Confidential Block Trading System And Method

• US 20100121759A1
• Filed: 01/22/2010
• Published: 05/13/2010
• Est. Priority Date: 06/01/2000
• Status: Active Grant

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: Aritas Group, Inc.
• Inventors: Federspiel, Fred J., Waelbroeck, Henri, Lopez, John E.
• Granted Patent: US 8,635,144 B2
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Methods and systems for facilitating trading of securities, preferred methods comprising receiving a first buy or sell order from a first user; calculating a block price range; determining that said first order is reasonably priced; transmitting to a second user a notification that a reasonably priced order is present, but without notifying said second user of the side; receiving a second order from said second user, wherein said second order is a contra to said first order and nearly matches but does not cross said first order; transmitting a contra order notification to said second user after said second order is received, said contra order notification indicating that a nearly matching contra order is active; receiving a third order from said second user, said third order being a contra to said first order and crossing said first order; and executing a trade comprising said first order and said third order.

Claims

1. A method for facilitating trading of securities over a computer system, comprising the steps of:

electronically receiving a first buy or sell order for a security from a first user;

calculating a block price range for said security, said block price range having an upper end and a lower end;

determining that said first order has a price that is reasonably priced, said price comprising;

for a sell order, said price is equal to or lower that said upper end of said block price range, or

for a buy order, said price is equal to or higher than said lower end of said block price range;

transmitting to a second user an electronic notification that a reasonably priced order for said security is present, but without notifying said second user of the side of the order;

receiving a second order from said second user, wherein said second order is a contra to said first order and said second order nearly matches but does not cross said first order;

transmitting an electronic contra order notification to said second user after said second order is received, said contra order notification indicating that a nearly matching contra order is active within the system;

receiving a third order from said second user, said third order being a contra to said first order and crossing said first order; and

executing a trade comprising said first order and said third order.

2. A method as in claim 1, wherein said second user receives said contra order notification only after a predetermined time period has lapsed after said second order is received.

3. A method as in claim 1, wherein said second user receives said contra order notification immediately after said second order is received.

4. A method as in claim 1, wherein said step of calculating a block price range is based on recent or current market prices.

5. A method as in claim 1, wherein said step of calculating a block price range is based on recent volatility in said security.

6. A method as in claim 1, wherein said step of calculating a block price range comprises predicting a price range likely to occur within a first predetermined time period.

7. A method as in claim 6, wherein said block price range is recalculated at intervals of time approximately equal to said first predetermined time period.

8. An electronic system for facilitating securities trading, comprising:

a processor that receives a first buy or sell order from a first user;

a processor that calculates a block price range for said security, said block price range having an upper end and a lower end;

a processor that determines whether said first order has a price that is reasonably priced, said price comprising;

for a sell order, said price is equal to or lower that said upper end of said block price range, or

for a buy order, said price is equal to or higher than said lower end of said block price range;

a processor that transmits to a second user an electronic notification that a reasonably priced order for said security is present, but without notifying said second user of the side of the order;

a processor that receives a second order from said second user, wherein said second order is a contra to said first order and said second order nearly matches but does not cross said first order;

a processor that transmits an electronic contra order notification to said second user after said second order is received, said contra order notification indicating that a nearly matching contra order is active within the system;

a processor that receives a third order from said second user, said third order being a contra to said first order and crossing said first order; and

a processor that executes a trade comprising said first order and said third order

wherein said processors may all be the same processor or may be two or more different processors.

9. A system as in claim 8, wherein said second user receives said contra order notification only after a predetermined time period has lapsed after said second order is received.

10. A system as in claim 8, wherein said second user receives said contra order notification immediately after said second order is received.

11. A system as in claim 8, wherein said step of calculating a block price range is based on recent or current market prices.

12. A system as in claim 8, wherein said step of calculating a block price range is based on recent volatility in said security.

13. A system as in claim 8, wherein said step of calculating a block price range comprises predicting a price range likely to occur within a first predetermined time period.

14. A system as in claim 13, wherein said block price range is recalculated at intervals of time approximately equal to said first predetermined time period.