Multi-broker order routing based on net position

• US 10,062,114 B2
• Filed: 04/30/2014
• Issued: 08/28/2018
• Est. Priority Date: 10/07/2011
• Status: Active Grant

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Cheng, Junsheng, Decker, Stephen P.
• Primary Examiner(s): Ebersman, Bruce I
• Assistant Examiner(s): Gaw, Mark H
• Application Number:
  US14/265,578
• Publication Number:
  US 20140379546A1
• Time in Patent Office: 1,581 Days
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The disclosed embodiments provide tools for multi-broker order routing based on net position at a broker. The net position of a user at a broker to receive a portion of a trade order is considered when allocating the quantity for the trade order to multiple brokers.

Claims

1. A method including:

receiving by an order receiver component of a computing device a trade order message for a trade order including a trade order quantity of a tradeable object for a user;

receiving by an allocator component of the computing device from a net position component of the computing device a first net position of the user at a first broker related to the tradeable object;

receiving by the allocator component of the computing device from the net position component of the computing device a second net position of the user at a second broker related to the tradeable object;

calculating by the allocator component of the computing device a total net position of the user related to the tradeable object, wherein the total net position includes the first net position of the user at the first broker related to the tradeable object and the second net position of the user at the second broker related to the tradeable object;

calculating by the allocator component of the computing device a total expected position by adding the total net position to the trade order quantity;

calculating by the allocator component of the computing device a first target net position for the first broker based on a first allocation percentage for the first broker, wherein the first target net position for the first broker is calculated by multiplying the first allocation percentage for the first broker by the total expected position;

calculating by the allocator component of the computing device a second target net position for the second broker based on a second allocation percentage for the second broker, wherein the second target net position for the second broker is calculated by multiplying the second allocation percentage for the second broker by the total expected position;

determining by the allocator component of the computing device an allocation of a first portion of the trade order quantity to the first broker based on the first net position of the user at the first broker related to the tradeable object and the first target net position;

determining by the allocator component of the computing device an allocation of a second portion of the trade order quantity to the second broker based on the second net position of the user at the second broker related to the tradeable object and the second target net position;

sending by a broker communicator component of the computing device a first message to a first broker computing device of the first broker, wherein the first message includes the first portion of the trade order quantity; and

sending by the broker communicator component of the computing device a second message to a second broker computing device of the second broker, wherein the second message includes the second portion of the trade order quantity.

2. The method of claim 1, further including:

receiving by a routing rules database of the computing device from a rules generator component of the computing device a routing rule.

3. The method of claim 2, wherein the routing rule specifies the first allocation percentage and the second allocation percentage.

4. The method of claim 2, further including:

calculating by the allocator component of the computing device the first allocation percentage based on the routing rule; and

calculating by the allocator component of the computing device the second allocation percentage based on the routing rule.

5. The method of claim 1, further including:

determining by the allocator component of the computing device whether a direction for the trade order is one of;

(1) the same as a direction of the total net position and (2) different than the direction of the total net position.

6. The method of claim 5, wherein the allocation of the first portion of the trade order quantity is determined by subtracting the first net position of the user at the first broker related to the tradeable object from the first target net position in response to determining the direction for the trade order is the same as the direction of the total net position.

7. The method of claim 5, wherein the allocation of the second portion of the trade order quantity is determined by subtracting the second net position of the user at the second broker related to the tradeable object from the second target net position in response to determining the direction for the trade order is the same as the direction of the total net position.

8. The method of claim 5, further including, in response to determining the direction for the trade order is different than the direction of the total net position:

calculating by the allocator component of the computing device a first preliminary portion quantity for the first broker based on the trade order quantity and the first allocation percentage;

calculating by the allocator component of the computing device a second preliminary portion quantity for the second broker based on the trade order quantity and the second allocation percentage;

calculating by the allocator component of the computing device a first preliminary net position for the first broker based on the first net position of the user at the first broker related to the tradeable object and the first preliminary portion quantity for the first broker;

calculating by the allocator component of the computing device a second preliminary net position for the second broker based on the second net position of the user at the second broker related to the tradeable object and the second preliminary portion quantity for the second broker;

identifying by the allocator component of the computing device that the first preliminary net position for the first broker does not exceed the first target net position for the first broker;

identifying by the allocator component of the computing device that the second preliminary net position for the second broker exceeds the second target net position for the second broker by an identified excess;

adjusting by the allocator component of the computing device the second preliminary portion quantity for the second broker based on the identified excess; and

adjusting by the allocator component of the computing device the first preliminary portion quantity for the first broker based on the identified excess.

9. The method of claim 8, wherein the allocation of the first portion of the trade order quantity is determined to be the adjusted first preliminary portion quantity for the first broker.

10. The method of claim 8, wherein the allocation of the second portion of the trade order quantity is determined to be the adjusted second preliminary portion quantity for the second broker.

11. The method of claim 1, further including:

checking by the allocator component of the computing device that a sum of the first portion of the trade order quantity and the second portion of the trade order quantity is not greater than the trade order quantity.

12. The method of claim 1, wherein the first message is a first trade order, wherein the second message is a second trade order.