Methods and Systems to Employ Aggregated Order Quantity Modification Strategies

Abstract

The disclosed embodiments provide an order balancing tool for modifying one or more components of an aggregated order in response to a change in quantity of the aggregated order. As used herein, the phrase “aggregated order” refers to two or more trade orders for a same tradeable object at a same price that may be distributed between two or more electronic exchanges. Aggregating trade order quantities may be useful, for example, for trading groups to improve the likelihood of the total number of contracts being filled by placing one trade order rather than two separate trade order that may be separated by additional trade orders received from different accounts.

1 . (canceled) 
     
     
         2 . A method including:
 determining by a computing device an aggregated order based on a first trade order and a second trade order, wherein the first trade order is for a tradeable object, wherein the second trade order is for the tradeable object, wherein the first trade order is for a first trade order quantity, wherein the second trade order is for a second trade order quantity, wherein the aggregated order has an initial aggregated order quantity based on the first trade order quantity and the second trade order quantity;   allocating by the computing device a first component quantity to a first electronic exchange based on the initial aggregated order quantity and a first allocation percentage associated with the first electronic exchange;   allocating by the computing device a second component quantity to a second electronic exchange based on the initial aggregated order quantity and a second allocation percentage associated with the second electronic exchange;   submitting by the computing device, in response to allocating the first component quantity, a first order for the first component quantity to the first electronic exchange;   submitting by the computing device, in response to allocating the second component quantity, a second order for the second component quantity to the second electronic exchange;   receiving by the computing device a request to modify a trade order quantity for a trade order associated with the aggregated order;   calculating by the computing device, in response to receiving the request to modify, an updated aggregated order quantity for the aggregated order based on the initial aggregated order quantity and the request to modify;   calculating by the computing device an updated first component quantity based on the updated aggregated order quantity, the first allocation percentage, and first market data representing a quantity of the first component quantity filled by the first electronic exchange;   calculating by the computing device an updated second component quantity based on the updated aggregated order quantity, the second allocation percentage, and second market data representing a quantity of the second component quantity filled by the second electronic exchange; and   submitting by the computing device, in response to calculating the updated first component quantity and the updated second component quantity, at least one of a first modified order based on the updated first component quantity to the first electronic exchange and a second modified order for the second component quantity to the second electronic exchange.   
     
     
         3 . The method of  claim 2 , wherein the first trade order is received from a first trading device, wherein the second trade order is received from a second trading device. 
     
     
         4 . The method of  claim 2 , wherein the first trading device is the same as the second trading device. 
     
     
         5 . The method of  claim 2 , wherein the first trade order is for a first trade order price, and the second trade order is for a second trade order price. 
     
     
         6 . The method of  claim 2 , wherein the first trade order price is the same as the second trade order price. 
     
     
         7 . The method of  claim 2 , wherein the initial aggregated order quantity is the sum of the first trade order quantity and the second trade order quantity. 
     
     
         8 . The method of  claim 2 , further including:
 comparing by the computing device the updated first component quantity to a threshold.   
     
     
         9 . The method of  claim 8 , wherein calculating the updated first component quantity includes, in response to determining that the updated first component quantity fails to satisfy the threshold, modifying by the computing device the first component quantity based on the first component quantity and the first market data. 
     
     
         10 . The method of  claim 9 , wherein calculating the updated second component quantity includes:
 calculating by the computing device a modified aggregated order quantity based on the updated aggregated order quantity and the first market data;   calculating by the computing device a third allocation percentage associated with the second electronic exchange based on the first allocation percentage and the second allocation percentage; and   calculating by the computing device a third component quantity to provide to the second electronic exchange based on the modified aggregated order quantity and the third allocation percentage.   
     
     
         11 . The method of  claim 2 , wherein calculating the updated first component quantity includes determining the difference between the first market data and a modified component quantity based on the updated aggregated order quantity and the first allocation percentage. 
     
     
         12 . The method of  claim 2 , wherein the updated first component quantity corresponds to the first allocation percentage of the updated aggregated order quantity, wherein the updated second component quantity corresponds to the second allocation percentage of the updated aggregated order quantity.