TRADING SYSTEM WITH INTERNAL ORDER MATCHING

• US 20080097893A1
• Filed: 09/25/2007
• Published: 04/24/2008
• Est. Priority Date: 04/05/2005
• Status: Active Grant

• Current Assignee: Bloomberg Finance Holdings L P, Bloomberg Finance LP (Bloomberg LP)
• Original Assignee: Broadway Technology LLC (ION Investment Group Ltd.)
• Inventors: Crouchi, John, Walsky, Joshua, Moeller, Tyler, Bell, Walter
• Granted Patent: US 7,716,121 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0601 Electronic shopping [e-shopping]
• 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

Abstract

Presented is a computer-based system for exchange order routing over a communication network which includes a client terminal configured to provide an end-user interface between the client terminal and a first server, the interface providing a template for building an order routing strategy including a stipulation string, and to submit one or more orders and the order routing strategy to the first server. A program executable within the communication network to implement the routing strategy by crossing the order on a first electronic exchange, and placing order liquidity on respective second electronic exchanges. A method implements the order routing strategy by receiving an order and a routing strategy containing a stipulation string having parameters of predetermined criteria, a first phase order processing allocates a first order quantity to a crossing location, a second phase order processing allocates a second order quantity to an idle location.

Claims

1. A computer-based system for exchange order routing comprising:

a communication network including a first server having at least one processor, one or more second servers each having at least one processor, and a client terminal having at least one processor;

an end-user interface operable to provide a template for building an order routing strategy that includes a stipulation string, and to submit one or more orders and the order routing strategy to the first server;

wherein the first server is configured to support operations of a first electronic exchange marketplace, the one or more second servers are configured to support operations of respective second electronic exchange marketplaces, and the client terminal is configured to provide the end-user interface between the client terminal and the first server;

a program executable within the communication network and being configured to implement the routing strategy by attempting to cross the order on the first electronic exchange in accordance with the routing strategy, and by placing order liquidity on the respective second electronic exchanges in accordance with the routing strategy.

2. The system of claim 1, wherein the stipulation string comprises parameters of predetermined criteria which define the routing strategy.

3. The system of claim 2, wherein the predetermined criteria includes at least one of an overfill risk factor, a prioritized list of external exchanges, an exchange order size portion limit, an internal order indicator, and an internal order fill time.

4. A method for implementing an order routing strategy on a computer-based communication network comprising a first electronic exchange market operating on a first server having a processor, one or more second electronic exchange markets operating on respective second servers having a processor, and an end-user interface operating on a client terminal having a processor, the method comprising the steps of:

receiving at the first terminal an order that defines a quantity component, a price component, and a routing strategy associated with the order, the routing strategy containing a stipulation string comprising parameters of predetermined criteria;

a first phase order processing in accordance with the predetermined criteria parameters so as to allocate a first order quantity to a crossing location;

a second phase order processing so as to allocate a second order quantity to an idle location;

wherein the first order quantity fills substantially immediately and the second order quantity fills when trading begins at the idle location;

evaluating rules of the routing strategy in response to an event message; and

modifying the routing strategy execution in response to the results of the evaluating step so as to optimize the order processing on at least one of the crossing location and the idle location.

5. The method of claim 4, further including the step of receiving at the client terminal values for the predetermined criteria parameters;

wherein the predetermined criteria is at least one of an overfill risk factor, a prioritized list of external electronic exchanges, an exchange order size portion limit, an internal order indicator, and an internal order fill time.

6. The method of claim 5, wherein the internal order indicator value and the internal order fill time fill cause the first phase order processing step to occur for a period of time prior to the occurrence of the second phase order processing step, the method further including the step of allocating additional first order quantity during the internal order fill time.

7. The method of claim 4, wherein the event message is at least one of a price update, a quantity update, an electronic exchange market coming online, an electronic exchange market going offline, an order status message, and a user request.

8. The method of claim 4, further including the steps of:

working a portion of an order quantity at crossing levels on at least one of the first electronic exchange and at least one of the respective second electronic exchanges;

giving priority to more aggressively priced crossing levels; and

placing the working portions of an order quantity in preference based on at least one of the predetermined criteria.

9. The method of claim 8, wherein the placing step places the working portion to selected ones of the second electronic exchanges in accordance with a second exchange priority criteria.

10. The method of claim 4, further including the step of placing, upon an inability to cross at the crossing location and the idle location, any remaining order liquidity on an external electronic exchange so that the order will fill when trading begins at the external electronic exchange.

11. The method of claim 4, further comprising the step of identifying an idle location by determining that a market lacks a pending quantity at a price level for the order.

12. The method of claim 11, further including the step of increasing the order quantity by an overfill risk factor criteria.

13. The method of claim 4, wherein the crossing location is an internal electronic exchange operated on the first server, and the idle location is one or more external electronic exchanges operated on the respective second servers.

14. The method of claim 4, wherein upon a timeout occurrence at the idle location, the method further includes the step of allocating at least a portion of the second order quantity to an internal exchange.

15. The method of claim 4, further including the step of restricting a pending time period of an order placed on the internal exchange before the order can be filled on one or more of the external exchanges, thereby improving the chances of filling the order on the internal exchange.

16. The method of claim 15, wherein upon expiration of the pending time, the method further includes the steps of:

reevaluating the order routing strategy; and

based on the results of the reevaluating step, placing the order on one or more external exchanges so as to optimize the order processing.

17. The method of claim 4, wherein the crossing location is a first external electronic exchange operated on the first server, and the idle location is one or more second external electronic exchanges operated on the respective second servers.

18. The method of claim 4, further including the steps of:

receiving an updated stipulation string for the routing strategy, wherein at least one predetermined criteria parameter is changed; and

performing the first phase order processing step and second phase order processing step in accordance with the predetermined criteria of the updated stipulation string.