Tracking liquidity order

• US 10,614,520 B2
• Filed: 05/03/2006
• Issued: 04/07/2020
• Est. Priority Date: 05/05/2005
• Status: Active Grant

• Current Assignee: NYSE Group, Inc. (Intercontinental Exchange, Inc.)
• Original Assignee: NYSE Group, Inc. (Intercontinental Exchange, Inc.)
• Inventors: Adcock, Paul D., Cormack, Michael A., Haller, Thomas F., Hill, Robert A.
• Primary Examiner(s): Vyas, Abhishek
• Application Number:
  US11/416,943
• Publication Number:
  US 20060253382A1
• Time in Patent Office: 5,088 Days
• Field of Search: 705 39
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A tracking liquidity order and related market center and process are disclosed which allow posting market centers (e.g. exchanges) to fill routable, smaller orders that would have otherwise routed off the posting market center. Such tracking liquidity orders increase the liquidity of that posting market center and allow it to execute more orders internally, without having to route them to an away market center.

Claims

1. A computer-implemented method comprising:

in a computing system comprising a posting market center computer coupled to a plurality of external data sources via a network, the posting market center computer having at least one memory with at least one region for storing executable program code and at least one processor for executing the program code stored in the memory, the program code defining at least one interface, at least one order matching engine, and at least one order book;

receiving, via the at least one interface from among the external data sources, displayed and nondisplayed orders, at least one of the nondisplayed orders comprising a tracking liquidity order having a price and size component, the tracking liquidity order configured to only execute on the posting market center computer, no price nor size component of the tracking liquidity order being displayed on the order book;

storing, by the order matching engine in the order book, the displayed and nondisplayed orders according to a ranking index and a price index, the ranking index being based on an extent of disclosure of the displayed and nondisplayed orders, the tracking liquidity order positioned in the order book according to a tracking liquidity order ranking and the price of the tracking liquidity order;

receiving, via the at least one interface, from among the external data sources, an incoming order that is eligible for routing to an away market among the external data sources; and

determining, by the order matching engine to prevent said incoming order that is eligible for routing to the away market from being routed to the away market by;

(i) interrogating the price index of the order book corresponding to a price of the incoming order to identify a contra side order in the order book;

(ii) interrogating the ranking index of the order book to determine whether the contra side order is the tracking liquidity order;

(iii) determining that a size of the incoming order is not greater than the size component of the tracking liquidity order based on information associated with the tracking liquidity order in the order book; and

(iv) executing said incoming order against the tracking liquidity order without routing said incoming order to the away market.

2. The method of claim 1, wherein the tracking liquidity order is a buy order and the incoming order is a sell order and wherein the determining of whether to prevent an incoming order that is eligible for routing from being routed further comprises:

determining, by the computing system, that the contra side order is at the national best bid or offer.

3. The method of claim 2, wherein the tracking liquidity buy has a fluctuating current price parameter, and wherein the fluctuating current price parameter of the tracking liquidity buy order is capped at the national best bid price to prevent a trade through violation.

4. The method of claim 3, wherein the fluctuating current price parameter of the tracking liquidity buy order is reset when the national best bid price changes.

5. The method of claim 4, wherein the tracking liquidity order further has a maximum price, and wherein the fluctuating current price parameter of the tracking liquidity order cannot exceed the maximum price, regardless of the national best bid.

6. The method of claim 3, wherein if the fluctuating current price parameter of the tracking liquidity buy order is superior to the price of the displayed and nondisplayed buy orders on the order book, then the tracking liquidity buy order has priority to execute against an incoming marketable sell order that is about to route to an away market.

7. The method of claim 3, wherein if the fluctuating current price parameter of the tracking liquidity buy order is equal to the price of the displayed and nondisplayed buy orders on the order book, then the tracking liquidity buy order is eligible to execute against an incoming marketable sell order only after the incoming sell order has matched all displayed and nondisplayed buy orders and is about to route to an away market.

