TRADING BASED ON FILL RATE
According to various embodiments, trades may be filled based at in part on order price and fill rates determined for providers of orders. In some embodiments, orders at a given price in an order book may be ordered in order of decreasing fill rate, such that orders associated with a higher fill rate (or higher probability of fill) are preferenced above orders associated with a lower fill rate. In some embodiments, order books may also be ordered based in part on response times from order providers. For example, orders in an order book may be ordered according to an algorithm that preferences higher fill rates and shorter response times ahead of orders with lower fill rates and longer response times. Order book ordering algorithms may also consider order quantity and interdependence and duplication of order quantity.
1 . An apparatus comprising:
at least one processor associated with a workstation of a specific trader; and
at least one memory having instructions stored thereon which, when executed by the at least one processor, further direct the at least one processor to:
receive a first order for an item, the first order associated with a first fill rate and a first response time;
after receiving the first order, receive a second order for the item associated with a second fill rate and a second response time;
order, in an order book of the specific trader, the second order ahead of the first order based at least in part on the first fill rate and first response time associated with the first order and the first fill rate and first response time of the second order;
responsive to ordering the second order ahead of the first order in the order book, cause an order of the specific trader to be executed against the second order before any executing of any order of the specific trader against the first order.