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Route comparison
Realized fill across venues for the same size.
Aggregators answer which route is best for a trade you have decided to make. This answers a question that comes earlier: across every venue we record, what does this size actually clear at, and is the best of them good enough to act on at all.
The comparison is only meaningful at a fixed size. Venue A can beat venue B at $50k and lose badly at $5M, because the two books have different shapes rather than different levels.
Route comparison does not model MEV or adversarial reordering. Those are execution-layer risks stacked on top of depth risk, and folding them in would make the depth number less honest rather than more complete.
What this rests on