发明名称 |
SYSTEM AND METHOD FOR ALLOCATING ELECTRONIC TRADE ORDERS AMONG A. PLURALITY OF ELECTRONIC TRADE VENUES |
摘要 |
<p>A method and system for optimizing allocation of large block orders for a security for maximum fill rate and minimum information leakage. The invention includes a process by which a block order for a security is allocated to a number of suborders which are then submitted to various electronic trading destinations to be filled. This allocation process involves ranking the suborders on the basis of a quality measurement, calculating and assigned a liquidity expectation to each suborder, determining a maximum target execution rate for the security that will not result in market impact, assigning orders to a trade list beginning with the higher rank suborder until the sum of shares represented in the list is equal to the maximum target execution rate, allocating the suborders not assigned to the trade list, and submitting the suborders to the corresponding electronic trading destination.</p> |
申请公布号 |
WO2011097365(A1) |
申请公布日期 |
2011.08.11 |
申请号 |
WO2011US23584 |
申请日期 |
2011.02.03 |
申请人 |
ITG SOFTWARE SOLUTIONS, INC.;MITTAL, HITESH;GLEASON, KEN |
发明人 |
MITTAL, HITESH;GLEASON, KEN |
分类号 |
G06Q40/00 |
主分类号 |
G06Q40/00 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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