Quant Interview Practice Questions

Smart Order Routing (SOR) is a critical component in modern algorithmic trading systems designed to achieve best execution. By splitting a parent order across multiple liquidity venues, an SOR optimizes execution costs by dynamically evaluating available order book depth and venue-specific fee structures. Task Implement a SmartOrderRouter class that splits a parent order across multiple venues to minimize costs for buy orders and maximize revenue for sell orders. You must implement the followin