Trade allocation
First Claim
1. A computer-implemented method of allocating a trade of a number of financial instruments, the method comprising:
- receiving at an allocation management system from an order management systems a message descriptive of a trade of a financial instrument, the message comprising a financial instrument identifier and a size of the trade;
determining a risk class associated with the identified financial instrument;
determining a first plurality of portfolios associated with the risk class and a target ratio for each of the portfolios; and
allocating the trade of the financial instrument among each of the first plurality of portfolios based on the target ratio associated with each of said portfolios.
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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 financial instruments, the method comprising:
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receiving at an allocation management system from an order management systems a message descriptive of a trade of a financial instrument, the message comprising a financial instrument identifier and a size of the trade;
determining a risk class associated with the identified financial instrument;
determining a first plurality of portfolios associated with the risk class and a target ratio for each of the portfolios; and
allocating the trade of the financial instrument among each of the first plurality of portfolios based on the target ratio associated with each of said portfolios. - 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 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 instructions to configure the computer system to;
receive from the order management systems a message descriptive of a trade of a financial instrument, 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 query the first database to determine a target ratio for each of the first plurality of portfolios; and
allocate the trade of the financial instrument among each of the first plurality of portfolios based on the determined target ratio for each of said portfolios.
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Specification