Real-time trading system

• US 20020073018A1
• Filed: 09/26/2001
• Published: 06/13/2002
• Est. Priority Date: 09/28/2000
• Status: Active Grant

• Current Assignee: UBS Business Solutions AG (UBS Ag)
• Original Assignee: UBS Ag
• Inventors: Egli, Roland, Parikh, Hiren, Dawson, Clyde, Bruner, Chris, Mulinder, Charles, Reichenbach, Markus
• Granted Patent: US 7,340,430 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0605 Supply or demand aggregation
• 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
• CPC Class Codes: G06Q 40/08 Insurance
• CPC Class Codes: G06Q 50/188 Electronic negotiation

Abstract

A method and system is provided for managing risk associated with providing real-time trading services and includes the step of providing a plurality of dealing quotes wherein each of the plurality of dealing quotes having a duration. Next, an exposure associated with each of the dealing quotes during said respective durations is calculated. Next, a total exposure based on the exposures for all of the dealing quotes that have not expired is calculated. Finally, future dealing quotes are adjusted based on the total exposure.

Claims

1. A method for managing risk associated with providing real-time trading services, comprising the steps of:

providing a plurality of dealing quotes, each of said plurality of dealing quotes having a duration;

calculating an exposure associated with each of said dealing quotes during said respective durations;

calculating a total exposure based on said exposures for all of said dealing quotes that have not expired; and

adjusting future dealing quotes based on said total exposure.

2. The method of claim 1, wherein each of said plurality of dealing quotes are an offer to perform a trade in a security and wherein each of said plurality of dealing quotes is based on a size of said trade.

3. The method of claim 2, wherein at least one of said plurality of dealing quotes are provided to a client having a status and said at least one of said plurality of dealing quotes are based on said status.

4. The method of claim 1, wherein said plurality of dealing quotes are based on risk analysis and market volatility.

5. The method of claim 1, wherein at least one of said plurality of dealing quotes are an offer to a client to perform a trade in a security, said trade having a size and said client having credit, and wherein said step of providing a plurality of dealing quotes includes the steps of:

evaluating said credit of said client;

providing said at least one of said plurality of dealing quotes to said client if said credit is acceptable; and

reserving a portion of said client'"'"'s credit for said duration of said at least one of said plurality of dealing quote.

6. The method of claim 5, wherein said portion equals said size of said trade.

7. The method of claim 5, further comprising the step of:

releasing said portion of said client'"'"'s credit if said duration has expired and said client has not performed a trade in said security based on said at least one of said plurality of dealing quotes.

8. The method of claim 1, wherein at least one of said plurality of dealing quotes are an offer to a client to perform a trade in a security and wherein the step of providing a plurality of dealing quotes includes the step of:

manually reviewing said at least one of said plurality of dealing quotes before said at least one of said plurality of dealing quotes is provided to said client.

9. The method of claim 1, wherein each of said plurality of dealing quotes has a size, and wherein the step of providing a plurality of dealing quotes further comprises the step of:

limiting said size of said plurality of dealing quotes.

10. The method of claim 1, wherein each of said plurality of dealing quotes has a tenor, and wherein the step of providing a plurality of dealing quotes further comprises the step of:

limiting said tenor of said plurality of dealing quotes.

11. The method of claim 1, wherein each of said plurality of dealing quotes has a spread, and wherein the step of providing a plurality of dealing quotes further comprises the step of:

widening said spread of said plurality of dealing quotes.

12. The method of claim 1, wherein the step of adjusting future dealing quotes includes the step of:

adjusting said duration of said future dealing quotes.

13. The method of claim 1, wherein at least one of said plurality of dealing quotes is for a trade having a tenor, and the step of adjusting future dealing quotes includes the step of:

adjusting said tenor of said future dealing quotes.

14. The method of claim 1, wherein at least one of said plurality of dealing quotes has a spread, and the step of adjusting future dealing quotes includes the step of:

adjusting said spread of said future dealing quotes.

15. The method of claim 1, wherein the step of adjusting future dealing quotes includes the step of:

requiring that all of said future dealing quotes be reviewed manually.

16. The method of claim 1, further comprising the step of:

executing at least one trade based on one of said plurality of dealing quotes.

17. The method of claim 16, further comprising the steps of:

calculating a trade exposure associated with all of said at least one trade that has not been booked into a risk management system; and

adjusting future dealing quotes based on said trade exposure.

18. The method of claim 17, further comprising the step of:

booking said at least one trade into said risk management system.

19. The method of claim 16, further comprising the steps of:

aggregating all of said at least one trade;

booking all of said at least one trade when a threshold is reached.

20. The method of claim 19, wherein said threshold is an aggregated notional amount.

21. The method of claim 19, wherein said threshold is a time limit.

22. The method of claim 1, where said plurality of dealing quotes are for FX securities.

23. The method of claim 1, where said plurality of dealing quotes are for FX derivatives.

24. The method of claim 1, where said plurality of dealing quotes are for derivatives selected from the group including vanilla options, multi-leg options and exotic options.

