Systems and methods for automatically backing out by orders

1. A method, comprising:

identifying a candidate set of buy orders associated with an investment account, wherein the candidate set includes at least a first buy order and a second buy order;

determining that total cash required to fund the candidate set of buy orders exceeds net available cash in the investment account;

subsequent to determining that the total cash required exceeds the net available cash, linking the buy orders in the candidate set into a chain, wherein the first buy order is linked to the second buy order;

determining a back out target value that identifies a fiscal amount by which the candidate set must be reduced;

identifying a decrementation amount;

decrementing, in accordance with an ordering associated with the chain, a respective asset quantity of two or more non-zero quantity buy orders, including a first asset quantity of the first buy order and a second asset quantity of the second buy order, to a respective final asset quantity until the back out target value is achieved by:

decrementing the first asset quantity of the first buy order by a first amount that is either (i) equal to the identified decrementation amount or (ii) derived from the identified decrementation amount and a first asset price associated with a first asset of the first buy order,

determining that an impact of the decrementing the first asset quantity of the first buy order is insufficient to achieve the back out target value,

subsequent to determining that the impact of decrementing the first asset quantity is insufficient to achieve the back out target value, decrementing the second asset quantity by a second amount that is either (i) equal to the identified decrementation amount or (ii) derived from the identified decrementation amount and a second asset price associated with a second asset of the second buy order, and

determining that a cumulative impact of decrementing at least the first asset quantity of the first buy order and the second asset quantity of the second buy order is sufficient to achieve the back out target value;

modifying the candidate set of buy orders by (i) excluding any of the buy orders for which the respective final asset quantity is zero or (ii) replacing a respective initial asset quantity with the respective final asset quantity for any of the buy orders for which the respective final asset quantity is different than the respective initial asset quantity; and

providing the modified candidate set of buy orders for trade execution,

wherein one or more computers associated with a portfolio management system are programmed to perform the prior steps.

2. The method of claim 1, wherein the chain is a circular chain, wherein an initial buy order and a last buy order are linked in the circular chain.

3. The method of claim 1, wherein the decrementation amount is based upon a fixed asset quantity or a fixed monetary amount.

4. The method of claim 1, wherein the linking of the buy orders in the candidate set into the chain comprises:

sorting the candidate set of buy orders in order of (i) descending asset quantity or (ii) ascending asset quantity.

5. The method of claim 4, wherein the decrementing further comprises:

determining an initial buy order to be decremented as a buy order of the candidate set of buy orders with a largest asset quantity; and

following each instance of decrementing in which the back out target value has not yet been achieved, resorting the non-zero asset quantity buy orders in the chain, wherein a next buy order to be decremented is determined as a buy order of the resorted buy orders with a largest current asset quantity.

6. The method of claim 5, wherein resorting includes resorting the non-zero asset quantity buy orders in the chain in order of (i) descending current asset quantity or (ii) ascending current asset quantity.

7. The method of claim 3, wherein the decrementation amount is based upon the fixed asset quantity, and wherein the decrementation amount is (i) chosen by a customer associated with the investment account, (ii) established as a system default, or (iii) selected from a plurality of possible fixed integer values.

8. The method of claim 3, wherein the decrementation amount is based upon the fixed monetary amount, and wherein the respective amount, including the first amount or the second amount, is derived as an integer approximation of fixed monetary amount divided by a respective asset price associated with the respective asset of the respective buy order, and wherein the decrementation amount is (i) chosen by the customer associated with the investment account, (ii) established as the system default, or (iii) selected from a plurality of possible fixed monetary amounts.

9. The method of claim 1, wherein the decrementation amount is selected from a plurality of possible fixed integer quantity values, and wherein the selection is based on a scope attribute associated with the investment account.

10. The method of claim 9, wherein the scope attribute is selected from the group consisting of: (i) an identification of the investment account, (ii) an identification of a style associated with the investment account, (iii) an identification of a strategy associated with the investment account, (iv) an identification of a program associated with the investment account, and (v) an identification of a customer associated with the investment account.

11. The method of claim 1, wherein the back out target value is selected from a plurality of possible fiscal amounts, and the selection is based on a scope attribute associated with the investment account.

12. The method of claim 11, wherein the scope attribute is selected from the group consisting of: (i) an identification of the investment account, (ii) an identification of a style associated with the investment account, (iii) an identification of a strategy associated with the investment account, (iv) an identification of a program associated with the investment account, and (v) an identification of a customer associated with the investment account.

