Dynamic liquidity management system

• US 20060015440A1
• Filed: 06/20/2005
• Published: 01/19/2006
• Est. Priority Date: 06/23/2004
• Status: Abandoned Application

• Current Assignee: FX Alliance (The Woodbridge Co. Ltd.)
• Original Assignee: FX Alliance (The Woodbridge Co. Ltd.)
• Inventors: Penney, Neill
• Application Number:
  US11/155,897
• Publication Number:
  US 20060015440A1
• Time in Patent Office: Days
• US Class Current: 705/37
• 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
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

The present invention provides systems and methods liquidity providers can use to manage and reduce their overall market exposure when multiple offers to deal are received substantially simultaneously. The invention automatically processes offers to deal according to provider-specified parameters, including a customer trading limit, a global trading limit and an offer to deal duration. Computer systems configured to operate according to principles of the invention include a provider communications interface for receiving provider-specified customer and global trading limits, a liquidity status database for storing current customer and global trading levels, a customer communications interface for receiving an offer to deal from a customer trading system, the offer to deal having a value, and a liquidity manager configured to reject the offer to deal if the sum of one of the current trading levels and the value exceeds one of the provider-specified trading limits. In preferred embodiments, the offers to deal or stored in an offer to deal database and periodically rechecked against the trading limits and the specified offer to deal duration.

Claims

1. A computer system for processing offers to deal, comprising:

a provider communications interface for receiving from a provider trading system a customer trading limit for a customer trading system;

a liquidity status database for storing a customer current trading level for said customer trading system;

a customer communications interface for receiving an offer to deal from said customer trading system, said offer to deal comprising an OTD value; and

a liquidity manager configured to reject said offer to deal if the sum of said customer current trading level and said OTD value exceeds said customer trading limit.

2. The computer system of claim 1, wherein said liquidity manager is further configured to send said customer trading system a rejection notice via said customer communications interface.

3. The computer system of claim 1, wherein said liquidity manager is further configured to send an exception notice to said provider trading system via said provider communications interface.

4. The computer system of claim 1, further comprising:

an offer to deal database; and

said liquidity is further configured to store said offer to deal in said offer to deal database.

5. The computer system of claim 1, wherein said liquidity manager is further configured to send said offer to deal to said provider trading system via said provider communications interface if the sum of said customer current trading level and said OTD value does not exceed said customer trading limit.

6. The computer system of claim 5, wherein said liquidity manager is further configured to increment said customer current trading level by said OTD value.

7. The computer system of claim 6, wherein said liquidity manager is further configured:

to receive from said provider trading system, via said provider communications interface, a response to said offer to deal; and

to decrement said customer current trading level by said OTD value.

8. The computer system of claim 1, wherein said liquidity manager is further configured:

to receive from said customer trading system, via said customer communications interface, a second offer to deal;

to calculate an age for said offer to deal; and

to reject said second offer to deal if said age is less than or equal to an established OTD duration.

9. The computer system of claim 8, wherein said liquidity manager receives said established OTD duration from said provider trading system via said provider communications interface.

10. The computer system of claim 1, wherein said liquidity manager:

receives from said provider trading system, via said provider communications interface, a global trading limit;

determines a global current trading level; and

rejects said offer to deal if the sum of said global current trading level and said OTD value exceeds said global trading limit.

11. The computer system of claim 10, wherein said liquidity manager retrieves said global current trading level from said liquidity status database.

12. The computer system of claim 10, wherein said liquidity manager sends said customer trading system a rejection notice via said customer communications interface.

13. The computer system of claim 10, wherein said liquidity manager sends an exception notice to said provider trading system via said provider communications interface.

14. The computer system of claim 10, wherein said liquidity manager sends said offer to deal to said provider trading system via said provider communications interface if the sum of said global current trading level and said OTD value does not exceed said global trading limit.

15. The computer system of claim 14, wherein said liquidity manager increments said global current trading level by said OTD value.

16. The computer system of claim 15, wherein said liquidity manager:

receives from said provider trading system, via said provider communications interface, a response to said offer to deal; and

decrements said global current trading level by said OTD value.

