System and method for apportioning trading orders based on size of displayed quantities

• US 20070130048A1
• Filed: 08/03/2006
• Published: 06/07/2007
• Est. Priority Date: 08/04/2005
• Status: Active Grant

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Original Assignee: eSpeed Incorporated (BGC Group, Inc.)
• Inventors: Foley, Kevin, Claus, Matthew, Noviello, Joseph, Lutnick, Howard
• Granted Patent: US 8,484,122 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

An apparatus for processing trading orders comprises a memory and a processor. The memory stores a first order and a second order. The first order is associated with a product and comprises a displayed quantity and a reserved quantity. The second order is associated with the product and comprises a displayed quantity and a reserved quantity. The processor is coupled to the memory and receives a counterorder associated with the product. The processor fills the displayed quantity of the first order with a corresponding portion of the counterorder, and fills the displayed quantity of the second order with a corresponding portion of the counterorder. The processor allocates a first additional portion of the counterorder to the first order. The first additional portion is based at least in part on a ratio of the displayed quantity of the first order to a sum of the displayed quantity of the first order and the displayed quantity of the second order.

Claims

1. An apparatus for processing trading orders, comprising:

a memory operable to store;

a first order associated with a product and comprising a displayed quantity and a reserved quantity; and

a second order associated with the product and comprising a displayed quantity and a reserved quantity;

a processor coupled to the memory and operable to;

receive a counterorder associated with the product;

facilitate filling the displayed quantity of the first order with a corresponding portion of the counterorder;

facilitate filling the displayed quantity of the second order with a corresponding portion of the counterorder; and

allocate a first additional portion of the counterorder to the first order, the first additional portion based at least in part on a ratio of the displayed quantity of the first order to a sum of the displayed quantity of the first order and the displayed quantity of the second order.

2. The apparatus of claim 1, wherein the processor is further operable to allocate a second additional portion of the counterorder to the second order, the second additional portion based at least in part on a ratio of the displayed quantity of the second order to the sum of the displayed quantity of the first order and the displayed quantity of the second order.

3. The apparatus of claim 1, wherein the first and second orders comprise buy orders and the counterorder comprises a sell order.

4. The apparatus of claim 1, wherein the first and second orders comprise sell orders and the counterorder comprises a buy order.

5. The apparatus of claim 1, wherein the displayed quantity of the first order and the displayed quantity of the second order are filled in the same sequence that the first order and the second order were received.

6. The apparatus of claim 1, wherein:

the memory is further operable to store a third order associated with the product and comprising a displayed quantity and a reserved quantity; and

the processor is further operable to facilitate filling the displayed quantity of the third order prior to allocating the first additional portion of the counterorder.

7. The apparatus of claim 6, wherein the third order is received prior to the counterorder.

8. The apparatus of claim 6, wherein:

the processor determines whether any portion of the counterorder remains unfilled after the displayed quantities of the first order, the second order, and the third order are filled; and

the processor allocates the first additional portion of the counterorder to the first order only if some portion of the counterorder remains unfilled after the displayed quantities of the first order, the second order, and the third order are filled.

9. The apparatus of claim 1, wherein:

the first order was received at a first time and the second order was received at a second time; and

the processor is further operable to allocate a second additional portion of the counterorder to the first order based at least in part upon the difference between the first time and the second time.

10. The apparatus of claim 1, wherein the processor is further operable to determine whether any remaining portion of the counterorder exists prior to allocating the first additional portion.

11. A method for processing trading orders, comprising:

receiving a first order associated with a product and comprising a displayed quantity and a reserved quantity; and

receiving a second order associated with the product and comprising a displayed quantity and a reserved quantity;

receiving a counterorder associated with the product;

filling the displayed quantity of the first order with a corresponding portion of the counterorder;

filling the displayed quantity of the second order with a corresponding portion of the counterorder; and

allocating a first additional portion of the counterorder to the first order, the first additional portion based at least in part on a ratio of the displayed quantity of the first order to a sum of the displayed quantity of the first order and the displayed quantity of the second order.

