SIZE-BASED ALLOCATION PRIORITIZATION

摘要

The disclosed embodiments relate to systems and methods that match or allocate an incoming order to trade with a plurality of resting orders. Order book data indicative of the resting orders is obtained. An allocation priority listing of the plurality of resting orders is determined based on the order book data. The allocation priority listing prioritizes the plurality of resting orders by order price, and further prioritizes by order size those of the plurality of resting orders having an identical order price. A volume of the incoming order is allocated in accordance with the allocation priority listing by proceeding sequentially through the plurality of resting orders starting with the respective resting order listed first in the allocation priority listing. A successive resting order in the allocation priority listing is not filled until the respective resting order currently being filled is either filled completely or a fill limit is met.

主权项

1. A computer implemented method for matching an incoming order for a quantity of a financial product, the method comprising:
obtaining, by a processor, order book data indicative of a plurality of resting orders for the financial product that are unmatched and counter to the incoming order; determining, with the processor, an allocation priority listing of the plurality of resting orders based on the order book data, the allocation priority listing prioritizing the plurality of resting orders by order price, and further prioritizing by order size those of the plurality of resting orders having an identical order price; and allocating, by the processor, a volume of the incoming order in accordance with the allocation priority listing by proceeding sequentially through the plurality of resting orders starting with the respective resting order of the plurality of resting orders listed first in the allocation priority listing, such that a successive resting order of the plurality of resting orders in the allocation priority listing is not filled until the respective resting order of the plurality of resting orders currently being filled is either filled completely or a fill limit is met.