Smart Order Routing technology promises to improve the efficiency of the securities trading value chain by selecting most favourable execution prices among fragmented markets. To measure the extent of sub-optimal order executions in Europe we develop a simulation framework which includes explicit costs associated with switching to a different market. By analysing historical order book data for EURO STOXX 50 securities across ten European lectronic markets we highlight an economically relevant potential of Smart Order Routing to improve the trading process on a gross basis. After the inclusion of switching costs (net basis), the realisability of this value potential depends on whether the user can directly access post-trading infrastructure of foreign markets or has to make use of intermediaries' services.