Products and processes for order distribution

Abstract

To provide a system, an apparatus, and a method for trading financial instruments through multiple trading intermediaries.SOLUTION: A method includes: calculating a first distribution for a first portion of a first order of a participant who is going to trade a financial instrument; attempting to meet the first order of the participant through a plurality of matching occurrence places in accordance with the first distribution for the first portion; receiving an instruction to identify a change in the sum of individual amounts from a plurality of second orders for the same transaction of a financial instrument through at least one matching occurrence place among the plurality of matching occurrence places; based at least partially on the change, computing a second distribution for a second portion of the first order through the plurality of matching occurrence places; and in response to the computing the second distribution, attempting to meet the first order through the plurality of matching occurrence places in accordance with the second distribution for the second portion.SELECTED DRAWING: Figure 2

Description

Technical Field

[0001] Cross - Reference to Related Applications This application claims priority to U.S. Patent Application No. 12 / 189,266, filed on August 11, 2008, entitled "Products and Processes for Order Dispersion".

Brief Description of the Drawings

[0002]

Figure 1

Figure 2

Figure 3

Best Mode for Carrying Out the Invention

[0003] An exchange can be used to trade various financial products.

[0004] In some embodiments, the dispersion of orders among multiple exchanges is described.

[0005] Although various embodiments of trading financial products are described, it should be recognized that the technical problems addressed by some embodiments are not limited to such applications. Rather, trading of financial products is provided only as an example. Some embodiments can be used in various applications, for example, to improve efficiency by dispersing processing and / or resource usage.

[0006] The following Sections I - X serve as a guide for interpreting this application.

[0007] I. Terms The term "product" means any machine, manufactured article, and / or composition, unless otherwise specified.

[0008] The term "process" means any process, algorithm, method, etc., unless otherwise specified.

[0009] Since each process (regardless of how it is called, such as method, algorithm, etc.) essentially includes one or more steps, all references to "step" or "steps" of a process have an essential basis for the description of the "process" or similar terms. Therefore, any reference to "step" or "steps" of a process in a claim has a sufficient basis.

[0010] The term "invention" and similar terms mean "one or more inventions disclosed in the present application", unless otherwise specified.

[0011] The terms "an embodiment", "embodiment", "embodiments", "the embodiment", "the embodiments", "one or more embodiments", "some embodiments", "certain embodiments", "one embodiment", "another embodiment", and similar terms mean "one or more (but not all) embodiments of the disclosed invention", unless otherwise specified.

[0012] The term "variation" of an invention means an embodiment of the invention, unless otherwise specified.

[0013] References to "another embodiment" in the context of describing an embodiment do not imply, unless otherwise stated, that the referenced embodiment is mutually exclusive with another embodiment (e.g., an embodiment described prior to the referenced embodiment).

[0014] The terms "including", "comprising", and variations thereof mean "including but not limited to" unless otherwise specified.

[0015] The terms "a", "an", and "the" mean "one or more" unless otherwise specified.

[0016] The term "plurality" means "two or more" unless otherwise specified.

[0017] The term "herein" means "in this application, including any matter that may be incorporated by reference" unless otherwise specified.

[0018] The phrase "at least one of", when modifying a plurality of items (such as those listed), means any combination of one or more of those items, unless otherwise specified. For example, the phrase "at least one widget, car, and wheel" means (i) a widget, (ii) a car, (iii) a wheel, (iv) a widget and a car, (v) a widget and a wheel, (vi) a car and a wheel, or (vii) a widget, a car, and a wheel. The phrase "at least one of" does not mean "each one of" the plurality of items when it modifies a plurality of items.

[0019] When numerical terms such as "one", "two", etc. are used as cardinal numbers indicating a quantity (e.g., one widget, two widgets), they mean the quantity indicated by that numerical term and not at least the quantity indicated by that numerical term. For example, the phrase "one widget" does not mean "at least one widget", so the phrase "one widget" does not encompass, for example, two widgets.

[0020] The phrase "based on" does not mean "based only on" unless otherwise specified. In other words, the phrase "based on" means both "based only on" and "based at least on". The phrase "based at least on" is equivalent to the phrase "based at least in part on".

[0021] The terms "represent" and similar terms are not exclusive unless otherwise specified. For example, the term "represents" does not mean "represents only" unless otherwise specified. In other words, the phrase "the data represents a credit card number" means both "the data represents only a credit card number" and "the data represents a credit card number and the data represents something else".

[0022] The term "whereby" is used in this specification only to precede a clause or other combination of words that expresses only some intended result, purpose, or conclusion previously explicitly described. Thus, when the term "whereby" is used in a claim, the clause or other words modified by the term "whereby" do not impose a further specific limitation on the claim and otherwise do not limit the meaning or scope of the claim.

[0023] The terms "for example" and similar terms mean "for example", and thus do not limit the terms or phrases they describe. For example, in the sentence "A computer sends data (for example, instructions, data structures) via the Internet", the term "for example" explains that "instructions" are examples of "data" that a computer can send via the Internet, and also explains that "data structures" are examples of "data" that a computer can send via the Internet. However, both "instructions" and "data structures" are only examples of "data", and other things other than "instructions" and "data structures" can also be "data".

[0024] The terms "respective" and similar terms mean "taken individually". Thus, when two or more things have "respective" characteristics, each of such things has its own characteristics, and these characteristics can be different from each other, but that is not necessary. For example, the phrase "Each of the two machines has its respective function" means that the first such machine has a function and the second such machine also has a function. The function of the first machine may or may not be the same as the function of the second machine.

[0025] The terms "i.e." and similar terms mean "that is", and thus limit the terms or phrases they describe. For example, in the sentence "A computer sends data (i.e., instructions) via the Internet", the term "i.e." explains that "instructions" are the "data" that a computer sends via the Internet.

[0026] Any given numerical range shall be construed to include the integers and fractions within that range. For example, the range "1 to 10" shall be construed to specifically include the integers (e.g., 1, 2, 3, 4,..., 9) and non-integers (e.g., 1.1, 1.2,..., 1.9) between 1 and 10.

[0027] If two or more terms or phrases are synonymous (e.g., by an explicit statement that the terms or phrases are synonymous), this does not mean that an example of one such term / phrase must have a different meaning from an example of another such term / phrase. For example, if there is a statement that the meaning of "including" is synonymous with "including but not limited to", simply using the phrase "including but not limited to" does not mean that the term "including" means something other than "including but not limited to".

[0028] II. determining The term "determining" and its grammatical variants (e.g., "to determine" the price, "determining" the value, "determine" an object meeting a certain criterion) are used in a very broad sense. Since the term "determining" brings about a wide range of actions, "determining" can include calculating, computing, processing, deriving, investigating, searching (e.g., searching in a table, database, or another data structure), verifying, etc. Also, "determining" can include receiving (e.g., receiving information), accessing (e.g., accessing data in a memory), etc. Further, "determining" can include solving, selecting, choosing, setting, etc.

[0029] Since the term "determining" does not imply certainty or absolute precision, "determining" can include estimating, extrapolating, predicting, speculating, etc.

[0030] The term "determining" does not imply that a mathematical process must be performed, that a numerical method must be used, or that an algorithm or process must be employed.

[0031] The term "determining" does not imply that any particular apparatus must be used. For example, a computer is not necessarily required to "determine".

[0032] III. Form of the Claims Where the limitation of the first claim includes one feature in addition to two or more features (for example, a limitation such as "at least one widget" includes one widget in addition to two or more widgets), and in a second claim that depends on the first claim, the second claim refers to that limitation using the definite article "the" (e.g., "the widget"), this does not imply that the first claim includes only one feature, nor does it imply that the second claim includes only one feature (e.g., "the widget" can include both one widget and two or more widgets).

