Generation of estimated prices of instruments for a trade in a combination of instruments

• US 20040143537A1
• Filed: 01/22/2003
• Published: 07/22/2004
• Est. Priority Date: 01/22/2003
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: Romani, Alessandro
• Granted Patent: US 7,469,229 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprises the steps of (i) identifying for each bid/offer in each one of said instruments its bid/ask price; (ii) storing the identified bid/ask price of the last bid/offer in each one of said instruments; and (iii) generating said estimated prices based on the stored bid/ask price of the last bid/offer in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said last bid/offer still exists or not at the time of generating said estimated prices.

Claims

1. In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprising the steps of:

identifying for each bid in each one of said instruments its bid price;

storing the identified bid price of the last bid in each one of said instruments; and

generating said estimated prices based on the stored bid price of the last bid in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said last bid still exists or not at the time of generating said estimated prices.

2. The method of claim 1 wherein said last bid has been withdrawn or has led to a trade before the time of generating said estimated prices.

3. The method of claim 1 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the bid price of said last bid in said at least one of said instruments.

4. The method of claim 1 further comprising the steps of:

identifying for each offer in each one of said instruments its ask price;

storing the identified ask price of the last offer in each one of said single instruments; and

generating said estimated prices based on the stored ask price of the last offer in said at least one of said single instruments independent on whether said last offer still exists or not at the time of generating said estimated prices.

5. The method of claim 4 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the ask price of said last offer in said at least one of said instruments.

6. The method of claim 4 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the mean value of the bid price of said last bid and the ask price of said last offer in said at least one of said instruments.

7. The method of claim 1 wherein, provided that, at the time of generating said estimated prices during a trading day, no bids in said at least one of said instruments has been received during that trading day, the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as a theoretically calculated value or is generated based on a bid, ask or paid price in said at least one of said instruments during a previous trading day.

8. The method of claim 1 wherein

the estimated price of each one but a last one of said instruments, which is comprised in said combination of instruments, is generated as the stored bid price of the last bid in said each one but one of said instruments;

and

the estimated price of said last one of said instruments, which is comprised in said combination of instruments, is generated from the paid price for said trade in said combination of instruments and the estimated prices of each one but said last one of said instruments as generated.

9. The method of claim 1 wherein

received bids and offers in combinations of instruments are divided into bait bids and offers in individual instruments as comprised in said combinations of instruments;

and

bid prices of bait bids are prevented from being stored in said step of storing.

10. The method of claim 1 wherein said combination of instruments is a tailor-made combination.

11. A computer program product loadable into the internal memory of a computer, comprising software code portions for performing the method of claim 1 when said product is run on said computer.

12. An automatic trade system comprising:

means for receiving bids and offers in instruments as well as in combinations of instruments;

means for performing a trade in an instrument or in a combination of instruments when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price;

means for identifying for each bid in each one of said instruments its bid price;

means for storing the identified bid price of the last bid in each one of said instruments; and

means for generating estimated prices based on the stored bid price of the last bid in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said last bid still exists or not at the time of generating said estimated prices.

13. The automatic trade system of claim 12 wherein said last bid has been withdrawn or has led to a trade at the time when said generating means generates said estimated prices.

14. The automatic trade system of claim 12 wherein said generating means generates the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, as the stored bid price of said last bid in said at least one of said instruments.

15. In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprising the steps of:

identifying for each offer in each one of said instruments its ask price;

storing the identified ask price of the last offer in each one of said instruments; and

generating said estimated prices based on the stored ask price of the last offer in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said last offer still exists or not at the time of generating said estimated prices.

16. The method of claim 15 wherein said last offer has been withdrawn or has led to a trade before the time of generating said estimated prices.

17. The method of claim 15 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the ask price of said last offer in said at least one of said instruments.

18. The method of claim 15 further comprising the steps of:

identifying for each bid in each one of said instruments its bid price;

storing the identified bid price of the last bid in each one of said single instruments; and

generating said estimated prices based on the stored bid price of the last bid in said at least one of said single instruments independent on whether said last bid still exists or not at the time of generating said estimated prices.

