System and method for processing composite trading orders

• US 20070143203A1
• Filed: 04/05/2006
• Published: 06/21/2007
• Est. Priority Date: 12/20/2005
• Status: Active Grant

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Original Assignee: eSpeed Incorporated (BGC Group, Inc.)
• Inventors: Claus, Matthew, Noviello, Joseph, Manning, Gregory, Driscoll, James
• Granted Patent: US 7,711,644 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/042 characterized in that the payment protocol involves at least one cheque
• 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 processing a composite trading order comprises a memory operable to store market data received from one or more market centers. The system further comprises a processor operable to generate a composite value based at least in part on the market data. The processor is further operable to receive a composite trading order associated with at least a portion of the composite value. The processor is further operable to generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

Claims

1. A system for processing a composite trading order, the system comprising:

a memory operable to store market data received from one or more market centers; and

a processor operable to;

generate a composite value based at least in part on the market data;

receive a composite trading order associated with at least a portion of the composite value; and

generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

2. The system of claim 1, wherein the market data represents trading conditions in one or more market centers.

3. The system of claim 1, wherein the composite value represents a weighted quantity of a plurality of related trading products, the weighted quantity being substantially equivalent to a particular quantity of a particular trading product.

4. The system of claim 3, wherein at least one of the plurality of constituent trading orders is based at least in part on one or more preferences associated with a trader.

5. The system of claim 4, wherein the one or more preferences comprise a criterion, value, and/or formula usable to perform at least one of the following:

determine the composite value;

determine at least one of the plurality of constituent trading orders; and

identify at least one of the plurality of related trading products.

6. The system of claim 1, wherein the processor is operable to generate the composite value by:

determining a first quantity of a first trading product;

determining one or more weighted quantities associated with one or more other trading products; and

summing the first quantity and the one or more weighted quantities.

7. The system of claim 6, wherein the one or more other trading products are related to the first trading product based at least in part on relationship data.

8. The system of claim 6, wherein the processor is operable to identify the one or more other trading products based at least in part on one or more preferences associated with a trader.

9. The system of claim 6, wherein the first quantity is determined based at least in part on a particular quantity of the first trading product, the particular quantity being available for trade in at least one market center.

10. The system of claim 6, wherein the one or more other trading products comply with at least one preference associated with a trader, the at least one preference specifying that the one or more other trading products be associated with a yield spread that satisfies a configurable threshold.

11. The system of claim 6, wherein:

the first trading product is a note associated with a first maturity; and

the one or more other trading products comprise a note associated with a second maturity.

12. The system of claim 6, wherein:

the first trading product is a particular currency; and

the one or more other trading products comprise one or more futures contracts associated with the particular currency.

13. The system of claim 6, wherein:

the first trading product is a particular note; and

the one or more other trading products comprise one or more futures contracts associated with the particular note.

14. The system of claim 1, wherein the processor is further operable to:

determine whether a portion of the plurality of constituent trading orders is unfilled after a configurable interval of time; and

if the portion of the plurality of constituent trading orders is unfilled after the configurable interval of time, generate one or more new constituent trading orders that are substantially equivalent to the unfilled portion of the plurality of constituent trading orders.

15. The system of claim 14, wherein:

the processor is further operable to receive updated market data; and

the one or more new constituent trading orders are based at least in part on the updated market data.

16. The system of claim 1, wherein the processor is further operable to transmit, substantially simultaneously, the plurality of constituent trading orders to the one or more market centers for execution.

17. The system of claim 1, wherein the processor is further operable to, prior to generating the composite value:

receive a trading order associated with a particular trading product;

determine a particular quantity of the particular trading product, the particular quantity being available for trade in one or more market centers; and

determine that the particular quantity is insufficient to fill the trading order.

18. A method for processing a composite trading order, comprising:

receiving market data from one or more market centers;

generating a composite value based at least in part on the market data;

receiving a composite trading order associated with at least a portion of the composite value; and

generating a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

19. The method of claim 18, wherein the market data represents trading conditions in one or more market centers.

20. The method of claim 18, wherein the composite value represents a weighted quantity of a plurality of related trading products, the weighted quantity being substantially equivalent to a particular quantity of a particular trading product.

21. The method of claim 20, wherein at least one of the plurality of constituent trading orders is based at least in part on one or more preferences associated with a trader.

22. The method of claim 21, wherein the one or more preferences comprise a criterion, value, and/or formula usable to perform at least one of the following:

determine the composite value;

determine at least one of the plurality of constituent trading orders; and

identify at least one of the plurality of related trading products.

23. The method of claim 18, wherein generating a composite value comprises:

determining a first quantity of a first trading product;

determining one or more weighted quantities associated with one or more other trading products; and

summing the first quantity and the one or more weighted quantities.

24. The method of claim 23, wherein the one or more other trading products are related to the first trading product based at least in part on relationship data.

25. The method of claim 23, further comprising identifying the one or more other trading products based at least in part on one or more preferences associated with a trader.

26. The method of claim 23, wherein the first quantity is determined based at least in part on a particular quantity of the first trading product, the particular quantity being available for trade in at least one market center.

27. The method of claim 23, wherein the one or more other trading products comply with at least one preference associated with a trader, the at least one preference specifying that the one or more other trading products be associated with a yield spread that satisfies a configurable threshold.

28. The method of claim 23, wherein:

the first trading product is a note associated with a first maturity; and

the one or more other trading products comprise a note associated with a second maturity.

29. The method of claim 23, wherein:

the first trading product is a particular currency; and

the one or more other trading products comprise one or more futures contracts associated with the particular currency.