8. The method of claim 1, wherein the tracking liquidity order is a sell order and the incoming order is a buy order.

9. The method of claim 8, wherein the tracking liquidity sell order has a fluctuating current price parameter, and wherein the fluctuating current price parameter of the tracking liquidity sell order is capped at the national best offer price to prevent a trade through violation.

10. The method of claim 9, wherein the fluctuating current price parameter of the tracking liquidity sell order is reset when the national best offer price changes.

11. The method of claim 10, wherein the tracking liquidity order further has a minimum price, and wherein the fluctuating current price parameter of the tracking liquidity order cannot be lower than the minimum price, regardless of the national best offer.

12. The method of claim 9, wherein if the fluctuating current price parameter of the tracking liquidity sell order is superior to the price of the displayed and nondisplayed sell orders on the order book, then the tracking liquidity sell order has priority to execute against an incoming marketable sell order that is about to route to an away market.

13. The method of claim 9, wherein if the fluctuating current price parameter of the tracking liquidity sell order is equal to the price of the displayed and nondisplayed sell orders on the order book, then the tracking liquidity sell order is eligible to execute against an incoming marketable sell order only after the incoming sell order has matched all displayed and nondisplayed buy orders and is about to route to an away market.

18. The method of claim 1, wherein the computing system is one or more programmed computers.

21. The method of claim 1, wherein the computing system is distributed over several physical locations.

24. The method of claim 1, wherein prior to determining whether to prevent the incoming order from being routed to an away market, the posting market computer confirms that the incoming order is eligible for routing to an away market.

25. The method of claim 1, further comprising routing the incoming order to the away market when a contra side order that corresponds to the price of the incoming order is not identified in the order book.

14. A computer-implemented method comprising:

in a computing system comprising a posting market center computer coupled to a plurality of external data sources via a network, the posting market center computer having at least one memory with at least one region for storing executable program code and at least one processor for executing the program code stored in the memory, the program code defining at least one interface, at least one order matching engine, and at least one order book;

receiving, via the at least one interface, from among the external data sources, displayed orders, partially displayed orders, nondisplayed orders and published market make quotes, at least one of the nondisplayed orders comprising a tracking liquidity order having a nondisplayed price and a nondisplayed size component,

the tracking liquidity order configured to only execute on the posting market center computer,

no part of the tracking liquidity order being displayed to a marketplace computer,

the tracking liquidity order having a superior price to the displayed orders, the market maker quotes and the partially displayed orders, and

the superior price of the tracking liquidity order providing the tracking liquidity order with price priority ahead of the displayed orders, the market maker quotes and the partially displayed orders;

storing, by the order matching engine in the order book, the displayed orders, the partially displayed orders, the nondisplayed orders and the published market maker quotes according to a ranking index and a price index, the ranking index being based on an extent of disclosure of the displayed orders, the partially displayed orders, the nondisplayed orders and the published market maker quotes, the tracking liquidity order positioned in the order book according to a tracking liquidity order ranking and the nondisplayed price of the tracking liquidity order;

receiving, via the at least one interface, from among the external data sources, an incoming order that is eligible for routing to an away market among the external data sources; and

determining, by the order matching engine to prevent said incoming order that is eligible for routing to the away market from being routed to the away market by;

(i) interrogating the price index of the order book corresponding to a price of the incoming order to identify a contra side order in the order book;

(ii) interrogating the ranking index of the order book to determine whether the contra side order is the tracking liquidity order;

(iii) determining, that a remaining size of the incoming order is not greater in size than the tracking liquidity order size component; and

(iv) executing, the incoming order against the tracking liquidity order prior to the displayed orders, market maker quotes and partially displayed orders without routing said incoming order to the away market.

