Automated trading system
First Claim
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.
6 Assignments
0 Petitions
Accused Products
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.
-
Citations
25 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. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
-
-
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. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23)
-
-
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. - View Dependent Claims (25)
-
Specification