System and Method for Managing Trading Orders in Aggregated Order Books

• US 20080172318A1
• Filed: 01/16/2007
• Published: 07/17/2008
• Est. Priority Date: 01/16/2007
• Status: Abandoned Application

• Current Assignee: BGC Partners LP (BGC Group, Inc.)
• Original Assignee: BGC Partners LP (BGC Group, Inc.)
• Inventors: Richards, Raymond Anthony, Noviello, Joseph C., Weston, Brian Alexander, Bartko, Peter
• Application Number:
  US11/623,728
• Publication Number:
  US 20080172318A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/04 Billing or invoicing
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system for managing trading orders comprises a memory operable to store a first order in a first order book. The first order is associated with a first group of traders, which is associated with a first ruleset. The memory is further operable to store a second order in a second order book, wherein the second order was received after the first order. The second order is associated with a second group of traders, which is associated with a second ruleset. The system further comprises a processor communicatively coupled to the memory and operable to receive a counterorder associated with a third group of traders, wherein the counterorder matches the first order and the second order. The processor is further operable to execute a first trade associated with the second order and the counterorder, wherein the first trade is executed according to the second ruleset. If a portion of the counterorder remains unfilled, the processor is further operable to execute a second trade associated with the first order and the counterorder, wherein the second trade is executed according to the first ruleset.

Claims

1. A system for managing trading orders, comprising:

a memory operable to;

store a first order in a first order book, wherein;

the first order is associated with a first group of traders; and

the first group of traders is associated with a first ruleset;

store a second order in a second order book, wherein;

the second order was received after the first order;

the second order is associated with a second group of traders; and

the second group of traders is associated with a second ruleset;

and

a processor communicatively coupled to the memory and operable to;

receive a counterorder associated with a third group of traders, wherein the counterorder matches the first order and the second order; and

execute a first trade associated with the second order and the counterorder, wherein the first trade is executed according to the second ruleset; and

if a portion of the counterorder remains unfilled, execute a second trade associated with the first order and the counterorder, wherein the second trade is executed according to the first ruleset.

2. The system of claim 1, wherein:

the first order is associated with a first price range and a first limit price;

the counterorder is associated with a second price range that intersects the first price range; and

executing the second trade according to a first ruleset comprises executing the second trade at the limit price.

3. The system of claim 1, wherein:

the first order is associated with a first price range and a first base price;

the counterorder is associated with a second price range that intersects the first price range; and

executing the second trade according to a first ruleset comprises executing the second trade at the base price.

4. The system of claim 1, wherein:

the second order is associated with a first price range;

the counterorder is associated with a second price range that intersects the first price range; and

executing the first trade according to a second ruleset comprises;

determining a midpoint price based at least in part on the intersection of the first and second price ranges; and

executing the first trade at the midpoint price.

5. The system of claim 1, wherein executing the first trade according to a second ruleset comprises executing the first trade at a price comprising a fractional pip value.

6. The system of claim 1, wherein the processor is further operable to prevent trading between the first group of traders and the second group of traders.

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

disclose, to the third group, orders associated with the second group; and

prevent disclosure, to the first group, of orders associated with the second group.

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

receive a third order associated with the third group of traders; and

store the third order in the first order book and in the second order book.

9. The system of claim 8, wherein the processor is further operable to:

receive a second counterorder that matches the third order; and

if the second counterorder is associated with the first group of traders;

execute a third trade associated with the third order and the second counterorder, wherein the third trade is executed according to the first ruleset; and

in conjunction with executing the third trade, delete the third order from the second order book;

and

if the second counterorder is associated with the second group of traders;

execute a third trade associated with the third order and the second counterorder, wherein the third trade is executed according to the second ruleset; and

in conjunction with executing the third trade, delete the third order from the first order book.

10. A method for managing trading orders, comprising:

storing a first order in a first order book, wherein;

the first order is associated with a first group of traders; and

the first group of traders is associated with a first ruleset;

storing a second order in a second order book, wherein;

the second order was received after the first order;

the second order is associated with a second group of traders; and

the second group of traders is associated with a second ruleset;

receiving a counterorder associated with a third group of traders, wherein the counterorder matches the first order and the second order; and

executing a first trade associated with the second order and the counterorder, wherein the first trade is executed according to the second ruleset; and

if a portion of the counterorder remains unfilled, executing a second trade associated with the first order and the counterorder, wherein the second trade is executed according to the first ruleset.

11. The method of claim 10, wherein:

the first order is associated with a first price range and a first limit price;

the counterorder is associated with a second price range that intersects the first price range; and

executing the second trade according to a first ruleset comprises executing the second trade at the limit price.

12. The method of claim 10, wherein:

the first order is associated with a first price range and a first base price;

the counterorder is associated with a second price range that intersects the first price range; and

executing the second trade according to a first ruleset comprises executing the second trade at the base price.

13. The method of claim 10, wherein:

the second order is associated with a first price range;

the counterorder is associated with a second price range that intersects the first price range; and

executing the first trade according to a second ruleset comprises;

determining a midpoint price based at least in part on the intersection of the first and second price ranges; and

executing the first trade at the midpoint price.

14. The method of claim 10, wherein executing the first trade according to a second ruleset comprises executing the first trade at a price comprising a fractional pip value.

15. The method of claim 10, further comprising preventing trading between the first group of traders and the second group of traders.

16. The method of claim 10, further comprising:

disclosing, to the third group, orders associated with the second group; and

preventing disclosure, to the first group, of orders associated with the second group.

17. The method of claim 10, further comprising:

receiving a third order associated with the third group of traders; and

storing the third order in the first order book and in the second order book.

18. The method of claim 17, further comprising:

receiving a second counterorder that matches the third order; and

if the second counterorder is associated with the first group of traders;

executing a third trade associated with the third order and the second counterorder, wherein the third trade is executed according to the first ruleset; and

in conjunction with executing the third trade, deleting the third order from the second order book;

and

if the second counterorder is associated with the second group of traders;

executing a third trade associated with the third order and the second counterorder, wherein the third trade is executed according to the second ruleset; and

in conjunction with executing the third trade, deleting the third order from the first order book.