Matched order fulfillment with linear optimization

A computer implemented method for matching compound orders, the method comprising:

• receiving, by a server computer system in communication with a plurality of computer devices via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;
• accessing a memory in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the compound orders are to be executed;
• implementing, with a processor of the server computer system, an optimization process configured for fulfillment of the compound orders, the fulfillment being via order matching for execution at the respective price of each financial instrument of the plurality of financial instruments;
• and
• transmitting trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;
• wherein implementing the optimization process comprises:
• configuring the optimization process via a number of constraints, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument;
• and
• determining net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders;
• wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment.

A server computer system for matching compound orders, the server computer system comprising a processor and a memory coupled therewith, the server computer system further comprising:

• first logic stored in the memory and executable by the processor to receive, from a plurality of computer devices in communication with the server computer system via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;
• second logic stored in the memory and executable by the processor to cause the processor to access a database in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the compound orders are to be executed;
• third logic stored in the memory and executable by the processor to cause the processor to implement an optimization process configured for fulfillment of the compound orders, the fulfillment being via order matching at the respective price of each financial instrument of the plurality of financial instruments;
• and
• fourth logic stored in the memory and executable by the processor to cause the processor to transmit trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;
• wherein the third logic is further executable by the processor to cause the processor to:
• configure the optimization process via a number of constraints, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument;
• and
• determine net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders;
• wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment.

A computer program product for matching compound orders, the computer program product comprising one or more computer-readable storage media having stored thereon computer-executable instructions that, when executed by one or more processors of a server computer system, cause the server computer system to perform a procedure, the procedure comprising:

• receiving, from a plurality of computer devices in communication with the server computer system via a communication network, compound order data from a group of market participants for a plurality of financial instruments, the compound order data for each market participant of the group of market participants representing a single composite order for multiple financial instruments of the plurality of financial instruments, the compound order data specifying, for at least one of the market participant of the group of market participants, at least one non-listed combination of two or more of the plurality of financial instruments, the compound order data specifying a maximum amount of each financial instrument of the plurality of financial instruments to be bought or sold by each market participant of the group of market participants;
• accessing a memory in which price data is stored, the price data indicating a respective price of each financial instrument of the plurality of financial instruments at which the orders are to be executed;
• implementing an optimization process configured for fulfillment of the compound orders, the fulfillment being via order matching at the respective price of each financial instrument of the plurality of financial instruments;
• and
• transmitting trade data indicative of the order matching for execution of trades among the market participants at the respective price of each financial instrument of the plurality of financial instruments;
• wherein implementing the optimization process comprises:
• configuring the optimization process via a number of constraints, the number of constraints comprising the maximum amounts specified in the compound order data, a respective maximum net risk exposure level for each market participant, and that a net zero number of positions is created for each financial instrument;
• and
• determining net risk exposure levels for each market participant by offsetting, for each market participant, risk exposure values resulting from buy orders with risk exposure values resulting from sell orders;
• wherein each respective maximum net risk exposure level specifies long and short bounds on net risk exposure level that allow each market participant to be allocated an unbalanced portfolio as a result of the fulfillment.