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

• US 8,484,122 B2
• Filed: 08/03/2006
• Issued: 07/09/2013
• Est. Priority Date: 08/04/2005
• Status: Active Grant

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Original Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Inventors: Claus, Matthew W., Foley, Kevin M., Noviello, Joseph C., Lutnick, Howard W.
• Primary Examiner(s): Ebersman, Bruce I
• Application Number:
  US11/499,496
• Publication Number:
  US 20070130048A1
• Time in Patent Office: 2,532 Days
• Field of Search: 705/35, 705/36, 705/37, 705/38, 705/39
• 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 comprises a memory and a processor coupled to the memory. The memory stores first and second orders. 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 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, comprising:

at least one processor; and

at least one memory device electronically coupled to the at least one processor, wherein the at least one memory device stores instructions that when executed by the at least one processor direct the at least one processor to;

receive at least a first order, a second order, and a third order, wherein the first order, the second order, and the third order are associated with a product, the first order comprises a displayed quantity and a reserved quantity, the second order comprises a displayed quantity and a reserved quantity, the third order comprises a displayed quantity and a reserved quantity, and the reserved quantity of the first order, the reserved quantity of the second order, and the reserved quantity of the third order are available to be traded but are not displayed to traders;

receive a counterorder associated with the product, wherein the counterorder comprises a quantity;

fill at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with a portion of the counterorder;

determine that a remaining portion of the counterorder is unfilled;

determine a size of an additional portion of the counterorder from the remaining portion of the counterorder based at least in part on a first ratio that is equal to the displayed quantity of the first order divided by a sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order;

allocate the additional portion of the counterorder to the first order;

determine a size of a further portion of the counterorder from the remaining portion of the counterorder based at least in part on a second ratio that is equal to the displayed quantity of the second order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order; and

determine a size of a still further portion of the counterorder from the remaining portion of the counterorder based at least in part on a third ratio that is equal to the displayed quantity of the third order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order.

2. The apparatus of claim 1, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

determine the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order; and

determine the first ratio, the second ratio, and the third ratio based at least in part on determining the sum.

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

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

5. The apparatus of claim 1, wherein filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder comprises:

filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder in a same sequence that the first order, the second order, and the third order are received.

6. The apparatus of claim 1, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

allocate the further portion of the counterorder to the second order; and

allocate the still further portion of the counterorder to the third order.

7. The apparatus of claim 1, wherein determining the size of the additional portion of the counterorder comprises:

determining the size of the additional portion of the counterorder from the remaining portion of the counterorder based at least in part on another ratio that is equal to the displayed quantity of the first order divided by the reserved quantity of the first order.

8. The apparatus of claim 7, wherein determining the size of the additional portion of the counterorder from the remaining portion of the counterorder further comprises:

multiplying the remaining portion of the counterorder by the first ratio and the another ratio.

9. The apparatus of claim 1, wherein allocating the additional portion of the counterorder to the first order comprises:

after determining the size of the still further portion of the counterorder from the remaining portion of the counterorder, allocating the additional portion of the counterorder to the first order.

10. The apparatus of claim 1, wherein receiving at least the first order, the second order, and the third order comprises:

receiving the first order at a first time and the second order at a second time that is subsequent to the first time;

and wherein the instructions, when executed by the at least one processor, further direct the at least one processor to;

determine another portion of the counterorder based at least in part on a difference between the first time and the second time; and

allocate the another portion of the counterorder to the first order.

11. The apparatus of claim 1, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

fill at least a portion of the reserved quantity of the first order with the additional portion of the counterorder.

12. The apparatus of claim 11, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

fill at least a portion of the reserved quantity of the second order with the further portion of the counterorder; and

fill at least a portion of the reserved quantity of third order with the still further portion of the counterorder.

13. The apparatus of claim 1, wherein the product comprises a financial instrument.

14. The apparatus of claim 1, wherein determining the size of the additional portion of the counterorder from the remaining portion of the counterorder comprises:

multiplying the remaining portion of the counterorder by the first ratio.

15. The apparatus of claim 14, wherein determining the size of the further portion of the counterorder from the remaining portion of the counterorder comprises:

multiplying the remaining portion of the counterorder by the second ratio;

and wherein determining the size of the still further portion of the counterorder from the remaining portion of the counterorder comprises;

multiplying the remaining quantity of the counterorder by the third ratio.