[0033] When ordinals (such as "first", "second", "third", etc.) are used as adjectives before terms, the ordinals are used (unless otherwise specified) simply to indicate a particular feature (such as to distinguish that particular feature from another feature described by the same or a similar term). For example, a "first widget" can be so named simply to distinguish it from, for example, a "second widget". Thus, by simply using ordinals such as "first" and "second" before the term "widget", no other relationship between the two widgets is indicated, nor are any other features of either or both widgets indicated. For example, by simply using ordinals such as "first" and "second" before the term "widget", (1) it is not indicated that either widget comes before or after any other in order or location, (2) it is not indicated that either widget occurs before or after or acts before or after any other in time, and (3) it is not indicated that either widget is positioned above or below any other in terms of importance or quality, etc. Additionally, by simply using ordinals, no numerical limitation is defined for the feature identified by the ordinal. For example, by simply using ordinals such as "first" and "second" before the term "widget", it is not indicated that there should not be more than two widgets.

[0034] When a single device, article, or other product is described herein, two or more devices / articles (regardless of whether they cooperate) may be used as an alternative instead of the single device / article described. Thus, the functions described as being possessed by the device may, alternatively, be possessed by two or more devices / articles (regardless of whether they cooperate).

[0035] Similarly, if two or more devices, articles, or other products (regardless of whether they cooperate) are described herein, a single device / article may be used as an alternative in place of the two or more described devices or articles. For example, multiple computer-based devices may be replaced with a single computer-based device. Thus, various functions described as being possessed by two or more devices or articles may alternatively be possessed by a single device / article.

[0036] The functions and / or features of the single described device may alternatively be embodied by one or more other devices that are described but not explicitly described as having such functions / features. Accordingly, other embodiments need not include the described device itself, but may include one or more other devices that would have such functions / features in those other embodiments.

[0037] IV. The disclosed examples and terms are not limiting Neither the title (set forth at the beginning of the first page of this application) nor the abstract (set forth at the end of this application) should be construed as in any way limiting the scope of the disclosed invention, nor should they be used in construing the meaning of any claim or in limiting the scope of any claim. The abstract is merely included in this application because an abstract is required under 37 C.F.R. § 1.72(b).

[0038] The title of this application and the headings of the sections provided in this application are for convenience only and should not be construed as in any way limiting this disclosure.

[0039] Numerous embodiments are described in this application and presented for illustrative purposes only. The described embodiments are not limiting in any sense and are not so intended. The invention according to the present disclosure is widely applicable to numerous embodiments as will be readily apparent from the present disclosure. Those skilled in the art will recognize that the disclosed invention may be practiced with various modifications and alterations, such as structural, logical, software, and electrical modifications. Specific features of the disclosed invention may be described with reference to one or more specific embodiments and / or drawings, but it should be understood that such features are not limited to their usage in the one or more specific embodiments or drawings referenced in describing them, unless otherwise specified.

[0040] An embodiment may be disclosed as including some features, but other embodiments of the invention may include fewer features than all such features. Thus, for example, a claim may be directed to fewer features than the entire set of features in the disclosed embodiments, and such a claim will not include features other than those explicitly recited in the claim.

[0041] No embodiment of a step of a method or an element of a product described in this application constitutes, is essential to, or has the same scope as the invention claimed herein, unless it is expressly stated to be so in this specification or in a claim.

[0042] The preambles of the following claims recite only the purposes, benefits, and possible uses of the claimed invention and do not limit the claimed invention.

[0043] This disclosure is not a literal description of all embodiments of the invention. Nor is this disclosure a list of features of the invention that must exist in all embodiments.

[0044] All disclosed embodiments need not be encompassed by the claims (including all claims, whether pending, amended, issued, or cancelled). Additionally, an embodiment may (but need not) be encompassed by some of the claims. Thus, if a claim (whether pending, amended, issued, or cancelled) is directed to a particular embodiment, that is not evidence that the scope of other claims does not also encompass that embodiment.

[0045] Devices described as communicating with each other need not be continuously communicating with each other unless expressly stated otherwise. Rather, such devices may simply send data to each other as needed or desired and may not actually exchange data most of the time. For example, a machine communicating with another machine via the Internet may not send data to the other machine for a long period of time (e.g., several weeks at a time). Additionally, devices communicating with each other may communicate directly or indirectly through one or more intermediaries.

[0046] The description of an embodiment having several components or features does not imply that all or any of such components / features are required. Rather, various optional components are described to illustrate the wide variety of possible embodiments of the invention. Unless expressly stated otherwise, none of the components / features are essential or required.

[0047] Steps of a process, algorithms, etc. may be described or claimed in a particular sequential order, but such processes may be configured to operate in a different order. In other words, no sequence or order of steps that may be explicitly described or claimed necessarily indicates that those steps should be performed in that order. The steps of the processes described herein may be performed in any possible order. Further, even if some steps are described or implied as not occurring simultaneously (e.g., because one step is described after another), they may be performed simultaneously. Moreover, a description of a process by depiction in a drawing does not imply that the described process excludes other variations and modifications of that process, nor does it imply that the described process or any of its steps are necessary for the present invention, nor does it imply that the described process is preferred.

[0048] A process may be described as including a plurality of steps, but this does not imply that all or any of the steps are preferred, essential, or required. Other various embodiments within the scope of the described invention include other processes that omit some or all of the described steps. Unless otherwise specified, no step is essential or required.

[0049] A process may be described alone or without reference to other products or methods, but in embodiments, the process may interact with other products or methods. For example, such interaction may include steps of linking one business model to another. Such interaction can be provided to enhance the flexibility or desirability of the process.

[0050] The product may be described as including a plurality of components, aspects, qualities, characteristics, and / or features, but it does not indicate that any or all of the plurality are preferred, essential, or required. Other various embodiments within the scope of the described invention include other products that omit some or all of the plurality that have been described.

[0051] An enumerated list of items (which may or may not be numbered) does not imply that any or all of the items are mutually exclusive unless otherwise specified. Similarly, an enumerated list of items (which may or may not be numbered) does not imply that any or all of the items cover any category unless otherwise specified. For example, an enumerated list of "computer, laptop, PDA" does not imply that any or all of the three items in the list are mutually exclusive, nor does it imply that any or all of the three items in the list cover any category.

[0052] An enumerated list of items (which may or may not be numbered) does not imply that any or all of the items are equivalent to each other or are easily substitutable for each other.

[0053] All embodiments are illustrative and do not, in some cases, imply that the present invention or any embodiment has been made or carried out.

[0054] V. Operations As will be readily apparent to those skilled in the art, the various processes described herein can be implemented, for example, by a general-purpose computer, a special-purpose computer, and an arithmetic unit appropriately programmed. Typically, a processor (e.g., one or more microprocessors, one or more microcontrollers, one or more digital signal processors) receives instructions (e.g., from a memory or a similar device) and performs one or more processes defined by those instructions by executing those instructions. The instructions may be embodied, for example, in one or more computer programs, one or more scripts.

[0055] "Processor" means one or more microprocessors, a central processing unit (CPU), an arithmetic unit, a microcontroller, a digital signal processor, or a similar device, or any combination thereof, regardless of architecture (e.g., chip-level multiprocessing / multicore, RISC, CISC, a microprocessor with non-interlocked pipeline stages, pipeline configuration, simultaneous multithreading).

[0056] Therefore, the description of the process is, similarly, a description of the apparatus for performing the process. The apparatus for performing the process can include, for example, a processor and appropriate input and output devices for performing the process.

