System and method for presenting broker and specialist interest in a hybrid auction market

• US 20060015445A1
• 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: McSweeney, Robert J., Allen, Anne E., Pastina, Louis G., Burkhardt, Roger
• Granted Patent: US 7,788,162 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

Broker or specialist interest to buy or sell a security at a first price and a first size is received, and it is determined whether the first price equals a published best bid or offer price. If the first price equals the published bid or offer price, first size is included in the published bid or offer, and if the first price does not equal the published bid or offer price, disclosure of the broker or specialist interest is at least partially blocked.

Claims

1. A method for representing broker interest in a security comprising:

receiving broker interest to buy or sell a security at a first price and a first size;

determining whether the first price equals a published best bid or offer price;

if the first price equals the published bid or offer price, including the first size in the published bid or offer; and

if the first price does not equal the published bid or offer price, at least partially blocking disclosure of the broker interest.

2. A method according to claim 1, wherein at least partially blocking disclosure of the broker interest further comprises:

blocking any disclosure to brokers of the first size and first price of the broker interest; and

disclosing to a specialist in the security the first size and first price of the broker interest.

3. A method according to claim 1, wherein at least partially blocking disclosure of the broker interest further comprises:

blocking any disclosure to brokers of the first size and first price of the broker interest; and

blocking any disclosure to a specialist in the security of the first size and first price of the broker interest.

4. A method according to claim 1, wherein at least partially blocking disclosure of the broker interest further comprises:

disclosing to a specialist in the security a portion of the first size and first price of the broker interest; and

blocking any disclosure to a specialist in the security of a portion of the first size and first price of the broker interest.

5. A method for representing broker interest in a security comprising:

receiving broker interest to buy or sell a security at a first price and a first size;

determining whether the first price is a best bid or offer price;

if the first price is a best bid or offer price, including the first size in a published bid or offer; and

if the first price is not a best bid or offer price, at least partially blocking disclosure of the broker interest.

6. A method for determining priority for execution of securities orders, the method comprising:

receiving broker interest to buy a security at a first price and a first size;

determining that the first price is higher than a published bid price;

re-publishing the bid price equal to the first price with a bid size equal to the first size; and

assigning priority to the broker interest for at least one trade.

7. A method for determining priority for execution of securities orders, the method comprising:

receiving broker interest to sell a security at a first price and a first size;

determining that the first price is lower than a published offer price;

re-publishing the offer price equal to the first price with an offer size equal to the first size; and

assigning priority to the broker interest for at least one trade.

8. A method for representing broker interest in a security comprising:

receiving broker interest to buy or sell a security at a first price and a first size;

determining that the first price is not a best bid or offer price;

at least partially blocking disclosure of the broker interest;

determining that the first price is a new best bid or offer price; and

including the first size in the new best bid or offer.

9. A method according to claim 8, further comprising executing a trade between determining that the first price is not a best bid or offer price and determining that the first price is a new best bid or offer price.

10. A method according to claim 8, further comprising receiving an order cancellation between determining that the first price is not a best bid or offer price and determining that the first price is a new best bid or offer price.

11. A method according to claim 8, wherein at least partially blocking disclosure of the broker interest further comprises:

blocking any disclosure to brokers of the first size and first price of the broker interest; and

blocking any disclosure to a specialist in the security of the first size and first price of the broker interest.

12. A method according to claim 8, wherein at least partially blocking disclosure of the broker interest further comprises:

disclosing to a specialist in the security a portion of the first size and first price of the broker interest; and

blocking any disclosure to a specialist in the security of a portion of the first size and first price of the broker interest.

13. A method according to claim 8, further comprising:

receiving at least one limit order to buy or sell at the first price, and aggregating the at least one limit order as a single aggregate; and

assigning equal parity to the single aggregate and the broker interest.

14. A method for representing broker interest in a security comprising:

receiving broker reserve interest to buy or sell a security at a first price and a first size;

determining that the first price equals a published bid or offer price;

including a minimum reserve size from the broker reserve interest in the published bid or offer;

determining a hidden reserve size as the first size minus the minimum reserve size; and

blocking disclosure of the hidden reserve size from brokers and from a specialist in the security.

15. A method according to claim 14, further comprising:

receiving an order;

executing a trade of the order against some of the minimum reserve size; and

replenishing the minimum reserve size from the hidden reserve size.

16. A method according to claim 14, further comprising:

receiving an order;

executing a partial trade of the order against all of the minimum reserve size;

replenishing the minimum reserve size from the hidden reserve size; and

executing a trade of the order against the minimum reserve size.

