Signal-Execution-Labs 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)