MULTI-BROKER ORDER ROUTING BASED ON NET POSITION

• US 20140379546A1
• Filed: 04/30/2014
• Published: 12/25/2014
• 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.
• Granted Patent: US 10,062,114 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• 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. (canceled)

2. A method including:

receiving by a computing device including a processor a trade order including a trade order quantity of a tradeable object for a user;

calculating by the computing device a first target net position for a first broker based on a first allocation percentage for the first broker;

calculating by the computing device a second target net position for a second broker based on a second allocation percentage for the second broker;

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

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

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

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

3. The method of claim 2, further including:

receiving by the computing device a routing rule.

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

5. The method of claim 3, further including:

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

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

6. The method of claim 2, further including:

calculating by 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; and

calculating by the computing device a total expected position by adding the total net position to the trade order quantity, 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, 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.

7. The method of claim 6, further including:

determining by 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.

8. The method of claim 7, wherein the first portion of the trade order quantity is allocated by subtracting the first net position of the user at the first broker related to the tradeable object from the first target net position when the direction for the trade order is the same as the direction of the total net position.

9. The method of claim 7, wherein the second portion of the trade order quantity is allocated by subtracting the second net position of the user at the second broker related to the tradeable object from the second target net position when the direction for the trade order is the same as the direction of the total net position.

10. The method of claim 6, further including, when the direction for the trade order is different than the direction of the total net position:

calculating by 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 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 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 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 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 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 computing device the second preliminary portion quantity for the second broker based on the identified excess; and

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

11. The method of claim 10, wherein the first portion of the trade order quantity is allocated to be the adjusted first preliminary portion quantity for the first broker.

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

13. The method of claim 2, further including:

checking by 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.

14. The method of claim 2, wherein the first message is a first trade order, wherein the second message is a second trade order.