Deutsche Bank
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.
Destinations
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
used.
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.