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 data interface to allocate and settle trades. An order management system receives a trade order on behalf of a customer and causes apportionment of the trade into a plurality of smaller orders to be transmitted to a plurality of order destinations directly (e.g. via the FIX protocol). The post-trade aggregation system includes 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 transmits 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.
1. A post-trade aggregation system, comprising:
an allocation computer configured to:
receive a plurality of individual electronic financial instrument trade order executions from a plurality of order destinations, each of said plurality of individual electronic financial instrument trade order executions clearing broker-to-broker with a designated clearing agent;
compress the plurality of individual electronic financial instrument trade order executions from said plurality of order destinations into an average-priced block; and
allocate the average-priced block among a plurality of custodial accounts based on received allocation information;
wherein said plurality of individual electronic financial instrument trade order executions are received from one or more data interface systems selected from an order management system, an execution management system, and a settlement system;
wherein said plurality of individual electronic financial instrument trade order executions are received via an electronic transmission protocol.
2. The post-trade aggregation system of claim 1 , wherein wherein said plurality of individual electronic financial instrument trade order executions are received in a flat computer file.
3. The post-trade aggregation system of claim 1 , wherein said electronic transmission protocol is a Financial Information eXchange (FIX) protocol.
4. A method of electronically trading and clearing a financial instrument, comprising:
preparing an electronic trade order;
electronically apportioning the electronic trade order into a plurality of smaller electronic trade orders;
electronically communicating the plurality of smaller electronic trade orders among a plurality of electronic order destinations;
for each of said plurality of smaller electronic trade orders, receiving individual electronic trade order execution messages from the electronic order destination of said plurality of electronic order destinations; and
transmitting the individual electronic trade order executions from said messages to a post-trade aggregation system;
at said post aggregation system, compressing the received individual trade order executions from the plurality of order destinations into a single average-priced block;
clearing each of the smaller electronic trade orders broker-to-broker with a designated clearing agent;
electronically communicating allocation information for allocating said single average-priced block to said designated clearing agent;
transmitting said single average-priced block to one or more custodial investment accounts in accordance with the allocation information;
wherein said individual electronic trade order execution messages are received from a data interface system selected from an order management system, an execution management system, and a settlement system;
wherein of individual electronic trade order execution messages are received via an electronic transmission protocol.
5. The method of claim 4 ,
wherein said individual electronic trade order execution messages are received from the data interface in a flat file.
6. The method of claim 4 , wherein said electronic transmission protocol is a Financial Instrument eXchange (FIX) protocol.