Importance

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Abstract

Methods and systems for matching buy and sell orders that maximize the number of shares matched while simultaneously providing an even allocation of shares regardless of when a given order is received, are provided herein. The methods and system utilize an optimization function to determine the optimized price point at which the maximum number of shares can be matched using such inputs as a set of buy and sell orders, market spread, and participant defined exclusion criteria. This optimized price point may then be used to select those buy and sell orders eligible for participation in the matching event. Shares are then evenly allocated between participants using, for example, a round-lot base allocation procedure. The methods and systems may also utilize an anti-gaming function that compresses multiple orders from a single participant into a single participant interest prior to allocating shares.

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First Claim