19. The method of claim 18 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the bid price of said last bid in said at least one of said instruments.

20. The method of claim 18 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the mean value of the ask price of said last offer and the bid price of said last bid in said at least one of said instruments.

21. The method of claim 15 wherein, provided that, at the time of generating said estimated prices during a trading day, no offers in said at least one of said instruments has been received during that trading day, the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as a theoretically calculated value or is generated based on a bid, ask or paid price in said at least one of said instruments during a previous trading day.

22. The method of claim 15 wherein

the estimated price of each one but a last one of said instruments, which is comprised in said combination of instruments, is generated as the stored ask price of the last offer in said each one but one of said instruments;

and

the estimated price of said last one of said instruments, which is comprised in said combination of instruments, is generated from the paid price for said trade in said combination of instruments and the estimated prices of each one but said last one of said instruments as generated.

23. The method of claim 15 wherein

received bids and offers in combinations of instruments are divided into bait bids and offers in individual instruments as comprised in said combinations of instruments;

and

ask prices of bait offers are prevented from being stored in said step of storing.

24. The method of claim 15 wherein said combination of instruments is a tailor-made combination.

25. A computer program product loadable into the internal memory of a computer, comprising software code portions for performing the method of claim 15 when said product is run on said computer.

26. An automatic trade system comprising:

means for receiving bids and offers in instruments as well as in combinations of instruments;

means for performing a trade in an instrument or in a combination of instruments when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price;

means for identifying for each offer in each one of said instruments its ask price;

means for storing the identified ask price of the last offer in each one of said instruments; and

means for generating estimated prices based on the stored ask price of the last offer in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said last offer still exists or not at the time of generating said estimated prices.

27. The automatic trade system of claim 26 wherein said last offer has been withdrawn or has led to a trade at the time when said generating means generates said estimated prices.

28. The automatic trade system of claim 26 wherein said generating means generates the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, as the stored ask price of said last offer in said at least one of said instruments.

29. In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprising the steps of:

identifying for each bid in each one of said instruments its bid price;

identifying for each offer in each one of said instruments its ask price;

storing the identified bid price of the last bid or the identified ask price of the last offer, whichever is latest, in each one of said instruments; and

generating said estimated prices based on the stored bid price of the last bid or the ask price of the last offer, whichever is latest, in at least one of said instruments, which is comprised in said combination of instruments, independent on whether the last bid or the last offer, whichever is latest, still exists or not at the time of generating said estimated prices.

30. The method of claim 29 wherein the last bid or the last offer, whichever is latest, has been withdrawn or has led to a trade before the time of generating said estimated prices.

31. The method of claim 29 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the stored bid price of the last bid or the ask price of the last offer, whichever is latest, in said at least one of said instruments.

32. The method of claim 29 wherein

both the identified bid price of the last bid and the identified ask price of the last offer in each one of said instruments are stored;

and

the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated based on the bid price of said last bid and the ask price of said last offer in said at least one of said instruments.

33. The method of claim 32 wherein the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as the mean value of the bid price of said last bid and the ask price of said last offer in said at least one of said instruments.

34. The method of claim 29 wherein, provided that, at the time of generating said estimated prices during a trading day, no bids or offers in said at least one of said instruments has been received during that trading day, the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, is generated as a theoretically calculated value or is generated based on a bid, ask or paid price in said at least one of said instruments during a previous trading day.

35. The method of claim 29 wherein

the estimated price of each one but a last one of said instruments, which is comprised in said combination of instruments, is generated as the stored bid price of the last bid or the ask price of the last offer, whichever is latest, in said each one but one of said instruments;

and

the estimated price of said last one of said instruments, which is comprised in said combination of instruments, is generated from the paid price for said trade in said combination of instruments and the estimated prices of each one but said last one of said instruments as generated.