[0057] Furthermore, a program (in addition to other types of data) implementing such a method can be stored and transmitted in several ways using various media (e.g., computer-readable media). In some embodiments, instead of or in combination with some or all of the software instructions capable of implementing the processes of the various embodiments, hardwired circuitry or custom hardware may be used. Therefore, instead of using only software, various combinations of hardware and software may be used.

[0058] The term "computer-readable medium" refers to any medium, multiple media, or combination of different media involved in providing data (e.g., instructions, data structures) that can be read by a computer, processor, or similar device. Such media can take many forms, including but not limited to non-volatile media, volatile media, and transmission media. Non-volatile media includes, for example, optical or magnetic disks and other persistent memories. Volatile media typically includes dynamic random access memory (DRAM) that constitutes main memory. Transmission media includes coaxial cables, copper wire, and fiber optics, including wires with a system bus connected to a processor. Transmission media can include or carry acoustic waves, light waves, electromagnetic radiation (such as that generated during radio frequency (RF) and infrared (IR) data communication). Common forms of computer-readable media include, for example, floppy disks, flexible disks, hard disks, magnetic tapes, any other magnetic media, CD-ROMs, DVDs, any other optical media, punch cards, paper tapes, any other physical media with a pattern of holes, RAM, PROM, EPROM, flash EEPROM, any other memory chip or cartridge, carrier waves described hereinafter in this specification, or any other media readable by a computer.

[0059] When carrying data (e.g., a sequence of instructions) to a processor, various forms of computer-readable media can be involved. For example, the data can be (i) delivered from RAM to the processor, (ii) carried via a wireless transmission medium, (iii) formatted and / or transmitted according to numerous formats, standards, or protocols such as Ethernet (or IEEE802.3), SAP, ATP, Bluetooth (trademark), and TCP / IP, TDMA, CDMA, and 3G, and / or (iv) encrypted in any of various ways well-known in the art to ensure privacy or prevent fraud.

[0060] Therefore, the description of the process is, similarly, a description of a computer-readable medium storing a program for performing the process. The computer-readable medium can store (in any suitable format) program elements appropriate for performing the method.

[0061] Just as the description of the various steps in the process does not indicate that all of the steps described are required, embodiments of the apparatus include a computer / processing device operable to perform some (but not necessarily all) of the processes described.

[0062] Similarly, just as the description of the various steps in the process does not indicate that all of the steps described are required, embodiments of a computer-readable medium storing a program or data structure include a computer-readable medium storing a program that, when executed, can cause a processor to perform some (but not necessarily all) of the processes described.

[0063] When a database is described, one of ordinary skill in the art will understand that (i) an alternative database structure can be readily used for what is described, and (ii) other memory structures in addition to the database can be readily used. Any description or recitation of any sample database presented herein is an illustrative compilation of representative information of the stored information. For example, any number of other compilations may be used other than those suggested by the figures or other tables. Similarly, one of ordinary skill in the art will understand that any described entry of a database only represents exemplary information, and the number and content of the entries may differ from those described herein. Further, even if a database is depicted as a table, it is also possible to store and manipulate the data types described herein using other formats (including relational databases, object-based models, and / or distributed databases). Similarly, various processes such as those described herein can be implemented using object methods or database behavior. In addition, the database can be stored locally or remotely with respect to an apparatus for accessing the data in such a database in a known manner.

[0064] Various embodiments can be configured to operate in a network environment that includes a computer that communicates with one or more devices (e.g., via a communication network). The computer can communicate directly or indirectly with the devices, either via any wired or wireless medium (e.g., the Internet, a LAN, a WAN, or Ethernet, Token Ring, telephone lines, cable lines, wireless channels, optical communication lines, commercial online service providers, electronic bulletin board systems, satellite communication links, any combination of the foregoing). Each of the devices may itself include a computer or other computing device, such as one based on an Intel® Pentium® or Centrino® processor, adapted to communicate with the computer. Any number and type of devices may communicate with the computer.

[0065] In an example, a server computer or a central supervisor may not be required and may not be desirable. For example, the present invention can be implemented on one or more devices without the presence of a central supervisor in an embodiment. In such an embodiment, any function described herein as being performed by a server computer or any data described as being stored on a server computer can instead be performed by one or more such devices or stored on those devices.

[0066] When a process is described, in an embodiment, the process can be operated without any user intervention. In another embodiment, the process includes some human intervention (e.g., steps are performed by or with the assistance of a human).

[0067] VI. Continued Application This disclosure provides some embodiments and / or enabling descriptions of the invention to those skilled in the art. Some of these embodiments and / or inventions may not be claimed in this application but may be claimed in one or more continued applications claiming the priority of this application.

[0068] The applicant intends to file additional applications seeking patents for subject matter disclosed and made practicable in this application but not claimed.

[0069] VII. 35 U.S.C.§112, Paragraph 6 In a claim, a limitation of a claim that includes the phrase "means for" or the phrase "step for" means that 35 U.S.C.§112, Paragraph 6 applies to that limitation.

[0070] In a claim, a limitation of a claim that does not include the phrase "means for" or the phrase "step for" means that 35 U.S.C.§112, Paragraph 6 does not apply to that limitation, regardless of whether the limitation describes the function without reciting the structure, material, or acts for performing the function. For example, in a claim, merely using the phrase "step of" or the phrase "steps of" when referring to one or more steps of that claim or another claim does not mean that 35 U.S.C.§112, Paragraph 6 applies to that step.

[0071] For a means or step for performing a specified function in accordance with 35 U.S.C.§112, Paragraph 6, the corresponding structure, material, or acts, and their equivalents, described in this specification may perform additional functions in addition to the specified function.

[0072] Computers, processors, arithmetic units, and similar products have a structure capable of performing a wide range of functions. Such products are operable to perform functions specified by executing one or more programs, such as programs stored in the memory device of the product or a memory device accessible by the product. Unless otherwise specified, such programs need not be based on any particular algorithm, such as any particular algorithm that may be disclosed in the present application. It is well known to those skilled in the art that the specified functions can be implemented via different algorithms, and any of several different algorithms are merely design choices for performing the specified functions.

[0073] Therefore, with respect to means or steps for performing a specified function in accordance with 35 U.S.C. § 112, paragraph 6, the structure corresponding to the specified function includes any product programmed to perform the specified function. Such structure includes such a programmed product that performs the function regardless of whether the product is programmed with (i) the disclosed algorithm for performing a function, (ii) an algorithm similar to the disclosed algorithm, or (iii) a different algorithm for performing the function.

[0074] When means for performing a function that is a method are described, one structure for performing this method includes an arithmetic unit (e.g., a general-purpose computer) programmed to perform the function and / or configured with appropriate hardware.

[0075] Also included, as would be understood by those skilled in the art, are arithmetic units (e.g., general-purpose computers) programmed to perform the function via other algorithms and / or configured with appropriate hardware.

[0076] VIII. Disclaimer References to particular embodiments do not imply a waiver or denial of additional, different embodiments, and similarly, references to descriptions of embodiments containing a particular feature do not imply a waiver or denial of embodiments that do not contain that particular feature. Express waivers or denials in this application are to be introduced by the phrases "does not include" or "cannot perform".

[0077] IX. Incorporation by Reference Any patent, patent application, or other document mentioned in this specification is incorporated herein by reference as part of this disclosure, but only for the purposes of the requirements of description and enablement under 35 U.S.C. § 112, paragraph 1, and should not be used to limit, define, or otherwise construe any term of this application in any way unless the ordinary meaning of such reference is not ascertainable by one of ordinary skill in the art without such incorporation by reference. One of ordinary skill in the art need not be limited by any of the embodiments provided in the reference.

