System and Method for Matching One or More Incoming Order to a Standing Order Based on Multi-Level Allocation

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.

1 . An apparatus comprising:
 a memory configured to store an order book; and   a processor configured to allocate a first order segment to a first portion of the order book based on a first criterion using a first allocation algorithm and allocate a second order segment to a second portion of the order book based on a second criterion using a second allocation algorithm.   
     
     
         2 . The apparatus of  claim 1 , wherein the first criterion is different than the second criterion and based on priority, quantity, or time of receipt. 
     
     
         3 . The apparatus of  claim 1 , wherein the processor is configured to allocate a third order segment to a third portion of the order book using a third allocation algorithm. 
     
     
         4 . The apparatus of  claim 3 , wherein the third allocation algorithm is a first-in, first-out (FIFO) allocation algorithm defined by a FIFO percentage to determine the percentage of an incoming order to be allocated according to the FIFO algorithm. 
     
     
         5 . The apparatus of  claim 1 , further comprising:
 a communication device configured to receive data indicative of a order including the first order segment and the second order segment from one or more terminals over a communication network.   
     
     
         6 . The apparatus of  claim 1 , wherein the communication network is wireless. 
     
     
         7 . The apparatus of  claim 1 , wherein the first criterion is based on market activity, and the processor is configured to calculate a size of the first portion of the order book based on market activity. 
     
     
         8 . The apparatus of  claim 1 , wherein the first allocation algorithm is a priority allocation algorithm. 
     
     
         9 . The apparatus of  claim 1 , wherein the second allocation algorithm is a pro-rata allocation algorithm. 
     
     
         10 . The apparatus of  claim 1 , wherein the pro-rata allocation algorithm includes a pro-rata percentage to determine a percentage of an incoming order to be allocated according to the pro-rata allocation algorithm. 
     
     
         11 . A method comprising:
 receiving an incoming order;   allocating a first order segment of the incoming order to a first portion of the order book based on a first criterion using a first allocation algorithm; and   allocating a second order segment of the incoming order to a second portion of the order book based on a second criterion using a second allocation algorithm.   
     
     
         12 . The method of  claim 1 , wherein the first criterion is different than the second criterion and based on priority, quantity, or time of receipt. 
     
     
         13 . The method of  claim 1 , further comprising:
 allocating a third order segment to a third portion of the order book using a third allocation algorithm.   
     
     
         14 . The method of  claim 13 , wherein the third allocation algorithm is a first-in, first-out (FIFO) allocation algorithm defined by a FIFO percentage to determine the percentage of the incoming order to be allocated according to the FIFO algorithm. 
     
     
         15 . The method of  claim 11 , wherein the first criterion is based on market activity, and a size of the first portion of the order book is calculated based on market activity. 
     
     
         16 . The method of  claim 11 , wherein the first allocation algorithm is a priority allocation algorithm. 
     
     
         17 . The apparatus of  claim 11 , wherein the second allocation algorithm is a pro-rata allocation algorithm defined by a pro-rata percentage to determine a percentage of the incoming order to be allocated according to the pro-rata allocation algorithm. 
     
     
         18 . A non-transitory computer readable medium including instructions configured to cause at least a processor to perform:
 establishing a first order segment as a first portion of an order book;   establishing a second order segment as a second portion of the order book that is different than the first portion;   establishing a third order segment, wherein the third order segment is a third portion of the order book;   designating the first order segment as a priority portion;   receiving an incoming order;   assigning the incoming order to one of the first, second or third segments;   allocating a quantity of a second incoming order to the priority portion utilizing a priority allocation algorithm;   allocating a first remaining quantity of the second incoming order portion utilizing a pro-rata allocation algorithm; and   allocating a second remaining quantity of the second incoming order portion utilizing a first-in, first-out (FIFO) allocation algorithm.   
     
     
         19 . The non-transitory computer readable medium of  claim 18 , wherein the pro-rata allocation algorithm includes a pro-rata percentage to determine a percentage of the incoming order to be allocated according to the pro-rata allocation algorithm. 
     
     
         20 . The non-transitory computer readable medium of  claim 18 , wherein the FIFO allocation algorithm includes a FIFO percentage to determine a percentage of the incoming order to be allocated according to the FIFO algorithm.