25. The method of claim 1, where said plurality of dealing quotes are for securities selected from the group including equities, over-the-counter securities and debt instruments.

29. The method of claim 28, further comprising the steps of:

receiving a tenor for at least one of said plurality of price requests;

removing from said risk management system a portion of said block trade corresponding to said at least one of said plurality of price requests; and

booking a trade into said risk management system corresponding to said at least one of said plurality of price requests based on said tenor.

26. A method of managing risk associated with a plurality of price requests, the method comprising the steps of:

aggregating said plurality of price requests into a block trade price request; and

providing a single dealing price quote for said block trade price request.

27. A method of managing risk associated with a plurality of price requests, wherein some of said plurality of price requests have different currency pairs and some of said plurality of price requests have different tenors, the method comprising the steps of:

aggregating said plurality of price requests according to said different currency pairs into currency pair groups;

aggregating said plurality of price requests according to said tenors into tenor groups; and

providing a single dealing price quote for each of said currency pair groups and tenor groups.

28. A method of managing risk associated with a plurality of price requests, wherein each of said price requests have a notional amount and no tenor, the method comprising the steps of:

aggregating said plurality of price requests into a block trade price request;

providing a single dealing price quote for said block trade price request based on a spot price;

executing a block trade based on said block trade price request; and

booking said block trade into a risk management system.

30. A method for managing risk associated with a block trade price request, comprising the steps of:

providing a single dealing price quote for said block trade price request based on a spot price;

executing a block trade based on said block trade price request;

booking said block trade into a risk management system;

receiving at least one individual trade having a notional and a tenor;

removing from said risk management system a portion of said block trade corresponding to said at least one individual trade; and

booking a trade into said risk management system corresponding to said at least one individual based on said notional and said tenor.

31. A method for managing risk associated with providing real-time trading services, comprising the steps of:

providing a plurality of dealing quotes, each of said plurality of dealing quotes having a duration and wherein at least one of said plurality of dealing quotes are an offer to a client to perform a trade in a security, said trade having a size and said client having credit;

evaluating said credit of said client;

providing said at least one of said plurality of dealing quotes to said client if said credit is acceptable; and

reserving a portion of said client'"'"'s credit for said duration of said at least one of said plurality of dealing quote.

32. The method of claim 31, wherein said portion equals said size of said trade.

33. The method of claim 31, further comprising the step of:

releasing said portion of said client'"'"'s credit if said duration has expired and said client has not performed a trade in said security based on said at least one of said plurality of dealing quotes.

35. The method of claim 34, wherein each of said plurality of dealing quotes has a size, and wherein the step of providing a plurality of dealing quotes further comprises the step of:

limiting said size of said plurality of dealing quotes.

36. The method of claim 34, wherein each of said plurality of dealing quotes has a tenor, and wherein the step of providing a plurality of dealing quotes further comprises the step of:

limiting said tenor of said plurality of dealing quotes.

37. The method of claim 34, wherein each of said plurality of dealing quotes has a spread, and wherein the step of providing a plurality of dealing quotes further comprises the step of:

widening said spread of said plurality of dealing quotes.

38. The method of claim 34, further comprising the step of:

adjusting said duration of future dealing quotes.

39. The method of claim 34, wherein at least one of said plurality of dealing quotes is for a trade having a tenor, the method further comprising the step of:

adjusting said tenor of future dealing quotes.

40. The method of claim 34, wherein at least one of said plurality of dealing quotes has a spread, the method further comprising the step of:

adjusting said spread of future dealing quotes.

41. The method of claim 34, further comprising the step of:

requiring that all future dealing quotes be reviewed manually.

34. A method for managing risk associated with providing real-time trading services, comprising the steps of:

providing a plurality of dealing quotes, each of said plurality of dealing quotes having a duration and wherein at least one of said plurality of dealing quotes are an offer to a client to perform a trade in a security; and

manually reviewing said at least one of said plurality of dealing quotes before said at least one of said plurality of dealing quotes is provided to said client.

42. A method for managing risk associated with providing real-time trading services, comprising the steps of:

providing a plurality of dealing quotes, each of said plurality of dealing quotes having a duration;

executing at least one trade based on one of said plurality of dealing quotes;

aggregating all of said at least one trade; and

booking all of said at least one trade when a threshold is reached.

43. The method of claim 42, wherein said threshold is an aggregated notional amount.

44. The method of claim 42, wherein said threshold is a time limit.

46. The system of claim 45, wherein each of said plurality of dealing quotes are an offer to perform a trade in a security and wherein said quote engine determines each of said plurality of dealing quotes based on a size of said trade.

47. The system of claim 46, wherein at least one of said plurality of dealing quotes are provided to a client having a status and said quote engine determines said at least one of said plurality of dealing quotes based on said status.

48. The system of claim 45, wherein said quote engine determines said plurality of dealing quotes based on risk analysis and market volatility.

