How SORY splits an order, and how to read its reasoning.
SORY allocates on fee-inclusive prices. The venue with the worse quoted price is often the better one after fees, and that difference is the whole point.
Sweeping to arbitrary depth is not acceptable, and SORY will not invent a bound on your behalf — that is a risk decision.Your limit price is a raw venue price, as you would type it. The router converts it into each venue’s all-in terms before comparing.
max_slippage_bps bounds the allocation, not the venue-side execution. SORY only allocates against levels inside the bound, but a market order carries no price to the venue, so a book that moves between planning and arrival can still fill through. If you need a hard guarantee, send a limit order at your bound.
If a venue’s share lands below its minimum, that venue is dropped and the walk re-runs without it, so the quantity moves somewhere rather than evaporating. Anything genuinely unplaceable comes back as unallocated, with a reason.
