Smart Order Routing Interview Guide
Smart order routing interview guide covering venues, routing logic, fees, queue priority, latency, adverse selection, and examples.
Candidates discussing venue selection, fills, fees, latency, and liquidity.
Smart routers choose venues
A smart order router decides where to send child orders based on displayed liquidity, hidden liquidity, fees, latency, and expected fill quality.
Routing is more than best price
Venue choice can depend on queue position, rebates, adverse selection, fill probability, minimum quantity, and information leakage.
Concrete example
A router may split an order across venues with the same displayed price because queue depth and expected fill rates differ.
Feedback improves routing
Execution data can update venue rankings by fill rate, price improvement, reversion, latency, and realized cost after fees.
Common mistakes
Candidates often route only to the top displayed quote. Real routing must account for access, fees, speed, and fill quality.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.