Chicago Mercantile Exchange Inc.

Board of Trade of the City of Chicago, Inc.

Thomas G McCabe

Brian Wolf

Jonathan Kronstein

Bryan T Durkin

Donald M Cuba

Andrew P Czupek

Troy C Kane

Troy C Mathe

A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

System and method for matching one or more incoming order to a standing order based on multi-level allocation

Systems and methods for matching one or more incoming order to a standing order as a function of an inner market parameter

A method of allocating a quantity of an incoming order for a product develops a value that indicates a portion of the incoming order this is to be allocated using a FIFO algorithm and allocates a first portion of the incoming order to standing orders using the FIFO algorithm. The method further allocates a second portion of the incoming order to standing orders using a pro-rata algorithm, wherein the step of allocating the second portion leaves a remaining quantity of the incoming order. In addition, the method allocates the remaining portion to the standing orders using a FIFO algorithm.

System and method of allocating an incoming order to standing orders

Growing community of inventors

Chicago, IL, United States of America

Thomas G McCabe