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Lime’s algorithms allow clients to intelligently route and execute orders for better prices and speed to market.

Lime Smart Router

In today’s complex and fragmented marketplace, optimal order routing is an increasingly challenging and costly endeavor. Lime’s Smart Order Router allows clients to delegate this task, intelligently accessing a broad set of exchanges and alternative liquidity sources, while providing extensive customization options. Built on Lime’s low-latency Trading Server technology stack, sourcing market data from Lime’s low-latency Citrius feed handlers, Lime Smart Router offers a compelling blend of performance, flexibility, and transparency.

  • Leverages full depth of book market data when available, with SIP feeds for fallback
  • Full transparency on execution, with market identifier codes for each fill
  • Multiple standard strategies, each with different objectives in terms of aggression, fee sensitivity, and stealth
  • Customizable parallel and sequential sweeping and posting phases -- each phase can have its own order properties and venue specific child order constraints
  • Venues can be excluded by strategy configuration or per order
  • Routing logic runs locally in every Lime collocation site
  • Support for Intermarket Sweep Orders
  • Agency-only routing service -- no internalization or affiliated liquidity pools
Lime Algorithms: VWAP, TWAP, POV, and Implementation Shortfall

Lime’s institutional algorithms suite provides performance and flexibility to traders needing to execute large orders. Built on Lime Strategy Studio technology, these algorithms are readily customized and tuned against Lime’s extensive historical tick data. Leveraging the Lime Smart Router and Citrius, they benefit from Lime’s unparalleled market access and ultra low-latency order and direct feed handling technologies.

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