allowed slippage in basis points. Default: 50

Request Example

curl -X POST https://api.renesis.fi/order-execution/sor/estimate \
  -H "X-API-Key: $API_KEY" \
  -H "Content-Type: application/json" \
  -d '{
    "symbol": "BTC/USDT",
    "side": "buy",
    "quantity": 0.01,
    "exchange_account_ids": ["binance-sandbox-001", "gateio-001"]
  }'

Response Example

{
  "isError": false,
  "message": "Routing estimate",
  "statusCode": 200,
  "data": {
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.01,
    "estimated_vwap": 88150.50,
    "estimated_cost_bps": 4.2,
    "routable": true,
    "allocated_quantity": 0.01,
    "slices": [
      {
        "venue": "binance",
        "exchange_account_id": "binance-sandbox-001",
        "quantity": 0.006,
        "estimated_price": 88150.20,
        "cost_bps": 4.1,
        "confidence": 0.95
      },
      {
        "venue": "gateio",
        "exchange_account_id": "gateio-001",
        "quantity": 0.004,
        "estimated_price": 88151.00,
        "cost_bps": 4.4,
        "confidence": 0.88
      }
    ]
  }
}

POST /order-execution/sor/execute

Create and execute a routing plan.

Request Body (JSON)

symbol (string, required): Trading pair (e.g., “BTC/USDT”)
side (string, required): Order side: “buy” or “sell”
quantity (number, required): Order quantity in base currency
exchange_account_ids (array, required): List of eligible exchange account IDs
max_venues (number, optional): Maximum venues to use for splitting. Default: 3
max_slippage_bps (number, optional): Maximum allowed slippage in basis points. Default: 50

Request Example

curl -X POST https://api.renesis.fi/order-execution/sor/execute \
  -H "X-API-Key: $API_KEY" \
  -H "Content-Type: application/json" \
  -d '{
    "symbol": "BTC/USDT",
    "side": "buy",
    "quantity": 0.001,
    "exchange_account_ids": ["gateio-001"]
  }'

Response Example

{
  "isError": false,
  "message": "Routing plan completed",
  "statusCode": 200,
  "data": {
    "plan_id": "plan-abc123def456",
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.001,
    "status": "completed",
    "executed_quantity": 0.001,
    "actual_vwap": 88152.30,
    "actual_cost_bps": 4.5,
    "slices": [
      {
        "venue": "gateio",
        "exchange_account_id": "gateio-001",
        "quantity": 0.001,
        "status": "filled",
        "order_id": "12345678",
        "filled_quantity": 0.001,
        "avg_fill_price": 88152.30,
        "confidence": 0.88
      }
    ]
  }
}

GET /order-execution/sor/plan/

Retrieve status of a routing plan.

Path Parameters

plan_id (string, required): The routing plan ID

Request Example

curl https://api.renesis.fi/order-execution/sor/plan/plan-abc123def456 \
  -H "X-API-Key: $API_KEY"

Response Example

{
  "isError": false,
  "message": "Plan retrieved",
  "statusCode": 200,
  "data": {
    "plan_id": "plan-abc123def456",
    "symbol": "BTC/USDT",
    "side": "buy",
    "total_quantity": 0.001,
    "status": "completed",
    "created_at": "2025-01-15T10:30:00Z",
    "executed_at": "2025-01-15T10:30:01Z",
    "completed_at": "2025-01-15T10:30:02Z",
    "executed_quantity": 0.001,
    "actual_vwap": 88152.30,
    "slices": []
  }
}

GET /order-execution/sor/venues

Get venue availability and cost estimates for a symbol.

Query Parameters

symbol (string, required): Trading pair
venues (string, optional): Comma-separated venue list (defaults to all)

Request Example

curl "https://api.renesis.fi/order-execution/sor/venues?symbol=BTC/USDT" \
  -H "X-API-Key: $API_KEY"

Response Example

{
  "isError": false,
  "message": "Venue status",
  "statusCode": 200,
  "data": {
    "symbol": "BTC/USDT",
    "venues": [
      {
        "venue": "binance",
        "available": true,
        "confidence": 0.95,
        "spread_bps": 0.5,
        "staleness_ms": 45.2,
        "quality": "GOOD",
        "fee_bps": 4
      },
      {
        "venue": "bybit",
        "available": true,
        "confidence": 0.88,
        "spread_bps": 0.8,
        "staleness_ms": 120.5,
        "quality": "GOOD",
        "fee_bps": 6
      },
      {
        "venue": "kraken",
        "available": false,
        "confidence": 0.15,
        "reason": "Stale data"
      }
    ]
  }
}

Plan Status Values

Status	Description
pending	Plan created, not yet executed
executing	Orders being submitted
completed	All slices filled successfully
partial	Some slices filled, others failed
failed	No slices were filled

Slice Status Values

Status	Description
pending	Slice waiting to be submitted
submitted	Order submitted to exchange
filled	Order completely filled
partial	Order partially filled
failed	Order failed
skipped	Slice skipped (constraints not met)

Constraints

Minimum Slice Size: $10 USD equivalent
Maximum Venues: Configurable (default 3)
Minimum Confidence: 0.4 (venues below this are excluded)
Maximum Staleness: 2000ms (stale venues excluded)
Daily Limit: $100/day per exchange account (enforced)

Integration

The SOR uses:

GOB Module: For real-time orderbook data and quality metrics
Balance Cache: For available balances (from DB, updated by PMS)
TradingLimitService: For daily limit enforcement
ExecutionService: For actual order execution

Getting Started

Exchange Guides

API Reference

Smart Order Router (SOR)

Smart Order Router

Features

Cost Calculation

Venue Scoring

POST /order-execution/sor/estimate

Request Body (JSON)

Request Example

Response Example

POST /order-execution/sor/execute

Request Body (JSON)

Request Example

Response Example

GET /order-execution/sor/plan/

Path Parameters

Request Example

Response Example

GET /order-execution/sor/venues

Query Parameters

Request Example

Response Example

Plan Status Values

Slice Status Values

Constraints

Integration

​Smart Order Router

​Features

​Cost Calculation

​Venue Scoring

​POST /order-execution/sor/estimate

​Request Body (JSON)

​Request Example

​Response Example

​POST /order-execution/sor/execute

​Request Body (JSON)

​Request Example

​Response Example

​GET /order-execution/sor/plan/

​Path Parameters

​Request Example

​Response Example

​GET /order-execution/sor/venues

​Query Parameters

​Request Example

​Response Example

​Plan Status Values

​Slice Status Values

​Constraints

​Integration

Smart Order Router

Features

Cost Calculation

Venue Scoring

POST /order-execution/sor/estimate

Request Body (JSON)

Request Example

Response Example

POST /order-execution/sor/execute

Request Body (JSON)

Request Example

Response Example

GET /order-execution/sor/plan/

Path Parameters

Request Example

Response Example

GET /order-execution/sor/venues

Query Parameters

Request Example

Response Example

Plan Status Values

Slice Status Values

Constraints

Integration