Method and system for crossing orders

• US 20060253353A1
• Filed: 05/04/2005
• Published: 11/09/2006
• Est. Priority Date: 05/04/2005
• Status: Abandoned Application

• Current Assignee: Citigroup Global Markets Incorporated (Citigroup Incorporated)
• Original Assignee: Citigroup Global Markets Incorporated (Citigroup Incorporated)
• Inventors: Weisberger, David M.
• Application Number:
  US11/121,598
• Publication Number:
  US 20060253353A1
• Time in Patent Office: Days
• US Class Current: 705/35
• 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

The invention provides methods and systems for crossing securities orders. A first order to buy or sell a particular security is received, the first order including at least information reflecting quantity of the first order. A second order to buy or sell the security is received, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein the first order and second order are compatible for a cross. A crossing size is identified as a quantity of the second order that is less than or equal to the quantity of the first order. An excess size is identified as a quantity of the second order that is greater than the quantity of the first order. A third order is created for the security, the third order having at least information reflecting a quantity that is equal to the excess size. The third order is sent to a securities market for execution, and a best bid or best offer price is determined for the security. The crossing size is executed at the best bid price or the best offer price.

Claims

1. A method for crossing securities orders, the method comprising:

receiving a first order to buy or sell a particular security, the first order including at least information reflecting quantity of the first order;

receiving a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein the first order and second order are compatible for a cross;

identifying as a crossing size a quantity of the second order that is less than or equal to the quantity of the first order;

identifying as an excess size a quantity of the second order that is greater than the quantity of the first order;

creating a third order for the security, the third order having at least information reflecting a quantity that is equal to the excess size;

sending the third order to a securities market for execution;

determining a best bid or best offer price for the security; and

executing the crossing size of the second order at the best bid or best offer price.

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

reporting the execution of the crossing size.

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

determining an execution price of the third order executed at the securities market.

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

sending a report of the execution of the third order, the report including the execution price of the third order.

5. A method according to claim 3, wherein determining the best bid or best offer price for the security occurs after determining an execution price of the third order.

6. A method according to claim 1, wherein the second order is a market order.

7. A method according to claim 1, wherein the second order is a limit order.

8. A method according to claim 1, wherein the first order is a firm order.

9. A method according to claim 1, wherein the third order is a limit order.

10. A method according to claim 1, wherein the third order is a market order.

11. A method according to claim 1, wherein the securities market is the listing market for the security.

12. A method according to claim 1, wherein the securities market is not the listing market for the security.

13. A method according to claim 1, wherein the best bid or best offer price is the national best bid price or best offer price.

14. A method according to claim 1, wherein the first order is received from a first party and the second order is received from a second party, the method further comprising withholding all information about the first order from the second party until after executing the crossing size.

15. A method according to claim 1, wherein the first order is received from a first party and the second order is received from a second party, the method further comprising withholding all information about the second order from the first party until after executing the crossing size.

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

locking-in the first order before sending the third order to a securities market for execution.

17. A method for crossing securities orders, the method comprising:

receiving a plurality of first orders to buy or sell a particular security, the first orders including at least information reflecting quantity of the first orders and predetermined cross size thresholds;

receiving a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein at least two of the first orders and the second order are compatible for a cross;

identifying one of the plurality of first orders as having a highest priority;

determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order;

responsive to determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order, identifying one of the plurality of first orders as having a next highest priority; and

determining whether the quantity of the second order is greater than the predetermined cross size threshold of the next highest priority first order.

18. A method according to claim 17, wherein priority of the first order is based on time of the order.

19. A method according to claim 17, wherein priority of the first order is based on size of the order.

20. A method according to claim 17, further comprising:

identifying as a crossing size a quantity of the second order that is less than or equal to the quantity of the next highest priority first order;

determining a best bid price or best offer price for the security; and

executing the crossing size of the second order at the best bid price or the best offer price.

21. A method according to claim 20, further comprising:

locking-in the next-highest priority first order before executing the crossing size of the second order.

22. A method according to claim 17, further comprising:

identifying as an excess size a quantity of the second order that is greater than the quantity of the next highest priority first order;

creating a third order for the security, the third order having at least information reflecting a quantity that is equal to the excess size; and

sending the third order to a securities market for execution.

23. A method according to claim 22, further comprising:

locking-in the next highest priority first order before sending the third order to a securities market.

