Pair trading system and method
First Claim
Patent Images
1. A computer-implemented method for fulfilling a pair trade request, said pair trade request performed by a financial institution having an order inventory, the method comprising the steps of:
- receiving a plurality of pair trade requests, comprising at least one pair trade request, wherein said pair trade request comprises a request to trade a first security, a request to trade a second security, and a request to trade said first security and said second security with a minimum spread limit, and wherein said first security and said second security each have a bid price and an ask price;
determining the bid/bid spread in the market of said first security and said second security;
determining the ask/ask spread in the market of said first security and said second security;
determining that the minimum spread limit of said pair trade request is met by a range of said bid/bid spread and said ask/ask spread;
executing a transaction between a first portion of the trade of said first security in said one pair trade request and at least one non-pair trade request in an external market, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; and
executing a transaction between one of a second portion of said trade of said first security in said one pair trade request or a first portion of the trade of said second security in said one pair trade request, and at least one non-pair trade request in said order inventory, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread;
wherein at least one of said steps is implemented with a computer.
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Abstract
A method is provided for fulfilling a pair trade request and includes the steps of receiving a plurality of pair trade requests; executing a transaction for a first portion of one of the plurality of pair trade requests and matching a second portion of the one of the plurality of pair trade requests against another of the plurality of pair trade requests.
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Citations
20 Claims
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1. A computer-implemented method for fulfilling a pair trade request, said pair trade request performed by a financial institution having an order inventory, the method comprising the steps of:
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receiving a plurality of pair trade requests, comprising at least one pair trade request, wherein said pair trade request comprises a request to trade a first security, a request to trade a second security, and a request to trade said first security and said second security with a minimum spread limit, and wherein said first security and said second security each have a bid price and an ask price; determining the bid/bid spread in the market of said first security and said second security; determining the ask/ask spread in the market of said first security and said second security; determining that the minimum spread limit of said pair trade request is met by a range of said bid/bid spread and said ask/ask spread; executing a transaction between a first portion of the trade of said first security in said one pair trade request and at least one non-pair trade request in an external market, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; and executing a transaction between one of a second portion of said trade of said first security in said one pair trade request or a first portion of the trade of said second security in said one pair trade request, and at least one non-pair trade request in said order inventory, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; wherein at least one of said steps is implemented with a computer. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A computer-implemented method for fulfilling a pair trade request, comprising the steps of:
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receiving a plurality of pair trade requests, comprising at least one pair trade request, wherein said pair trade request comprises a request to trade a first security, a request to trade a second security, and a request to trade said first security and said second security with a minimum spread limit, and wherein said first security and said second security each have a bid price and an ask price; determining the bid/bid spread in the market of said first security and said second security; determining the ask/ask spread in the market of said first security and said second security; determining that the minimum spread limit of said pair trade request is met by a range of said bid/bid spread and said ask/ask spread; executing a transaction between a first portion of the trade of said first security in said one pair trade request and at least a first non-pair trade request, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; executing a transaction between a first portion of the trade of said second security in said one pair trade request and at least a second non-pair trade request, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; and repeating the executing steps until the pair trade request is fulfilled; wherein at least one of said steps is implemented with a computer. - View Dependent Claims (15, 16, 17)
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18. A computer readable storage medium storing instructions for fulfilling a pair trade request that, when executed by a computer, cause the computer to:
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receive a plurality of pair trade requests, comprising at least one pair trade request, wherein said pair trade request comprises a request to trade a first security, a request to trade a second security, and a request to trade said first security and said second security with a minimum spread limit, and wherein said first security and said second security each have a bid price and an ask price; determine the bid/bid spread in the market of said first security and said second security; determine the ask/ask spread in the market of said first security and said second security; determine that the minimum spread limit of said pair trade request is met by a range of said bid/bid spread and said ask/ask spread; execute a transaction between a first portion of the trade of said first security in said one pair trade request and at least one non-pair trade request in an external market, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; and execute a transaction between one of a second portion of said trade of said first security in said one pair trade request or a first portion of the trade of said second security in said one pair trade request, and at least one non-pair trade request in said order inventory, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread.
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19. A computer readable storage medium storing instructions for fulfilling a pair trade request that, when executed by a computer, cause the computer to:
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receive a plurality of pair trade requests, comprising at least one pair trade request, wherein said pair trade request comprises a request to trade a first security, a request to trade a second security, and a request to trade said first security and said second security with a minimum spread limit, and wherein said first security and said second security each have a bid price and an ask price; determine the bid/bid spread in the market of said first security and said second security; determine the ask/ask spread in the market of said first security and said second security; determine that the minimum spread limit of said pair trade request is met by a range of said bid/bid spread and said ask/ask spread; execute a transaction between a first portion of the trade of said first security in said one pair trade request and at least a first non-pair trade request, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; execute a transaction between a first portion of the trade of said second security in said one pair trade request and at least a second non-pair trade request, provided that the minimum spread limit of said one pair trade request is met by said range of said bid/bid spread and said ask/ask spread; and repeat the executing steps until the pair trade request is fulfilled. - View Dependent Claims (20)
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Specification