Trade allocation

US7089206B2 · kind B2 · utility

Assignee

• UBS AG · CH

Inventor

• William Martin · Erie, US

Key dates

• Filing date: Jun 26, 2001
• Grant date: Aug 8, 2006
• Expiry date: Nov 22, 2023

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/12
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A trade allocation system includes a computer system having a network interface over which messages can be exchanged with an order management system. The computer system is also coupled to a first database that stores data associating portfolios with risk classes and target ratios. A second database stores instructions to configure the system to receive from order management systems messages describing trades of financial instruments. Each message can include a financial instrument identifier, a size of the trade, and a risk class identifier. The instructions also configure the processor to query the first database to determining a portfolios that are associated with a risk class identified by a risk class identifier in a message as well as to determine a target ratio for each of the portfolios. The processor then allocates the trade of the financial instrument among each of the portfolios based on the target ratios. Allocating a trade of a financial instruments among a group of portfolios include receiving a message descriptive of a trade of a financial instrument. The message can include a financial instrument identifier and a size of the trade. A collection of portfolios are the…