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Restructured from flat .tex/.pdf files into per-paper subdirectories. Added Antje Worring as co-author on all papers. Synced PDFs to pdfs/ for download site.
30 lines
2.2 KiB
TeX
30 lines
2.2 KiB
TeX
\section{Introduction}
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A registered broker-dealer has a legal obligation to seek the best execution reasonably available for customer orders. Under FINRA Rule 5310, this requires ``reasonable diligence to ascertain the best market for the subject security and buy or sell in such market so that the resultant price to the customer is as favorable as possible under prevailing market conditions.'' For digital securities that trade across multiple venues---on-chain ATS platforms, traditional equity exchanges (for hybrid securities), and bilateral RFQ networks---satisfying this obligation requires a smart order router that evaluates execution quality across all available venues in real time.
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\subsection{Heritage: Arca exchange-sdk}
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The Arca \texttt{exchange-sdk} (2018) was a trading SDK for digital securities that provided order book management, matching engine integration, and settlement coordination for ArCoin and other Arca Fund securities. The SDK supported a single venue (the Arca internal matching engine) and a single asset class (ERC-1400 security tokens).
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The Lux SOR extends this foundation to support:
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\begin{itemize}[nosep]
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\item 16 execution providers across three venue types (on-chain, ATS, traditional).
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\item Multiple asset classes (security tokens, tokenized equities, structured products).
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\item Compliance-constrained routing that respects transfer restrictions per security \cite{lux-security-token-standard}.
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\item Atomic settlement on Lux EVM for on-chain executions \cite{lux-ats-architecture}.
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\item ZAP binary wire protocol for sub-millisecond order serialization \cite{lux-zap-wire-protocol}.
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\end{itemize}
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\subsection{Contributions}
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\begin{enumerate}[nosep]
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\item Formalization of the best execution obligation as a constrained multi-objective optimization problem over venue selection.
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\item A greedy allocation algorithm with provable 2-approximation guarantee.
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\item Integration architecture for 16 providers spanning on-chain, ATS, and traditional venues.
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\item Compliance-aware routing that respects per-security transfer restrictions at the venue selection layer.
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\item Sub-millisecond order serialization via ZAP binary protocol.
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\end{enumerate}
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