Multiple protocol trading system

• US 20090276348A1
• Filed: 10/03/2005
• Published: 11/05/2009
• Est. Priority Date: 10/03/2005
• Status: Active Grant

• Current Assignee: Nex Services North America, LLC (CME Group Incorporated)
• Original Assignee: ICAP Services North America LLC (TP ICAP Plc)
• Inventors: Cleaves, Daniel, Kessler, Deborah
• Granted Patent: US 7,761,365 B2
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A multi-protocol trading system in which traders preferring different trading protocols may coexist within the same system, and access the same liquidity pool, while maintaining their trading rule preferences. The system supports two protocol preferences: a workup preference and a FIFO preference, and includes a single integrated order book that stores orders received from both workup and FIFO traders. Received orders are matched against orders in the order book in accordance with a FIFO and/or workup protocol, as a function of preferences selected by the traders and/or the system operator. Alternatively, the system includes a pair of order books, a workup order book and a FIFO order book. Customers submit linked orders having a workup leg and a FIFO leg which may be matched against the workup and/or FIFO order books, as a function of preferences selected by the traders and/or the system operator.

Claims

1. An electronic trading system that allows for trading of a financial instrument in accordance with a plurality of trading protocols, said system comprising:

a matching engine;

a first trader interface in communication with said matching engine wherein said first trader trades from within a pool of the financial instrument utilizing a workup protocol through said first trader interface; and

a second trader interface in communication with said matching engine wherein said second trader trades from within said pool of the financial instrument utilizing a FIFO protocol through said second trader interface.

2. The system of claim 1, wherein an order book is maintained for each of said plurality of trading protocols, said order books being physically or logically separated.

3. The system of claim 2, wherein said order books for each of said plurality of trading protocols are linked together and made available to users of any one trading protocol to form said pool of the financial instrument.

4. The system of claim 3, wherein a cancelled order in a first order book is automatically deleted from a second order book.

5. The system of claim 3, wherein a filled order in a first order book is automatically deleted from a second order book.

6. The system of claim 3, wherein a partial fill of an order in a first order book triggers the automatic decrease of an order in a second order book.

7. The system of claim 3, wherein said matching engine will first look within a first protocol order book to fill orders entered into said trading system by a trader utilizing said first protocol.

8. The system of claim 3, wherein said matching engine will look within a second protocol order book to fill orders not filled first within said first protocol order book.

9. The system of claim 1, wherein an integrated order book is maintained for said plurality of trading protocols.

10. The system of claim 1, wherein a transactable received order triggers a workup transaction if both the received order and a matching resting order specify a workup preference, and triggers a FIFO transaction otherwise.

11. The system of claim 1, wherein a transactable received order triggers a FIFO transaction if both the received order and a matching resting order specify a FIFO preference, and triggers a workup transaction otherwise.

12. The system of claim 1, wherein said matching engine is adapted to receive FIFO orders, workup orders and linked orders.

13. The system of claim 12, wherein FIFO orders are processed in accordance with a FIFO protocol.

14. The system of claim 12, wherein workup orders are processed in accordance with a workup protocol.

15. The system of claim 12, wherein said first or second trader interface transmits a linked order comprising two legs indicating a protocol and wherein the order of said legs in said linked order specifies a protocol preference for the linked order.

16. The system of claim 12, wherein the linked order is processed by determining first whether the linked order can be matched according to a FIFO protocol and, if any size of the linked order remains after exhausting FIFO-protocol matches, by determining whether the linked order can be matched according to a workup protocol.

17. The system of claim 12, wherein the linked order is processed by determining first whether the linked order can be matched according to a workup protocol and by determining, for any size of the linked order remaining after exhaustion of workup-protocol matches, whether the linked order can be matched according to a FIFO protocol.

18. The system of claim 12, wherein the linked order is processed according to a protocol preference specified by a system operator.

19. The system of claim 12, wherein when a workup is in progress, the linked order is processed by determining first whether the linked order can be matched according to a workup protocol and, if any size of the linked order remains after exhausting workup-protocol matches, by determining whether the linked order can be matched according to a FIFO protocol.

20. The system of claim 12, wherein when a workup is in progress, the linked order is processed by determining first whether the linked order can be matched according to a FIFO protocol and, if any size of the linked order remains after exhausting FIFO-protocol matches, by determining whether the linked order can be matched according to a workup protocol.

21. An interface to a central computer system for facilitating electronic trading of a financial instrument by a trader in accordance with a plurality of trading protocols, comprising:

a first display area for listing a first set of said financial instrument in accordance with said trader'"'"'s preferred trading protocol, said trading protocol being one of the workup protocol or a FIFO protocol, said first set of financial instrument being maintained with a first order book controlled by said central computer system; and

a second display area for listing a second set of said financial instrument in accordance with said trader'"'"'s alternative trading protocol, said trading protocol being the other of the workup protocol or the FIFO protocol, said second set of financial instrument being maintained with a second order book controlled by said central computer system;

said first order book and said second order book being physically or logically separated by said computer system and said first set of said financial instrument and said second set of said financial instrument comprising a pool of said financial instrument.

22. The interface of claim 21, wherein a trader using any one of said plurality of trading protocols can use either said first display or said second display to trade any one of said financial instrument.

23. The interface of claim 21, wherein said trader may configure said first display area or said second display area to display information based on a workup protocol, a FIFO protocol, or both protocols.

24. The interface of claim 21, wherein said first display area is configured according to a workup protocol and wherein said first display area provides a signal to said trader when an order enters a private phase of said workup protocol.

25. The interface of claim 21, wherein said first display area is configured according to a workup protocol and wherein said first display area provides a signal to said trader when an order is executed under a FIFO protocol that exceeds an original order size.

26. A method for facilitating electronic trading of a financial instrument by a trader in accordance with a plurality of trading protocols, comprising:

receiving an order to buy or sell a quantity of said financial instruments via a first display area for listing a first set of said financial instrument in accordance with said trader'"'"'s preferred trading protocol, said trading protocol being one of the workup protocol or a FIFO protocol, said first set of financial instrument being maintained with a first order book controlled by said central computer system; and

receiving an order to buy or sell a quantity of said financial instruments via a second display area for listing a second set of said financial instrument in accordance with said trader'"'"'s alternative trading protocol, said trading protocol being the other of the workup protocol or the FIFO protocol, said second set of financial instrument being maintained with a second order book controlled by said central computer system;

said first order book and said second order book being physically or logically separated by said computer system and said first set of said financial instrument and said second set of said financial instrument comprising a pool of said financial instrument.

27. The method of claim 26, wherein a trader using any one of said plurality of trading protocols can use either said first display or said second display to trade any one of said financial instrument.

28. The method of claim 26, wherein said trader may configure said first display area or said second display area to display information based on a workup protocol, a FIFO protocol, or both protocols.

29. The method of claim 26, wherein said first display area is configured according to a workup protocol and wherein said first display area provides a signal to said trader when an order enters a private phase of said workup protocol.

30. The method of claim 26, wherein said first display area is configured according to a workup protocol and wherein said first display area provides a signal to said trader when an order is executed under a FIFO protocol that exceeds an original order size.