Delta neutral futures allocation

A system for allocating a fractional quantity of an underlying financial product to a trader that submits 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 system comprising:

• an allocation processor operative to receive a first order of the plurality of orders, the first order being for a quantity of the derivative financial product less than the quantity of the derivative financial product of the previously received order;
• an underlier component processor coupled with the allocation processor and operative to compute a first quantity of the underlying financial product, based on the quantity of the derivative financial product of the first order, to substantially achieve the specified ratio, wherein the specified ratio comprises a delta value;
• an approximation processor coupled with the underlier component processor and operative to approximate the first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assign 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 first quantity of the underlying financial product comprises rounding the 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 first quantity of the underlying financial product and wherein the residual processor is further operative to store, in a database coupled therewith, the residual quantity of the underlying financial product in association with the trader, wherein the residual quantity of the underlying financial product is computed as a difference between the first quantity of the underlying financial product and the rounded first quantity of the underlying financial product;
• and
• wherein the allocation processor is further operative to receive a second order of the plurality of orders subsequent to the first order, the second order being for a quantity of the derivative financial product not exceeding the quantity of the derivative financial product of the previous order remaining after fulfillment of the first order, and in response to receipt of the second order, the allocation processor being further operative to determine the identity of the trader who submitted the second order and access the database based thereon to retrieve the stored residual quantity of the underlying financial product associated therewith;
• the underlier component processor being further operative to compute a second quantity of the underlying financial product based on the quantity of the derivative financial product of the second order and the retrieved stored residual quantity of the underlying financial product to substantially achieve the specified ratio;
• and
• the approximation processor being further operative to approximate the second quantity of the underlying financial product to determine a second whole number quantity of the underlying financial product and assign the second whole number quantity of the underlying financial product to the second order when the second order is fulfilled.

A system for allocating a fractional quantity of an underlying financial product to a trader that submits 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 system comprising:

• means for receiving a first order of the plurality of orders, the first order being for a quantity of the derivative financial product less than the quantity of the derivative financial product of the previously received order;
• means for computing a first quantity of the underlying financial product, based on the quantity of the derivative financial product of the first order, to substantially achieve the specified ratio, wherein the specified ratio comprises a delta value;
• means for approximating the 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 first quantity of the underlying financial product comprises rounding the first quantity of the underlying financial product;
• means for computing a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the first quantity of the underlying financial product, wherein the residual quantity of the underlying financial product is computed as a difference between the first quantity of the underlying financial product and the rounded first quantity of the underlying financial product;
• means for storing the residual quantity of the underlying financial product in association with the trader;
• means for receiving a second order of the plurality of orders subsequent to the first order, the second order being for a quantity of the derivative financial product not exceeding the quantity of the derivative financial product of the previous order remaining after fulfillment of the first order;
• means for determining the identity of the trader who submitted the second order and accessing the database based thereon to retrieve the stored residual quantity of the underlying financial product associated therewith;
• means for computing a second quantity of the underlying financial product based on the quantity of the derivative financial product of the second order and the retrieved stored residual quantity of the underlying financial product to substantially achieve the specified ratio;
• and
• means for approximating the second quantity of the underlying financial product to determine a second whole number quantity of the underlying financial product and assigning the second whole number quantity of the underlying financial product to the second order when the second order is fulfilled.

A system for allocating a fractional quantity of an underlying financial product to a trader that submits 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 system comprising a processor and a memory coupled with the process, the system further comprising:

• first logic stored in the memory and executable by the processor to receive a first order of the plurality of orders, the first order being for a quantity of the derivative financial product less than the quantity of the derivative financial product of the previously received order;
• second logic stored in the memory and executable by the processor to compute a first quantity of the underlying financial product, based on the quantity of the derivative financial product of the first order, to substantially achieve the specified ratio, wherein the specified ratio comprises a delta value;
• third logic stored in the memory and executable by the processor to approximate the first quantity of the underlying financial product to determine a first whole number quantity of the underlying financial product and assign 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 first quantity of the underlying financial product comprises rounding the first quantity of the underlying financial product;
• fourth logic stored in the memory and executable by the processor to compute a residual quantity of the underlying financial product remaining after fulfillment of the first order and approximation of the first quantity of the underlying financial product and wherein the residual processor is further operative to store, in a database coupled therewith, the residual quantity of the underlying financial product in association with the trader, wherein the residual quantity of the underlying financial product is computed as a difference between the first quantity of the underlying financial product and the rounded first quantity of the underlying financial product;
• and
• wherein the first logic is further executable by the processor to receive a second order of the plurality of orders subsequent to the first order, the second order being for a quantity of the derivative financial product not exceeding the quantity of the derivative financial product of the previous order remaining after fulfillment of the first order, and in response to receipt of the second order, the first logic being further executable by the processor to determine the identity of the trader who submitted the second order and access the database based thereon to retrieve the stored residual quantity of the underlying financial product associated therewith;
• the second logic being further executable by the processor to compute a second quantity of the underlying financial product based on the quantity of the derivative financial product of the second order and the retrieved stored residual quantity of the underlying financial product to substantially achieve the specified ratio;
• and
• the third logic being further executable by the processor to approximate the second quantity of the underlying financial product to determine a second whole number quantity of the underlying financial product and assign the second whole number quantity of the underlying financial product to the second order when the second order is fulfilled.