Trade allocation
First Claim
1. A computer-implemented method of allocating a trade of a number of same financial instruments among a plurality of different, concurrently available portfolios, the method comprising the steps of:
- receiving, at an allocating management system from an order management system, a message descriptive of a trade of a number of same financial instruments, the message comprising a financial instrument identifier and a size of the trade;
determining a risk class associated with an identified financial instrument;
determining a first plurality of portfolios associated with the risk class and a target ratio for each of the portfolios, wherein each of the first plurality of portfolios is different from the others of the first plurality of portfolios and is concurrently available for holding one or more of the financial instruments; and
allocating the trade of the number of financial instruments among each of the first plurality of portfolios based on the target ratio associated with each of said portfolios, such that each of the first plurality of portfolios is allocated a portion of the number of the financial instruments based on the target ratio,wherein at least one of said steps is performed by a computer.
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Accused Products
Abstract
A trade allocation system includes a computer system having a network interface over which messages can be exchanged with an order management system. The computer system is also coupled to a first database that stores data associating portfolios with risk classes and target ratios. A second database stores instructions to configure the system to receive from order management systems messages describing trades of financial instruments. Each message can include a financial instrument identifier, a size of the trade, and a risk class identifier. The instructions also configure the processor to query the first database to determining a portfolios that are associated with a risk class identified by a risk class identifier in a message as well as to determine a target ratio for each of the portfolios. The processor then allocates the trade of the financial instrument among each of the portfolios based on the target ratios. Allocating a trade of a financial instruments among a group of portfolios include receiving a message descriptive of a trade of a financial instrument. The message can include a financial instrument identifier and a size of the trade. A collection of portfolios are then identified based on a match between a risk class of the portfolio and the risk class of the traded financial instrument. The trade is then allocated among each of the portfolios based on a target ratio associated with each portfolio.
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Citations
19 Claims
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1. A computer-implemented method of allocating a trade of a number of same financial instruments among a plurality of different, concurrently available portfolios, the method comprising the steps of:
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receiving, at an allocating management system from an order management system, a message descriptive of a trade of a number of same financial instruments, the message comprising a financial instrument identifier and a size of the trade; determining a risk class associated with an identified financial instrument; determining a first plurality of portfolios associated with the risk class and a target ratio for each of the portfolios, wherein each of the first plurality of portfolios is different from the others of the first plurality of portfolios and is concurrently available for holding one or more of the financial instruments; and allocating the trade of the number of financial instruments among each of the first plurality of portfolios based on the target ratio associated with each of said portfolios, such that each of the first plurality of portfolios is allocated a portion of the number of the financial instruments based on the target ratio, wherein at least one of said steps is performed by a computer. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18)
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19. A trade allocation system for allocating a trade of a number of same financial instruments among a plurality of different, concurrently available portfolios, the system comprising:
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a computer system comprising a network interface configured to receive trading messages from an order management system; a first database coupled to the computer and comprising first data associating each of a plurality of portfolios with a risk class and a target ratio; a second database storing instruction to configure the computer system to; receive from the order management systems a message descriptive of a trade of a number of same financial instruments, the message comprising a financial instrument identifier, a size of the trade, and a risk class identifier; query the first database to determining a first plurality of portfolios that are associated with a risk class identified by the risk class identifier, wherein each of the first plurality of portfolios is different from the others of the first plurality of portfolios and is concurrently available for holding one or more of the same financial instruments; query the first database to determine a target ratio for each of the first plurality of portfolios; and allocate the trade of the number of the financial instruments among each of the first plurality of portfolios based on the determined target ratio for each of said portfolios.
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Specification