Predicting Fill Ratios For Cash Treasury Venues

QB employs a tie-break algorithm in its Smart-Order-Router (SOR) to determine the optimal venue for sending aggressive cash treasury orders when multiple venues offer the best price. This algorithm ranks venues based on fill ratios and price impact, ensuring more informed execution decisions. Previously, QB relied on fixed values for fill ratios at each product-venue pair level. However, this whitepaper highlights the transition to venue and product-specific predictive models for fill ratios, enabling a more dynamic and data-driven approach.

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