12. The method of claim 11, further comprising allocating a second additional portion of the counterorder to the second order, the second additional portion based at least in part on a ratio of the displayed quantity of the second order to the sum of the displayed quantity of the first order and the displayed quantity of the second order.

13. The method of claim 11, wherein the first and second orders comprise buy orders and the counterorder comprises a sell order.

14. The method of claim 11, wherein the first and second orders comprise sell orders and the counterorder comprises a buy order.

15. The method of claim 11, wherein the displayed quantity of the first order and the displayed quantity of the second order are filled in the same sequence that the first order and the second order were received.

16. The method of claim 11, further comprising:

receiving a third order associated with the product and comprising a displayed quantity and a reserved quantity; and

filling the displayed quantity of the third order prior to allocating the first additional portion of the counterorder.

17. The method of claim 16, wherein the third order is received prior to the counterorder.

18. The method of claim 16, further comprising:

determining whether any portion of the counterorder remains unfilled after filling the displayed quantities of the first order, the second order, and the third order; and

allocating the first additional portion of the counterorder to the first order only if some portion of the counterorder remains unfilled after filling the displayed quantities of the first order, the second order, and the third order.

19. The method of claim 11, wherein the first order was received at a first time and the second order was received at a second time, and further comprising allocating a second additional portion of the counterorder to the first order based at least in part upon the difference between the first time and the second time.

20. The method of claim 11, further comprising determining whether any remaining portion of the counterorder exists prior to allocating the first additional portion.

21. A platform for processing trading orders, comprising:

a client interface operable to receive;

a first order associated with a product and comprising a displayed quantity and a reserved quantity;

a second order associated with the product and comprising a displayed quantity and a reserved quantity; and

a counterorder associated with the product;

a processor coupled to the client interface and operable to;

facilitate filling the displayed quantity of the first order with a corresponding portion of the counterorder;

facilitate filling the displayed quantity of the second order with a corresponding portion of the counterorder; and

allocate a first additional portion of the counterorder to the first order, the first additional portion based at least in part on a ratio of the displayed quantity of the first order to a sum of the displayed quantity of the first order and the displayed quantity of the second order.

22. The apparatus of claim 21, wherein the processor is further operable to allocate a second additional portion of the counterorder to the second order, the second additional portion based at least in part on a ratio of the displayed quantity of the second order to the sum of the displayed quantity of the first order and the displayed quantity of the second order.

23. The apparatus of claim 21, wherein the first and second orders comprise buy orders and the counterorder comprises a sell order.

24. The apparatus of claim 21, wherein the first and second orders comprise sell orders and the counterorder comprises a buy order.

25. The apparatus of claim 21, wherein the displayed quantity of the first order and the displayed quantity of the second order are filled in the same sequence that the first order and the second order were received.

26. The apparatus of claim 21, wherein:

the client interface is further operable to receive a third order associated with the product and comprising a displayed quantity and a reserved quantity; and

the processor is further operable to facilitate filling the displayed quantity of the third order prior to allocating the first additional portion of the counterorder.

27. The apparatus of claim 26, wherein the third order is received prior to the counterorder.

28. The apparatus of claim 26, wherein:

the processor determines whether any portion of the counterorder remains unfilled after the displayed quantities of the first order, the second order, and the third order are filled; and

the processor allocates the first additional portion of the counterorder to the first order only if some portion of the counterorder remains unfilled after the displayed quantities of the first order, the second order, and the third order are filled.

29. The apparatus of claim 21, wherein:

the first order was received at a first time and the second order was received at a second time; and

the processor is further operable to allocate a second additional portion of the counterorder to the first order based at least in part upon the difference between the first time and the second time.

30. The apparatus of claim 21, wherein the processor is further operable to determine whether any remaining portion of the counterorder exists prior to allocating the first additional portion.