Matched order fulfillment with linear optimization

Abstract

A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices.

1 . (canceled) 
     
     
         2 . A computer implemented method for matching compound orders, the method comprising:
 receiving, by a server computer system in communication with a plurality of computer devices via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;   accessing a memory in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the compound orders are to be executed;   implementing, with a processor of the server computer system, an optimization process configured for fulfillment of the compound orders, the fulfillment being via order matching for execution at the respective price of each financial instrument of the plurality of financial instruments; and   transmitting trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;   wherein implementing the optimization process comprises:
 configuring the optimization process via a number of constraints, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument; and 
 determining net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders; 
   wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment.   
     
     
         3 . The computer implemented method of  claim 2 , wherein the maximum net risk exposure level is a risk metric-weighted level. 
     
     
         4 . The computer implemented method of  claim 2 , wherein the maximum net risk exposure level is a volatility metric-weighted level. 
     
     
         5 . The computer implemented method of  claim 2 , wherein the maximum net risk exposure level is a maximum net beta-weighted notional exposure level. 
     
     
         6 . The computer implemented method of  claim 2 , wherein the order matching within each financial instrument is a further constraint on the optimization process. 
     
     
         7 . The computer implemented method of  claim 2 , wherein:
 the plurality of financial instruments are correlated with a market; and   the net risk exposure levels are determined based on a risk metric of each financial instrument relative to a market indicator of the market.   
     
     
         8 . The computer implemented method of  claim 7 , wherein the market indicator is a market index. 
     
     
         9 . The computer implemented method of  claim 2 , wherein the compound orders to buy the financial instruments are indicated in the integer operant function via integer numbers of contracts having an opposite sign of the orders to sell the financial instruments. 
     
     
         10 . The computer implemented method of  claim 2 , further comprising receiving, via the communication network, the maximum net risk exposure level for at least one of the market participants. 
     
     
         11 . A server computer system for matching compound orders, the server computer system comprising a processor and a memory coupled therewith, the server computer system further comprising:
 first logic stored in the memory and executable by the processor to receive, from a plurality of computer devices in communication with the server computer system via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;   second logic stored in the memory and executable by the processor to cause the processor to access a database in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the compound orders are to be executed;   third logic stored in the memory and executable by the processor to cause the processor to implement an optimization process configured for fulfillment of the compound orders, the fulfillment being via order matching at the respective price of each financial instrument of the plurality of financial instruments; and   fourth logic stored in the memory and executable by the processor to cause the processor to transmit trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;   wherein the third logic is further executable by the processor to cause the processor to:
 configure the optimization process via a number of constraints, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument; and 
 determine net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders; 
   wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment.   
     
     
         12 . The server computer system of  claim 11 , wherein the maximum net risk exposure level is a risk metric-weighted level. 
     
     
         13 . The server computer system of  claim 11 , wherein the maximum net risk exposure level is a volatility metric-weighted level. 
     
     
         14 . The server computer system of  claim 11  wherein the maximum net risk exposure level is a maximum net beta-weighted notional exposure level. 
     
     
         15 . The server computer system of  claim 11 , wherein the order matching within each financial instrument is a further constraint on the optimization process. 
     
     
         16 . The server computer system of  claim 11 , wherein:
 the plurality of financial instruments are correlated with a market; and   the net risk exposure levels are determined based on a risk metric of each financial instrument relative to a market indicator of the market.   
     
     
         17 . The server computer system of  claim 11 , wherein the compound orders to buy the financial instruments are indicated in the integer operant function via integer numbers of contracts having an opposite sign of the orders to sell the financial instruments. 
     
     
         18 . A computer program product for matching compound orders, the computer program product comprising one or more computer-readable storage media having stored thereon computer-executable instructions that, when executed by one or more processors of a server computer system, cause the server computer system to perform a procedure, the procedure comprising:
 receiving, from a plurality of computer devices in communication with the server computer system via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;   accessing a memory in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the orders are to be executed;   implementing an optimization process configured for fulfillment of the compound orders, the fulfillment being via order matching at the respective price of each financial instrument of the plurality of financial instruments; and   transmitting trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;   wherein implementing the optimization process comprises:
 configuring the optimization process via a number of constraints, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument; and 
 determining net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders; 
   wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment.   
     
     
         19 . The computer program product of  claim 18 , wherein the maximum net risk exposure level is a volatility metric-weighted level. 
     
     
         20 . The computer program product of  claim 18 , wherein the order matching within each financial instrument is a further constraint on the optimization process. 
     
     
         21 . The computer program product of  claim 18 , wherein the compound orders to buy the financial instruments are indicated in the integer operant function via integer numbers of contracts having an opposite sign of the orders to sell the financial instruments.