49. The system of claim 45, wherein at least one of said plurality of dealing quotes are an offer to a client to perform a trade in a security, said trade having a size and said client having credit, and further comprising a credit check module, said credit check module evaluating said credit of said client, said quote engine providing said at least one of said plurality of dealing quotes to said client if said credit is acceptable and said credit check module reserving a portion of said client'"'"'s credit for said duration of said at least one of said plurality of dealing quote.

50. The system of claim 49, wherein said portion equals said size of said trade.

51. The system of claim 49, wherein said credit check module releases said portion of said client'"'"'s credit if said duration has expired and said client has not performed a trade in said security based on said at least one of said plurality of dealing quotes.

52. The system of claim 45, wherein at least one of said plurality of dealing quotes are an offer to a client to perform a trade in a security and further comprising a dealer intervention module, said dealer intervention module enabling a dealer to manually review said at least one of said plurality of dealing quotes before said at least one of said plurality of dealing quotes is provided to said client.

53. The system of claim 45, wherein each of said plurality of dealing quotes has a size, and wherein said dealer intervention module limits said size of said plurality of dealing quotes.

54. The system of claim 45, wherein each of said plurality of dealing quotes has a tenor, and wherein said dealer intervention module limits said tenor of said plurality of dealing quotes.

55. The system of claim 45, wherein each of said plurality of dealing quotes has a spread, and said dealer intervention module widens said spread of said plurality of dealing quotes.

56. The system of claim 45, wherein said dealer intervention module adjusts said duration of said future dealing quotes.

57. The system of claim 45, wherein at least one of said plurality of dealing quotes is for a trade having a tenor, and wherein said dealer intervention module adjusts said tenor of said future dealing quotes.

58. The system of claim 45, wherein at least one of said plurality of dealing quotes has a spread, and wherein said dealer intervention module adjusts said spread of said future dealing quotes.

59. The system of claim 45, wherein said dealer intervention module causes all of said future dealing quotes be reviewed manually by a dealer.

60. The system of claim 45, wherein at least one trade based on one of said plurality of dealing quotes is executed.

61. The system of claim 60, wherein said exposure manager calculates a trade exposure associated with all of said at least one trade that has not been booked into a risk management system and wherein said quote engine adjusts said future dealing quotes based on said trade exposure.

62. The system of claim 61, wherein said at least one trade into said risk management system.

63. The system of claim 60, further comprising a trade aggregator, said trade aggregator aggregating all of said at least one trade and booking all of said at least one trade into a risk management system when a threshold is reached.

64. The system of claim 63, wherein said threshold is an aggregated notional amount.

65. The system of claim 63, wherein said threshold is a time limit.

66. The system of claim 45, where said plurality of dealing quotes are for FX securities.

67. The system of claim 45, where said plurality of dealing quotes are for FX-derivatives.

68. The system of claim 45, where said plurality of dealing quotes are for derivatives selected from the group including vanilla options, multi-leg options and exotic options.

69. The system of claim 45, where said plurality of dealing quotes are for securities selected from the group including equities, over-the-counter securities and debt instruments.

45. A system for managing risk associated with providing real-time trading services, comprising:

a quote engine, said quote engine providing a plurality of dealing quotes, each of said plurality of dealing quotes having a duration;

an exposure manager, said exposure manager calculating an exposure associated with each of said dealing quotes during said respective durations and calculating a total exposure based on said exposures for all of said dealing quotes that have not expired; and

wherein future dealing quotes are adjusted by said quote engine based on said total exposure.

70. A system for managing risk associated with a plurality of price requests, comprising:

a block trade manager, said block trade manager aggregating said plurality of price requests into a block trade price request and providing a single dealing price quote for said block trade price request.

71. A system for managing risk associated with a plurality of price requests, wherein some of said plurality of price requests have different currency pairs and some of said plurality of price requests have different tenors, comprising:

a block trade manager, said block trade manager aggregating said plurality of price requests according to said different currency pairs into currency pair groups and said plurality of price requests according to said tenors into tenor groups, said block trade manager providing a single dealing price quote for each of said currency pair groups and tenor groups.

72. A system for managing risk associated with a plurality of price requests, wherein each of said price requests have a notional amount and no tenor, comprising:

a block trade manager, said block trade manager aggregating said plurality of price requests into a block trade price request and providing a single dealing price quote for said block trade price request based on a spot price, said block trade manager executing a block trade based on said block trade price request and booking said block trade into a risk management system.

73. The system for claim 72, wherein said block trade manager receives a tenor for at least one of said plurality of price requests, said block trade manager removes from said risk management system a portion of said block trade corresponding to said at least one of said plurality of price requests and books a trade into said risk management system corresponding to said at least one of said plurality of price requests based on said tenor.

74. A system for managing risk associated with a block trade price request, comprising:

a block trade manager, said block trade manager providing a single dealing price quote for said block trade price request based on a spot price, executing a block trade based on said block trade price request and booking said block trade into a risk management system, said block trade manager receiving at least one individual trade having a notional and a tenor, removing from said risk management system a portion of said block trade corresponding to said at least one individual trade and booking a trade into said risk management system corresponding to said at least one individual based on said notional and said tenor.