System and method for matching one or more incoming order to a standing order based on multi-level allocation

US8732062B2 · kind B2 · utility

Assignee

• Chicago Mercantile Exchange Inc. · US

Inventors

• Andrew Czupek · Chicago, US
• Bryan T. Durkin · Orland Park, US
• Thomas G. McCabe · Chicago, US
• Brian M. Wolf · Roselle, US
• Donald M. Cuba · Tinley Park, US
• Jonathan Kronstein · Elmhurst, US
• Troy C. Kane · Chicago, US

Key dates

• Filing date: Oct 7, 2008
• Grant date: May 20, 2014
• Expiry date: Apr 11, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

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.