[0078] Any incorporation by reference does not, in itself and by itself, imply any approval, adoption, or acquiescence to any description, opinion, view, or feature contained in any of the cited patents, patent applications, or other documents, unless expressly stated otherwise in this application.

[0079] X. Prosecution History In interpreting this application (including the claims), whether or not there are other patent applications considered relevant to this application, whether or not there are other patent applications sharing a claim of priority with this application, one of ordinary skill in the art is to refer to the prosecution history of this application, not the prosecution history of any other patent or patent application.

[0080] XI. Embodiments Various embodiments relate to a system and / or method for trading one or more financial instruments (e.g., bonds, bond futures, interest rate swaps, other securities, stock options, commodities, stocks, currencies, derivative instruments of any of the foregoing, etc.). U.S. Patent Application No. 12 / 014,027, filed Jan. 14, 2008, by Lutnick and incorporated herein by reference, discusses some exemplary systems and methods for such trading. The Chicago Mercantile Exchange is an example of an exchange that operates to facilitate trading of such financial instruments.

[0081] FIG. 1 shows an exemplary trading system. Trading of financial instruments typically involves two sides (i.e., a buyer 101 and a seller 103) and at least one intermediary (e.g., an exchange 105 such as the Chicago Mercantile Exchange, a broker 107, etc.). In the example of FIG. 1, a buyer 101 of a first financial instrument can indicate to a broker 107 a desire to buy the first financial instrument. The broker 107 can transmit a buy order for the first financial instrument to the exchange 105.

[0082] The exchange 105 may include one or more computer systems configured to facilitate the trading of financial instruments. In some implementations, the exchange may include one or more computer systems configured to receive order instructions, determine whether any of the instructed orders match, and facilitate the execution of at least some of the matching orders. The exchange 105 may store information regarding buy orders, verify such information, authenticate the buyer 101, authenticate the broker 107, publish information about the buy orders, and / or perform any other desired actions. The exchange 105 may determine whether a matching sell order for the same financial instrument has been submitted to the exchange 105. Orders may be matched if they are for the opposite side of a trade for the same financial instrument, from the opposite party to a trade for a similar financial instrument, at the same price, within an overlapping price range, using the same price-setting method, for a similar quantity, for the same quantity, within an overlapping quantity range, and / or using any other information to determine whether orders match in various implementations.

[0083] If no such matching order has been submitted, the exchange may store information identifying the buy order for the purpose of a matching sell order being received in the future. In this example, the seller 103 may submit a sell order for the financial instrument at some future point in time. The exchange 105 may then be able to facilitate the execution of a trade that satisfies at least a portion of each of the buy order and the sell order. It should be recognized that the use of the broker 107 and both sides of the trade are given by way of example only and other configurations may be included in other embodiments.

[0084] In some embodiments, transactions involving a certain quantity of financial products can be facilitated at a certain price. In some embodiments, the information submitted by the buyer and / or seller may identify a price and / or price range at which the buyer and / or seller has the will to conduct the transaction. If the prices are the same or the price ranges overlap, the transaction can be facilitated. The transaction can be conducted at the identified price and / or according to some price setting method. In some embodiments, such price setting methods may include median price setting, volume weighted average price setting, price setting based on the most recent transaction price at the exchange, etc. In some embodiments, the price and / or price setting method may be determined through negotiation between the buyer and the seller and / or may be set by the exchange where the transaction is facilitated. The price may be determined using any other method.

[0085] The quantity of financial products that can be transacted can be identified by the information submitted by the buyer and / or seller. In some examples, the quantity may be the same for the information submitted by both the buyer and the seller. If the quantities are the same, in some implementations, the quantity transacted at a certain price may include the quantity identified by both the buyer and the seller. In other implementations, the identified quantity may be different for each of the buyer and the seller. If the quantities are different, the quantity transacted at a certain price may be one of the two quantities and / or any other quantity. For example, in one implementation, the quantity may be the smaller of the two quantities. In some implementations, the quantity may be determined through negotiation between the buyer and the seller.

[0086] In some embodiments, facilitating a transaction may include one or more actions that assist in executing the transaction. Facilitating a transaction may be referred to as facilitating order execution and the like. Facilitating execution may include, for example, the step of placing a plurality of orders at one of a plurality of exchanges. Such placement may be performed according to the distribution described below. Executing a transaction may include the step of exchanging a financial product for something else (e.g., money, another financial product, credit, etc.). Some examples of facilitating a transaction may include the step of transferring information about the transaction to a clearinghouse, the step of executing the transaction, the step of transferring a financial product from one person to another, and the like.

[0087] In some embodiments, the parties to a transaction may negotiate one or more terms of the transaction. For example, the parties may negotiate about the price of the transaction, the quantity of the financial product being transacted, the time to execute the transaction, the method of executing the transaction, the provider of services related to the execution of the transaction, and the like. Negotiation may be conducted electronically (e.g., through a computer interface such as an instant messaging interface, an email interface, etc.), in person, or by telephone, etc.

[0088] The received information about a desired transaction can be referred to as an order. An order may include, for example, any information that identifies a desire to buy or sell one or more financial products. An order may be formatted according to a specific format desired by a transaction intermediary (e.g., an XML-formatted electronic message, a FIX message, etc.). An order may include a buy order, a sell order, a short order, a swap order, a market order, and / or any other type of order. An order may identify an expiration period (e.g., until the end of trading on a certain day, one hour, cancel if not filled immediately, etc.). An order may identify a price, a price setting method, and / or a quantity.

[0089] In some embodiments, one or more interfaces may be used to interact with a brokerage (e.g., a buyer and / or a seller submits information about an order). For example, in one embodiment, the interface enables a person to input information about a desire to buy or sell a financial product and submit that information to an exchange. Information about such submitted information may be displayed to that person through the interface. In some embodiments, people may submit trading information (e.g., by phone, to a computer, etc.), and / or a computer (e.g., an algorithmic trading system, an order management system, a trading interface, etc.) may submit such information.

[0090] It should be recognized that the above description has been of examples of trading in some embodiments where a single seller and buyer interact through a broker. Other embodiments are not so limited, and as will be described below, in various embodiments, any number of brokers, any number of buyers, any number of sellers, and / or any number of actions and / or devices may be included.

[0091] In some embodiments, for example, an exchange may receive an instruction to buy a greater quantity of a financial product than to sell (or vice versa). For example, a buyer of a financial product may submit an order to an exchange requesting to buy 10,000 shares in total. None of the sellers may submit an order to sell that financial product to the same exchange. In other embodiments, a seller's order may be submitted, but it may be related to a price that does not match the buyer's order. If a first seller submits a sell order that matches the buy order, the exchange can disperse the quantity of the financial product due to the seller's order among the buyer's orders using some distribution method. If the quantity related to the sell order is greater than or equal to the total quantity of the buy orders, all buy orders can be satisfied. Otherwise, some distribution method can be used to determine which orders to satisfy.

[0092] In various embodiments, the exchange may use any distributed algorithm. In some embodiments, for example, a FIFO (first in, first out) algorithm may be used. In the FIFO algorithm, the first submitted order is matched with the next incoming matching order. Thus, for example, the sell order in the above example is first matched with the first buy order submitted to the exchange. If the sell order has a larger quantity than that first buy order, it can also be matched with the second submitted buy order, and so on until the sell order is fully satisfied.

