Products and processes for generating a plurality of orders

Abstract

A trading platform and trading method that permit calculation of a price is described. Other embodiments are also described.

1 - 3 . (canceled) 
     
     
         4 . A method comprising:
 determining, by the at least one processor, a sale reservation price increment for a sale of a predetermined quantity of the financial instrument,
 wherein the sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from the portfolio selling the predetermined quantity of the financial instrument; 
   calculating, by the at least one processor, a sale reservation price based on the sale reservation price increment and a market price;   generating, by the at least one processor, a sell order for the financial instrument at the sale reservation price for the predetermined quantity; and   causing, by the at least one processor, the sell order to be posted to an electronic marketplace.   
     
     
         5 . The method of  claim 4 , further comprising:
 prior to calculating a sale reservation price, calculating, by the at least one processor, a market price of the predetermined financial instrument based on at least a best bid price and a best offer price for the financial instrument, in which the act of calculating the market price comprises determining a first price between a best bid price and a best offer price for the financial instrument, and   in which the act of calculating a sale reservation price comprises calculating a sale reservation price based at least on the sale reservation price increment and the first price.   
     
     
         6 . The method of  claim 4 ,
 in which the predicted change in tracking error that would result from selling the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument.   
     
     
         7 . The method of  claim 6 , in which the benchmark comprises an index. 
     
     
         8 . The method of  claim 4 , in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. 
     
     
         9 . The method of  claim 8 , in which the benchmark index comprises a stock index fund. 
     
     
         10 . The method of  claim 4 , further comprising:
 receiving a confirmation of an executed trade against the sell order.   
     
     
         11 . The method of  claim 4 , further comprising:
 determining, by the at least one processor, a buy reservation price increment for a purchase of the predetermined quantity of the financial instrument,
 wherein the buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from the portfolio purchasing the predetermined quantity of the financial instrument; 
   calculating, by the at least one processor, a buy reservation price by adding the buy reservation price increment to the market price;   generating, by the at least one processor, a buy order for the financial instrument at the buy reservation price for the predetermined quantity; and   causing, by the at least one processor, the buy order to be posted to an electronic marketplace.   
     
     
         12 . The method of  claim 11 , in which the predicted change in tracking error that would result from purchasing the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio purchased the predetermined quantity of the financial instrument. 
     
     
         13 . The method of  claim 11 ,
 in which the predicted change in tracking error of the portfolio that would result from selling the predetermined quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument, and   in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument.   
     
     
         14 . The method of  claim 4 ,
 in which the act of determining a sale reservation price increment for a sale of a predetermined quantity of the financial instrument comprises determining a plurality of sale price increments for a respective plurality of sales of a respective plurality of different predetermined quantities of the financial instrument,   wherein each sale reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from the portfolio selling the respective predetermined quantity of the financial instrument.   
     
     
         15 . The method of  claim 14 ,
 in which the act of calculating a sale reservation price comprises calculating a plurality of respective sale reservation prices based on the respective plurality of sale reservation price increments and the market price;   in which the act of generating a sell order comprises generating a plurality of respective sell orders for the financial instrument at the plurality of respective sale reservation prices for the plurality of respective predetermined quantities; and   in which the act of causing the sell order to be posted to an electronic marketplace comprises causing the plurality of sell orders to be posted to at least one electronic marketplace.   
     
     
         16 . An apparatus comprising:
 at least one processor of at least one computer; and   at least one memory in electronic communication with the processor, the at least one memory having instructions stored thereon that are configured to, when executed by the at least one processor, direct the at least one processor to:
 determine a buy reservation price increment for a purchase of the predetermined quantity of the financial instrument,
 wherein the buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from the portfolio purchasing the predetermined quantity of the financial instrument; 
 
 calculate a buy reservation price by adding the buy reservation price increment to the market price; 
 generate a buy order for the financial instrument at the buy reservation price for the predetermined quantity; and 
 causing the buy order to be posted to an electronic marketplace. 
   
