System and method for apportioning trading orders based on size of displayed quantities

• US 10,395,310 B2
• Filed: 07/08/2013
• Issued: 08/27/2019
• Est. Priority Date: 08/04/2005
• Status: Active Grant

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Original Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Inventors: Claus, Matthew W., Foley, Kevin M., Noviello, Joseph C., Lutnick, Howard W.
• Primary Examiner(s): Trotter, Scott S
• Application Number:
  US13/936,789
• Publication Number:
  US 20140108219A1
• Time in Patent Office: 2,241 Days
• Field of Search: 705 35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

An apparatus for processing trading orders comprises a memory and a processor. The memory stores a first order and a second order. The first order is associated with a product and comprises a displayed quantity and a reserved quantity. The second order is associated with the product and comprises a displayed quantity and a reserved quantity. The processor is coupled to the memory and receives a counterorder associated with the product. The processor fills the displayed quantity of the first order with a corresponding portion of the counterorder, and fills the displayed quantity of the second order with a corresponding portion of the counterorder. The processor allocates a first additional portion of the counterorder to the first order. The first additional portion is based at least in part on a ratio of the displayed quantity of the first order to a sum of the displayed quantity of the first order and the displayed quantity of the second order.

Claims

1. An apparatus comprising:

at least one processor of at least one computer in electronic communication with a plurality of other computers via a computer network;

at least one memory operable to store;

a first order associated with a product and comprising a displayed quantity and a reserved quantity, the first order being received from a first trader computer via the computer network;

a second order associated with the product and comprising a displayed quantity and a reserved quantity, the second order being received at the apparatus from a second trader computer via the computer network after the first order is received at the apparatus, in which the reserved quantity of the first order and the reserved quantity of the second order are available to be traded but are not displayed to traders; and

instructions that are configured to direct the at least one processor to;

responsive to the first order being received, control, via the computer network, display, on a display of each of the first trader computer, the second trader computer and a third trader computer, of the displayed quantity of the first order;

responsive to the second order being received, control, via the computer network, refreshing the display of each of the first, second and third trader computers, to display the displayed quantity of the first order with the displayed quantity of the second order;

receive from the third trader computer via the computer network a first electronic message comprising a counterorder associated with the product, the counterorder having a quantity greater than a sum of (a) the displayed quantity of the first order and (b) the displayed quantity of the second order;

in response to receiving the first electronic message, facilitate filling the displayed quantity of the first order with a first corresponding portion of the counterorder;

in response to receiving the first electronic message, facilitate filling the displayed quantity of the second order with a second corresponding portion of the counterorder

in response to receiving the first electronic message, calculate a first additional portion of the counterorder based at least in part on a first ratio of (i) the displayed quantity of the first order to (ii) the sum of (a) the displayed quantity of the first order and (b) the displayed quantity of the second order;

allocate the calculated first additional portion of the counterorder to the first order;

facilitate filling the calculated first additional portion of the counterorder with an equal quantity of the first order;

in response to receiving the first electronic message, calculate a second additional portion of the counterorder based at least in part on a second ratio of (i) the displayed quantity of the second order to (ii) the sum of (a) the displayed quantity of the first order and (b) the displayed quantity of the second order;

allocate the calculated second additional portion of the counterorder to the second order;

facilitate filling the calculated second additional portion of the counterorder with an equal quantity of the second order; and

in response to facilitating filling the calculated first additional portion of the counterorder with the equal quantity of the first order and facilitating filling the calculated second additional portion of the counter order with the equal quantity of the second order, replenish the displayed quantity of the first order with quantity of the first order remaining and the displayed quantity of the second order with quantity of the second order remaining.

2. The apparatus of claim 1, wherein the first and second orders comprise buy orders and the counterorder comprises a sell order.

3. The apparatus of claim 1, wherein the first and second orders comprise sell orders and the counterorder comprises a buy order.

4. The apparatus of claim 1, wherein the displayed quantity of the first order and the displayed quantity of the second order are filled in the same sequence that the first order and the second order were received.

5. The apparatus of claim 1, wherein:

the at least one memory is further operable to store a third order associated with the product and comprising a displayed quantity and a reserved quantity; and

the at least one processor is further operable to facilitate filling the displayed quantity of the third order prior to allocating the first additional portion of the counterorder.

6. The apparatus of claim 5, wherein the third order is received prior to the counterorder, and wherein the at least one other displayed quantity further comprises the displayed quantity of the third order.

7. The apparatus of claim 5, wherein:

the at least one processor determines whether any portion of the counterorder remains unfilled after the displayed quantities of the first order, the second order, and the third order are filled; and

the at least one processor allocates the first additional portion of the counterorder to the first order only if some portion of the counterorder remains unfilled after the displayed quantities of the first order, the second order, and the third order are filled.