36. The method of claim 29 wherein

received bids and offers in combinations of instruments are divided into bait bids and offers in individual instruments as comprised in said combinations of instruments;

and

bid prices of bait bids and ask prices of bait offers are prevented from being stored in said step of storing.

37. The method of claim 29 wherein said combination of instruments is a tailor-made combination.

38. A computer program product loadable into the internal memory of a computer, comprising software code portions for performing the method of claim 29 when said product is run on said computer.

39. An automatic trade system comprising:

means for receiving bids and offers in instruments as well as in combinations of instruments;

means for performing a trade in an instrument or in a combination of instruments when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price;

means for identifying for each bid in each one of said instruments its bid price;

means for identifying for each offer in each one of said instruments its offer price;

means for storing the identified bid price of the last bid the or the identified ask price of the last offer, whichever is latest, in each one of said instruments; and

means for generating estimated prices based on the stored bid price of the last bid or the ask price of the last offer, whichever is latest, in at least one of said instruments, which is comprised in said combination of instruments, independent on whether the last bid or the last offer, whichever is latest, still exists or not at the time of generating said estimated prices.

40. The automatic trade system of claim 39 wherein the last bid or the last offer, whichever is latest, has been withdrawn or has led to a trade at the time when said generating means generates said estimated prices.

41. The automatic trade system of claim 39 wherein said generating means generates the estimated price of said at least one of said instruments, which is comprised in said combination of instruments, as the stored bid price of the last bid or the ask price of the last offer, whichever is latest, in said at least one of said instruments.

42. In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and entered into an order book, and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprising the steps of:

identifying for each bid in each one of said instruments its bid price;

identifying for each offer in each one of said instruments its ask price;

storing the identified bid price of the last bid or the identified ask price of the last offer, whichever is latest, in each one of said instruments; and

generating said estimated prices based on a seed price, wherein

if there exists at least one bid price of a bid, but no offer, in one of said instruments, which is comprised in said combination of instruments, in the order book, said seed price is the highest one of said at least one bid price;

if there exists at least one ask price of an offer, but no bid, in said one of said instruments in the order book, said seed price is the lowest one of said at least one ask price;

if there exist at least one bid price of a bid and at least one ask price of an offer in said one of said instruments in the order book, said seed price is the highest one of said at least one bid price or the lowest one of said at least one ask price; and

if there exist no bid or offer in said one of said instruments in the order book, said seed price is the stored bid price of the last bid or the ask price of the last offer, whichever is latest.

43. In an automatic trade system wherein bids and offers in instruments as well as in combinations of instruments are received and entered into an order book, and a trade in an instrument or in a combination of instruments is performed when, for a certain number of that instrument or combination of instruments, a bid price matches an ask price, a method for generating estimated prices of instruments for a trade in a combination of instruments, comprising the steps of:

identifying for each bid in each one of said instruments its bid price;

identifying for each offer in each one of said instruments its ask price;

identifying for each trade in each one of said instruments its paid price;

storing any of the bid price of the last bid, the ask price of the last offer, or the paid price of the last trade as identified in each one of said instruments; and

generating said estimated prices based on the stored any of the bid price of the last bid, the ask price of the last offer, or the paid price of the last trade in at least one of said instruments, which is comprised in said combination of instruments, independent on whether said any of the last bid, the last offer, or the last trade in said at least one of said instruments still exists or not at the time of generating said estimated prices.

44. The method of claim 43 wherein, in the step of storing, the bid price of the last bid, the ask price of the last offer, or the paid price of the last trade, whichever is latest, in each one of said instruments is stored;

and, in the step of generating, said estimated prices are generated based on the bid price of the last bid, the ask price of the last offer, or the paid price of the last trade, whichever is latest, as stored in said at least one of said instruments independent on whether said bid price of the last bid, the ask price of the last offer, or the paid price of the last trade, whichever is latest, in said at least one of said instruments still exists or not at the time of generating said estimated prices.

45. A computer program product loadable into the internal memory of a computer, comprising software code portions for performing the method of claim 43 when said product is run on said computer.