16. The apparatus of claim 15, wherein the first ratio, the second ratio, and the third ratio are of different values.

17. The apparatus of claim 1, wherein receiving at least the first order, and the second order, and the third order comprises:

receiving the first order prior to receiving the third order;

and wherein the instructions, when executed by the at least one processor, further direct the at least one processor to;

determine another portion of the counterorder based at least in part on receiving the first order prior to receiving the third order; and

allocate the another portion of the counterorder to the first order.

18. The apparatus of claim 1, wherein a sum of the first, second, and third ratios is equal to one.

19. The apparatus of claim 1, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

receive a fourth order associated with the product, wherein the fourth order comprises a displayed quantity and a reserved quantity, wherein the fourth order is received prior to receiving the counterorder; and

wherein filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder comprises;

filling at least the displayed quantity of the first order, the displayed quantity of the second order, the displayed quantity of the third order, and the displayed quantity of the fourth order with the portion of the counterorder, wherein the displayed quantity of the fourth order is filled prior to allocating the additional portion of the counterorder to the first order; and

wherein the instructions, when executed by the at least one processor, further direct the at least one processor to;

determine a size of another portion of the counterorder from the remaining portion of the counterorder based at least in part on a fourth ratio that is equal to the displayed quantity of the fourth order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, the displayed quantity of the third order, and the displayed quantity of the fourth order.

20. The apparatus of claim 19, wherein a sum of the first, second, third, and fourth ratios is equal to one.

29. The method of claim 1, wherein allocating the additional portion of the counterorder to the first order comprises:

after determining the size of the still further portion of the counterorder from the remaining portion of the counterorder, allocating the additional portion of the counterorder to the first order.

21. A method, comprising:

receiving, by at least one processor of a computer, at least a first order, a second order, and a third order, wherein the first order, the second order, and the third order are associated with a product, the first order comprises a displayed quantity and a reserved quantity, the second order comprises a displayed quantity and a reserved quantity, the third order comprises a displayed quantity and a reserved quantity, and the reserved quantity of the first order, the reserved quantity of the second order, and the reserved quantity of the third order are available to be traded but are not displayed to traders;

receiving, by the at least one processor, a counterorder associated with the product, wherein the counterorder comprises a quantity;

filling, by the at least one processor, at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with a portion of the counterorder;

determining, by the at least one processor, that a remaining portion of the counterorder is unfilled;

determining, by the at least one processor, a size of an additional portion of the counterorder from the remaining portion of the counterorder based at least in part on a first ratio that is equal to the displayed quantity of the first order divided by a sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order;

allocating, by the at least one processor, the additional portion of the counterorder to the first order;

determining, by the at least one processor, a size of a further portion of the counterorder from the remaining portion of the counterorder based at least in part on a second ratio that is equal to the displayed quantity of the second order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order; and

determining, by the at least one processor, a size of a still further portion of the counterorder from the remaining portion of the counterorder based at least in part on a third ratio that is equal to the displayed quantity of the third order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order.

22. The method of claim 21, further comprising:

determine, by the at least one processor, the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order; and

determine, by the at least one processor, the first ratio, the second ratio, and the third ratio based at least in part on determining the sum.

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

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

25. The method of claim 21, wherein filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder comprises:

filling, by the at least one processor, at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder in a same sequence that the first order, the second order, and the third order are received.

26. The method of claim 21, further comprising:

allocating, by the at least one processor, the further portion of the counterorder to the second order; and

allocating, by the at least one processor, the still further portion of the counterorder to the third order.

27. The method of claim 21, wherein determining the size of the additional portion of the counterorder comprises:

determining, by the at least one processor, the size of the additional portion of the counterorder from the remaining portion of the counterorder based at least in part on another ratio that is equal to the displayed quantity of the first order divided by the reserved quantity of the first order.

28. The method of claim 27, wherein determining the size of the additional portion of the counterorder from the remaining portion of the counterorder further comprises:

multiplying, by the at least one processor, the remaining portion of the counterorder by the first ratio and the another ratio.

