Large liquidity seeking trading platform

Patent metadata

Field	Value
Publication number	US-10592986-B2
Application number	US-201514857538-A
Country	US
Kind code	B2
Filing date	Sep 17, 2015
Priority date	Dec 31, 2013
Publication date	Mar 17, 2020
Grant date	Mar 17, 2020

Abstract

An electronic trading system implements a display price that guarantees a minimum available quantity for trade. The electronic trading system determines a quantity of financial instruments available at various prices for incoming orders. A display bid price and display offer price are determined so that the quantity available at the display prices exceeds a display quantity threshold. The electronic trading system receives orders designated fast and slow. Fast orders are used for large, rapid trades at known prices. Slow orders trade with a delay for a price improvement auction. Orders meeting a minimum order quantity threshold may participate in an auction for incoming orders that offers price improvement to the execution price of aggressively priced orders. The electronic trading system implements risk management measures based on order size and percentage filled for individual trades and series of trades. The electronic trading system supports orders having multiple legs.

First claim

The invention claimed is:

1. An electronic system for executing trades according to one or more enforcement policies, comprising:
one or more specialized computers, in communication with one or more external electronic exchanges over at least one network, comprising computer-readable instructions stored on a non-transitory computer-readable storage medium and executed by at least one processor, said computer readable instructions defining an order manager and an execution manager, each of said order manager and said execution manager comprising a computer program module including computer program logic, said computer-readable instructions, when executed by the at least one processor, causing the one or more computers to:
receive, at the one or more computers, a plurality of orders, each order specifying at least a financial instrument, a quantity, a side, and a limit price;
determine, from the received plurality of orders, a display price for the side based at least in part on the quantity and the limit price of at least one of the plurality of orders;
receive an inbound order comprising execution instructions for controlling executing, by the one or more specialized computers, said inbound order and specifying at least the financial instrument, said inbound order further comprising an inbound quantity, an inbound side, and an inbound limit price, the inbound side opposite from the side of the received plurality of orders;
compare, by the order manager, the inbound quantity to an order quantity threshold;
determine, by the order manager, an execution price for one or more trades based on at least one of the comparison, the order quantity threshold, the display price, the inbound limit price and the limit price of each order of the plurality of orders;
enforce, by the execution manager, at least one policy by further causing the one or more computers to:
monitor one or more away best bid-offer (BBO) prices at the one or more external electronic exchanges via the at least one network;
determine whether the execution price is a worse price than the monitored one or more away BBO prices, wherein the worse price comprises a lower price if the inbound order has a sell side and a higher price if the inbound order has a buy side;
compare the execution instructions to one or more restrictions of the at least one policy, said one or more restrictions relating to said determination of whether the execution price is the worse price; and
implement said execution instructions subject to the one or more restrictions of the at least one policy being enforced by the execution manager, said implement comprising:
match, by the order manager, one or more orders from the plurality of orders to the inbound order, the match based, at least in part, on limit prices of the received plurality of orders; and
execute, by the order manager, the one or more trades between the inbound order and the one or more matched orders according to the execution instructions, only to an extent to which said execution instructions do not violate the one or more restrictions of the at least one policy, wherein at least a portion of said execution instructions do violate the one or more restrictions, the execution manager enforcing the at least one policy by executing the one or more trades in a manner that is contrary to the execution instructions, and wherein the execution manager enforces the at least one policy over operation of the order manager.

2. The electronic trading system of claim 1 , further comprising computer-readable instructions that, when executed, cause the one or more computers to:
route, by the order manager, at least a portion of the order to an external exchange_among the one or more external exchanges, when the execution price is the worse price.

3. The electronic trading system of claim 2 , the electronic trading system further comprising computer-readable instructions that, when executed, cause the one or more computers to:
select the external exchange based at least in part on the execution instruction.

4. The electronic trading system of claim 3 , wherein the execution instruction specifies fast execution, and wherein:
the execution price is based on limit prices and quantities of the received plurality of orders, the inbound limit price, and the inbound quantity if the inbound quantity is being greater than or equal to the order quantity threshold, or
the execution price is based on the determined display price if the inbound quantity is less than the order quantity threshold.

5. The electronic trading system of claim 1 , wherein the execution manager causes the order manager to execute the inbound order in a manner that is contrary to the execution instructions.

6. The electronic trading system of claim 1 , where the execution instructions include at least one of one or more cancellation conditions, instructions for interaction with the one or more external electronic exchanges and one or more execution conditions.

7. The electronic trading system of claim 1 , wherein the plurality of orders comprise at least one multipart order that is delta neutral.

8. The electronic trading system of claim 7 , wherein the at least one multipart order comprises a plurality of legs, each leg corresponding to a given order.

9. The electronic trading system of claim 7 , wherein the inbound order is a multipart order that is delta neutral.

10. The electronic trading system of claim 9 , wherein determining, by the order manager, the execution price for the one or more trades based on at least one of the comparison, the order quantity threshold, the display price, the inbound limit price and the limit price of each order of the plurality of orders, comprises:
determining at least one of a comparison, an order quantity threshold, a display price, an inbound limit price, and a limit price of each leg of the at least one multipart order that is delta neutral.

11. An electronic system for executing trades according to one or more enforcement policies, comprising:
one or more specialized computers, in communication with one or more external electronic exchanges over at least one network, comprising computer-readable instructions stored on a non-transitory computer-readable storage medium and executed by at least one processor, said computer readable instructions defining an order manager and an execution manager, each of said order manager and said execution manager comprising a computer program module including computer program logic, said computer-readable instructions, when executed by the at least one processor, causing the one or more computers to:
receive, at the one or more computers, a multipart order that is delta neutral, the multipart order comprising a plurality of orders, each order in the plurality of orders specifying at least a financial instrument, a quantity, a side, and a limit price;
determine, from the received multipart order, a display price for the side based at least in part on the quantity and the limit price of at least one order of the plurality of orders of the multipart order;
receive an inbound order comprising execution instructions for controlling executing, by the one or more specialized computers, said inbound order and specifying at least the financial instrument, said inbound order further comprising an inbound quantity, an inbound side, and an inbound limit price, the inbound side opposite from the side of each order of the plurality of orders of the multipart order;
compare, by the order manager, the inbound quantity to an order quantity threshold;
determine, by the order manager, an execution price for one or more trades based on at least one of the comparison, the order quanti

Assignees

• Nyse Group Inc

Inventors

• Farnstrom Amy Joy
• Crutchfield Steven G
• Hyde James

Classifications

• G06Q40/04 Primary

  Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange · CPC title

• G06Q40/045

  Accepting or processing orders in an exchange · CPC title

• G06Q40/0451 Primary

  Prioritising, queuing or matching trade orders in an exchange · CPC title