System and method of allocating an incoming order to standing orders

Abstract

A method of allocating a quantity of an incoming order to a plurality of standing orders, wherein the plurality of standing orders are contra to the incoming order and have an identical price is disclosed. The method includes allocating a first portion of the quantity of the incoming order to a first subset of the plurality of standing orders, wherein each order comprising the first subset is designated with a priority; allocating a second portion of the quantity of the incoming order to a second subset of the plurality of standing orders, wherein each order comprising the second subset was submitted by a preferred trader; allocating a third portion of the quantity of the incoming order to a third subset of the plurality of standing orders in accordance with when each order comprising the third subset was received; and allocating a fourth portion of the quantity of the incoming order to a fourth subset of the plurality of standing order proportionally.

1 . A method of allocating a quantity of an incoming order to a plurality of standing orders, wherein the plurality of standing orders are contra to the incoming order and have an identical price, the method comprising the steps of:
 allocating a first portion of the quantity of the incoming order to a first subset of the plurality of standing orders, wherein each order comprising the first subset is designated with a priority;   allocating a second portion of the quantity of the incoming order to a second subset of the plurality of standing orders, wherein each order comprising the second subset was submitted by a preferred trader;   allocating a third portion of the quantity of the incoming order to a third subset of the plurality of standing orders in accordance with when each order comprising the third subset was received; and   allocating a fourth portion of the quantity of the incoming order to a fourth subset of the plurality of standing order proportionally.   
     
     
         2 . The method of  claim 1 , wherein the method comprises the further step of designating orders comprising the first subset with the priority in accordance with a criterion. 
     
     
         3 . The method of  claim 2 , wherein the criterion is improving the market. 
     
     
         4 . The method of  claim 2 , wherein the criterion requires a minimum order quantity. 
     
     
         5 . The method of  claim 1 , wherein the step of allocating the fourth portion comprises the step of comparing a quantity associated with each order comprising the fourth subset with a predetermined value. 
     
     
         6 . The method of  claim 1 , wherein the step of allocating the second portion comprises the step of allocating a part of the second portion to an order comprising the second subset, wherein the part is in accordance with a ratio associated with the trader who submitted the order. 
     
     
         7 . The method of  claim 2 , wherein the step of allocating a part of the second portion comprises the step of calculating the part in accordance with the ratio and the quantity of the incoming order. 
     
     
         8 . The method of  claim 1 , wherein the method undertakes the step of allocating the second portion before undertaking the step of allocating the first portion. 
     
     
         9 . The method of  claim 1 , wherein the method undertakes the step of allocating the fourth portion before undertaking the step of allocating the step of allocating the third portion.