30. The method of claim 21, wherein receiving at least the first order, the second order, and the third order comprises:

receiving, by the at least one processor, the first order at a first time and the second order at a second time that is subsequent to the first time;

and wherein the method further comprises;

determining, by the at least one processor, another portion of the counterorder based at least in part on a difference between the first time and the second time; and

allocating, by the at least one processor, the another portion of the counterorder to the first order.

31. The method of claim 21, further comprising:

filling, by the at least one processor, at least a portion of the reserved quantity of the first order with the additional portion of the counterorder.

32. The method of claim 31, further comprising:

filling, by the at least one processor, at least a portion of the reserved quantity of the second order with the further portion of the counterorder; and

filling, by the at least one processor, at least a portion of the reserved quantity of the third order with the still further portion of the counterorder.

33. The method of claim 21, wherein determining the size of the additional portion of the counterorder from the remaining portion of the counterorder comprises:

multiplying, by the at least one processor, the remaining portion of the counterorder by the first ratio.

34. The method of claim 33, wherein determining the size of the further portion of the counterorder from the remaining portion of the counterorder comprises:

multiplying, by the at least one processor, the remaining portion of the counterorder by the second ratio;

and wherein determining the size of the still further portion of the counterorder from the remaining portion of the counterorder comprises;

multiplying, by the at least one processor, the remaining quantity of the counterorder by the third ratio.

35. The method of claim 34, wherein the first ratio, the second ratio, and the third ratio are of different values.

36. The method of claim 21, wherein receiving at least the first order, and the second order, and the third order comprises:

receiving, by the at least one processor, the first order prior to receiving the third order;

and wherein the method further comprises;

determining, by the at least one processor, another portion of the counterorder based at least in part on receiving the first order prior to receiving the third order; and

allocating, by the at least one processor, the another portion of the counterorder to the first order.

37. The method of claim 21, wherein the product comprises a financial instrument.

38. The method of claim 21, wherein a sum of the first, second, and third ratios is equal to one.

39. The method of claim 21, further comprising:

receiving, by the at least one processor, a fourth order associated with the product, wherein the fourth order comprises a displayed quantity and a reserved quantity, wherein the fourth order is received prior to receiving the counterorder; and

wherein filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder comprises;

filling, by the at least one processor, at least the displayed quantity of the first order, the displayed quantity of the second order, the displayed quantity of the third order, and the displayed quantity of the fourth order with the portion of the counterorder, wherein the displayed quantity of the fourth order is filled prior to allocating the additional portion of the counterorder to the first order; and

wherein the method further comprises;

determining, by the at least one processor, a size of another portion of the counterorder from the remaining portion of the counterorder based at least in part on a fourth ratio that is equal to the displayed quantity of the fourth order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, the displayed quantity of the third order, and the displayed quantity of the fourth order.

40. The method of claim 39, wherein a sum of the first, second, third, and fourth ratios is equal to one.

42. The article of manufacture of claim 40, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

determine the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order; and

determine the first ratio, the second ratio, and the third ratio based at least in part on determining the sum.

41. An article of manufacture, comprising:

a storage medium, wherein the storage medium stores instructions that, when executed by at least one processor, direct the at least one processor to;

receive at least a first order, a second order, and a third order, wherein the first order, the second order, and the third order are associated with a product, the first order comprises a displayed quantity and a reserved quantity, the second order comprises a displayed quantity and a reserved quantity, the third order comprises a displayed quantity and a reserved quantity, and the reserved quantity of the first order, the reserved quantity of the second order, and the reserved quantity of the third order are available to be traded but are not displayed to traders;

receive a counterorder associated with the product, wherein the counterorder comprises a quantity;

fill at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with a portion of the counterorder;

determine that a remaining portion of the counterorder is unfilled;

determine a size of an additional portion of the counterorder from the remaining portion of the counterorder based at least in part on a first ratio that is equal to the displayed quantity of the first order divided by a sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order;

allocate the additional portion of the counterorder to the first order;

determine a size of a further portion of the counterorder from the remaining portion of the counterorder based at least in part on a second ratio that is equal to the displayed quantity of the second order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order; and

determine a size of a still further portion of the counterorder from the remaining portion of the counterorder based at least in part on a third ratio that is equal to the displayed quantity of the third order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order.

43. The article of manufacture of claim 41, wherein the first, second, and third orders comprise respective buy orders and the counterorder comprises a sell order.

