A trade allocation system includes a computer system having a network
interface over which messages can be exchanged with an order management
system. The computer system is also coupled to a first database that
stores data associating portfolios with risk classes and target ratios. A
second database stores instructions to configure the system to receive
from order management systems messages describing trades of financial
instruments. Each message can include a financial instrument identifier,
a size of the trade, and a risk class identifier. The instructions also
configure the processor to query the first database to determining a
portfolios that are associated with a risk class identified by a risk
class identifier in a message as well as to determine a target ratio for
each of the portfolios. The processor then allocates the trade of the
financial instrument among each of the portfolios based on the target
ratios. Allocating a trade of a financial instruments among a group of
portfolios include receiving a message descriptive of a trade of a
financial instrument. The message can include a financial instrument
identifier and a size of the trade. A collection of portfolios are then
identified based on a match between a risk class of the portfolio and the
risk class of the traded financial instrument. The trade is then
allocated among each of the portfolios based on a target ratio associated
with each portfolio.