System and method for generating liquidity

• US 20060136326A1
• Filed: 10/27/2005
• Published: 06/22/2006
• Est. Priority Date: 10/27/2004
• Status: Active Grant

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: ITG Incorporated
• Inventors: Heckman, Chris, Watmore, Greg, Provensal, Jerome, Sugden, Eric
• Granted Patent: US 8,577,772 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system for generating liquidity includes a plurality of client user interfaces and a matching system. Each client user interface includes a trading desktop which stores unexecuted trading positions. The matching system is coupled with the plurality of client user interfaces and configured to receive information about the unexecuted trading positions. The system can identify as a match one or more first indications of interest which can fulfill one or more second indications of interest, based upon the information about the unexecuted trading positions. For the identified matches, the system can provide a notification of the match and an invitation to execute the match to corresponding client user interfaces. When an invitation is accepted, the system forwards an order to an order execution system for execution.

Claims

1. A system for generating liquidity, comprising:

a plurality of client user interfaces, each said client user interface including a trading desktop having a means for storing unexecuted trading positions to trade a given amount of a tradable asset;

a matching system coupled with said plurality of client user interfaces and configured to receive from said plurality of user client interfaces a plurality of unexecuted trading positions, to identify as a match one or more first unexecuted trading positions from said plurality of unexecuted trading positions which can fulfill one or more second unexecuted trading positions from said plurality of unexecuted trading positions, and, for the identified matches, to provide a notification of said match and an invitation to execute said match to corresponding client user interfaces, and, when each said invitation is accepted, to forward orders corresponding to the match, to an order execution system for execution.

2. The system as recited in claim 1, wherein said matching system includes a pricing module for determining a price at which to execute orders corresponding to the unexecuted trading positions for a match.

3. The system as recited in claim 2, wherein said pricing module calculates a mid-point of a current highest and lowest offer price for the asset for the match.

4. The system as recited in claim 1, wherein at least one client user interface is configured to submit unexecuted trading positions to said matching system.

5. The system as recited in claim 1, wherein said invitation to execute expires within a predetermined period of time and includes an indication of said predetermined period of time.

6. The system as recited in claim 1, wherein each said client user interface includes a graphical user interface for displaying said unexecuted trading positions and said invitation to execute a match.

7. The system as recited in claim 6, wherein unexecuted trading positions are anonymous and confidential within said system.

8. The system as recited in claim 1, wherein each unexecuted trading position includes at least one of size of a trade, an asset name of an asset to be traded, and the side of the trade.

9. The system as recited in claim 1, wherein said matching system has access to unexecuted orders and a match can include one or more unexecuted orders.

10. The system as recited in claim 6, wherein said invitation to execute expires within a predetermined period of time and said graphical user interface includes a dynamic display of said predetermined period of time and an elapsing of said predetermined period of time to indicate an amount of time left to accept said invitation before expiration of said invitation.

27. The system as recited in claim 1, wherein each said client interface is configured to create a filter definition, and said matching system can only receive unexecuted trading positions which satisfy said filter definition.

11. A method for generating liquidity, comprising the steps of:

receiving a plurality of indications of interest to trade an amount of a tradable asset;

identifying as a match, one or more first indications of interest from said plurality of indications of interest which can fulfill one or more second indications of interest from said plurality of indications of interest;

for said match, providing an invitation to execute said match to each party corresponding to the one or more first indications of interest and one or more second indications of interest; and

when an invitation is accepted, generating an executable order corresponding to the accepted one or more first indications of interest or the accepted one or more second indications of interest in order to execute a trade of a tradable asset.

12. The method as recited in claim 11, wherein said step of receiving includes a step of accessing a plurality of trading desktops and reading unexecuted trading positions stored on each of said plurality of trading desktops, said indications of interest being based upon said unexecuted trading positions.

13. The method as recited in claim 11, further including a step of calculating a price at which to execute said trade of said asset.

14. The method as recited in claim 13, wherein said step of calculating calculates a mid-point of a current highest and lowest offer price for the asset for the match.

15. The method as recited in claim 11, wherein said invitation to execute expires within a predetermined period of time and includes an indication of said predetermined period of time.

16. The method as recited in claim 11, including a step of displaying said indications of interest and said invitations to execute a match to the corresponding parties via a client user interface.

17. The method as recited in claim 16, wherein indications of interest are always anonymous and confidential.

18. The method as recited in claim 16, wherein each indication of interest includes the size of a trade, an asset name of an asset to be traded, and the side of the trade.

19. The method as recited in claim 16, wherein said indications of interest can be based on executable or nonexecutable orders.

20. The method as recited in claim 16, wherein said invitation to execute expires within a predetermined period of time and said graphical user interface includes a dynamic display of said predetermined period of time and an elapsing of said predetermined period of time to indicate an amount of time left to accept said invitation before expiration of said invitation.

21. A computer implemented system for creating liquidity in a market by confidentially and anonymously matching unexecuted positions in a market, comprising:

a sweeping program for reading a plurality of trade blotters to receive data representing unexecuted positions in a market, the data for each unexecuted position including a security name, a size and a side;

a matching program for receiving said data from said sweeping program and identifying a first and second unexecuted position which form a match by having a same security name, a same size and opposite sides, and outputting executable orders representing the first or second unexecuted position to an order execution system for execution.

22. The computer implemented system as reciting in claim 21, wherein said matching program is capable of creating a single match from three or more unexecuted positions, wherein said match includes at least one unexecuted position on each side of the match.

23. The computer implemented system as recite in claim 21, wherein said matching program is capable of accessing said order execution system and receive data relating to unexecuted orders, and is capable of creating matches from unexecuted positions and from unexecuted orders.

24. The computer implemented system as reciting in claim 21, wherein said matching program is capable of outputting match data to one or more trading desktops corresponding to the first and second unexecuted positions when a match occurs, and only outputs executable orders for the match when said matching program receives instructions to generate an order based on the match.

25. The computer implemented system as reciting in claim 24, wherein said matching program only outputs executable orders for the match when said matching program receives instructions to generate an order based on the match within a preset period of time.

26. The computer implemented system as recited in claim 22, wherein said matching program is capable of creating one or more matches from three or more unexecuted positions, wherein said match or matches includes at least one unexecuted position on each side of the match only if a minimum size constraint is met.