17. A method according to claim 14, wherein the minimum reserve size is 1000 shares.

18. A method according to claim 14, further comprising:

receiving a disclosed interest size with the broker reserve interest; and

including the greater of the minimum reserve size or the disclosed interest size in the published bid or offer.

19. A method for representing specialist interest in a security comprising:

receiving specialist interest to buy or sell a security at a first price and a first size;

determining whether the first price equals a published best bid or offer price;

if the first price equals the published bid or offer price, including the first size in the published bid or offer; and

if the first price does not equal the published bid or offer price, blocking disclosure of the specialist interest.

20. A method for representing specialist interest in a security comprising:

receiving specialist interest to buy or sell a security at a first price and a first size;

determining whether the first price is a best bid or offer price;

if the first price is a best bid or offer price, including the first size in a published bid or offer; and

if the first price is not a best bid or offer price, blocking disclosure of the specialist interest.

21. A method for representing broker and specialist interest in a security comprising:

receiving broker interest to buy or sell a security at a first price and a first size;

receiving specialist interest to buy or sell the security at the first price and at a second size;

determining that the first price is a best bid or offer price;

including the first size and the second size in a published bid or offer;

receiving an order for the security; and

executing a partial trade of the order against all of the first size and all of the second size before executing a sweep of any remaining portion of the order.

22. A method for representing broker and specialist interest in a security comprising:

receiving broker reserve interest to buy or sell a security at a first price and a first size;

receiving specialist interest to buy or sell the security at the first price and at a second size;

determining that the first price is a best bid or offer price;

including the second size and a minimum reserve size from the broker reserve interest in a published bid or offer;

determining a hidden reserve size as the first size minus the minimum reserve size;

receiving an order for the security; and

executing a trade of the order against the minimum reserve size and the second size before executing a trade of the order against any of the hidden reserve size.

23. A method for representing broker and specialist interest in a security comprising:

receiving broker reserve interest to buy or sell a security at a first price and a first size;

receiving specialist interest to buy or sell the security at the first price and at a second size;

determining that the first price is a best bid or offer price;

identifying a disclosed reserve size of the broker reserve interest;

determining a hidden reserve size as the first size minus the disclosed reserve size;

receiving an order for the security;

executing a partial trade of the order against the disclosed reserve size and the second size; and

executing a trade of the order against the hidden reserve size before executing a sweep of the order.

24. A method for representing broker interest in a security comprising:

receiving broker reserve interest to buy or sell a security at a first price and a first size;

determining that the first price is not a first best bid or offer price;

blocking disclosure of the reserve interest from brokers;

determining that the first price is a second best bid or offer price;

including at least some of the first size in the second best bid or offer price;

publishing the second best bid or offer price;

determining that the first price is not a third best bid or offer price; and

blocking disclosure of the reserve interest from brokers.

25. A method according to claim 24, further comprising blocking disclosure of the reserve interest from a specialist in the security.

26. A method according to claim 24, further comprising executing a trade at the first best bid or offer price between determining that the first price is not a first best bid or offer price and determining that the first price is a second best bid or offer price.

27. A method according to claim 24, further comprising receiving an order cancellation between determining that the first price is not a first best bid or offer price and determining that the first price is a second best bid or offer price.

28. A method according to claim 24, further comprising receiving an order at the third best bid or offer price between determining that the first price is a second best bid or offer price and determining that the first price is not a third best bid or offer price.

29. A system for representing broker interest in a security, comprising:

means for receiving broker interest to buy or sell a security at a first price and a first size;

means for determining whether the first price equals a published best bid or offer price;

if the first price equals the published bid or offer price, means for including the first size in the published bid or offer; and

if the first price does not equal the published bid or offer price, means for at least partially blocking disclosure of the broker interest.

30. A computer-readable medium having computer executable software code stored thereon, the code for representing broker interest in a security, the code comprising:

code to receive broker interest to buy or sell a security at a first price and a first size;

code to determine whether the first price equals a published best bid or offer price;

if the first price equals the published bid or offer price, code to include the first size in the published bid or offer; and

if the first price does not equal the published bid or offer price, code to at least partially block disclosure of the broker interest.

31. A programmed computer for representing broker interest in a security 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 broker interest to buy or sell a security at a first price and a first size;

code to determine whether the first price equals a published best bid or offer price;

if the first price equals the published bid or offer price, code to include the first size in the published bid or offer; and

if the first price does not equal the published bid or offer price, code to at least partially block disclosure of the broker interest.