24. Computer executable software code transmitted as an information signal, the code for crossing securities orders, the code comprising:

code to receive a first order to buy or sell a particular security, the first order including at least information reflecting quantity of the first order;

code to receive a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein the first order and second order are compatible for a cross;

code to identify as a crossing size a quantity of the second order that is less than or equal to the quantity of the first order;

code to identify as an excess size a quantity of the second order that is greater than the quantity of the first order;

code to create a third order for the security, the third order having at least information reflecting a quantity that is equal to the excess size;

code to send the third order to a securities market for execution;

code to determine a best bid or best offer price for the security; and

code to execute the crossing size of the second order at the best bid or best offer price.

25. A computer-readable medium having computer executable software code stored thereon, the code for crossing securities orders, the code comprising:

code to receive a first order to buy or sell a particular security, the first order including at least information reflecting quantity of the first order;

code to receive a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein the first order and second order are compatible for a cross;

code to identify as a crossing size a quantity of the second order that is less than or equal to the quantity of the first order;

code to identify as an excess size a quantity of the second order that is greater than the quantity of the first order;

code to create a third order for the security, the third order having at least information reflecting a quantity that is equal to the excess size;

code to send the third order to a securities market for execution;

code to determine a best bid or best offer price for the security; and

code to execute the crossing size of the second order at the best bid or best offer price.

26. A programmed computer for crossing 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 first order to buy or sell a particular security, the first order including at least information reflecting quantity of the first order;

code to receive a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein the first order and second order are compatible for a cross;

code to identify as a crossing size a quantity of the second order that is less than or equal to the quantity of the first order;

code to identify as an excess size a quantity of the second order that is greater than the quantity of the first order;

code to create a third order for the security, the third order having at least information reflecting a quantity that is equal to the excess size;

code to send the third order to a securities market for execution;

code to determine a best bid or best offer price for the security; and

code to execute the crossing size of the second order at the best bid or best offer price.

27. Computer executable software code transmitted as an information signal, the code for crossing securities orders, the code comprising:

code to receive a plurality of first orders to buy or sell a particular security, the first orders including at least information reflecting quantity of the first orders and predetermined cross size thresholds;

code to receive a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein at least two of the first orders and the second order are compatible for a cross;

code to identify one of the plurality of first orders as having a highest priority;

code to determine whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order;

responsive to determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order, code to identify one of the plurality of first orders as having a next highest priority; and

code to determine whether the quantity of the second order is greater than the predetermined cross size threshold of the next highest priority first order.

28. A computer-readable medium having computer executable software code stored thereon, the code for crossing securities orders, the code comprising:

code to receive a plurality of first orders to buy or sell a particular security, the first orders including at least information reflecting quantity of the first orders and predetermined cross size thresholds;

code to receive a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein at least two of the first orders and the second order are compatible for a cross;

code to identify one of the plurality of first orders as having a highest priority;

code to determine whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order;

responsive to determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order, code to identify one of the plurality of first orders as having a next highest priority; and

code to determine whether the quantity of the second order is greater than the predetermined cross size threshold of the next highest priority first order.

29. A programmed computer for crossing 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 first orders to buy or sell a particular security, the first orders including at least information reflecting quantity of the first orders and predetermined cross size thresholds;

code to receive a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein at least two of the first orders and the second order are compatible for a cross;

code to identify one of the plurality of first orders as having a highest priority;

code to determine whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order;

responsive to determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order, code to identify one of the plurality of first orders as having a next highest priority; and

code to determine whether the quantity of the second order is greater than the predetermined cross size threshold of the next highest priority first order.

30. A system for crossing securities orders, the system comprising:

means for receiving a first order to buy or sell a particular security, the first order including at least information reflecting quantity of the first order;

means for receiving a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein the first order and second order are compatible for a cross;

means for identifying as a crossing size a quantity of the second order that is less than or equal to the quantity of the first order;

means for identifying as an excess size a quantity of the second order that is greater than the quantity of the first order;

means for creating a third order for the security, the third order having at least information reflecting a quantity that is equal to the excess size;

means for sending the third order to a securities market for execution;

means for determining a best bid or best offer price for the security; and

means for executing the crossing size of the second order at the best bid or best offer price.

31. A system for crossing securities orders, the system comprising:

means for receiving a plurality of first orders to buy or sell a particular security, the first orders including at least information reflecting quantity of the first orders and predetermined cross size thresholds;

means for receiving a second order to buy or sell the security, the second order including at least information reflecting price of the second order and information reflecting quantity of the second order, wherein at least two of the first orders and the second order are compatible for a cross;

means for identifying one of the plurality of first orders as having a highest priority;

means for determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order;

responsive to determining whether the quantity of the second order is greater than the predetermined cross size threshold of the highest priority first order, means for identifying one of the plurality of first orders as having a next highest priority; and

means for determining whether the quantity of the second order is greater than the predetermined cross size threshold of the next highest priority first order.