System and method for determining availability of a tradable instrument

• US 20070016506A1
• Filed: 05/20/2005
• Published: 01/18/2007
• Est. Priority Date: 05/20/2005
• Status: Abandoned Application

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.), Cisco Technology, Inc. (Cisco Systems, Inc.)
• Original Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Inventors: Sweeting, Michael, Davies, James, Eccleston, Dan
• Application Number:
  US11/133,746
• Publication Number:
  US 20070016506A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A method for initiating transactions of traded instruments includes determining an available offered quantity of a first instrument that represents an amount of the first instrument currently available to be purchased. The method also includes determining an unavailable offered quantity of the first instrument that represents an amount of the first instrument specified by a sale order associated with a first transaction. The method further includes determining a bid quantity specified by a purchase order associated with the first transaction and calculating a temporarily unavailable offered quantity of the first instrument based on a difference between the unavailable offered quantity of the first instrument and the bid quantity. Additionally, the method includes calculating a quantity of a second instrument based on a sum of the available offered quantity of the first instrument and at least a portion of

Claims

1. A method for conducting transactions of traded instruments, comprising:

determining an available offered quantity of a first instrument, the available offered quantity of the first instrument comprising an amount of the first instrument currently available to be purchased in a market for the first instrument;

determining an unavailable offered quantity of the first instrument, the unavailable offered quantity comprising an amount of the first instrument specified by a sale order associated with a first transaction involving the first instrument;

determining a bid quantity specified by a purchase order associated with the first transaction;

calculating a temporarily unavailable offered quantity of the first instrument based, at least in part, on a difference between the unavailable offered quantity of the first instrument and the bid quantity associated with the first transaction; and

calculating a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.

2. The method of claim 1, further comprising initiating the second transaction.

3. The method of claim 1, wherein calculating the quantity of the second instrument comprises deciding not to initiate the second transaction based on the sum.

4. The method of claim 1, further comprising initiating a third transaction involving the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.

5. The method of claim 1, wherein calculating the quantity of the second instrument comprises:

calculating a scaled temporarily unavailable offered quantity of the first instrument based on a product of the temporarily unavailable offered quantity of the first instrument and a risk value; and

calculating the quantity of the second instrument associated with the second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and the scaled temporarily unavailable offered quantity of the first instrument.

6. The method of claim 1, further comprising offering a third instrument for sale, wherein a value of the third instrument is based, at least in part, on a value of a position in the first instrument and a value of a position in the second instrument.

7. The method of claim 6, wherein

determining an available offered quantity of the first instrument comprises determining an amount of the first instrument currently available to be purchased at a first price;

calculating a quantity of the second instrument associated with a second transaction comprises calculating a quantity of the second instrument associated with a second transaction to be executed at a second price; and

offering the third instrument for sale comprises calculating a third price based at least in part on the first price and the second price and offering the third instrument for sale at the third price.

8. A method for initiating transactions of traded instruments, comprising:

determining an available bid quantity of a first instrument, the available bid quantity of the first instrument comprising an amount of the first instrument currently bid upon in a market for the first instrument;

determining an unavailable bid quantity of the first instrument, the unavailable bid quantity of the first instrument comprising an amount of the first instrument specified by a purchase order associated with a first transaction involving the first instrument;

determining an offered quantity associated with the first transaction;

calculating a temporarily unavailable bid quantity of the first instrument based, at least in part, on a difference between the unavailable bid quantity of the first instrument and the offered quantity associated with the first transaction; and

calculating a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available bid quantity of the first instrument and at least a portion of the temporarily unavailable bid quantity of the first instrument.

9. The method of claim 8, further comprising initiating the second transaction.

10. The method of claim 8, wherein calculating the quantity of the second instrument comprises deciding not to initiate the second transaction based on the sum.

11. The method of claim 8, further comprising initiating a third transaction involving the available bid quantity of the first instrument and at least a portion of the temporarily unavailable bid quantity of the first instrument.

12. The method of claim 8, wherein calculating the quantity of the second instrument comprises:

calculating a scaled temporarily unavailable bid quantity of the first instrument based on a product of the temporarily unavailable bid quantity of the first instrument and a risk value; and

calculating the quantity of the second instrument associated with the second transaction based, at least in part, on a sum of the available bid quantity of the first instrument and the scaled temporarily unavailable bid quantity of the first instrument.

13. The method of claim 8, further comprising offering a third instrument for sale, wherein a value of the third instrument is based, at least in part, on a value of a position in the first instrument and a value of a position in the second instrument.

14. The method of claim 13, wherein

determining an available bid quantity of the first instrument comprises determining an amount of the first instrument currently bid upon at a first price in the market;

calculating a quantity of the second instrument associated with a second transaction comprises calculating a quantity of the second instrument associated with a second transaction to be executed at a second price; and

offering the third instrument for sale comprises calculating a third price based at least in part on the first price and the second price and offering the third instrument for sale at the third price.

