Methods and apparatus for optimizing the distribution of trading executions

1. A computer implemented method, comprising:

allocating by a computer a total executed quantity of an order for a product on a plurality of a customer's accounts, said allocating based on a pro-rata basis; and

constructing an initial solution;

distributing executed prices according to the initial solution; and

iteratively improving said initial solution.

2. The method of claim 1 , wherein said iteratively improving includes iteratively improving said initial solution by employing Tabu Search in conjunction with Simulated Annealing heuristics.

3. The method of claim 1 , wherein said initial solution is performed by distributing the executed prices in at least two lists.

4. The method of claim 1 , wherein said allocating further includes determining a pro-rata coefficient for each account.

5. The method of claim 3 , wherein the executed prices are sorted in ascending order of their absolute distance from an overall execution price average.

6. The method of claim 5 , wherein a first list includes prices that are less than or equal to the overall execution price average and a second list includes prices that are greater than the overall execution price average.

7. The method of claim 6 , further comprising distributing the executed prices at least in part based on a demand characteristic associated with each account.

8. The method of claim 2 , wherein said iteratively improving includes use of a min-max strategy.

9. An allocation system, comprising:

a processor; and

a storage device in communication with said processor and storing instructions adapted to be executed by said processor to:

allocate a total executed quantity of an order for a product on a plurality of a customer's accounts, said allocation based on a pro-rata basis; and

constructing an initial solution;

distributing executed prices according to the initial solution; and

iteratively improving said initial solution.

10. An allocation computer system, comprising:

a processor; and

a storage device in communication with said processor and storing instructions adapted to be executed by said processor to:

allocate a total executed quantity on a plurality of customer accounts, said allocation based on a pro-rata basis;

construct an initial solution;

distribute executed prices according to the initial solution; and

iteratively improve said initial solution.