Aggregation objectives
Clarify whether the objective is price competition, venue diversification, routing flexibility, resilience or a combination of these.
Market-data normalization
Venues can differ in symbols, precision, depth and session behavior. Normalize data before it reaches downstream pricing and routing logic.
Routing logic
Define routing priorities, size handling, venue eligibility and behavior when the preferred route is unavailable.
Execution states
Model acknowledgements, rejects, partial fills and timeouts explicitly. The broker needs deterministic handling for each state.
Failure modes
Test stale feeds, disconnected sessions, slow acknowledgements and venue-specific rejects. A resilient design must degrade predictably.
Observability
Track quote freshness, spread distributions, route selection, fill behavior and session health with enough context to investigate anomalies.
Governance
Changes to routing rules should be controlled, reviewable and auditable. Separate configuration permissions from day-to-day monitoring roles.