17. A method for processing offers to deal in an online asset trading system, comprising:

receiving from a provider trading system, via a provider communications interface, a customer trading limit for a customer trading system;

determining a customer current trading level for said customer trading system;

receiving from said customer trading system, via a customer communications interface, an offer to deal, said offer to deal comprising an OTD value; and

rejecting said offer to deal if the sum of said customer current trading level and said OTD value exceeds said customer trading limit.

18. The method of claim 17, further comprising:

providing a liquidity status database; and

retrieving said customer current trading level from said liquidity status database.

19. The method of claim 17, further comprising sending said customer trading system a rejection notice via said customer communications interface.

20. The method of claim 17, further comprising sending an exception notice to said provider trading system via said provider communications interface.

21. The method of claim 17, further comprising:

providing an offer to deal database; and

storing said offer to deal in said offer to deal database.

22. The method of claim 17, further comprising sending said offer to deal to said provider trading system via said provider communications interface if the sum of said customer current trading level and said OTD value does not exceed said customer trading limit.

23. The method of claim 22, further comprising incrementing said customer current trading level by said OTD value.

24. The method of claim 22, further comprising:

receiving from said provider trading system, via said provider communications interface, a response to said offer to deal; and

decrementing said customer current trading level by said OTD value.

25. The method of claim 17, further comprising:

establishing an OTD duration;

receiving from said customer trading system, via said customer communications interface, a second offer to deal;

calculating an age for said offer to deal; and

rejecting said second offer to deal if said age is less than or equal to said OTD duration.

26. The method of claim 25, further comprising receiving said OTD duration from said provider trading system via said provider communications interface.

27. The method of claim 17, further comprising:

receiving from said provider trading system, via said provider communications interface, a global trading limit;

determining a global current trading level; and

rejecting said offer to deal if the sum of said global current trading level and said OTD value exceeds said global trading limit.

28. The method of claim 27, further comprising:

providing a liquidity status database; and

retrieving said global current trading level from said liquidity status database.

29. The method of claim 27, wherein said step of rejecting said offer to deal comprises sending said customer trading system a rejection notice via said customer communications interface.

30. The method of claim 27, further comprising sending an exception notice to said provider trading system via said provider communications interface.

31. The method of claim 27, further comprising sending said offer to deal to said provider trading system via said provider communications interface if the sum of said global current trading level and said OTD value does not exceed said global trading limit.

32. The method of claim 31, further comprising incrementing said global current trading level by said OTD value.

33. The method of claim 32, further comprising:

receiving from said provider trading system, via said provider communications interface, a response to said offer to deal; and

decrementing said global current trading level by said OTD value.

34. A method for processing offers to deal in an online asset trading system, comprising:

receiving from a provider trading system, via a provider communications interface, a customer trading limit for a customer trading system and a global trading limit for said provider trading system;

determining a customer current trading level for said customer trading system and a global current trading level for said provider trading system;

receiving from said customer trading system, via a customer communications interface, an offer to deal, said offer to deal comprising an OTD value;

rejecting said offer to deal if the sum of said customer current trading level and said OTD value exceeds said customer trading limit or if the sum of said global current trading level and said OTD value exceeds said global trading limit.

35. The method of claim 34, further comprising:

providing a liquidity status database; and

retrieving said customer current trading level and said global current trading level from said liquidity status database.

36. The method of claim 34, further comprising sending said customer trading system a rejection notice via said customer communications interface.

37. The method of claim 34, further comprising sending an exception notice to said provider trading system via said provider communications interface.

38. The method of claim 34, further comprising:

providing an offer to deal database; and

storing said offer to deal in said offer to deal database.

39. The method of claim 34, further comprising sending said offer to deal to said provider trading system via said provider communications interface if the sum of said customer current trading level and said OTD value does not exceed said customer trading limit and the sum of said global current trading level and said OTD value does not exceed said global trading limit.

40. The method of claim 39, further comprising incrementing said customer current trading level and said global current trading level by said OTD value.

41. The method of claim 40, further comprising:

receiving from said provider trading system, via said provider communications interface, a response to said offer to deal; and

decrementing said customer current trading level and said global current trading level by said OTD value.

