Size-based allocation prioritization

Patent metadata

Field	Value
Publication number	US-2016019644-A1
Application number	US-201414335471-A
Country	US
Kind code	A1
Filing date	Jul 18, 2014
Priority date	Jul 18, 2014
Publication date	Jan 21, 2016
Grant date	—

Abstract

The disclosed embodiments relate to systems and methods that match or allocate an incoming order to trade with a plurality of resting orders. Order book data indicative of the resting orders is obtained. An allocation priority listing of the plurality of resting orders is determined based on the order book data. The allocation priority listing prioritizes the plurality of resting orders by order price, and further prioritizes by order size those of the plurality of resting orders having an identical order price. A volume of the incoming order is allocated in accordance with the allocation priority listing by proceeding sequentially through the plurality of resting orders starting with the respective resting order listed first in the allocation priority listing. A successive resting order in the allocation priority listing is not filled until the respective resting order currently being filled is either filled completely or a fill limit is met.

First claim

What is claimed is:

1 . A computer implemented method for matching an incoming order for a quantity of a financial product, the method comprising:
obtaining, by a processor, order book data indicative of a plurality of resting orders for the financial product that are unmatched and counter to the incoming order; determining, with the processor, an allocation priority listing of the plurality of resting orders based on the order book data, the allocation priority listing prioritizing the plurality of resting orders by order price, and further prioritizing by order size those of the plurality of resting orders having an identical order price; and allocating, by the processor, a volume of the incoming order in accordance with the allocation priority listing by proceeding sequentially through the plurality of resting orders starting with the respective resting order of the plurality of resting orders listed first in the allocation priority listing, such that a successive resting order of the plurality of resting orders in the allocation priority listing is not filled until the respective resting order of the plurality of resting orders currently being filled is either filled completely or a fill limit is met.

2 . The computer implemented method of claim 1 wherein the allocation priority listing further prioritizing by order time those of the plurality of resting orders having an identical order price and an identical order size.

3 . The computer implemented method of claim 1 wherein allocating the volume of the incoming order comprises allocating the incoming order via a pro rata procedure in connection with resting orders of the plurality of resting orders having an identical price and an identical size.

4 . The computer implemented method of claim 1 wherein determining the allocation priority listing comprises adjusting a previously established allocation priority listing.

5 . The computer implemented method of claim 1 wherein obtaining the order book data comprises:
detecting a trigger event related to a respective order of the plurality of resting orders; and
obtaining the order book data indicative of the respective resting order.

6 . The computer implemented method of claim 5 wherein the trigger event comprises entry of the respective resting order of the plurality of resting orders.

7 . The computer implemented method of claim 5 wherein the trigger event comprises modification of the respective resting order of the plurality of resting orders.

8 . The computer implemented method of claim 1 wherein the fill limit specifies a maximum allocation size for each resting order of the plurality of resting orders.

9 . The computer implemented method of claim 1 wherein allocating the volume comprises allocating the incoming order in accordance with the allocation priority list until a predetermined percentage of the incoming order is matched.

10 . The computer implemented method of claim 9 further comprising, after reaching the predetermined percentage, allocating a remaining volume of the incoming order in accordance with a further matching procedure.

11 . The computer implemented method of claim 1 further comprising:
determining whether allocation of the volume of the incoming order results in a partial fill of one of the plurality of resting orders; and
adjusting the allocation priority listing in accordance with the partial fill.

12 . A system for matching an incoming order for a quantity of a financial product, the system comprising:
a processor; a memory coupled with the processor; first logic stored in the memory and executable by the processor to cause the processor to obtain order book data indicative of a plurality of resting orders for the financial product that are unmatched and counter to the incoming order; second logic stored in the memory and executable by the processor to cause the processor to determine an allocation priority listing of the plurality of resting orders based on the order book data, the allocation priority listing having order price as a primary sort criterion, and having order size as a secondary sort criterion to prioritize resting orders of the plurality of resting orders having an identical price; and third logic stored in the memory and executable by the processor to cause the processor to allocate a volume of the incoming order in accordance with the allocation priority listing by proceeding sequentially through the plurality of resting orders starting with the respective resting order of the plurality of resting orders listed first in the allocation priority listing, such that a successive resting order of the plurality of resting orders in the allocation priority listing is not filled until the respective resting order of the plurality of resting orders currently being filled is either filled completely or a fill limit is met.

13 . The system of claim 12 wherein the second logic is further executable by the processor to cause the processor to determine the allocation priority listing such that the allocation priority listing has order time as a tertiary criterion to prioritize resting orders of the plurality of resting orders having an identical price and an identical size.

14 . The system of claim 12 wherein the third logic is further executable by the processor to cause the processor to allocate the volume of the incoming order comprises allocating the incoming order via a pro rata procedure in connection with having an identical price and an identical size.

15 . The system of claim 12 wherein the second logic is further executable by the processor to cause the processor to adjust a previously established allocation priority listing.

16 . The system of claim 12 further comprising fourth logic stored in the memory and executable by the processor to cause the processor to detect a trigger event related to a respective order of the plurality of resting orders, and obtain the order book data indicative of the respective resting order.

17 . The system of claim 16 wherein the trigger event comprises entry of the respective resting order of the plurality of resting orders.

18 . The system of claim 16 wherein the trigger event comprises modification of the respective resting order of the plurality of resting orders.

19 . The system of claim 12 wherein the fill limit specifies a maximum allocation size for each resting order of the plurality of resting orders.

20 . The system of claim 12 further comprising fifth logic stored in the memory and executable by the processor to cause the processor to allocate the incoming order in accordance with the allocation priority list until a predetermined percentage of the incoming order is matched.

21 . The system of claim 20 further comprising sixth logic stored in the memory and executable by the processor to cause the processor to, after reaching the predetermined percentage, allocate a remaining volume of the incoming order in accordance with a further matching procedure.

22 . A computer program product for matching an incoming order for a quantity of a financial product, the computer program product comprising one or more computer-readable storage media having stored thereon computer-executable instructions that, when executed by one or more processors of a computing system, cause the computing system to perform a method, the method comprising:
obtaining order book data indicative of a plurality of resting orders for the financial product that a

Assignees

• Chicago Mercantile Exchange

Inventors

• Boudreault James
• Kronstein Jonathan
• Grombacher Daniel
• Sturm Frederick
• Labuszewski John

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title