13. A system, comprising:

a memory for storing computer program instructions;

a processor in communication with the memory, wherein the processor is operable to execute the computer program instructions to:

identify a candidate set of buy orders associated with an investment account, wherein the candidate set includes at least a first buy order and a second buy order;

determine that total cash required to fund the candidate set of buy orders exceeds net available cash in the investment account;

subsequent to determining that the total cash required exceeds the net available cash, link the buy orders in the candidate set into a chain, wherein the first buy order is linked to the second buy order;

determine a back out target value that identifies a fiscal amount by which the candidate set must be reduced;

identifying a decrementation amount;

decrement, in accordance with an ordering associated with the chain, a respective asset quantity of two or more non-zero quantity buy orders, including a first asset quantity of the first buy order and a second asset quantity of the second buy order, to a respective final asset quantity until the back out target value is achieved by:

decrementing the first asset quantity of the first buy order by a first amount that is either (i) equal to the identified decrementation amount or (ii) derived from the identified decrementation amount and a first asset price associated with a first asset of the first buy order;

determining that an impact of the decrementing the first asset quantity of the first buy order is insufficient to achieve the back out target value,

subsequent to determining that the impact of decrementing the first asset quantity is insufficient to achieve the back out target value, decrementing the second asset quantity by a second amount that is either (i) equal to the identified decrementation amount or (ii) derived from the identified decrementation amount and a second asset price associated with a second asset of the second buy order, and

determining that a cumulative impact of decrementing at least the first asset quantity of the first buy order and the second asset quantity of the second buy order is sufficient to achieve the back out target value;

modify the candidate set of buy orders by (i) excluding any of the buy orders for which the respective final asset quantity is zero or (ii) replacing a respective initial asset quantity with the respective final asset quantity for any of the buy orders for which the respective final asset quantity is different than the respective initial asset quantity; and

provide the modified candidate set of buy orders for trade execution.

14. The system of claim 13, wherein the chain is a circular chain, wherein an initial buy order and a last buy order are linked in the circular chain.

15. The system of claim 13, wherein the decrementation amount is based upon a fixed asset quantity or a fixed monetary amount.

16. The system of claim 15, wherein the decrementation amount is based upon the fixed asset quantity, and wherein the decrementation amount is (i) chosen by a customer associated with the investment account, (ii) established as a system default, or (iii) selected from a plurality of possible fixed integer values.

17. The system of claim 15, wherein the decrementation amount is based upon the fixed monetary amount, and wherein the respective amount, including the first amount or the second amount, is derived as an integer approximation of fixed monetary amount divided by a respective asset price associated with the respective asset of the respective buy order, and wherein the decrementation amount is (i) chosen by the customer associated with the investment account, (ii) established as the system default, or (iii) selected from a plurality of possible fixed monetary amounts.

18. The system of claim 13, wherein the processor is operable to link of the buy orders in the candidate set into the chain by:

sorting the candidate set of buy orders in order of (i) descending asset quantity or (ii) ascending asset quantity.

19. The system of claim 18, wherein the decrementing further comprises:

determining an initial buy order to be decremented as a buy order of the candidate set of buy orders with a largest asset quantity; and

following each instance of decrementing in which the back out target value has not yet been achieved, resorting the non-zero asset quantity buy orders in the chain, wherein a next buy order to be decremented is determined as a buy order of the resorted buy orders with a largest current asset quantity.

20. The system of claim 19, wherein resorting includes resorting the non-zero asset quantity buy orders in the chain in order of (i) descending current asset quantity or (ii) ascending current asset quantity.

21. The system of claim 13, wherein the decrementation amount is selected from a plurality of possible fixed integer quantity values, and wherein the selection is based on a scope attribute associated with the investment account.

22. The system of claim 21, wherein the scope attribute is selected from the group consisting of: (i) an identification of the investment account, (ii) an identification of a style associated with the investment account, (iii) an identification of a strategy associated with the investment account, (iv) an identification of a program associated with the investment account, and (v) an identification of a customer associated with the investment account.

23. The system of claim 13, wherein the back out target value is selected from a plurality of possible fiscal amounts, and the selection is based on a scope attribute associated with the investment account.

24. The system of claim 23, wherein the scope attribute is selected from the group consisting of: (i) an identification of the investment account, (ii) an identification of a style associated with the investment account, (iii) an identification of a strategy associated with the investment account, (iv) an identification of a program associated with the investment account, and (v) an identification of a customer associated with the investment account.