42. The method of claim 34, further comprising:

receiving from said provider trading system, via said provider communications interface, an OTD duration;

receiving from said customer trading system, via said customer communications interface, a second offer to deal;

calculating an age for said offer to deal; and

rejecting said second offer to deal if said age is less than or equal to said OTD duration.

43. A computer system for processing offers to deal, comprising:

a provider communications interface for receiving from a provider trading system a customer trading limit for a customer trading system and a global trading limit for said provider trading system;

a liquidity status database comprising a customer current actual trading level for said customer trading system and a global current actual trading level for said provider trading system;

a customer communications interface for receiving from said customer trading system an offer to deal, said offer to deal comprising an OTD value; and

a liquidity manager configured to record an exception in said liquidity status database if the sum of said customer current actual trading level and said OTD value exceeds said customer trading limit or the sum of said global current actual trading level and said OTD value exceeds said global trading limit, and if not, to send said offer to deal to said provider trading system via said provider communications interface.

44. The computer system of claim 43, wherein said liquidity manager sends a notice concerning said exception to said provider trading system via said provider communications interface.

45. The computer system of claim 43, wherein said liquidity manager is further configured to increment said customer current actual trading level and said global current actual trading level by said OTD value.

46. The computer system of claim 43, wherein:

responsive to said customer communications interface receiving said offer to deal, said liquidity manager (i) retrieves from said liquidity status database a customer current requested trading level for said customer trading system and a global current requested trading level for said provider trading system, and (ii) increments said customer current requested trading level and said global current requested trading level by said OTD value.

47. The computer system of claim 43, wherein

said offer to deal is stored in an offer to deal database;

and

said liquidity manager comprises an OTD duration processor having a data structure for storing a counter value initialized to a total number of offers to deal stored in said offer to deal database, said OTD duration processor being operable to iteratively increment said counter value and perform the following steps (a)-(c) if said counter value is less than said total number of offers to deal;

(a) retrieving a stored offer to deal from said offer to deal database, said stored offer to deal having a stored OTD value;

(b) determining an age for said stored offer to deal; and

(c) if said age does not exceed an established OTD duration, then

(i) retrieving from said liquidity status database a stored customer trading limit, a stored customer current actual trading level, a stored global trading limit and a stored global current actual trading level, and

(ii) if the sum of said stored customer current actual trading level and said stored OTD value does not exceed said stored customer trading limit and the sum of said stored global current actual trading level and said stored OTD value does not exceed said global trading limit, then sending said stored offer to deal to said related provider trading system,

else, deleting said stored offer to deal from said offer to deal database.

48. The computer system of claim 47, wherein said OTD duration processor is further configured to increment said stored customer current actual trading level and said stored global current actual trading level by said stored OTD value.

49. The computer system of claim 48, wherein said liquidity manager is further configured:

to receive a response to said stored offer to deal;

to delete said stored offer to deal from said offer to deal database; and

to decrement said stored customer current actual trading level and said stored global current actual trading level by said stored OTD value.

50. The computer system of claim 49, wherein said liquidity manager is further configured to decrement said stored customer current requested trading level and said stored global current requested trading level by said stored OTD value.

51. The computer system of claim 47, wherein said OTD duration processor is further configured:

to retrieve from said liquidity status database a stored customer current requested trading level and a stored global current requested trading level; and

to decrement said stored customer current requested trading level and said stored global current requested trading level by said stored OTD value.

52. The computer system of claim 47, wherein said liquidity manager is further configured to retrieve said established OTD duration from said liquidity status database.

53. The computer system of claim 52, wherein said liquidity manager is further configured to store in said liquidity status database one or more of:

said stored customer current actual trading level,

said stored global current actual trading level,

said stored customer trading limit,

said stored global trading limit,

said OTD duration, and

said exception.

54. The computer system of claim 53, wherein said liquidity manager is further configured to permit said provider trading system access, via said provider communications interface, to data stored in said liquidity status database.