19. The method of claim 14, wherein the computing system is one or more programmed computers.

22. The method of claim 14, wherein the computing system is distributed over several physical locations.

15. A computer-implemented method comprising:

in a computing system comprising a posting market center computer coupled to a plurality of external data sources via a network, the posting market center computer having at least one memory with at least one region for storing executable program code and at least one processor for executing the program code stored in the memory, the program code defining at least one interface, at least one order matching engine, and at least one order book;

receiving, via the at least one interface, from among the external data sources, displayed orders, partially displayed orders, nondisplayed orders and published market maker quotes, at least one of the nondisplayed orders comprising a tracking liquidity order having a nondisplayed price and a nondisplayed size component, the tracking liquidity order configured to only execute on the posting market center computer, no part of the tracking liquidity order being displayed to a marketplace computer, the tracking liquidity order having a price equal to the displayed orders, the market maker quotes and the partially displayed orders;

storing, by the order matching engine in the order book, the displayed orders, the partially displayed orders, the nondisplayed orders and the published market maker quotes according to a ranking index and a price index, the ranking index being based on an extent of disclosure of the displayed orders, partially displayed orders, nondisplayed orders and published market maker quotes, the tracking liquidity order positioned in the order book according to a tracking liquidity order ranking and the nondisplayed price of the tracking liquidity order;

receiving, via the at least one interface, from among the external data sources, an incoming order that is eligible for routing to an away market among the external data sources; and

determining, by the order matching engine to prevent said incoming order that is eligible for routing to the away market from being routed to the away market by;

(i) interrogating the price index of the order book corresponding to a price of the incoming order to identify a contra side order in the order book;

(ii) interrogating the ranking index of the order book to determine whether the contra side order is the tracking liquidity order;

(iii) determining that a remaining size of the incoming order is not greater than the tracking liquidity order size component; and

(iv) executing the incoming order against the tracking liquidity order subsequent to the displayed orders, the market maker quotes and the partially displayed orders without routing said incoming order to the away market.

20. The method of claim 15, wherein the computing system is one or more programmed computers.

23. The method of claim 15, wherein the computing system is distributed over several physical locations.

16. A computer-implemented system comprising:

(a) a posting market center computer coupled to a plurality of external data sources via a network, the posting market center computer having at least one non-transitory computer-readable storage medium with at least one region for storing executable program code and at least one processor for executing the program code stored in the memory, the program code defining at least one order matching engine and an order book; and

(b) an interface of the posting market center computer defined by the program code for receiving the displayed and nondisplayed orders, at least one of the nondisplayed orders including a tracking liquidity order configured to only execute on the posting market center computer, and no price nor size component of the tracking liquidity order being displayed on the order book,

the at least one interface configured to receive, from among the external data sources, an incoming order that is eligible for routing to an away market among the external data sources,

the at order matching engine interacting with the interface and configured to;

store, in the order book, the displayed and nondisplayed orders according to a ranking index and a price index, the ranking index being based on the extent of disclosure of the displayed and nondisplayed orders, the tracking liquidity order positioned in the order book according to a tracking liquidity order ranking and the price of the tracking liquidity order,

determine to prevent said incoming order that is eligible for routing to the away market from being routed to the away market by;

interrogating the price index of the order book corresponding to a price of the incoming order to identify a contra side order in the order book;

interrogating the ranking index of the order book to determine whether the contra side order is the tracking liquidity order;

determining that a size of the incoming order is not greater than the size component of the tracking liquidity order based on information associated with the tracking liquidity order in the order book; and

executing said incoming order against the tracking liquidity order without routing said incoming order to the away market.

17. The system of claim 16, further comprising an interface for publishing market maker quotes and for generating an order on behalf of a market maker quote when the market maker quote is marketable.

26. The method of claim 16, wherein prior to determining whether to prevent the incoming order from being routed to an away market, confirming that the incoming order is eligible for routing to an away market.

27. The method of claim 16, wherein the determining of whether to prevent an incoming order that is eligible for routing from being routed further comprises determining, by the computing system, that the contra side order is at the national best bid or offer.