Large liquidity seeking trading platform

Patent metadata

Field	Value
Publication number	US-2016005122-A1
Application number	US-201514857256-A
Country	US
Kind code	A1
Filing date	Sep 17, 2015
Priority date	Dec 31, 2013
Publication date	Jan 7, 2016
Grant date	—

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

1 . An electronic trading system for executing trades, comprising:
one or more specialized computers comprising computer-readable instructions stored on a non-transitory computer-readable storage medium and executed by at least one processor, said computer-readable instructions, when executed, causing the one or more computers to:
receive, at the electronic trading system, 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, at the electronic trading system, an inbound order specifying at least the financial instrument, an inbound quantity, an inbound side, an inbound limit price, and an execution instruction specifying slow execution, the inbound side opposite from the side of the received plurality of orders;
conduct a price improvement auction, the price improvement auction lasting a duration of time between a minimum duration and a maximum duration;
receive one or more auction orders responsive to the price improvement auction, each of the one or more auction orders specifying an auction order limit price and an auction order quantity; and
execute one or more trades between the inbound order and the one or more auction orders based, at least in part, on the auction order limit prices, the inbound limit price and the determined display price.

2 . The electronic trading system of claim 1 , further comprising computer-readable instructions that, when executed, cause the one or more computers to:
notify one or more market participants of the financial instrument, the inbound side, the inbound limit price, and the inbound quantity.

3 . The electronic trading system of claim 2 , wherein the electronic trading system conducts the price improvement auction by executing computer-readable instructions that cause the one or more computers to:
initiate a timer once the one or more market participants are notified; determine the duration of time through a random process or a pseudo-random process, the auction duration being greater than or equal to the minimum duration and less than or equal to the maximum duration; determine that the auction has ended based on the timer being greater than or equal to the auction duration; and notify the one or more market participants that the auction has ended.

4 . The electronic trading system of claim 1 , further comprising computer-readable instructions that, when executed, cause the one or more computers to repeatedly conduct the price improvement auction, receive one or more auction orders, and execute one or more trades until at least one the following conditions is met: a total auction time exceeds a total time threshold, a total auction round counter exceeds an auction round threshold, and the one or more trades fulfill the inbound quantity.

5 . The electronic trading system of claim 1 , further comprising computer-readable instructions that, when executed, cause the one or more computers to:
execute one or more trades at the determined display price, the one or more trades involving the inbound order and the received plurality of orders.

6 . The electronic trading system of claim 1 , wherein the electronic trading system executes the one or more trades between the inbound order and the one or more auction orders by executing computer-readable instructions that cause the one or more computers to:
rank the received one or more auction orders based on the auction order limit price of each of the one or more auction orders, wherein auction orders having better auction order limit prices are ranked higher; and select at least one auction order for execution, the selected at least one auction order having a total quantity greater than or equal to the inbound quantity.

7 . The electronic trading system of claim 6 , further comprising computer-readable instructions that, when executed, cause the one or more computers to:
execute a partial quantity of at least one auction order having an equal ranking among the selected one or more orders, the partial quantity determined being proportional to the auction order quantity of the at least one auction order.

8 . The electronic trading system of claim 6 , wherein the better limit prices comprise higher prices if the inbound order has a sell side and lower prices if the inbound order has a buy side.

9 . The electronic trading system of claim 1 , wherein the inbound order comprises an additional execution instruction, the electronic trading system further comprising computer-readable instructions that, when executed, cause the one or more computers to:
cancel at least a portion of the inbound order based on the additional execution instruction, the portion of the inbound order comprising an unfilled quantity remaining after execution of the one or more trades.

10 . The electronic trading system of claim 1 , further comprising computer-readable instructions that, when executed, cause the one or more computers to:
monitor one or more away best bid-offer (BBO) prices at one or more external exchanges; determine that an away BBO price is better for the inbound order at at least one external exchange of the one or more external exchanges; and route at least a portion of the order to the at least one external exchange.

11 . The electronic trading system of claim 10 further comprising computer-readable instructions that, when executed, cause the one or more computers to:
select the at least one external exchange based at least in part on the additional execution instruction.

12 . The electronic trading system of claim 1 , wherein the inbound order comprises an unfilled quantity after execution of the one or more trades, the electronic trading system further comprising computer-readable instructions that, when executed, cause the one or more computers to:
compare the unfilled quantity of the inbound order to an order quantity threshold; determine an execution price for one or more additional trades based on limit prices of the received plurality of orders and the inbound limit price if the unfilled quantity is greater than or equal to the order quantity threshold, or based on the determined display price if the unfilled quantity is less than the order quantity threshold; match 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 one or more additional trades between the inbound order and the one or more matched orders, the one or more additional trades being executed at the execution price.

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