55. A method for processing offers to deal in an online asset trading system, comprising:

receiving from a provider trading system, via a provider communications interface, a customer trading limit for a customer trading system and a global trading limit for said provider trading system;

determining a customer current actual trading level and a global current actual trading level;

receiving from said customer trading system, via a customer communications interface, an offer to deal, said offer to deal comprising an OTD value;

storing said offer to deal in an offer to deal database; and

if the sum of said customer current actual trading level and said OTD value does not exceed said customer trading limit and the sum of said global current actual trading level and said OTD value does not exceed said global trading limit, then sending said offer to deal to said provider trading system via said provider communications interface, else recording an exception.

56. The method of claim 55, further comprising sending a notice concerning said exception to said provider trading system via said provider communications interface.

57. The method of claim 55, further comprising:

determining a customer current requested trading level, a global current requested trading level,

decrementing said customer current requested trading level and said global current requested trading level by said OTD value; and

incrementing said customer current actual trading level and said global current actual trading level by said OTD value.

58. The method of claim 55, further comprising:

providing a liquidity status database; and

retrieving said customer current actual trading level and said global current actual trading level from said liquidity status database.

59. The method of claim 55, further comprising:

establishing an OTD duration; and

while said offer to deal database contains a stored offer to deal, iteratively performing the following steps (a)-(c);

(a) retrieving said stored offer to deal from said offer to deal database, said stored offer to deal having a stored OTD value;

(b) determining an age for said stored offer to deal; and

(c) if said age does not exceed an established OTD duration, then

(i) retrieving from a liquidity status database a stored customer trading limit, a stored customer current actual trading level, a stored global trading limit and a stored global current actual trading level, and

(ii) if the sum of said stored customer current actual trading level and said stored OTD value does not exceed said stored customer trading limit and the sum of said stored global current actual trading level and said stored OTD value does not exceed said global trading limit, then sending said stored offer to deal to said related provider trading system,

else, deleting said stored offer to deal from said offer to deal database.

60. The method of claim 59, further comprising receiving said OTD duration from said provider trading system via said provider communications interface.

61. The method of claim 59, further comprising:

receiving from said provider trading system, via said provider communications interface, a response to said stored offer to deal;

deleting said stored offer to deal from said offer to deal database; and

decrementing said stored customer current actual trading level and said stored global current actual trading level by said stored OTD value.

62. The method of claim 59, further comprising:

providing a liquidity status database; and

storing in said liquidity status database one or more of said customer current requested trading level,

said global current requested trading level,

said customer trading limit,

said global trading limit,

said OTD duration, and

said exception.

63. The method of claim 62, further comprising providing said provider trading system with access to data stored in said liquidity status database via said provider communications interface.

64. A computer system for processing offers to deal in an online asset trading system, comprising:

means for receiving from a provider trading system a customer trading limit for a customer trading system;

means for determining a customer current trading level for said customer trading system;

means for receiving an offer to deal from said customer trading system, said offer to deal comprising an OTD value; and

means for rejecting said offer to deal if the sum of said customer current trading level and said OTD value exceeds said customer trading limit.

65. The computer system of claim 64, further comprising means for sending said customer trading system a rejection notice.

66. The computer system of claim 64, further comprising means for sending an exception notice to said provider trading system.

67. The computer system of claim 64, further comprising means for storing said offer to deal.

68. The computer system of claim 64, further comprising means for sending said offer to deal to said provider trading system if the sum of said customer current trading level and said OTD value does not exceed said customer trading limit.

69. The computer system of claim 68, further comprising means for incrementing said customer current trading level by said OTD value.

70. The computer system of claim 69, further comprising:

means for receiving from said provider trading system a response to said offer to deal; and

means for decrementing said customer current trading level by said OTD value.

71. The computer system of claim 64, further comprising:

means for establishing an OTD duration;

means for receiving from said customer trading system interface a second offer to deal;

means for calculating an age for said offer to deal; and

means for rejecting said second offer to deal if said age is less than or equal to said OTD duration.

72. The computer system of claim 71, further comprising means for receiving said OTD duration from said provider trading system.

73. The computer system of claim 64, further comprising:

means for receiving from said provider trading system a global trading limit;

means for determining a global current trading level; and

means for rejecting said offer to deal if the sum of said global current trading level and said OTD value exceeds said global trading limit.