Matching with Level Residual Allocation

• US 20150073963A1
• Filed: 09/11/2013
• Published: 03/12/2015
• Est. Priority Date: 09/11/2013
• Status: Abandoned Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Wolf, Brian M., Kane, Troy McDonald
• Application Number:
  US14/024,467
• Publication Number:
  US 20150073963A1
• 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 relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders. A primary volume of the aggressor order is allocated to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order. A residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order is computed. Unfilled orders of the set of previously received orders are arranged in a ranking based on a second matching procedure independent of order size. A predetermined, level quantity of the aggressor order is allocated to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted.

Claims

1. A computer implemented method for matching an aggressor order for a quantity of a financial product with one or more of a set of previously received unmatched orders for the financial product that are counter to the aggressor order, the method comprising:

allocating a primary volume of the aggressor order to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order;

computing, with a processor, a residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order;

arranging unfilled orders of the set of previously received orders in a ranking based on a second matching procedure independent of order size;

allocating a predetermined, level quantity of the aggressor order to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted; and

storing transaction data indicative of trades of the financial product to be executed with the first and second subsets of the set of previously received orders.

2. The computer implemented method of claim 1 wherein the second matching procedure is configured to rank the unfilled orders in accordance with timestamps of the unfilled orders.

3. The computer implemented method of claim 1 wherein the second matching procedure is configured to rank the unfilled orders randomly.

4. The computer implemented method of claim 1 wherein the first matching procedure is configured to implement a pro-rata algorithm, a first in first out (“

FIFO”

) algorithm, a Price Explicit Time algorithm, an Order Level Pro Rata algorithm, an Order Level Priority Pro Rata algorithm, a Preference Price Explicit Time algorithm, a Preference Order Level Pro Rata algorithm, a Preference Order Level Priority Pro Rata algorithm, a Threshold Pro-Rata algorithm, a Priority Threshold Pro-Rata algorithm, a Preference Threshold Pro-Rata algorithm, a Priority Preference Threshold Pro-Rata algorithm, a Split Price-Time Pro-Rata algorithm, or combinations thereof.

5. The computer implemented method of claim 1, wherein the first matching procedure is configured to implement an algorithm dependent upon order size.

6. The computer implemented method of claim 1, wherein the first matching procedure is configured to implement an initial matching round in accordance with a FIFO algorithm and a subsequent matching round in accordance with a pro-rata algorithm.

7. The computer implemented method of claim 1 wherein arranging the unfilled orders comprises aggregating orders of the unfilled orders in the ranking that originate from a common entity.

8. The computer implemented method of claim 1 wherein arranging the unfilled orders comprises excluding from the ranking an order of the unfilled orders belonging to the first subset.

9. The computer implemented method of claim 1 wherein the predetermined, level quantity is a 1-lot quantity.

10. The computer implemented method of claim 1 further comprising selecting the second matching procedure from a plurality of leveling procedures.

11. A system for matching an aggressor order for a quantity of a financial product with one or more of a set of previously received unmatched orders for the financial product that are counter to the aggressor order, 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 allocate a primary volume of the aggressor order to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order, the first matching procedure is configured to cause the processor to implement an algorithm dependent upon order size;

second logic stored in the memory and executable by the processor to cause the processor to compute a residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order;

third logic stored in the memory and executable by the processor to cause the processor to arrange unfilled orders of the set of previously received orders in a ranking based on a second matching procedure independent of order size;

fourth logic stored in the memory and executable by the processor to cause the processor to allocate a predetermined, level quantity of the aggressor order to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted; and

fifth logic stored in the memory and executable by the processor to cause the processor to store transaction data indicative of trades of the financial product to be executed with the first and second subsets of the set of previously received orders.

12. The system of claim 11 wherein the second matching procedure is configured to cause the processor to rank the unfilled orders in accordance with timestamps of the unfilled orders.

13. The system of claim 11 wherein the second matching procedure is configured to cause the processor to rank the unfilled orders randomly.

14. The system of claim 11 wherein the first matching procedure is configured to cause the processor to implement an initial matching round in accordance with a FIFO algorithm and a subsequent matching round in accordance with a pro-rata algorithm.

15. The system of claim 11 wherein the third logic is further executable by the processor to cause the processor to aggregate orders of the unfilled orders in the ranking that originate from a common entity.

16. The system of claim 11 wherein the third logic is further executable by the processor to cause the processor to exclude from the ranking an order of the unfilled orders belonging to the first subset.

17. The system of claim 11, further comprising sixth logic stored in the memory and executable by the processor to cause the processor to select the second matching procedure from a plurality of leveling procedures.

18. A computer program product for matching an aggressor order for a quantity of a financial product with one or more of a set of previously received unmatched orders for the financial product that are counter to the aggressor order, the computer program product comprising one or more non-transitory 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:

allocating a primary volume of the aggressor order to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order, the first matching procedure is configured to cause the processor to implement an algorithm dependent upon order size;

computing a residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order;

arranging unfilled orders of the set of previously received orders in a ranking based on a second matching procedure independent of order size;

allocating a predetermined, level quantity of the aggressor order to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted; and

storing transaction data indicative of trades of the financial product to be executed with the first and second subsets of the set of previously received orders.

19. The computer program product of claim 18 wherein the second matching procedure is configured to rank the unfilled orders in accordance with timestamps of the unfilled orders.

20. The computer program product of claim 18 wherein the second matching procedure is configured to rank the unfilled orders randomly.

21. The computer program product of claim 18 wherein arranging the unfilled orders comprises aggregating orders of the unfilled orders in the ranking that originate from a common entity.

22. The computer program product of claim 18 wherein arranging the unfilled orders comprises excluding from the ranking an order of the unfilled orders belonging to the first subset.

23. A system for matching an aggressor order for a quantity of a financial product with one or more of a set of previously received unmatched orders for the financial product that are counter to the aggressor order, the system comprising:

means for allocating a primary volume of the aggressor order to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order;

means for computing a residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order;

means for arranging unfilled orders of the set of previously received orders in a ranking based on a second matching procedure independent of order size;

means for allocating a predetermined, level quantity of the aggressor order to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted; and

means for storing transaction data indicative of trades of the financial product to be executed with the first and second subsets of the set of previously received orders.