Inventors:
Brian M. Wolf - Roselle IL, US
Scott D. Banke - Hinsdale IL, US
Barry Lee Galster - Chicago IL, US
Troy C. Kane - Chicago IL, US
Mina Al-Saadi - Chicago IL, US
Andrew P. Czupek - New Lenox IL, US
International Classification:
G06Q 40/00
Abstract:
In an Exchange which assigns only a whole number/integer representation of a computed number of futures contracts to a covered order for one or more option contracts, a method allocates quantities of an underlying financial product in connection with a plurality of orders, each being for a quantity of a derivative financial product derived from the underlying financial product and each being counter to a previously received order for a quantity of the derivative financial product, the previously received order being further characterized by a specified ratio of the quantity of the derivative financial product thereof to a quantity of the underlying financial product. The method includes receiving first and second orders for quantities of the derivative financial product, computing first and second quantities of the underlying financial product, based on the quantity of the derivative financial product of the first and second orders, respectively, to substantially achieve the specified ratio, rounding the first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product for the first order, generating a composite quantity of the underlying financial product based on the first and second quantities of the derivative financial product, generating a rounded representation of the composite quantity, and determining a second whole number quantity of the underlying financial product based on the rounded representation of the composite quantity and the first whole number quantity.