Automated trading system

• US 20040019553A1
• Filed: 07/26/2002
• Published: 01/29/2004
• Est. Priority Date: 07/26/2002
• Status: Active Grant

• Current Assignee: EBS Group Ltd. (CME Group Incorporated)
• Original Assignee: EBS Group Ltd. (CME Group Incorporated)
• Inventors: Setz, Karen Ilse, Scully, Steven J., Howorka, Edward R., Riordan, Tracey, Sinclair, James, Mah, Leong Fai, Malkin, Snezhana
• Granted Patent: US 8,209,254 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• 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 40/06 Asset management; Financial planning or analysis

Abstract

A computer trading system includes a quote screening function configured to accept quotes specifying a quote amount in a price where the quote amount is greater than a minimum quote amount to produce screen quote messages and to reject quotes specifying a quote amount less than the minimum quote amount. A market view generator generates market views from those quotes which specify an amount greater than or equal to the minimum quote amount. An order screening function only accepts orders specifying an amount less than a maximum transaction amount submitted in response to the market views to produce screened order messages. A transaction processor receives screened quote messages and screened order messages and matches appropriate messages with each other. The minimum quote amount is substantially equal to or greater than the maximum transaction amount whereby a screened order message can be matched entirely with one screened quote message.

Claims

1. A computer trading system for trading instruments between counterparties of the type in which quotes to bid or offer instruments are matched with orders to buy or sell instruments, comprising:

a quote screening function configured to accept quotes specifying a quote amount and a price where the quote amount is greater than a minimum quote amount to produce screened quote messages, and to reject quotes specifying a quote amount less than the minimum quote amount;

a market view generator configured to generate market views from those quotes which specify an amount greater than or equal to the minimum quote amount;

an order screening function configured to only accept orders specifying an amount less than a maximum transaction amount submitted in response to the market views to produce screened order messages; and

a transaction processor configured to receive screened quote messages and screened order messages and to match the screened order messages with appropriate screened quote messages;

wherein the minimum quote amount is substantially equal to or greater than the maximum transaction amount, whereby a screened order message can be matched entirely with one screened quote message.

2. A computer trading system according to claim 1, wherein the market view generator is arranged:

to modify each screened quote message when an order message is matched therewith by decrementing the amount specified in each screened quote message; and

to remove each screened quote message from the market views when the amount specified in each screened quote message is less than the minimum quote amount.

3. A computer trading system according to claim 1, wherein the order screening function is configured to reject orders specifying an amount greater than the maximum transaction amount.

4. A computer trading system according to claim 1, wherein the order screening function is further configured to segment an order specifying an amount greater than the maximum order amount into a first reduced value order specifying an amount which is less than the maximum order amount to produce a screened order message and at least a screened reduced value order.

5. A computer trading system according to claim 4, wherein the transaction processor is configured to match the screened order message derived from the first reduced value order with an appropriate screened quote message.

6. A computer trading system according to claim 4, wherein the order screening function is configured to reject the at least second reduced value order.

7. A computer trading system according to claim 4, wherein the transaction processor is configured to match the at least second reduced value order with the same appropriate screened quote message.

8. A computer trading system according to claim 1, wherein the transaction processor is configured:

to store screened quote messages in a quote available store;

to decrement the amount specified in a given screened quote message in the quote available store each time a screened order message is matched therewith; and

to remove the given screened quote message from the quote available store when the amount specified in that given screened quote message falls below the minimum quote amount.

9. A computer trading system according to claim 8, wherein the transaction processor is configured to match order messages only with those quote messages stored in the quote available store.

10. A computer trading system according to claim 1, comprising a plurality of trader terminals and a separate trading system, the quote screening function being implemented, at least in part, on each of the plurality of trader terminals and arranged so that quotes specifying an amount less than the minimum quote amount are not transmitted to the trading system.

11. A computer trading system according to claim 1, comprising a plurality of trader terminals and a separate trading system, the quote screening function being implemented, at least in part, on the separate trading system and arranged so that quotes specifying an amount less than the minimum quote amount are removed from the available store in the trading system.

12. A method of operating a computer trading system to match instruments between counterparties in which quotes to bid or offer instruments are matched with orders to buy or sell instruments, comprising:

receiving quotes specifying a quote amount and a price at a quote screening function;

screening the quotes received using the quote screening function and producing, from quotes specifying greater than a minimum quote amount, screened quote messages;

transmitting the screened quote messages to a market view generator and to a transaction processor;

generating market views from the screened quote messages;

receiving orders at an order screening function submitted in response to the market views;

screening received orders at the order screening function and producing screened order messages only from orders specifying an amount less than a maximum transaction amount;

transmitting the screened order messages to the transaction processor; and

matching screened order messages with appropriate screened quote messages at the transaction processor;

wherein the minimum quote amount is substantially equal to or greater than the maximum transaction amount, whereby a screened order message can be matched entirely with one screened quote message.

13. A method according to claim 12, comprising:

modifying each screened quote message when an order message is matched therewith by decrementing the amount specified in each screened quote message; and

removing each screened quote message from the market views when the amount specified in each screened quote message is less than the minimum quote amount.

14. A method according to claim 12, wherein the order screening function is configured to reject orders specifying an amount greater than the maximum transaction amount.

15. A method according to claim 12, wherein the order screening function is further configured to segment an order specifying an amount greater than the maximum order amount into a first reduced value order specifying an amount which is less than the maximum order amount to produce a screened order message and at least a second reduced value order.

16. A method according to claim 15, wherein the transaction processor is configured to match the screened order message derived from the first reduced value order with an appropriate screened quote message.

17. A method according to claim 15, wherein the order screening function is configured to reject the at least second reduced value order.

18. A method according to claim 16, wherein the transaction processor is configured to match the at least second reduced value order with the same appropriate screened quote message.

19. A method according to claim 12, comprising:

storing screened quote messages in a quote available store;

decrementing the amount specified in given screened quote message in the quote available store each time a screened order message is matched therewith; and

removing the given screened quote message from the quote available store when the amount specified in that given screened quote message falls below the minimum quote amount.

20. A method according to claim 19, wherein the transaction processor is configured to match order messages only with those quote messages stored in the quote available store.

21. A method according to claim 12, wherein the computer trading system comprises a plurality of trader terminals and a separate trading system, the quote screening function being implemented, at least in part, on each of the plurality of trader terminals and arranged so that quotes specifying an amount less than the minimum quote amount are not transmitted to the trading system.

22. A method according to claim 12, wherein the computer trading system comprises a plurality of trader terminals and a separate trading system, the quote screening function being implemented, at least in part, on the separate trading system and arranged so that quotes specifying an amount less than the minimum quote amount are removed from the quote available store in the trading system.

23. A computer program product comprising program code which, when executed on a computer network, implements the method of claim 12.

24. A computer trading system for trading instruments between parties of the type in which quotes to bid or offer instruments are matched with orders to buy or sell instruments, comprising:

a user parameter store arranged to store a user category parameter specifying whether each party is categorised as a market maker or market user; and

a transaction processor arranged to prevent parties categorised as market users from submitting quotes.

25. A computer trading system according to claim 24, the transaction processor further being arranged to prevent matching of quotes or orders between two parties categorised as market makers.