MATCHING INCOMING ORDER TO A STANDING ORDER BASED ON ORDER PRIORITY ALLOCATION
A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and al...
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Main Authors | , , , , , , |
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Format | Patent |
Language | English French |
Published |
15.04.2010
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Subjects | |
Online Access | Get full text |
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Abstract | A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm. |
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AbstractList | A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm. |
Author | WOLF, BRIAN M KANE, TROY C KRONSTEIN, JONATHAN G DURKIN, BRYAN T CZUPEK, ANDREW P CUBA, DONALD M MCCABE, THOMAS G |
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DocumentTitleAlternate | APPARIEMENT D'UNE COMMANDE ENTRANTE A UNE COMMANDE PERMANENTE SUR LA BASE DE L'ATTRIBUTION D'UNE PRIORITE DE COMMANDE |
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RelatedCompanies | CHICAGO MERCANTILE EXCHANGE INC |
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Snippet | A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an... |
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SubjectTerms | CALCULATING COMPUTING COUNTING DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES PHYSICS SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR |
Title | MATCHING INCOMING ORDER TO A STANDING ORDER BASED ON ORDER PRIORITY ALLOCATION |
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