Is it time for aggregation to get a bit smarter?
On algo desks the concept of a Smart Order Router (SOR) is generally well known. A
smart order router considers multiple factors – for example price, historical impact,
likelihood of fill – and then routes orders to venues accordingly.
Aggregators are common in FX, with many technology providers having appeared
over the last decade. However, an aggregator is not necessarily a smart order router.
We will look at one approach for improving the output of an aggregator, mainly from
the perspective of a typical regional bank, and discuss ways in which these aggregators
could add more value for their clients.