APPARATUS AND METHOD FOR TRADE AGGREGATION OF TRADE ALLOCATIONS AND SETTLEMENTS
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:
allocation middleware configured to:
receive a plurality of individual electronic financial instrument trade order executions from a plurality of order destinations, said individual trade order executions clearing broker-to-broker with a designated clearing agent;
compress the individual electronic trade order executions from said plurality of order destinations into said average-priced block; and
allocate the average-priced block among a plurality of custodial accounts based on received allocation information.
2 . The post-trade aggregation system of claim 1 , wherein said plurality of individual electronic financial instrument trade order executions are received from a data interface system selected from an order management system, an execution management system, and a settlement system.
3 . The post-trade aggregation system of claim 2 , wherein said plurality of individual electronic financial instrument trade order executions are received from the data interface in a flat computer file.
4 . The post-trade aggregation system of claim 2 , wherein said plurality of individual electronic financial instrument trade order executions are received from the data interface via an electronic transmission protocol.
5 . The post-trade aggregation system of claim 4 , wherein said electronic transmission protocol is a FIX protocol.
6 . 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 to a plurality of electronic order destinations;
for each of said plurality of smaller electronic trade orders, receiving individual electronic trade order executions messages from the plurality of electronic order destinations; and
transmitting the individual electronic trade order executions from said messages to a post-trade aggregation system for combining individual trade order executions into an average-priced block and clearing individual trade order executions on an aggregated basis;
compressing the individual electronic trade order executions from the plurality of electronic order destinations into the 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; and
transmitting said average-priced block to one or more investment accounts in accordance with the allocation information.
7 . The method of claim 6 , wherein said individual electronic trade order executions messages are received from a data interface system selected from an order management system, an execution management system, and a settlement system.
8 . The method of claim 7 , wherein said plurality of individual electronic financial instrument trade order executions are received from the data interface in a flat computer file.
9 . The method of claim 7 , wherein said plurality of individual electronic financial instrument trade order executions are received from the data interface via an electronic transmission protocol.
10 . The method of claim 9 , wherein said electronic transmission protocol is a FIX protocol.