ALLOCATION BASED ON ORDER QUALITY
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United States of America Patent
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N/A
Issued Date -
Jan 7, 2016
app pub date -
Jul 3, 2014
filing date -
Jul 3, 2014
priority date (Note) -
Abandoned
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Abstract
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.
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