Citi’s smart order router (SOR) is a proprietary platform used to allocate order flow across multiple lit and dark trading venues. It is a core part of Citi’s liquidity and trading platform and routes orders based on execution price and probability of execution.
Technologies introduced in the SOR have helped Citi
deliver a high level of spread capture for clients and a reduction in
signalling. Citi’s SOR supports limit, market, immediate or cancel, fill or
kill and iceberg order types. It operates a hot-hot fail over to avoid outages,
and uses compliance checks imposed by different exchanges as well as internal
and fat-finger checks. Any violation of these checks leads either to an order
being rejected or suspended.
All equity execution channels across high- and
low-touch execution use Citi’s SOR to access markets. The router accesses all
developed market primary exchanges and multilateral trading facilities and some
emerging market primary exchanges. Citi is always assessing the feasibility of
adding new destinations if they improve liquidity.
Citi offers clients the opportunity to adjust the
venues they interact with and the nature of the interaction. Before going out
to market, the SOR checks Citi’s internal dark pool for liquidity, where permitted,
as per clients’ instructions. The SOR also offers the option to ping or rest at
external dark venues. Lit and dark venues are managed individually according to
their specific liquidity and trading profile.
improve the SOR’s market access, data and speed and will continue to actively
manage venue toxicity.