[0093] Another exemplary algorithm includes a proportional algorithm. In the proportional algorithm, a large number of outstanding orders of the trading parties can each be partially satisfied when a matching order is submitted. The orders can be matched in proportion to the quantity of the financial product related to the orders for an equal amount and / or in any other way. For example, in a simple equal-proportion satisfaction proportional algorithm, each buy order may be given an equal number of financial products from the sell order until the buy order is satisfied. This may not fully satisfy any one of the buy orders, but all of them can be partially satisfied.

[0094] In some implementations, it may include an exchange that uses at least partially a proportional method. Such a method may include a proportional method with business logic elements, a hybrid proportional / FIFO method, and / or any other method that uses proportional elements.

[0095] In some embodiments, the distribution method may include business logic elements. According to the business logic elements, when determining how to fulfill outstanding orders, by considering various characteristics of the orders, traders, and / or situations, the method can be made to conform to the preferences of the exchange operator or the customers of the exchange. Such business logic elements may be part of the FIFO or proportional method, whereby the method can be adjusted from a pure FIFO or proportional algorithm to a hybrid method. For example, in some embodiments, if orders in an amount less than a threshold are not satisfied using the proportional method, the business logic elements may adjust the proportional fulfillment method such that those orders are satisfied and other orders are not satisfied as much. As another example, in the FIFO algorithm, if an order is large, that order may be given priority over smaller and earlier submitted orders, etc. Some exemplary business logic elements include, for example, giving priority to large orders, fulfilling small portions of an order to complete the order, ignoring small orders if larger orders are outstanding, favoring one customer over another (e.g., a large customer over a small customer), giving priority to fulfilling orders that have been outstanding for some time over other orders, etc.

[0096] In one example, the exchange uses a proportional method of fulfilling orders in proportion to the quantities associated with those orders and leaving no orders for a financial product outstanding. In such an exchange, two buy orders for a financial product may be outstanding, and the first order may be for 100 units and the second order may be for 200 units. When a sell order for 297 units of the same financial product arrives, the exchange can start the buying and selling as follows. The order for 100 units can be fulfilled up to 99, and the order for 200 units can be fulfilled up to 197. The additional 1 unit of sell can be given to the order for 100 units, whereby the partially fulfilled order for 1 unit of the product is no longer outstanding, and only the buy order for 3 units of the financial product remains outstanding at the exchange.

[0097] Any satisfaction method may be used in any embodiment, and although some embodiments may focus on proportional algorithms, it should be recognized that those embodiments are provided only as non-limiting examples.

[0098] In some embodiments, it is recognized that multiple exchanges may be available for placing orders for a single financial instrument. For example, both the CMT and ELX exchanges may enable futures trading, options trading, and / or trading of any other type of financial instrument. Each exchange may have a way to satisfy the same or different orders. In some embodiments, it is recognized that orders can be submitted to multiple exchanges in a way that may increase the expected order satisfaction speed and / or probability. Such order submission may consider the method for satisfying the order, may estimate the method for satisfying the order, may consider the order fulfillment history, may consider the order submission history, and / or may consider any other information. In some embodiments, such order submission can be done through a market intermediary (e.g., a broker, using the FIX message protocol, etc.). In some implementations, such a market intermediary may include a computer system through which orders can be submitted. Such a market intermediary may have access to one or more exchanges and can submit portions of an order to one or more exchanges in a way that may increase the expected order satisfaction speed and / or probability compared to submitting the entire order to any one of the multiple exchanges.

[0099] Figure 2 shows an exemplary method 200 that may be performed to submit orders to multiple exchanges in some embodiments. Method 200 may be performed by a market intermediary such as, for example, a broker, a computer system connected to multiple exchanges, etc. Method 200 may be performed by a trading computer used by a trading organization such as a hedge fund. It should be recognized that method 200 is given by way of example only and may include different methods, different actions, additional actions, alternative actions, etc. in other embodiments.

[0100] As shown in block 201, method 200 may include receiving an order instruction. The order may be an order to buy and / or sell one or more financial instruments. The instruction may be received from a person, a computer system, a market intermediary, a broker, a trading entity, and / or any other entity. The instruction may be received via a communication network, via a telephone, as one or more packets via an electronic network, as a FIX message, and / or in any other manner. The instruction may include identification of the parties to the trade for the financial instrument. The instruction may include the quantity and / or quantity range for the trade. The instruction may include any other information about the price, price range, price setting method, and / or trading price.

[0101] As shown in block 203, method 200 may include receiving information about how one or more of a plurality of exchanges satisfy orders. One exchange may satisfy orders, for example, according to a proportional method, and another exchange may satisfy orders, for example, according to a FIFO method, etc. One or more exchanges may use any method for satisfying orders in any combination. The information may be received, for example, from an exchange (e.g., as an electronic message from the exchange explaining how it satisfies orders), from a regulatory authority (e.g., SEC, FINRA, as an explanation of how the exchange satisfies orders), from a publication about the exchange (e.g., website, legal publication, advertisement, etc.), from an analysis of the history of how trades have been satisfied in the past, from a source of trading information history, etc. In some embodiments, such a history analysis may be performed as part of the method (e.g., analyzing publicly disclosed information about past satisfied trades to determine how those orders were satisfied). It should be recognized that the information may or may not fully identify the order satisfaction method. For example, the information may identify some but not all of the business logic used to determine how an order is satisfied, may identify all of the business logic about how an order is satisfied, or may not identify any of the business logic about how an order is satisfied, etc. The information may include any information (e.g., method, explanation about order satisfaction history, etc.) from which some or all of the order satisfaction method can be determined. Exchanges may sometimes change some or all of the order satisfaction methods, and some embodiments may receive updated information (e.g., sometimes, continuously, after a period after the change, etc.), but it should also be recognized that other embodiments may not receive it.

[0102] As shown in block 205, method 200 may include receiving information about the order fulfillment speed at one or more of a plurality of exchanges. The information may include, for example, an order fulfillment history (e.g., the speed at which orders have been fulfilled in the past, the speed at which orders have been fulfilled in similar situations, etc.). A predicted order fulfillment speed may be determined from such historical information. A third party may identify the predicted order fulfillment speed. The order fulfillment speed may identify the expected time until the next order on the opposite side of the order arrives, the expected amount of arriving orders per period, and / or any other information from which information regarding or leading to the speed of incoming orders can be derived.

[0103] As shown in block 207, method 200 may include receiving information about outstanding orders at one or more of a plurality of exchanges. The outstanding orders may include information about orders on the same side of the buy / sell of a financial product and / or orders on the opposite side of the buy / sell of a financial product. Such information may be determined, for example, from published information provided by the exchange (e.g., a booklet about available trades), received from a third-party information provider, estimated based on historical information, and / or received from any other source and / or in any other way.

[0104] As shown in block 209, method 200 may include determining the distribution of an order (i.e., from block 201) across a plurality of exchanges so as to fulfill the order. In some implementations, the order distribution may be determined such that the predicted order fulfillment speed is higher than if the order were submitted entirely to one of the plurality of exchanges and / or the order fulfillment probability over a certain period is higher than if the order were submitted entirely to one of the plurality of exchanges. In some embodiments, the distribution may be based on the order fulfillment method for some or all of the plurality of exchanges, the outstanding orders at some or all of the plurality of exchanges, the order fulfillment speed for one or all of the plurality of exchanges, and / or any other information.

[0105] In one exemplary embodiment, two exchanges may satisfy orders by the proportional method, and may once determine for the orders for which order dispersions are received. As will be described later, in some embodiments, new dispersions may be determined based on changing conditions of the exchanges, but such new dispersions may not have to be determined in all embodiments.

