Latency-Aware Smart Order Router

A production-grade C++17 smart order router with latency modeling, simulated venues, and performance analytics

• Clean architecture: Separation of concerns (core, venue, router, analytics, utils)
• Simulated exchanges: Configurable latency, fill probability, partial fills, execution reports
• Latency model: Effective latency = network + processing; interface ready for EWMA/adaptive models
• Routing strategy: Score = price_advantage − latency_penalty + fill_weight; multiple modes (BestPrice, LowestLatency, HybridScore)
• Performance analytics: Execution latency, fill ratio, slippage, venue efficiency ranking
• Precise timing: std::chrono microsecond-level measurement; RAII, smart pointers, no globals

Build

mkdir build && cd build
cmake ..
cmake --build .

Run

./smart_order_router

Runs 1000 simulated orders with randomized market data and prints a final performance report comparing venues.

Run Tests

cd build && ctest

Project Structure

include/
  core/       Order, ExecutionReport, MarketData, Types
  venue/      Venue, SimulatedExchange, VenueManager
  router/     SmartOrderRouter, LatencyModel, RoutingStrategy
  analytics/  PerformanceAnalyzer, Metrics
  utils/      Logger, Clock
src/          Implementation files
tests/        test_router, test_latency
config/       router_config.yaml
data/         sample_market_data.csv

Performance Metrics (Example Output)

After a typical run you'll see venue-level stats similar to:

Venue A (VENUE_A):
  Avg Latency: 320 µs
  Fill Rate: 92%
  Avg Slippage: 0.3 bps

Venue B (VENUE_B):
  Avg Latency: 180 µs
  Fill Rate: 75%
  Avg Slippage: 0.6 bps

Venue C (VENUE_C):
  Avg Latency: 450 µs
  Fill Rate: 88%
  Avg Slippage: 0.4 bps

Hybrid Router: Improved fill quality and reduced effective slippage across venues.

Design Notes

• Move semantics and constexpr where appropriate
• No heap allocations in hot path for critical routing logic
• Thread-safe design where order submission and analytics are concerned
• End-to-end latency measured from order acceptance to execution report

License

MIT