Systems and methods for providing anonymous requests for quotes for financial instruments

• US 20070005484A1
• Filed: 04/21/2006
• Published: 01/04/2007
• Est. Priority Date: 06/01/2000
• Status: Active Grant

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: Aritas Group, Inc.
• Inventors: Gamse, Brent, Waelbroeck, Henri, Federspiel, Fred
• Granted Patent: US 7,680,715 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 40/03 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

Embodiments of the invention provide an anonymous RFQ system for financial instruments that resolves the inherent conflict between a capital provider'"'"'s need for information and a market participant'"'"'s need for confidentiality by creating an environment where market participants and capital providers can realize the benefits of sharing confidential trading interest (CTI) information without sacrificing anonymity or enabling information leakage. This secure environment preferably is created within an electronic matching book that distills all CTI information related to each Request for Quote (RFQ) into a risk class that is sent to capital providers in lieu of order-identifying or trader-identifying information. These risk classes give capital providers enough information to offer customized, risk-adjusted quotes without requiring the market participant to reveal confidential information about herself or her order.

Claims

1. A method for providing an anonymous request for quotation environment that enables sharing of confidential trading interest information without sacrificing anonymity or enabling information leakage, comprising:

receiving a request for quotation from a market participant; and

associating a risk categorization with said request for quotation.

2. The method of claim 1, wherein said request for quotation comprises:

an initial block quantity for which a quotation is requested; and

a time lag following which an additional request will be sent for an additional block quantity.

3. The method of claim 1, further comprising transmitting a message to one or more capital providers, said message comprising:

(a) a symbol for said request for quotation and (b) said risk categorization.

4. The method of claim 1, wherein associating a risk categorization comprises performing a risk analysis based at least in part on confidential information regarding said request for quotation and said market participant.

5. The method of claim 4, wherein said confidential information includes information about price movements following past requests for quotation from the same market participant.

6. The method of claim 4, wherein said risk analysis is further based on an assessment of current market conditions.

7. The method of claim 2, further comprising receiving from at least one of said one or more capital providers a two-sided quotation based on said risk classification.

8. The method of claim 2, further comprising enabling said one or more capital providers to respond to a request for quotation with a “

mismatched”

quotation that cannot auto-execute, and further enabling said market participant to initiate a negotiation with the capital provider.

9. The method of claim 7, further comprising comparing said request for quotation to said quote, determining that a match exists, and executing a trade.

10. The method of claim 9, further comprising maintaining permanent anonymity when clearing said trade.

11. The method of claim 9, further comprising revealing said market participant'"'"'s identity to a capital provider with whom said trade executes, either before or after the trade, only if said capital provider is on a list approved by said market participant and said market participant opts to reveal said market participant'"'"'s identity.

12. The method of claim 7, further comprising displaying to said market participant one or more quotations from said one or more capital providers by means of a graphical user interface.

13. The method of claim 12, further comprising enabling said market participant to modify pricing of said request for quotation via said graphical user interface, enabling auto-execution in the event that a new price is aggressive enough to execute.

14. The method of claim 12, whereby said graphical user interface enables said one or more capital providers or said market participant to cancel a request for quotation or a responding quotation at any point in time.

15. The method of claim 1, wherein said request for quotation specifies at least one risk class for acceptable contra parties for trade execution.

16. The method of claim 1, wherein said request for quotation specifies at least one risk class for parties viewing said request for quotation.

17. The method of claim 1, further comprising transmitting a message to one or more capital providers, said message comprising a symbol for said request for quotation.

18. The method of claim 17, further comprising receiving from at least one of said one or more capital providers a two-sided quotation for each risk classification with which said at least one capital provider is willing to trade.

19. The method of claim 2, wherein said request for quotation is transmitted only to select capital providers and wherein said market participant'"'"'s identity is provided only to said select capital providers.

20. The method of claim 1, further comprising:

transmitting a message to one or more capital providers, said message comprising a symbol for said request for quotation but not said risk classification;

receiving one or more one-sided or two-sided conditional quotations from one or more capital providers; and

displaying one of said one or more conditional quotations to said market participant only if said risk classification associated with said request for quotation is less than a maximum risk level associated with said one of said one or more conditional quotations.