[0106] In this exemplary embodiment, the first exchange may have a predicted order satisfaction rate equal to V1, and the second exchange may have an expected order satisfaction rate of V2. The first exchange may have outstanding orders for a quantity of goods equal to X1 on the same side of the buy / sell as the order, and may have orders for a quantity of goods equal to Y1 on the opposite side. The second exchange may have outstanding orders for a quantity of goods equal to X2 on the same side as the order, and may have outstanding orders for a quantity of goods equal to Y2 on the opposite side of the buy / sell.

[0107] In one implementation, the dispersion may be determined by determining a first quantity to disperse based on the outstanding orders. For example, an exchange with a smaller value of (X - Y) / V may be determined. For the exchange with the smaller value, by allocating a portion of the order equal to O, the prediction of satisfying the outstanding order with O added to the exchange may be made equal. Assuming that Exchange 1 has the smaller value, O can be determined by the following equation.

Equation

[0108] In some implementations, if the value of O is greater than the size of the order, the entire order may be placed at that exchange. In some implementations, if the value of O is less than the amount of the order, the remaining portion of the order may be dispersed among the exchanges according to the predicted order satisfaction rates at each exchange. For example, an amount according to the following equation may be placed at each exchange.

Equation

[0109] It should be appreciated that the above exemplary determinations are merely non-limiting exemplary implementations. In other embodiments, any other distributed determination method may be included. Other embodiments may not include all of the elements for determining the distribution (e.g., may or may not perform rounding, may or may not make an initial determination based on outstanding orders, etc.).

[0110] As described above and as will be described below, in some embodiments of method 200, a new distribution may be determined when the amount of outstanding orders at an exchange changes and / or when other circumstances regarding one or more exchanges change. In some embodiments, the same or a different algorithm as above may be used to determine the distribution.

[0111] For a second example of determining the distribution, two exchanges may use a proportional order fulfillment method. The expected trading volume at the first exchange may be V1, and the expected trading volume at the second exchange may be V2. Thus, the expected probability that the next trade occurs at the first exchange may be V1 / (V1 + V2), and the expected probability that the next trade occurs at the second exchange may be V2 / (V1 + V2). In one implementation, the first exchange has outstanding orders with a total size of X1 on the same side as the order, and the second exchange has outstanding orders with a total size of X2 on the same side as the order. In this example, neither side has outstanding orders on the opposite side of the order. In some embodiments, the distribution may be determined such that the expected amount of orders satisfied by the next trade is greater than if all the orders were placed at only one exchange.

[0112] In one implementation, the order may have a total size equal to T. If the total size of the next trade at any exchange is N, then for the first exchange, the portion expected to be satisfied may be N*[P1 / (X1+P1)] if N≦(X1+P1), or P1 if N>(X1+P1). Wherein, P1 is the portion of the order dispersed to the first exchange.

[0113] In other implementations, the size of N relative to X1+P1 may be determined, and different strategies for determining the distribution may be used based on the comparison result. In some implementations, the distribution may be determined assuming N≦X1+P1. In some implementations, the size of the next trade may be unknown. The total amount expected to be allocated from the next trade of size N may be determined by {[V1 / (V1+V2)]*N*[P1 / (X1+P1)]}+{[V2 / (V1+V2)]*N*[P2 / (X2+P2)]} if N≦X1+P1. In some embodiments, the distribution may be determined at least in part based on the expected size (i.e., N) of the order expected to be received by at least one exchange.

[0114] In some implementations, the distribution may be determined by maximizing the expected distribution for the next trade. For example, in the above implementation, the maximum expected allocation may be determined by N / (V1+V2)*MAX(P1){[V1*P1 / (S1+P1)]+V2*[(T-P1) / (S2+T-P1)]. In some implementations, the selection of P1 that maximizes this formula can be made independent of N (in some implementations, this selection is made assuming N≦X1+P1). Various methods for maximizing this value will be readily understood in the art. For example, various mathematical programming methods, functions, and / or estimators may be used to determine the maximum value of P1.

[0115] In some embodiments, if N is expected to be large (e.g., larger than X1 + P1), the dispersion may be determined differently than when N is expected to be small. To determine the scale of N, the dispersion of trading scales at one or more exchanges may be analyzed. Such information may be obtained, for example, in block 205. For example, the scale N of the next trade may be estimated using the average scale of trades at the exchange. If the scale of the trade is expected to be large, for example, the amount to be dispersed to an exchange expected to receive large trades may be increased.

[0116] As described above, the determination of the dispersion may include fractional or partial lots that may not be allowed at some exchanges (e.g., some exchanges may only allow integer orders and / or orders that are multiples of 10, 100, etc.). For this reason, in some implementations, rounding may be performed so that the order portions in the determined dispersion are acceptable to such exchanges. Such rounding may be performed to maintain an increase in the rate or probability of satisfaction. For example, if the dispersion determines that a portion with a quantity of 1.1 should be placed at a first exchange and a portion with a quantity of 2.9 should be placed at a second exchange, and both exchanges only allow integer-valued orders, it may be determined whether the expected rate when orders are placed in a 1:3 ratio is faster or slower than when orders are placed in a 2:2 ratio, and the faster of the two may be selected as the dispersion. It should be recognized that any method for determining the value of the rounded order may be used, and the given examples are merely non-limiting illustrative implementations.

[0117] It should be recognized that the above example includes two exchanges using the proportional satisfaction method, and in other embodiments, any number of exchanges may be included using any method for satisfying orders, including a mixed set of FIFO and proportional methods with or without business logic elements.

[0118] For example, in an implementation that uses a business logic element where the exchange prioritizes very large orders over very small orders, if a very large outstanding order already exists at the exchange, the distribution may be determined to avoid placing very small orders at the exchange. As another example, if many small outstanding orders exist at the exchange, the distribution may be determined to place at the exchange a very large order that would be filled before the small orders. Such a determination may be made, for example, by making the determination as described above with X1 and / or X2 set to 0 if only very small orders are outstanding. As a result of the calculation, if the business logic of the exchange fills an order before a very small order due to a sufficiently large portion being placed at the exchange, the distribution may be determined to include that larger portion. If the portion determined in such a manner is not sufficiently large, the distribution may be calculated with X1 and X2 set to their actual values. In some implementations, the distribution may be determined based at least in part on the probability that an order outstanding at one of the exchanges will not be filled by a matching order due to the quantity associated with that order being small. Other business logic elements may have other effects on the distribution.

[0119] In some embodiments, one or more of the exchanges may use a FIFO satisfaction method. In such a method, if an order is modified, the priority of that order may decrease, and thus in some situations, the satisfaction rate may decrease by changing the distribution after the original order is placed. For this reason, in such an implementation, once the initial distribution to the FIFO method exchanges is determined, such distribution may not be changeable, or may not be changeable as frequently as the distribution among the proportional method exchanges. For example, in an implementation where two of three exchanges use the proportional satisfaction method and one uses the FIFO satisfaction method, the initial distribution for the three exchanges may be determined, or the updated distribution for the two proportional method exchanges may be determined. The portion determined to be placed at the FIFO method exchange may not be changeable. That portion may not be changeable unless a threshold time has elapsed, unless an order reaches a certain level of priority, unless several other orders are placed at the FIFO method exchange after the order, unless the orders at the proportional method exchanges are satisfied up to the threshold level, and / or unless some other situation occurs. The FIFO method exchanges may be handled in many ways, and it should be recognized that the foregoing implementation is given only as a non-limiting example.

[0120] In some implementations, an exchange may operate using a hybrid of the proportional method and the FIFO method. In some implementations, the distribution may be determined according to one or more of the above examples, or according to any other way of configuring the various hybrid methods that may be performed by the exchange.