15. A trading system, comprising:

a trading platform operable to execute sale orders and purchase orders; and

a plurality of interfaces operable to transmit sale orders and purchase orders to the trading platform, wherein at least one of the plurality of interfaces is operable to;

determine an available offered quantity of a first instrument, the available offered quantity of the first instrument comprising an amount of the first instrument currently available to be purchased in a market for the first instrument;

determine an unavailable offered quantity of the first instrument, the unavailable offered quantity of the first instrument comprising an amount of the first instrument specified by a sale order associated with a first transaction involving the first instrument;

determine a bid quantity specified by a purchase order associated with the first transaction;

calculate a temporarily unavailable offered quantity of the first instrument based, at least in part, on a difference between the unavailable offered quantity of the first instrument and the bid quantity associated with the first transaction; and

calculate a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.

16. The system of claim 15, wherein the at least one interface is further operable to transmit to the trading platform an order specifying the quantity of the second instrument associated with the second transaction.

17. The system of claim 15, wherein the at least one interface is operable to calculate the quantity of the second instrument by deciding not to initiate the second transaction based on the sum.

18. The system of claim 15, wherein the at least one interface is operable to transmit a purchase order to the trading platform, the purchase order specifying a purchase quantity that includes the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.

19. The system of claim 15, wherein the at least one interface is operable to calculate the quantity of the second instrument by:

calculating a scaled temporarily unavailable offered quantity of the first instrument based on a product of the temporarily unavailable offered quantity of the first instrument and a risk value; and

calculating the quantity of the second instrument associated with the second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and the scaled temporarily unavailable offered quantity of the first instrument.

20. The system of claim 15, wherein the at least one interface is further operable to transmit a sale order specifying a third instrument for sale, wherein a value of the third instrument is based, at least in part, on a value of a position in the first instrument and a value of a position in the second instrument.

21. The system of claim 20, wherein the at least one interface is operable to:

determine an available offered quantity of the first instrument by determining an amount of the first instrument currently available to be purchased at a first price;

calculate a quantity of the second instrument associated with a second transaction by calculating a quantity of the second instrument associated with a second transaction to be executed at a second price; and

transmit the sale order specifying the third instrument by;

calculating a third price based, at least in part, on the first price and the second price; and

transmitting to the trading platform a sale order that specifies the third price as a sale price for the third instrument.

22. A trading system, comprising:

a trading platform operable to execute sale orders and purchase orders; and

a plurality of interfaces operable to transmit sale orders and purchase orders to the trading platform, wherein at least one of the plurality of interfaces is operable to;

determine an available bid quantity of a first instrument, the available offered quantity of the first instrument comprising an amount of the first instrument currently bid upon in a market for the first instrument;

determine an unavailable bid quantity of the first instrument, the unavailable bid quantity of the first instrument comprising an amount of the first instrument specified by a purchase order associated with a first transaction involving the first instrument;

determine an offered quantity associated with the first transaction;

calculate a temporarily unavailable bid quantity of the first instrument based, at least in part, on a difference between the unavailable bid quantity of the first instrument and the offered quantity associated with the first transaction; and

calculate a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available bid quantity of the first instrument and at least a portion of the temporarily unavailable bid quantity of the first instrument.

23. The system of claim 22, wherein the at least one interface is further operable to transmit to the trading platform an order specifying the quantity of the second instrument associated with the second transaction.

24. The system of claim 22, wherein the at least one interface is operable to calculate the quantity of the second instrument by deciding not to initiate the second transaction based on the sum.

25. The system of claim 22, wherein the at least one interface is operable to transmit a purchase order to the trading platform, the purchase order specifying a bid quantity that includes the available bid quantity of the first instrument and at least a portion of the temporarily unavailable bid quantity of the first instrument.

26. The system of claim 22, wherein the at least one interface is operable to calculate the quantity of the second instrument by:

calculating a scaled temporarily unavailable bid quantity of the first instrument based on a product of the temporarily unavailable bid quantity of the first instrument and a risk value; and

calculating the quantity of the second instrument associated with the second transaction based, at least in part, on a sum of the available bid quantity of the first instrument and the scaled temporarily unavailable bid quantity of the first instrument.

27. The system of claim 22, wherein the at least one interface is further operable to transmit a sale order specifying a third instrument for sale, wherein a value of the third instrument is based, at least in part, on a value of a position in the first instrument and a value of a position in the second instrument.

28. The system of claim 27, wherein the at least one interface is operable to:

determine an available bid quantity of the first instrument by determining an amount of the first instrument currently bid upon at a first price in the market;

calculate a quantity of the second instrument associated with a second transaction by calculating a quantity of the second instrument associated with a second transaction to be executed at a second price; and

transmit the sale order specifying the third instrument by;

calculating a third price based, at least in part, on the first price and the second price; and

transmitting to the trading platform a sale order that specifies the third price as a sale price for the third instrument.

