Matched order fulfillment with linear optimization
US10430878B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Sep 14, 2012 |
| Grant date | Oct 1, 2019 |
| Priority date | — |
| Expiry date | May 9, 2033 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q20/4016
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.