[0121] As shown in block 209, method 200 may include the step of sending an order for a trade to at least one of a plurality of exchanges based on the determined distribution. The step of sending such information may include the step of sending information regarding an order that satisfies a determined portion of the order (i.e., from block 201) to one or more of a plurality of exchanges via a communication network. Such sending may be performed, for example, using the FIX protocol. Such sending may be performed directly to the exchange and / or to one or more intermediaries.

[0122] In some embodiments, as shown by the solid line in FIG. 2, method 200 may end at block 211. In other embodiments, as shown by the dashed line, method 200 may loop back to block 205. At block 205, information about outstanding orders at one or more of a plurality of exchanges may be received. In some implementations, for example, an instruction to change the sum of quantities associated with outstanding orders at at least one of a plurality of exchanges may be received. The received instruction may indicate, for example, that some or all of one or more orders have been filled, that other orders have been filled, that new orders have been placed, that orders have been cancelled, etc. Method 200 may then proceed back to block 207 to determine a new distribution. The method may proceed to block 209 to place a new set of orders according to that new distribution. Method 200 may continue to loop in this manner until, for example, the orders are in a filled state, a state where only a small amount of the orders remain unfilled (e.g., some percentage, some absolute number, some amount relative to the liquidity of the financial instrument, etc.). In some embodiments, method 200 may instead or in addition receive information about changes to the methods used by the exchanges to fill orders, changes to the order fill rate, and / or changes to any other situation. Such information may be used to determine a new distribution.

[0123] It should be recognized that method 200 is given by way of example only and other embodiments may include different methods. It should be recognized that this application discloses some exemplary embodiments that do not limit the scope of the claims and other embodiments not described herein are also contemplated.

[0124] FIG. 3 shows an example of a system 301 that can perform a method similar to method 200. System 301 may include one or more computer systems, processors, blades, and / or any other device. System 301 can be coupled to a plurality of exchanges 303 that may include one or more computer systems. System 301 can be coupled to a plurality of order sources 305 that may include, for example, a broker, a computer system, a trader or other person, a telephone, and / or any other order information source. System 301 can be coupled to the plurality of order sources 305 through one or more communication networks 307. System 301 can be coupled to the exchanges 303 through one or more communication networks 309. Communication networks 307 and 309 may be the same or different communication networks (e.g., a private network, the Internet, etc.).

[0125] It should be appreciated that FIG. 3 shows only an exemplary configuration and that other configurations may be included in other embodiments.

[0126] In one exemplary implementation, a broker may be connected to three exchanges. The broker may receive information identifying that the first exchange uses a hybrid proportional / FIFO fulfillment method that gives priority to orders that have been pending for longer than one hour over orders that are not pending during that period, but satisfies orders within one hour using a proportional method, the second exchange uses a proportional fulfillment method that favors orders over 10 units over orders less than 10 units, and the third exchange uses a FIFO fulfillment method.

[0127] In this example, the intermediary may receive an instruction to place an order to buy 100 shares. The intermediary may receive an instruction that there are two outstanding orders at the first exchange, one order for 10 shares that has been outstanding for 5 minutes and one order for 20 shares that has been outstanding for 2 hours. The intermediary may receive an instruction that there are two outstanding orders at the second exchange, one order for 20 shares and one order for 5 shares. The intermediary may receive an instruction that there is one outstanding order for 10 shares at the third exchange.

[0128] In this example, the intermediary may receive an instruction that the expected fulfillment rate at the first exchange is 10 shares per period, the expected fulfillment rate at the second exchange is also 10 shares per period, and the expected fulfillment rate at the third exchange is 20 shares per period. Also, the intermediary may receive an instruction that the size of the orders expected to enter the exchange is expected to be relatively small compared to the size of the orders placed at the exchange that are currently outstanding and expected to be placed at the exchange for the order regarding 100 shares.

[0129] The intermediary may determine the initial distribution of orders among exchanges considering the outstanding orders, the market fulfillment strategy, and / or the order fulfillment rate so as to improve the expected fulfillment rate.

[0130] When determining the initial distribution, it may also be determined that the first exchange will not receive any portion unless the order expected to enter the first exchange is larger than 20 shares, because otherwise none of the portions of the order will be used to fulfill the order. For the second exchange, none of the portions of the order may be placed at the second exchange unless the next order expected is larger than 10 units, because otherwise none of the portions of the order will be fulfilled.

[0131] In one example, the next expected order is 25 units for Exchange 1, 25 units for Exchange 2, and 50 units for Exchange 3. In one implementation, the initially determined distribution might indicate that, for example, an order for 10 shares should be placed at the first exchange, an order for 20 shares should be placed at the second exchange, and an order for 70 shares should be placed at the third exchange. Such a determination could be that no order at the first exchange is satisfied until an order for 20 shares that has been outstanding for over an hour is satisfied, and similarly no order at the third exchange is satisfied until an order for 10 units is satisfied, but it may also be considered that an order at the second exchange may be satisfied if an order larger than 10 shares is placed before an order for only 5 shares. The calculation example is as follows. X1 / V1 = X3 + O3 / V3; X1 = 30, V1 = 10, X3 = 10, V3 = 20; thus O3 = 50; X1 / V1 = X2 + O2 / V2; X2 = 20 (when the portion assigned to Exchange 2 is expected to be 10) or 25 (when that portion is expected to be less than 10); V2 = 10; thus O2 = 10, and the requirement that the portion is at least equal to 10 is met. P1 is equal to (100 - O2 - O3) * [V1 / (V1 + V2 + V3)] = 10, P2 is equal to (100 - O2 - O3) * [V2 / (V1 + V2 + V3)] + O2 = 20, and P3 is equal to (100 - O2 - O3) * [V3 / (V1 + V2 + V3)] + O3 = 70.

[0132] If there are changes in the outstanding orders of one or more exchanges, the distribution may be adjusted. For example, if an order for 20 units outstanding at the first exchange is filled and no new orders are placed at the third exchange, the distribution may be adjusted so that there are 20 units at the first exchange, 15 units at the second exchange, and 60 units at the third exchange. However, if an order is placed at the third exchange, changing the outstanding orders at the third exchange and as a result, the third exchange loses its priority, then in some implementations, no change is made to the third exchange, but changes are made to the other two exchanges, resulting in a distribution of 20, 10, and 70. In some implementations, the decision on whether to change the third exchange may be based on the size of the new order at the third exchange, the size of the change in distribution at the third exchange, the expected size of the order to be placed next at the third exchange, and / or any other criteria that may affect the order fulfillment rate at the third exchange.

[0133] It should be recognized that this specific example is given only as a non-limiting illustration. In other embodiments, any number of exchanges using any fulfillment method may be included, any method of determining distribution may be included, any size of order may be included, any assumptions may or may not be made, and / or any other elements and / or actions may be included.

[0134] XII. Other Embodiments The following should be considered as embodiments rather than claims. A Receiving an instruction for a first order, the first order including the commodity to be traded, the quantity of the commodity to be traded, and the side of the trade for the commodity; Receiving an instruction for a speed at which it is expected that an order for the side of the trade for the financial commodity will be filled by at least one first exchange among a plurality of exchanges; Receiving at least one quantity indication, wherein each quantity of the at least one quantity includes the sum of quantities associated with second orders pending at at least one second exchange of a plurality of exchanges, the second orders including the commodity and the side of buying and selling for the commodity; Receiving an indication of a method used to satisfy orders pending at an exchange when matching orders received by at least one third exchange of a plurality of exchanges; Determining a distribution for a first order among a plurality of exchanges, at least in part based on speed, at least one quantity, and the method; Facilitating execution of orders at a plurality of exchanges according to the distribution; A method comprising:

[0135] A.1. The method according to claim A, wherein the first exchange, the second exchange, and the third exchange are the same exchange.