29. A trading interface, comprising:

a memory operable to store processor instructions; and

a processor operable to;

determine an available offered quantity of a first instrument, the available offered quantity of the first instrument comprising an amount of the first instrument currently available to be purchased in a market for the first instrument;

determine an unavailable offered quantity of the first instrument, the unavailable offered quantity of the first instrument comprising an amount of the first instrument specified by a sale order associated with a first transaction involving the first instrument;

determine a bid quantity specified by a purchase order associated with the first transaction;

calculate a temporarily unavailable offered quantity of the first instrument based, at least in part, on a difference between the unavailable offered quantity of the first instrument and the bid quantity associated with the first transaction; and

calculate a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.

30. The trading interface of claim 29, wherein the trading interface is further operable to initiate the second transaction.

31. The trading interface of claim 29, wherein the trading interface is operable to calculate the quantity of the second instrument by deciding not to initiate the second transaction based on the sum.

32. The trading interface of claim 29, wherein the trading interface is operable to initiate a third transaction involving the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.

33. The trading interface of claim 29, wherein the trading interface is operable to calculate the quantity of the second instrument by:

calculating a scaled temporarily unavailable offered quantity of the first instrument based on a product of the temporarily unavailable offered quantity of the first instrument and a risk value; and

calculating the quantity of the second instrument associated with the second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and the scaled temporarily unavailable offered quantity of the first instrument.

34. The trading interface of claim 29, wherein the trading interface is further operable to generate a sale order identifying a third instrument for sale, wherein a value of the third instrument is based, at least in part, on a value of a position in the first instrument and a value of a position in the second instrument.

35. The trading interface of claim 34, wherein the trading interface is operable to:

determine an available offered quantity of the first instrument by determining an amount of the first instrument currently available to be purchased at a first price;

calculate a quantity of the second instrument associated with a second transaction by calculating a quantity of the second instrument associated with a second transaction to be executed at a second price; and

generate the sale order identifying the third instrument by;

calculating a third price based, at least in part, on the first price and the second price; and

generate a sale order that specifies the third price as a sale price for the third instrument.

36. A trading interface, comprising:

a trading platform operable to execute sale orders and purchase orders; and

a plurality of interfaces operable to transmit sale orders and purchase orders to the trading platform, wherein at least one of the plurality of interfaces is operable to;

determine an available bid quantity of a first instrument, the available offered quantity of the first instrument comprising an amount of the first instrument currently bid upon in a market for the first instrument;

determine an unavailable bid quantity of the first instrument, the unavailable bid quantity of the first instrument comprising an amount of the first instrument specified by a purchase order associated with a first transaction involving the first instrument;

determine an offered quantity associated with the first transaction;

calculate a temporarily unavailable bid quantity of the first instrument based, at least in part, on a difference between the unavailable bid quantity of the first instrument and the offered quantity associated with the first transaction; and

calculate a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available bid quantity of the first instrument and at least a portion of the temporarily unavailable bid quantity of the first instrument.

37. The trading interface of claim 36, wherein the trading interface is further operable to initiate the second transaction.

38. The trading interface of claim 36, wherein the trading interface is operable to calculate the quantity of the second instrument by deciding not to initiate the second transaction based on the sum.

39. The trading interface of claim 36, wherein the trading interface is operable to initiate a third transaction involving the available bid quantity of the first instrument and at least a portion of the temporarily unavailable bid quantity of the first instrument.

40. The trading interface of claim 36, wherein the trading interface is operable to calculate the quantity of the second instrument by:

calculating a scaled temporarily unavailable bid quantity of the first instrument based on a product of the temporarily unavailable bid quantity of the first instrument and a risk value; and

calculating the quantity of the second instrument associated with the second transaction based, at least in part, on a sum of the available bid quantity of the first instrument and the scaled temporarily unavailable bid quantity of the first instrument.

41. The trading interface of claim 36, wherein the trading interface is further operable to generate a sale order identifying a third instrument for sale, wherein a value of the third instrument is based, at least in part, on a value of a position in the first instrument and a value of a position in the second instrument.

42. The trading interface of claim 41, wherein the trading interface is operable to:

determine an available bid quantity of the first instrument by determining an amount of the first instrument currently bid upon at a first price in the market;

calculate a quantity of the second instrument associated with a second transaction by calculating a quantity of the second instrument associated with a second transaction to be executed at a second price; and

generate the sale order identifying the third instrument by;

calculating a third price based, at least in part, on the first price and the second price; and

generate a sale order that specifies the third price as a sale price for the third instrument.

43. A method of trading, comprising:

determining an available quantity of a first instrument;

determining a first transaction quantity of the first instrument based on a first order associated with a first transaction involving the first instrument;

determining a second transaction quantity of the first instrument based on a second order associated with the first transaction;

calculating a temporarily unavailable quantity of the first instrument based, at least in part, on a difference between the first transaction quantity and the second transaction quantity; and

calculating a quantity of a second instrument associated with a second transaction based, at least in part, on a sum of the available offered quantity of the first instrument and at least a portion of the temporarily unavailable offered quantity of the first instrument.