The Tradetech Daily

Deutsche Bank

Deutsche Bank

Autobahn SalesEmail: aesales_emea@db.comTel: +44 (0)20 7547 2587

Deutsche Bank''s SOR is part of a suite of products which provides clients with fully customisable strategies across multiple lit and dark pools. SuperX, Deutsche Bank''s routing algorithm for dark venues, offers order protection via a pool ranking model, dynamic return model and smart allocation model.


Access and algorithmic integration

Access can be direct into the SOR, via a Deutsche Bank representative or through an algorithm.
All Deutsche Bank”s execution algorithms can use SOR or SuperX, though the client has discretion to opt out and trade on the primary market only if needed.


The bank”s smart order

router accesses 80 venues

globally. Venues are

prioritised in line with best

execution criteria which

includes – price, cost, speed

and liquidity. Settlement

capabilities and historical

statistics (traded volumes,

symbol percentage) are also


Order types and client reporting

All order types are supported

by the SOR. Depending on

the suitability for splitting,

some order types will be

passed as native instructions

to the exchange. Detailed

reports are provided to

clients on a daily, monthly

and quarterly basis and can

be customised.


Data feeds

A mixture real-time and

historical data are used

directly from exchanges and

Thomson Reuters.

Routing logic

Clients have the ability to

customise behaviour and

specify or exclude venues on

a per order basis. Routing

logic is optimised on a

venue-by-venue basis and

reviewed for best execution

by an independent auditor.

The SOR considers a

number of routing factors

including but not limited to –

price, costs order urgency,

displayed volumes, historical

liquidity, queue length, fill

rates, venue latency, and

short-term volume changes.

SuperX also monitors dark pool toxicity and relative

price. Heat maps are used,

and SuperX can route orders

in response to daily trading

patterns, short-term intra-day

fill rates per destination

and atypical market moves

leveraging the dynamic

return model.

Deutsche Bank”s systems

encompass a number of pretrade

controls including price

tolerance checks, quantity

checks, market status and

instrument status. The realtime

latency and fill quality

of venues is also monitored,

and should some aspect

become unacceptable the

bank will automatically

remove it from the SOR.

Latency is under one

millisecond with no garbage

collection outliers due to

C++ implementation. Daily

volume capacity is greater

than five million orders.


Future plans

In the next 12-18 months, the SOR will incorporate per destination, urgency sensitive heat maps, client-configured dark resting volumes and improved support for icebergs including exposure into dark pools.