30. The method of claim 23, wherein:

the first trading product is a particular note; and

the one or more other trading products comprise one or more futures contracts associated with the particular note.

31. The method of claim 18, further comprising:

determining whether a portion of the plurality of constituent trading orders is unfilled after a configurable interval of time; and

if the portion of the plurality of constituent trading orders is unfilled after the configurable interval of time, generating one or more new constituent trading orders that are substantially equivalent to the unfilled portion of the plurality of constituent trading orders.

32. The method of claim 31, further comprising receiving updated market data, and wherein the one or more new constituent trading orders are based at least in part on the updated market data.

33. The method of claim 18, further comprising transmitting, substantially simultaneously, the plurality of constituent trading orders to the one or more market centers for execution.

34. The method of claim 18, further comprising, prior to generating the composite value:

receiving a trading order associated with a particular trading product;

determining a particular quantity of the particular trading product, the particular quantity being available for trade in one or more market centers; and

determining that the particular quantity is insufficient to fill the trading order.

35. Logic for processing a composite trading order, the logic encoded in computer-readable media and operable when executed to:

receive market data from one or more market centers;

generate a composite value based at least in part on the market data;

receive a composite trading order associated with at least a portion of the composite value; and

generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

36. The logic of claim 35, wherein the market data represents trading conditions in one or more market centers.

37. The logic of claim 35, wherein the composite value represents a weighted quantity of a plurality of related trading products, the weighted quantity being substantially equivalent to a particular quantity of a particular trading product.

38. The logic of claim 37, wherein at least one of the plurality of constituent trading orders is based at least in part on one or more preferences associated with a trader.

39. The logic of claim 38, wherein the one or more preferences comprise a criterion, value, and/or formula usable to perform at least one of the following:

determine the composite value;

determine at least one of the plurality of constituent trading orders; and

identify at least one of the plurality of related trading products.

40. The logic of claim 35, wherein the logic is further operable when executed to generate the composite value by:

determining a first quantity of a first trading product;

determining one or more weighted quantities associated with one or more other trading products; and

summing the first quantity and the one or more weighted quantities.

41. The logic of claim 40, wherein the one or more other trading products are related to the first trading product based at least in part on relationship data.

42. The logic of claim 40, wherein the logic is further operable when executed to identify the one or more other trading products based at least in part on one or more preferences associated with a trader.

43. The logic of claim 40, wherein the first quantity is determined based at least in part on a particular quantity of the first trading product, the particular quantity being available for trade in at least one market center.

44. The logic of claim 40, wherein the one or more other trading products comply with at least one preference associated with a trader, the at least one preference specifying that the one or more other trading products be associated with a yield spread that satisfies a configurable threshold.

45. The logic of claim 40, wherein:

the first trading product is a note associated with a first maturity; and

the one or more other trading products comprise a note associated with a second maturity.

46. The logic of claim 40, wherein:

the first trading product is a particular currency; and

the one or more other trading products comprise one or more futures contracts associated with the particular currency.

47. The logic of claim 40, wherein:

the first trading product is a particular note; and

the one or more other trading products comprise one or more futures contracts associated with the particular note.

48. The logic of claim 35, wherein the logic is further operable when executed to:

determine whether a portion of the plurality of constituent trading orders is unfilled after a configurable interval of time; and

if the portion of the plurality of constituent trading orders is unfilled after the configurable interval of time, generate one or more new constituent trading orders that are substantially equivalent to the unfilled portion of the plurality of constituent trading orders.

49. The logic of claim 48, wherein:

the processor is further operable to receive updated market data; and

the one or more new constituent trading orders are based at least in part on the updated market data.

50. The logic of claim 35, wherein the logic is further operable when executed to transmit, substantially simultaneously, the plurality of constituent trading orders to the one or more market centers for execution.

51. The logic of claim 35, wherein the logic is further operable when executed to, prior to generating the composite value:

receive a trading order associated with a particular trading product;

determine a particular quantity of the particular trading product, the particular quantity being available for trade in one or more market centers; and

determine that the particular quantity is insufficient to fill the trading order.

52. A method for processing a composite trading order, comprising:

receiving market data from one or more market centers;

generating a composite value based at least in part on the market data;

receiving a composite trading order associated with at least a portion of the composite value; and

generating one or more constituent trading orders that, when filled, combine to satisfy the composite trading order.

53. The method of claim 52, wherein the composite value represents a weighted quantity of a plurality of related trading products, the weighted quantity being substantially equivalent to a particular quantity of a particular trading product.

54. The method of claim 52, wherein generating a composite value comprises:

determining a first quantity of a first trading product;

determining one or more weighted quantities associated with one or more other trading products; and

summing the first quantity and the one or more weighted quantities.

55. The method of claim 54, wherein:

the first trading product is a note associated with a first maturity; and

the one or more other trading products comprise a note associated with a second maturity.

56. The method of claim 54, wherein:

the first trading product is a particular currency; and

the one or more other trading products comprise one or more futures contracts associated with the particular currency.

57. The method of claim 54, wherein:

the first trading product is a particular note; and

the one or more other trading products comprise one or more futures contracts associated with the particular note.

58. The method of claim 52, further comprising:

determining whether a portion of the one or more constituent trading orders is unfilled after a configurable interval of time; and

if the portion of the one or more constituent trading orders is unfilled after the configurable interval of time, generating one or more new constituent trading orders that are substantially equivalent to the unfilled portion of the one or more constituent trading orders.

59. The method of claim 58, further comprising receiving updated market data, and wherein the one or more new constituent trading orders are based at least in part on the updated market data.