Apparatus and method for trade aggregation of trade allocations and settlements

US8812383B2 · kind B2 · utility

Assignee

• ITG Software Solutions, Inc. · US

Inventors

• Ronald D. Lee · Merrimack, US
• Mervin C. Newell · Victorville, US
• Scott H. Kurland · New York, US
• Ian P. L. Hoenisch · Salem, US
• James B. Weiner · Newington, US
• Gerald B. Drayer · Lake Grove, US
• Robert L. Sher · New York, US

Key dates

• Filing date: Jun 28, 2010
• Grant date: Aug 19, 2014
• Expiry date: Dec 24, 2030

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/02
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A post-trade aggregation system includes an allocation middleware interface, which interacts with an order management system to allocate and settle trades. The order management system receives a trade order on behalf of a customer and either apportions the trade into a plurality of smaller orders and communicates them to a plurality of order destinations directly (e.g. via the FIX protocol), or sends large orders to an order staging and optimization interface which then apportions the larger orders into a plurality of smaller orders and communicates the orders to a plurality of order destinations. The post-trade aggregation system contains an allocation middleware interface which receives the individual trade executions from the plurality of order destination and compresses them into a single average-priced block. The allocation middleware interface then sends the single average-priced block to be cleared by a designated clearing agent and allocates the single average-priced block into one or more custodian accounts. In further aspects, a method and apparatus are also provided.