Slicer Order Quantity Reduction via Child Order Sorting
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Solution Overview
Problem
Existing electronic trading systems face challenges in efficiently reducing the quantity of slicer orders without canceling more child orders than necessary, leading to potential market impact and execution issues.
Innovation Solution
The system sorts child orders by distance from market and selectively modifies or cancels those farthest from market to achieve the desired quantity reduction, utilizing a quantity reducer that analyzes available and inflight orders to ensure efficient execution.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Quantity of substance
If child orders are canceled to reduce slicer order quantity, then the desired quantity reduction is achieved, but more orders than necessary are canceled causing market impact
Solution Approach 1:
The patent segments the slicer order into individual child orders and further segments the reduction process by evaluating each child order's proximity to market. This allows selective modification of only those child orders farthest from market, rather than canceling all child orders, thereby achieving quantity reduction with minimal market impact.
Solution Approach 2:
The patent applies local quality by differentiating child orders based on their individual characteristics (proximity to market). Child orders farthest from market are identified and modified first, while child orders closer to market are preserved. This localized approach ensures that only the necessary portion of the slicer order is reduced, minimizing harmful market impact.
2Object-generated harmful factors
If child orders are selectively modified to reduce quantity, then market impact is minimized, but the complexity of determining which orders to modify increases
Solution Approach 1:
The patent performs preliminary action by pre-calculating and storing the proximity of each child order to the market before the reduction process. This pre-computed information is then used during quantity reduction to quickly identify which child orders to modify, avoiding complex real-time calculations and reducing operational complexity.
Solution Approach 2:
The patent implements feedback by continuously monitoring the status of child orders and adjusting the reduction strategy based on current market conditions and order execution status. This feedback mechanism ensures that the system adapts to changing conditions while maintaining a systematic approach to minimizing market impact.
3Speed
If rapid quantity reduction is achieved by canceling child orders, then execution speed is improved, but unnecessary order cancellations increase
Solution Approach 1:
The patent applies dynamics by making the order modification process adaptive and flexible. Instead of a static cancellation approach, the system dynamically evaluates child orders based on their proximity to market and adjusts the reduction strategy in real-time. This dynamic approach enables rapid execution while preserving necessary order quantity by modifying only the least critical child orders.
Data Source
AI summary
The disclosed embodiments generally relate to a slicer order quantity reduction tool. An example method for reducing a quantity of a slicer order includes calculating a collective quantity associated with available ones of a plurality of child orders; comparing the collective quantity and a reduction amount received in connection with a quantity reduction request for the slicer order; and determining, when the comparison indicates that the available ones of the child orders have insufficient quantity to meet the reduction amount, whether inflight ones of the plurality of child orders collectively have sufficient quantity to make up a shortfall of the available ones of the child orders.