System and method for providing one-order methodology in over the counter markets

• US 20070250433A1
• Filed: 04/25/2006
• Published: 10/25/2007
• Est. Priority Date: 04/25/2006
• Status: Abandoned Application

• Current Assignee: Currenex, Inc. (State Street Corporation)
• Original Assignee: Currenex, Inc. (State Street Corporation)
• Inventors: Hartheimer, Richard, Lu, David, Bhat, Harsha, Rosenwald, Cary, Gilman, Sean, Wilson, Kelly
• Application Number:
  US11/410,151
• Publication Number:
  US 20070250433A1
• 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 and method provide a one-order methodology in over the counter (OTC) markets to enhance execution performance by allowing a single order to be executable in multiple liquidity pools (also referred to as exchange platforms or exchange markets). The liquidity pools typically have different credit constraints and requirements to attract different customers. A customer may have an established trading relationship and credit with multiple liquidity pools. The system and method enable the customer to place an order simultaneously in multiple liquidity pools and receive the best possible price match, also referred to as a fill. Execution certainty is therefore enhanced. The system and method also process an order faster than with traditional order routing processes.

Claims

1. A computer implemented method for providing a one-order methodology in over the counter (OTC) markets, comprising:

accepting orders provided by a plurality of participants that execute trade in a plurality of liquidity pools;

aggregating the orders provided by the plurality of participants;

accepting a first order from a first customer;

inputting the aggregated orders and the first order to a matching engine, wherein the first order is placed simultaneously in the plurality of liquidity pools;

determining if a price match exists in one of the plurality of liquidity pools between the first order and one or more outstanding orders, the outstanding orders being provided by the plurality of participants; and

if a price match exists;

determining if the first customer has an established trading relationship with the liquidity pool in which the price match exists;

determining if the first customer has a sufficient credit with the liquidity pool in which the price match exists; and

executing the first order if the first customer has established trading relationship and sufficient credit with the liquidity pool in which the price match exists.

2. The method of claim 1, wherein the outstanding orders include a second order placed by a second customer.

3. The method of claim 2, further comprising:

determining if the second customer has an established trading relationship with the liquidity pool in which the price match exists; and

determining if the second customer has a sufficient credit with the liquidity pool in which the price match exists.

4. The method of claim 1, further comprising assigning and updating a credit rating for the first customer in the liquidity pool in which the first order is executed.

5. The method of claim 1, further comprising determining if a price match exists in an external liquidity pool between the first order and outstanding orders in the external liquidity pool.

6. The method of claim 1, further comprising converting the first order provided in a customer specific protocol to a generic protocol.

7. The method of claim 1, further comprising:

determining if the first order and one of the outstanding orders enable partial fills;

if the first order and the outstanding order each has a flag enabling partial fills, executing a trade using a lesser amount of the first order and the outstanding order;

if the flag enabling partial fills is disabled in the first order, executing a trade if the first order offers an amount less than or equals to the outstanding order; and

if the flags in both the first order and the outstanding order are disabled, executing a trade if amounts in the first order and the outstanding order are identical.

8. A system for providing a one-order methodology in over the counter (OTC) markets, comprising:

a price integration layer that accepts orders from a plurality of participants and aggregates the orders provided by the plurality of participants, the plurality of participants executing trade in a plurality of liquidity pools;

a matching engine that accepts the aggregated orders from the price integration layer and accepts a first order from a first customer, wherein the first order is placed simultaneously in the plurality of liquidity pools, wherein the matching engine determines if a price match exists in one of the plurality of liquidity pools between the first order and outstanding orders, if a price match exists, determines if the first customer has an established trading relationship and a sufficient credit with the liquidity pool in which the price match exists, and executes the first order if the first customer has established trading relationship and sufficient credit with the liquidity pool in which the price match exists; and

a network connecting the matching engine with the price engines and a computer operated by the first customer.

9. The system of claim 8, wherein the outstanding orders can be provided by the plurality of participants.

10. The system of claim 8, further comprising an external liquidity pool connected to the matching engine, wherein the matching engine accesses the external liquidity pool to determine if a price match exists between the first order and outstanding orders in the external liquidity pool.

11. The system of claim 8, wherein the outstanding orders include a second order placed by a second customer.

12. The system of claim 11, wherein the matching engine determines if the second customer has an established trading relationship and a sufficient credit with the liquidity pool in which the price match exists.

13. The system of claim 8, wherein the plurality of participants include a plurality of market makers and a plurality of customers.

14. A computer readable medium providing instructions for providing a one-order methodology in over the counter (OTC) markets, the instructions comprising:

accepting orders provided by a plurality of participants that execute trade in a plurality of liquidity pools;

aggregating the orders provided by the plurality of participants;

accepting a first order from a first customer;

inputting the aggregated orders and the first order to a matching engine, wherein the first order is placed simultaneously in the plurality of liquidity pools;

determining if a price match exists in one of the plurality of liquidity pools between the first order and one or more outstanding orders, the outstanding orders being provided by the plurality of participants; and

if a price match exists;

determining if the first customer has an established trading relationship with the liquidity pool in which the price match exists;

determining if the first customer has a sufficient credit with the liquidity pool in which the price match exists; and

executing the first order if the first customer has established trading relationship and sufficient credit with the liquidity pool in which the price match exists.

15. The computer readable medium of claim 14, wherein the outstanding orders include a second order placed by a second customer.

16. The computer readable medium of claim 15, further comprising instructions for:

determining if the second customer has an established trading relationship with the liquidity pool in which the price match exists; and

determining if the second customer has a sufficient credit with the liquidity pool in which the price match exists.

17. The computer readable medium of claim 14, further comprising instructions for assigning and updating a credit rating for the first customer in the liquidity pool in which the first order is executed.

18. The computer readable medium of claim 14, further comprising instructions for determining if a price match exists in an external liquidity pool between the first order and outstanding orders in the external liquidity pool.

19. The computer readable medium of claim 14, further comprising instructions for converting the first order provided in a customer specific protocol to a generic protocol.

20. The computer readable medium of claim 14, wherein the plurality of participants include a plurality of market makers and a plurality of customers.