44. The article of manufacture of claim 41, wherein the first, second, and third orders comprise respective sell orders and the counterorder comprises a buy order.

45. The article of manufacture of claim 41, wherein filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder comprises:

filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder in a same sequence that the first order, the second order, and the third order are received.

46. The article of manufacture of claim 41, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

allocate the further portion of the counterorder to the second order; and

allocate the still further portion of the counterorder to the third order.

47. The article of manufacture of claim 41, wherein determining the size of the additional portion of the counterorder comprises:

determining the size of the additional portion of the counterorder from the remaining portion of the counterorder based at least in part on another ratio that is equal to the displayed quantity of the first order divided by the reserved quantity of the first order.

48. The article of manufacture of claim 47, wherein determining the size of the additional portion of the counterorder from the remaining portion of the counterorder further comprises:

multiplying the remaining portion of the counterorder by the first ratio and the another ratio.

49. The article of manufacture of claim 41, wherein allocating the additional portion of the counterorder to the first order comprises:

after determining the size of the still further portion of the counterorder from the remaining portion of the counterorder, allocating the additional portion of the counterorder to the first order.

50. The article of manufacture of claim 41, wherein receiving at least the first order, the second order, and the third order comprises:

receiving the first order at a first time and the second order at a second time that is subsequent to the first time;

and wherein the instructions, when executed by the at least one processor, further direct the at least one processor to;

determine another portion of the counterorder based at least in part on a difference between the first time and the second time; and

allocate the another portion of the counterorder to the first order.

51. The article of manufacture of claim 41, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

fill at least a portion of the reserved quantity of the first order with the additional portion of the counterorder.

52. The article of manufacture of claim 51, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

fill at least a portion of the reserved quantity of the second order with the further portion of the counterorder; and

fill at least a portion of the reserved quantity of the third order with the still further portion of the counterorder.

53. The article of manufacture of claim 41, wherein the product comprises a financial instrument.

54. The article of manufacture of claim 41, wherein determining the size of the additional portion of the counterorder from the remaining portion of the counterorder comprises:

multiplying the remaining portion of the counterorder by the first ratio.

55. The article of manufacture of claim 54, wherein determining the size of the further portion of the counterorder from the remaining portion of the counterorder comprises:

multiplying the remaining portion of the counterorder by the second ratio;

and wherein determining the size of the still further portion of the counterorder from the remaining portion of the counterorder comprises;

multiplying the remaining quantity of the counterorder by the third ratio.

56. The article of manufacture of claim 55, wherein the first ratio, the second ratio, and the third ratio are of different values.

57. The article of manufacture of claim 41, wherein receiving at least the first order, and the second order, and the third order comprises:

receiving the first order prior to receiving the third order;

and wherein the instructions, when executed by the at least one processor, further direct the at least one processor to;

determine another portion of the counterorder based at least in part on receiving the first order prior to receiving the third order; and

allocate the another portion of the counterorder to the first order.

58. The article of manufacture of claim 41, wherein a sum of the first, second, and third ratios is equal to one.

59. The article of manufacture of claim 41, wherein the instructions, when executed by the at least one processor, further direct the at least one processor to:

receive a fourth order associated with the product, wherein the fourth order comprises a displayed quantity and a reserved quantity, wherein the fourth order is received prior to receiving the counterorder; and

wherein filling at least the displayed quantity of the first order, the displayed quantity of the second order, and the displayed quantity of the third order with the portion of the counterorder comprises;

filling at least the displayed quantity of the first order, the displayed quantity of the second order, the displayed quantity of the third order, and the displayed quantity of the fourth order with the portion of the counterorder, wherein the displayed quantity of the fourth order is filled prior to allocating the additional portion of the counterorder to the first order; and

wherein the instructions, when executed by the at least one processor, further direct the at least one processor to;

determine a size of another portion of the counterorder from the remaining portion of the counterorder based at least in part on a fourth ratio that is equal to the displayed quantity of the fourth order divided by the sum of at least the displayed quantity of the first order, the displayed quantity of the second order, the displayed quantity of the third order, and the displayed quantity of the fourth order.

60. The article of manufacture of claim 59, wherein a sum of the first, second, third, and fourth ratios is equal to one.