ALLOCATION BASED ON ORDER QUALITY

摘要

An incoming order is matched or allocated to trade with a plurality of resting orders. Order book data indicative of the resting orders is obtained. For each resting order, a set of order quality factor scores is determined based on the order book data. The order quality factor scores include any combination of two or more of a first factor score indicative of order quantity, a second factor score indicative of order book position, and a third factor score indicative of order duration without modification. A ranking of the plurality of resting orders is determined based on the set of order quality factor scores determined for each order of the plurality of resting orders. A volume of the incoming order is allocated across a subset of orders of the plurality of resting orders based on the ranking in partial satisfaction of the incoming order.

主权项

1. A computer implemented method for matching an incoming order for a quantity of a financial product, the method comprising:
obtaining 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 a processor, for each order of the plurality of resting orders, a set of order quality factor scores based on the order book data, the set of order quality factor scores including any combination of two or more of the following order quality factor scores: a first factor score indicative of order quantity; a second factor score indicative of order book position; and a third factor score indicative of order duration without modification; determining a ranking of the plurality of resting orders based on the set of order quality factor scores determined for each order of the plurality of resting orders; and allocating a volume of the incoming order across a subset of orders of the plurality of resting orders based on the ranking in partial satisfaction of the incoming order.