Apparatus and method for trade aggregation of trade allocations and settlements
View Patent ↗A post-trade aggregation system includes an allocation middleware interface, which interacts with an order management system to allocate and settle trades. The order management system receives a trade order on behalf of a customer and either apportions the trade into a plurality of smaller orders and communicates them to a plurality of order destinations directly (e.g. via the FIX protocol), or sends large orders to an order staging and optimization interface which then apportions the larger orders into a plurality of smaller orders and communicates the orders to a plurality of order destinations. The post-trade aggregation system contains an allocation middleware interface which receives the individual trade executions from the plurality of order destination and compresses them into a single average-priced block. The allocation middleware interface then sends the single average-priced block to be cleared by a designated clearing agent and allocates the single average-priced block into one or more custodian accounts. In further aspects, a method and apparatus are also provided.
1. A post-trade aggregation and clearing system for a financial trading system, said financial trading system including a data interface system for managing a trade order to be executed by an executing broker on behalf of a customer and an order staging system for apportioning the trade order into a plurality of smaller trade orders and communicating the plurality of smaller trade orders to a plurality of order destinations, said post-trade aggregation and clearing system including:
a post-trade aggregation system configured to receive individual trade order executions for the plurality of smaller trade orders from the data interface system or from the order staging system, and to compress the individual trade order executions into a single average-priced block and clear the individual trade order executions on an aggregated basis;
wherein said post-trade aggregation system includes:
allocation middleware configured to compress by computer the individual trade order executions from said plurality of order destinations into a single average-priced block;
said individual order executions clearing broker-to-broker with a designated clearing agent; and
said allocation middleware configured to allocate by computer the average-priced block among a plurality of custodial accounts based on the received allocation information.
2. The post-trade aggregation and clearing system of claim 1 , wherein said data interface system is selected from an order management system, an execution management system, and a settlement system.
3. The post-trade aggregation and clearing system of claim 1 , further comprising:
one or more programmable settings, each setting selected from among compression interval, brokers, execution services, clearing firms, allocation rules, class configuration, and combinations thereof.
4. The post-trade aggregation and clearing system of claim 1 , further comprising one or both of:
a reporting module; and
a research module.