Patent ID: 8554662
Filing Date: 2013-10-08
Classification: G06Q

Abstract:
1. A computer implemented method of allocating a fractional quantity of an underlying financial product to a trader that submits a plurality of orders, each being for a quantity of a derivative financial product derived from the underlying financial product and each being counter to a previously received order for a quantity of the derivative financial product, the previously received order being further characterized by a specified ratio of the quantity of the derivative financial product thereof to a quantity of the underlying financial product, the method comprising: receiving, by an allocation processor, a first order of the plurality of orders, the first order being for a quantity of the derivative financial product less than the quantity of the derivative financial product of the previously received order; computing, by the allocation processor, a first quantity of the underlying financial product, based on the quantity of the derivative financial product of the first order, to substantially achieve the specified ratio, wherein the specified ratio comprises a delta value; approximating, by the allocation processor, the first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assigning the first whole number quantity of the underlying financial product to the first order when the first order is fulfilled, wherein the approximating of the first quantity of the underlying financial product comprises rounding the first quantity of the underlying financial product; computing, by the allocation processor, a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the first, wherein the residual quantity of the underlying financial product is computed as a difference between the first quantity of the underlying financial product and the rounded first quantity of the underlying financial product; storing, by the allocation processor in a database coupled therewith, the residual quantity of the underlying financial product in association with the trader; receiving, by the allocation processor, a second order of the plurality of orders subsequent to the first order, the second order being for a quantity of the derivative financial product not exceeding the quantity of the derivative financial product of the previous order remaining after fulfillment of the first order; determining, by the allocation processor, the identity of the trader who submitted the second order and accessing the database based thereon to retrieve the stored residual quantity of the underlying financial product associated therewith; computing, by the allocation processor, a second quantity of the underlying financial product based on the quantity of the derivative financial product of the second order and the retrieved stored residual quantity of the underlying financial product to substantially achieve the specified ratio; and approximating, by the underlying component processor, the second quantity of the underlying financial product to determine a second whole number quantity of the underlying financial product and assigning the second whole number quantity of the underlying financial product to the second order when the second order is fulfilled.