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zeekayandHanzo Dev
70f6883235
A July commit removed eight papers on the premise "no license — DEX/non-custodial only". That premise is wrong: Lux operates an ATS, a broker-dealer, a transfer agent and a bank, and this material is resold at lux.financial. The merge that brought main in preserved the removal because the commit stated a reason, which is how a stale reason outlives the fact it rested on. Back, at the versions main carried — main never received the removal, so its copies are the later ones: the ATS architecture, the security-token standard, smart order routing, institutional custody, MPC custody, post-quantum securities, the SSB partnership and the CoinBridge brief. 83 files. Co-authored-by: Hanzo Dev <[email protected]>
29 lines
1.4 KiB
TeX
29 lines
1.4 KiB
TeX
\section{Order Matching Priority}
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\label{sec:priority}
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\subsection{Priority Rules}
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The SOR applies the following priority hierarchy for venue selection:
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\begin{enumerate}[nosep]
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\item \textbf{Price improvement}: Venues offering better prices are preferred.
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\item \textbf{Internalization}: If the Lux ATS internal book can fill the order at NBBO or better, the order is internalized (matched against resting orders on the internal book).
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\item \textbf{Settlement speed}: On-chain venues (T+0) are preferred over traditional venues (T+1) at equal price.
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\item \textbf{Fill rate}: Venues with higher expected fill rates are preferred.
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\item \textbf{Latency}: Among equal-quality venues, lower-latency venues are preferred.
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\item \textbf{Cost}: Trading fees are factored into the effective price.
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\end{enumerate}
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\subsection{Internalization Policy}
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Internalization (matching orders against the internal book rather than routing to external venues) is permitted when:
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\begin{itemize}[nosep]
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\item The internal book offers price improvement over the best external quote.
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\item The order can be fully filled from the internal book.
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\item Both parties pass compliance checks for the security \cite{lux-security-token-standard}.
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\end{itemize}
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When internalization provides no price improvement, orders are routed to the venue with the best composite score per the optimization in Section~\ref{sec:model}.
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