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f4ee7a0525
Bylines, paper authorship, correspondence addresses and the founder blurb under each post named an individual. They name the organisation that published the work instead: the brand on posts and pages, the research byline on papers, and research@ in place of a personal address. Both are what these repositories already used elsewhere — nothing new was coined. Co-authors are untouched. Where a paper named someone else alongside, they stay named; only the one byline changed. Bibliography entries, running heads, PDF metadata and affiliations move with it, so a citation still resolves to whoever the cited paper names. Sample and fixture data uses the placeholder name these tests already use elsewhere, so no assertion changed meaning.
74 lines
3.1 KiB
TeX
74 lines
3.1 KiB
TeX
\documentclass[11pt,a4paper]{article}
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\usepackage{../shared/luxcover}
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\usepackage[utf8]{inputenc}
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\usepackage[T1]{fontenc}
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\usepackage{amsmath,amssymb,amsfonts,amsthm}
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\usepackage{graphicx}
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\usepackage{hyperref}
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\usepackage{booktabs}
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\usepackage{algorithm}
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\usepackage{algpseudocode}
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\usepackage{listings}
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\usepackage{xcolor}
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\usepackage{tikz}
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\usepackage{float}
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\usepackage{enumitem}
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\usepackage{array}
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\usepackage{multirow}
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\input{../shared/lstlang}
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\usetikzlibrary{arrows.meta,positioning,shapes.geometric,fit}
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\hypersetup{colorlinks=true,linkcolor=black,citecolor=blue,urlcolor=blue}
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\lstset{
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basicstyle=\ttfamily\scriptsize,
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breaklines=true,
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frame=single,
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numbers=left,
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numberstyle=\tiny\color{gray},
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keywordstyle=\color{blue!70!black}\bfseries,
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commentstyle=\color{green!50!black}\itshape,
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stringstyle=\color{red!60!black},
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showstringspaces=false,
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}
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\newtheorem{theorem}{Theorem}
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\newtheorem{lemma}[theorem]{Lemma}
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\newtheorem{definition}{Definition}
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\newtheorem{proposition}[theorem]{Proposition}
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\newtheorem{remark}{Remark}
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\title{Smart Order Routing for Digital Securities:\\Multi-Provider Execution on Lux Network}
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\author{
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Lux Research\thanks{Corresponding author: [email protected]}\\
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\textit{Lux Industries Inc}\\
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\textit{A subsidiary of Hanzo Industries Inc}\\
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\texttt{[email protected]}
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}
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\date{2025}
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\begin{document}
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\luxcoverpage
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\begin{abstract}
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We present the smart order routing (SOR) system for the Lux ATS, a broker-dealer component that routes digital securities orders across 16 execution providers to achieve best execution under SEC Regulation NMS and FINRA Rule 5310. The router is implemented in Go on Hanzo Base and integrates with traditional equity venues (Alpaca, Interactive Brokers), digital securities ATS platforms, and the on-chain Lux DEX VM for native order matching. This work extends the \texttt{exchange-sdk} originally developed at Arca (2018) for digital securities trading, adding multi-venue routing, compliance-aware execution, and atomic settlement on Lux EVM. Orders are serialized using the ZAP binary wire protocol for sub-millisecond transmission latency. The router implements a constrained optimization that maximizes execution quality (price improvement, fill rate, speed) subject to compliance constraints (transfer restrictions, jurisdictional rules, accreditation requirements). We formalize the best execution obligation as a multi-objective optimization problem, prove that the greedy allocation algorithm achieves a 2-approximation of the optimal solution, and present benchmarks showing median order-to-fill latency of 12ms for on-chain venues and 45ms for traditional equity providers.
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\end{abstract}
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\input{sections/01-introduction}
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\input{sections/02-provider-landscape}
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\input{sections/03-best-execution-model}
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\input{sections/04-on-chain-execution-lux-dex-vm}
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\input{sections/05-traditional-venue-integration}
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\input{sections/06-zap-wire-protocol}
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\input{sections/07-compliance-aware-routing}
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\input{sections/08-order-matching-priority}
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\input{sections/09-market-data-aggregation}
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\input{sections/10-performance}
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\input{sections/11-regulatory-compliance}
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\input{sections/99-conclusion}
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\end{document}
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