METHODS AND SYSTEMS FOR MATCHING BUY AND SELL ORDERS
First Claim
1. A method for matching buy and sell orders, comprising:
- determining, using a microprocessor, an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders wherein each order defines at least a number of shares and an acceptable price range criteria;
selecting, with the microprocessor, executable buyer-side and seller-side orders for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point;
evenly allocating shares between the executable buyer-side and seller-side orders, using the microprocessor, by mapping available shares between the seller-side and buyer-side orders based on a round-lot base allocation; and
distributing, using the microprocessor, the allocated shares from the seller-side orders to the buyer-side orders.
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Abstract
Methods and systems for matching buy and sell orders that maximize the number of shares matched while simultaneously providing an even allocation of shares regardless of when a given order is received, are provided herein. The methods and system utilize an optimization function to determine the optimized price point at which the maximum number of shares can be matched using such inputs as a set of buy and sell orders, market spread, and participant defined exclusion criteria. This optimized price point may then be used to select those buy and sell orders eligible for participation in the matching event. Shares are then evenly allocated between participants using, for example, a round-lot base allocation procedure. The methods and systems may also utilize an anti-gaming function that compresses multiple orders from a single participant into a single participant interest prior to allocating shares.
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Citations
23 Claims
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1. A method for matching buy and sell orders, comprising:
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determining, using a microprocessor, an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders wherein each order defines at least a number of shares and an acceptable price range criteria; selecting, with the microprocessor, executable buyer-side and seller-side orders for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point; evenly allocating shares between the executable buyer-side and seller-side orders, using the microprocessor, by mapping available shares between the seller-side and buyer-side orders based on a round-lot base allocation; and distributing, using the microprocessor, the allocated shares from the seller-side orders to the buyer-side orders. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21)
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22. A system for matching buy and sell orders, comprising:
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a microprocessor couple to memory, wherein the processor is programmed for; determining an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders, wherein each orders defines at least a number of shares and an acceptable price range criteria; selecting participants for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point; evenly allocating shares by mapping available seller-side shares to buyer-side orders based on a round-lot base allocation; and distributing the mapped shares from the seller-side orders to the buyer-side orders.
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23. A non-transitory computer-readable storage medium with an executable program for matching buy and sell orders stored thereon, wherein the program instructs a microprocessor to perform the following steps:
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determining an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders, wherein each order defines a number of shares and an acceptable price range criteria; selecting participants for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point; mapping shares by evenly allocating available seller-side shares to buyer-side orders based on a round-lot base allocation; and distributing the mapped shares from the seller-side orders to the buyer-side orders.
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Specification