8. The apparatus of claim 1, wherein:

the first order was received at a first time and the second order was received at a second time; and

the at least one processor is further operable to allocate a second additional portion of the counterorder to the first order based at least in part upon the difference between the first time and the second time.

9. The apparatus of claim 1, wherein the at least one processor is further operable to determine whether any remaining portion of the counterorder exists prior to allocating the first additional portion.

10. A method comprising:

receiving, by at least one processor of at least one computer in electronic communication with a plurality of other computers via a computer network, a first electronic message comprising a first order associated with a product and comprising a displayed quantity and a reserved quantity, the first order being received from a first trader computer via the computer network, in which the reserved quantity of the first order is available to be traded but is not displayed to traders;

receiving, by the at least one processor from a second trader computer via the computer network, a second electronic message comprising a second order associated with the product and comprising a displayed quantity and a reserved quantity, in which the reserved quantity of the second order is available to be traded but is not displayed to traders, in which the second electronic message is received at the least one computer after the first electronic message is received at the at least one computer;

responsive to the first order being received, controlling, by the at least one processor via the computer network, display, on a display of each of the first trader computer, the second trader computer and a third trader computer, of the displayed quantity of the first order;

responsive to the second order being received, controlling, by the at least one processor via the computer network, refreshing the display of each of the first, second and third trader computers, to display the displayed quantity of the first order with the displayed quantity of the second order;

receiving, by the at least one processor, from the third trader computer via the computer network, a third electronic message comprising a counterorder associated with the product, the counterorder having a quantity greater than a sum of the displayed quantity of the first order the displayed quantity of the second order;

in response to receiving the third electronic message, filling, by the at least one processor, the displayed quantity of the first order with a first corresponding portion of the counterorder;

in response to receiving the third electronic message, filling, by the at least one processor, the displayed quantity of the second order with a second corresponding portion of the counterorder;

in response to receiving the third electronic message, calculating, by the at least one processor, a first additional portion of the counterorder based at least in part on a first ratio of (i) the displayed quantity of the first order to (ii) the sum of (a) the displayed quantity of the first order and (b) the displayed quantity of the second order;

allocating, by the at least one processor, the calculated first additional portion of the counterorder to the first order;

filling, by the at least one processor, the calculated first additional portion of the counterorder with an equal quantity of the first order;

in response to receiving the third electronic message, calculating, by the at least one processor, a second additional portion of the counterorder based at least in part on a second ratio of (i) the displayed quantity of the second order to (ii) the sum of (a) the displayed quantity of the first order and (b) the displayed quantity of the second order;

allocating, by the at least one processor, the calculated second additional portion of the counterorder to the second order;

filling, by the at least one processor, the calculated second additional portion of the counterorder with an equal quantity of the second order; and

in response to filling the calculated first additional portion of the counterorder with the equal quantity of the first order and filling the calculated second additional portion of the counter order with the equal quantity of the second order, replenishing, by the at least one processor, the displayed quantity of the first order with quantity of the first order remaining and the displayed quantity of the second order with quantity of the second order remaining.

11. The method of claim 10, wherein the first and second orders comprise buy orders and the counterorder comprises a sell order.

12. The method of claim 10, wherein the first and second orders comprise sell orders and the counterorder comprises a buy order.

13. The method of claim 10, wherein the displayed quantity of the first order and the displayed quantity of the second order are filled in the same sequence that the first order and the second order were received.

14. The method of claim 10, further comprising:

receiving an electronic message comprising a third order associated with the product and comprising a displayed quantity and a reserved quantity; and

filling the displayed quantity of the third order prior to allocating the first additional portion of the counterorder.

15. The method of claim 14, wherein the third order is received prior to the counterorder, and wherein the at least one other displayed quantity further comprises the displayed quantity of the third order.

16. The method of claim 14, further comprising:

determining whether any portion of the counterorder remains unfilled after filling the displayed quantities of the first order, the second order, and the third order; and

wherein the act of allocating the first additional portion of the counterorder to the first order comprises allocating the first additional portion of the counterorder to the first order responsive to a determination that some portion of the counterorder remains unfilled after filling the displayed quantities of the first order, the second order, and the third order.

17. The method of claim 10, wherein the first order was received at a first time and the second order was received at a second time, and further comprising allocating a second additional portion of the counterorder to the first order based at least in part upon the difference between the first time and the second time, further comprising:

determining whether any remaining portion of the counterorder exists prior to allocating the first additional portion.