     
     
         17 . The apparatus of  claim 16 , further comprising:
 prior to calculating a buy reservation price, calculating, by the at least one processor, a market price of the predetermined financial instrument;   in which the act of calculating the market price comprises determining a first price between a best bid price and a best offer price for the financial instrument,   in which the act of calculating a buy reservation price comprises calculating a buy reservation price based on the buy reservation price increment and the first price,   in which the predicted change in tracking error that would result from buying the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument,   in which the benchmark comprises an index,   in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time, and   in which the instructions are further configured to, when executed by the at least one processor, further direct the at least one processor to: receive a confirmation of an executed trade against the buy order.   
     
     
         18 . The apparatus of  claim 16 , in which the instructions are further configured to, when executed by the at least one processor, further direct the at least one processor to:
 determine a sale reservation price increment for a sale of the predetermined quantity of the financial instrument,
 in which the sale reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from the portfolio selling the predetermined quantity of the financial instrument, 
 in which the predicted change in tracking error that would result from selling the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument; 
   calculate a sale reservation price by adding the sell reservation price increment to the market price;   generate a sell order for the financial instrument at the sale reservation price for the predetermined quantity; and   causing the sell order to be posted to an electronic marketplace.   
     
     
         19 . The apparatus of  claim 16 ,
 in which the predicted change in tracking error of the portfolio that would result from selling the predetermined quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument, and   in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument.   
     
     
         20 . The apparatus of  claim 16 ,
 in which the act of determining a buy reservation price increment for a purchase of a predetermined quantity of the financial instrument comprises determining a plurality of buy price increments for a respective plurality of purchases of a respective plurality of different predetermined quantities of the financial instrument,   wherein each buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from the portfolio purchasing the respective predetermined quantity of the financial instrument,   in which the act of calculating a buy reservation price comprises calculating a plurality of respective buy reservation prices based on the respective plurality of buy reservation price increments and the market price,   in which the act of generating a buy order comprises generating a plurality of respective buy orders for the financial instrument at the plurality of respective buy reservation prices for the plurality of respective predetermined quantities, and   in which the act of causing the buy order to be posted to an electronic marketplace comprises causing the plurality of buy orders to be posted to at least one electronic marketplace.   
     
     
         21 . A tangible computer-readable storage medium having instructions stored thereon which are configured to direct at least one processor to:
 determine a reservation price increment for at least one of a purchase and a sale of a predetermined quantity of the financial instrument,
 wherein the reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from the portfolio purchasing or selling the predetermined quantity of the financial instrument; 
   calculate a reservation price based on the reservation price increment and a market price;   generate an order comprising one of a sell order and a buy order for the financial instrument at the reservation price for the predetermined quantity; and   cause the order to be posted to an electronic marketplace.   
     
     
         22 . The tangible computer-readable storage medium of  claim 21 , in which the instructions are further configured to direct at least one processor to:
 prior to calculating a buy reservation price, calculating, by the at least one processor, a market price of the predetermined financial instrument,   in which the act of calculating the market price comprises determining a first price between a best bid price and a best offer price for the financial instrument,   in which the act of calculating a buy reservation price comprises calculating a buy reservation price based on the buy reservation price increment and the first price,   in which the predicted change in tracking error that would result from buying the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument,   in which the benchmark comprises an index,   in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time, and   in which the instructions are further configured to, when executed by the at least one processor, further direct the at least one processor to: receive a confirmation of an executed trade against the buy order.   
     
     
         23 . The tangible computer-readable storage medium of  claim 21 , in which the instructions are further configured to direct at least one processor to:
 in which the act of determining a reservation price increment for a purchase or sale of a predetermined quantity of the financial instrument comprises determining a plurality of price increments for a respective plurality of purchases or sales of a respective plurality of different predetermined quantities of the financial instrument,   wherein each reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from the portfolio purchasing or selling the respective predetermined quantity of the financial instrument,   in which the act of calculating a reservation price comprises calculating a plurality of respective reservation prices based on the respective plurality of reservation price increments and the market price,   in which the act of generating an order comprises generating a plurality of respective orders at the plurality of respective reservation prices for the plurality of respective predetermined quantities, each order comprising one of an order to buy and an order to sell the respective quantity of the financial instrument, and   in which the act of causing the order to be posted to an electronic marketplace comprises causing the plurality of orders to be posted to at least one electronic marketplace.