Delta Neutral Futures Allocation

A system comprising

• an underlier component processor operative to compute a first quantity of an underlying financial product of previously received but unsatisfied existing order, based on a quantity of a derivative financial product of a subsequently received first order, wherein the first order is counter to the existing order and the first quantity substantially achieves a specified ratio involving a delta value;
• an approximation processor coupled with the underlier component processor and operative to approximate the computed first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assigning the first whole number quantity of the underlying financial product to the first order when the first order is fulfilled, wherein the approximating of the computed first quantity of the underlying financial product comprises rounding the computed first quantity of the underlying financial product;
• a residual processor coupled with the underlier component processor and the approximation processor and operative to compute a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the computed first quantity, wherein the residual quantity of the underlying financial product is computed as a difference between the computed first quantity of the underlying financial product and the rounded first quantity of the underlying financial product, wherein the residual processor is further operative to store in a database, the residual quantity of the underlying financial product.

A non-transitory computer readable medium including instructions that when executed by at least one processor are operable to cause a system to:

• compute a first quantity of an underlying financial product of previously received but unsatisfied existing order, based on a quantity of a derivative financial product of a subsequently received first order, wherein the first order is counter to the existing order and the first quantity substantially achieves a specified ratio involving a delta value;
• approximate the computed first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assigning the first whole number quantity of the underlying financial product to the first order when the first order is fulfilled, wherein the approximating of the computed first quantity of the underlying financial product comprises rounding the computed first quantity of the underlying financial product;
• and
• compute a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the computed first quantity, wherein the residual quantity of the underlying financial product is computed as a difference between the computed first quantity of the underlying financial product and the rounded first quantity of the underlying financial product, wherein the residual processor is further operative to store in a database the residual quantity of the underlying financial product.