[0136] A.2. The step of facilitating execution includes arranging a plurality of orders, each of the plurality of orders being arranged at one of a plurality of exchanges according to a second distribution. The method according to claim A.

[0137] A.3. The method according to claim A, wherein at least one of the plurality of exchanges satisfies orders at least in part by a proportional method.

[0138] A.3.1. The method according to claim A.3, wherein at least one of the plurality of exchanges satisfies orders by a hybrid proportional / FIFO method.

[0139] A.3.2. The method according to claim A.3, wherein at least one other of the plurality of exchanges satisfies orders by a FIFO method.

[0140] A.3.3. The method according to claim A.3, wherein at least one of the plurality of exchanges satisfies an order by a proportional method including a business logic element.

[0141] A.4. The step of determining the distribution is a step of determining the distribution based at least in part on the expected size of a third order expected to be received by at least one of the plurality of exchanges, the third order including a commodity and the side opposite the buying and selling of the commodity, the method according to claim A.

[0142] A.5. The instruction of the order satisfaction method includes at least one of an instruction of the history of orders satisfied at at least one exchange and an explanation of the order satisfaction method, the method according to claim A.

[0143] A.6. The instruction of the speed includes the history of orders satisfied at at least one exchange, the method according to claim A.

[0144] A.7. The step of determining the distribution includes a step of determining the distribution based at least in part on the probability that at least one second order pending at at least one of the plurality of exchanges will not be satisfied by a third order received by at least one of the plurality of exchanges because the quantity associated with the at least one second order is small, the method according to claim A.

[0145] A.8. The method according to claim A, wherein at least one of the plurality of exchanges includes a computer system configured to receive an instruction of an order, determine whether any of the instructed orders match, and facilitate the execution of at least some of the matching orders.

[0146] A.9. The distribution includes determining a portion of the quantity associated with a first order placed as an order at each of the plurality of exchanges, the method according to claim A.

[0147] A.10. At least one machine-readable medium storing a plurality of instructions configured to cause a processor to perform the method according to claim A.

[0148] A.11. One or more processors, One or more machine-readable media storing a plurality of instructions that, when executed by the one or more processors, cause the one or more processors to perform the method according to claim A, An apparatus comprising:

[0149] A.12. A method comprising the step of submitting an order to the apparatus according to claim A.11. B. Determining a first distribution for a first order among a plurality of exchanges, the first order including a commodity to be bought or sold, an amount of the commodity to be bought or sold, and a side of the transaction for the commodity; Receiving an instruction to change the sum of amounts related to a second order pending at at least one of the plurality of exchanges, the second order including a commodity and a side of the transaction for the commodity; Determining a second distribution for the first order among the plurality of exchanges, at least in part based on the instruction; Facilitating execution of the order through at least one of the plurality of exchanges based on the second distribution; A method comprising:

[0150] B.1. The method according to claim B, wherein the instruction to change the sum of amounts related to the second order includes an instruction to execute a transaction that satisfies at least a portion of at least one of the second orders.

[0151] B.1.1. The method according to claim B.1, wherein the instruction to change includes an instruction to execute a transaction that satisfies at least a portion of the first order.

[0152] B.2. The step of facilitating execution is the step of placing a plurality of orders, each of the plurality of orders being placed at one of a plurality of exchanges according to a second distribution, the method according to claim B.

[0153] B.3. At least one of the plurality of exchanges satisfies orders at least partially by a proportional method, the method according to claim B.

[0154] B.3.1. At least one of the plurality of exchanges satisfies orders by a hybrid proportional / FIFO method, the method according to claim B.3.

[0155] B.3.2. At least one other of the plurality of exchanges satisfies orders by a FIFO method, the method according to claim B.3.

[0156] B.3.3. At least one of the plurality of exchanges satisfies orders by a proportional method including a business logic element, the method according to claim B.3.

[0157] B.4. The step of determining the second distribution is the step of determining the second distribution based at least in part on the expected size of a third order expected to be received by at least one of the plurality of exchanges, the third order including a commodity and the side opposite the buying and selling of the commodity, the method according to claim B.

[0158] B.5. The step of determining the second distribution includes the step of determining the second distribution based on the expected order fulfillment rate of at least one of the plurality of exchanges, the method according to claim B.

[0159] B.5.1. The method according to claim B.5, further comprising the step of receiving an indication of at least one rate.

[0160] B.5.1.1. receiving an instruction to change at least one speed; determining a third distribution for a first order among a plurality of exchanges, at least in part based on changing at least one speed; facilitating execution of the order through at least one of the plurality of exchanges based on the third distribution; The method according to claim B.5.1, further comprising:

[0161] B.6. The method according to claim B, wherein the step of determining a second distribution includes determining a second distribution based on an order fulfillment method performed by at least one of the plurality of exchanges.

[0162] B.6.1. The method according to claim B.6, further comprising receiving an instruction for an order fulfillment method.

[0163] B.6.1.1. The method according to claim B.6.1, wherein the instruction for the order fulfillment method includes at least one of an instruction for a history of orders fulfilled at at least one exchange and an explanation of the order fulfillment method.

[0164] B.7. The method according to claim B, wherein the step of determining a second distribution includes determining a second distribution at least in part based on the probability that at least one second order pending at at least one of the plurality of exchanges will not be satisfied by a third order received by at least one of the plurality of exchanges because the quantity associated with the at least one second order is small.

[0165] B.8. The method according to claim B, wherein at least one of a plurality of exchanges includes a computer system configured to receive an order instruction, determine whether any of the instructed orders match, and facilitate execution of at least some of the matching orders.

[0166] B.9. The method according to claim B, wherein distribution includes determining a portion of a quantity associated with a first order placed as an order at each of a plurality of exchanges.

[0167] B.10. At least one machine-readable medium storing a plurality of instructions configured to cause a processor to perform the method according to claim B.

[0168] B.11. One or more processors, One or more machine-readable media storing a plurality of instructions that, when executed by the one or more processors, cause the one or more processors to perform the method according to claim B, An apparatus comprising:

[0169] B.12. A method comprising the step of submitting an order to the apparatus according to claim B.11.

Explanation of Reference Numerals

[0170] 101 Buyer 103 Seller 105 Exchange 107 Broker

Claims

[Claim 1] 1. A method, comprising: At least one processor of the network computer device receiving a computer message identifying a first order, the first order including a financial instrument to be traded, an amount of the financial instrument to be traded, and a side of a trade of the financial instrument; receiving an expected order satisfaction velocity at which orders for the trade side of the financial instrument are expected to be satisfied by at least one first exchange of a plurality of exchanges, the expected order satisfaction velocity including a velocity history of orders satisfied at the at least one first exchange; receiving an indication of at least one quantity, each of the at least one quantities including a sum of quantities associated with at least one respective second order pending on at least one second exchange of the plurality of exchanges, the at least one second order including the financial instrument and a side of a trade for the financial instrument; receiving an estimate of a method for satisfying orders to be used by at least one of the plurality of exchanges, the estimate of the method being derived from a historical analysis of how trades have been satisfied in the past; determining a variance of a portion of the first order on a first exchange of the plurality of exchanges based at least in part on the expected order fulfillment velocity, the at least one quantity, and the estimation of the method of the at least one exchange of the plurality of exchanges; and facilitating execution of the first order on the first exchange in accordance with the distribution of the portion to the first exchange. method.

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