IP Library › Granted Patent US 7,853,499
Granted Patent B2
US 7,853,499 · App. 11/729,578 · Granted Dec 14, 2010

System and method of allocating an incoming order to standing orders

Assignee: Board of Trade of the City of Chicago
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Quick Facts
Patent No.
US 7,853,499
App. No.
11/729,578
Granted
Dec 14, 2010
Kind
B2
Abstract

A method of allocating a quantity of an incoming order for a product develops a value that indicates a portion of the incoming order this is to be allocated using a FIFO algorithm and allocates a first portion of the incoming order to standing orders using the FIFO algorithm. The method further allocates a second portion of the incoming order to standing orders using a pro-rata algorithm, wherein the step of allocating the second portion leaves a remaining quantity of the incoming order. In addition, the method allocates the remaining portion to the standing orders using a FIFO algorithm.

Claims (18)

1. A trading host that allocates a quantity of an incoming order for a product, the trading host comprising computer hardware and program code, wherein the program code, when executed, causes the trading host to perform the steps of:

receiving the incoming order over a network;

developing a value that indicates a portion of the incoming order that is to be allocated using a FIFO algorithm, wherein the value is greater than 0 percent and less than 100 percent;

allocating a first portion of the incoming order to standing orders using the FIFO algorithm in accordance with the value;

allocating a second portion of the incoming order to standing orders using a pro-rata algorithm, the step of allocating the second portion leaves a remaining quantity of the incoming order;

allocating the remaining quantity to the standing orders using a FIFO algorithm; and

wherein the value changes during a trading session in accordance with a metric associated with market activity.

2. The trading host of claim 1 , wherein the developing step comprises the step of establishing the value in accordance with market activity.

3. The trading host of claim 1 , wherein the developing step comprises the step of establishing the value in accordance with market activity.

4. The trading host of claim 1 , wherein the step of allocating the second portion comprises the step of rounding an amount allocated to a standing order.

5. The trading host of claim 4 , wherein the step of rounding the amount comprises the further step of rounding to a next higher integer.

6. The trading host of claim 4 , wherein the step of rounding the amount comprises the further step of truncating a fractional amount.

7. The trading host of claim 1 , wherein the product is an option.

8. The trading host of claim 1 , wherein the product is an option.

9. The trading host of claim 8 , wherein the option is on a futures contact.

10. The trading host of claim 1 , wherein the product is traded in an over-the-counter market.

11. The trading host of claim 1 , wherein the method comprises the further step of recording an unallocated quantity of the incoming order in a database.

12. The trading host of claim 1 , wherein the trading host comprises an electronic exchange.

Assignments (1)
ASSIGNMENT OF ASSIGNOR'S INTEREST Recorded Apr 17, 2007
From: CZUPEK, ANDREW; DURKIN, BRYAN T; MCCABE, THOMAS G; WOLF, BRIAN M; CUBA, DONALD M; KRONSTEIN, JONATHAN; MATHE, TROY C
To: BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
Reel/Frame 019173/0567 →
Continuity (1)
Related Publication 20080243576A1 · Oct 2, 2008