System and method for determining and applying parity in a hybrid auction market

• US 20060015448A1
• 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 7,571,135 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 plurality of limit orders are received at the same price and the limit orders are aggregated as a single aggregate. A plurality of broker interests are received at the same price. Equal parity is assigned to the single aggregate and each of the plurality of broker interests.

Claims

1. A method for determining parity for execution of securities orders, the method comprising:

receiving a plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

receiving a plurality of broker interests at the same price; and

assigning equal parity to the single aggregate and each of the plurality of broker interests.

2. A method for executing a securities order comprising:

determining a first price and first size of a published offer to sell shares of a security;

determining a second price and second size of limit orders to sell shares of the security, wherein the second price is greater than the published offer;

receiving broker interest to sell shares of the security at the second price;

receiving a market order to buy shares of the security with a buy size greater than the first size;

executing at the first price a first portion of the market order that is equal to the first size; and

executing at the second price a second portion of the market order, wherein the second portion is allocated on parity among the limit orders at the second price and the broker interest at the second price.

3. A method for executing a securities order comprising:

determining a first price and first size of a published bid to buy shares of a security;

determining a second price and second size of limit orders to buy shares of the security, wherein the second price is less than the published bid;

receiving broker interest to buy shares of the security at the second price;

receiving a market order to sell shares of the security with a sell size greater than the first size;

executing at the first price a first portion of the market order that is equal to the first size; and

executing at the second price a second portion of the market order, wherein the second portion is allocated on parity among the limit orders at the second price and the broker interest at the second price.

4. A system for determining parity for execution of securities orders, comprising:

means for receiving a plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

means for receiving a plurality of broker interests at the same price; and

means for assigning equal parity to the single aggregate and each of the plurality of broker interests.

5. A computer-readable medium having computer executable software code stored thereon, the code for determining parity for execution of securities orders, the code comprising:

code to receive a plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

code to receive a plurality of broker interests at the same price; and

code to assign equal parity to the single aggregate and each of the plurality of broker interests.

6. A programmed computer for determining parity for execution of securities orders, 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 plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

code to receive a plurality of broker interests at the same price; and

code to assign equal parity to the single aggregate and each of the plurality of broker interests.