A trade allocation system (110) having a computer system with a network interface over which messages can be exchanged with an order management system (101). The computer system is also coupled to a first database (102) that stores data associating portfolios with risk classes and target ratios. A second database stores instructions to configure the system to receive from order management systems (101) messages describing trades of financial instruments. Each message can include a financial instrument identifier, a size of the trade, and a risk class identifier. The processor then allocates the trade of the financial instrument among each of the portfolios based on the target ratios.
