System and method for managing an imbalance in a hybrid auction market

• US 20060015443A1
• Filed: 07/15/2005
• Published: 01/19/2006
• Est. Priority Date: 07/15/2004
• Status: Active Grant

• Current Assignee: New York Stock Exchange LLC (Intercontinental Exchange, Inc.)
• Original Assignee: New York Stock Exchange LLC (Intercontinental Exchange, Inc.)
• Inventors: Burkhardt, Roger, McSweeney, Robert J., Allen, Anne E., Pastina, Louis G.
• Granted Patent: US 7,788,161 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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 large market order to buy is received causing an imbalance. A portion of the market order is executed at a best offer price. A quote is changed from fast to slow, and a remaining unexecuted size of the market order is calculated. The unexecuted size of the market order is quoted at the best offer price, and the best bid size is quoted as 100 shares. The best bid price is quoted as a gap price. In a similar fashion a large market order to sell results in a gap quote.

Claims

1. A method for executing a securities order comprising:

receiving a large market order to buy causing an imbalance;

executing a portion of the market order at a best offer price;

changing a quote from fast to slow;

calculating a remaining unexecuted size of the market order;

quoting the unexecuted size of the market order at the best offer price;

quoting the best bid size as 100 shares; and

quoting the best bid price as a gap price.

2. A method according to claim 1, further comprising:

executing a manual trade; and

changing the quote from slow to fast.

3. A method for executing a securities order comprising:

receiving a large market order to sell causing an imbalance;

executing a portion of the market order at a best bid price;

changing a quote from fast to slow;

calculating a remaining unexecuted size of the market order;

quoting the unexecuted size of the market order at the best bid price;

quoting the best offer size as 100 shares; and

quoting the best offer price as a gap price.

4. A method according to claim 3, further comprising:

executing a manual trade; and

changing the quote from slow to fast.

5. A system for executing a securities order, comprising:

means for receiving a large market order to buy causing an imbalance;

means for executing a portion of the market order at a best offer price;

means for changing a quote from fast to slow;

means for calculating a remaining unexecuted size of the market order;

means for quoting the unexecuted size of the market order at the best offer price; and

means for quoting the best bid size as 100 shares; and

means for quoting the best bid price as a gap price.

6. A computer-readable medium having computer executable software code stored thereon, the code for executing a securities order, the code comprising:

code to receive a large market order to buy causing an imbalance;

code to execute a portion of the market order at a best offer price;

code to change a quote from fast to slow;

code to calculate a remaining unexecuted size of the market order;

code to quote the unexecuted size of the market order at the best offer price; and

code to quote the best bid size as 100 shares; and

code to quote the best bid price as a gap price.

7. A programmed computer for executing a securities order, comprising:

a memory having at least one region for storing computer executable program code; and

a processor for executing the program code stored in the memory;

wherein the program code comprises;

code to receive a large market order to buy causing an imbalance;

code to execute a portion of the market order at a best offer price;

code to change a quote from fast to slow;

code to calculate a remaining unexecuted size of the market order;

code to quote the unexecuted size of the market order at the best offer price; and

code to quote the best bid size as 100 shares; and

code to quote the best bid price as a gap price.