METHOD AND APPARATUS FOR PRICING TRADE ORDERS TO ONE SIDE OF A MARKET CENTER ORDER BOOK
First Claim
1. A method for pricing and placing a collection of one or more trade orders for a financial instrument to one side of a market center order book, the method comprising:
- receiving an instruction to price said collection of one or more trade orders to one side of a market center order book, wherein said collection is characterized by;
a Target Execution Price representing the least favorable price acceptable for all trade orders of the collection;
a TotalOrderQty representing the total quantity of financial instrument units to be traded;
a BookDepth representing the total number of consecutive price levels, beginning at the Target Execution Price, at which trade orders of the collection are to be submitted;
a MaxShow representing the maximum quantity to be shown on the order book at each level of the BookDepth;
a FilledQty representing the aggregate amount of the TotalOrderQty confirmed as being filled;
a RemainingQty representing the difference between the TotalOrderQty and the FilledQty;
a LevelQty representing a total of the quantity accounted for at the current price level;
a DesiredQty representing the lesser of MaxShow and RemainingQty minus MaxShow multiplied by the number of price levels away from the Target Execution Price;
a PendingQty representing the maximum amount of the TotalOrderQty that has not been filled but could potentially get filled at any time, and includes the quantity of any trade orders of the collection for which a Cancel order is pending, and in the event In-flight Fill Messaging (IFM) is not available from the market center, further includes both the new and old quantity of any trade order of the collection re-priced via a Cancel and Replace (CXR) order less one; and
an AvailableQty representing RemainingQty minus PendingQty;
in response to said instruction;
cancelling all “
too close”
trade orders of the collection resting at a price level that is closer to the current market price than the Target Execution Price;
removing all “
too far”
trade orders of the collection resting at a price level that is farther from the Target Execution Price than the BookDepth; and
adjusting the total quantity of financial instrument units at each price level of the BookDepth, as needed, so that the total quantity at each price level of the BookDepth is no greater than DesiredQty.
1 Assignment
0 Petitions
Accused Products
Abstract
A collection of one or more trade orders for a financial instrument is priced or re-priced to one side of a market center order book based on a target execution price (representing the least favorable price acceptable for all trade orders of the collection), a book depth (representing the collection'"'"'s book depth), a total order quantity (representing the total quantity of financial instrument units to be traded), and a maxshow (representing the maximum quantity to be shown on the order book at each price level of the book depth). Any existing orders of the collection that are too close to the current market price or too far from the target execution price are canceled or CXR'"'"'d, starting with the closest price level to the current market price for “too close” trade orders and the farthest price level from the Target Execution Price for “too far” trade orders. The oldest of any “too-close” trade orders resting at the same price level are cancelled first in order to maximize queue priority and obtain favorable fill prices, and the newest of any “too-far” trade orders resting at the same price level are cancelled first in order to maximize the likelihood of getting the older orders (which have a higher queue priority) filled at the more favorable too-far price. At each price level of the book depth, the quantity of financial instrument units represented by trade orders of the collection is adjusted as necessary to prevent overfilling the total order quantity.
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Citations
35 Claims
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1. A method for pricing and placing a collection of one or more trade orders for a financial instrument to one side of a market center order book, the method comprising:
receiving an instruction to price said collection of one or more trade orders to one side of a market center order book, wherein said collection is characterized by; a Target Execution Price representing the least favorable price acceptable for all trade orders of the collection; a TotalOrderQty representing the total quantity of financial instrument units to be traded; a BookDepth representing the total number of consecutive price levels, beginning at the Target Execution Price, at which trade orders of the collection are to be submitted; a MaxShow representing the maximum quantity to be shown on the order book at each level of the BookDepth; a FilledQty representing the aggregate amount of the TotalOrderQty confirmed as being filled; a RemainingQty representing the difference between the TotalOrderQty and the FilledQty; a LevelQty representing a total of the quantity accounted for at the current price level; a DesiredQty representing the lesser of MaxShow and RemainingQty minus MaxShow multiplied by the number of price levels away from the Target Execution Price; a PendingQty representing the maximum amount of the TotalOrderQty that has not been filled but could potentially get filled at any time, and includes the quantity of any trade orders of the collection for which a Cancel order is pending, and in the event In-flight Fill Messaging (IFM) is not available from the market center, further includes both the new and old quantity of any trade order of the collection re-priced via a Cancel and Replace (CXR) order less one; and an AvailableQty representing RemainingQty minus PendingQty;
in response to said instruction;cancelling all “
too close”
trade orders of the collection resting at a price level that is closer to the current market price than the Target Execution Price;removing all “
too far”
trade orders of the collection resting at a price level that is farther from the Target Execution Price than the BookDepth; andadjusting the total quantity of financial instrument units at each price level of the BookDepth, as needed, so that the total quantity at each price level of the BookDepth is no greater than DesiredQty. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14)
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15. A method for acquiring a position in a financial instrument by pricing and placing a collection of one or more trade orders for the financial instrument to one side of a market center order book, the method comprising:
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submitting a collection of one or more trade orders for a financial instrument to a market center, each of said one or more trade orders being submitted to one side of the market center order book, wherein said collection is characterized by; a Target Execution Price representing the least favorable price acceptable for all trade orders of the collection; a TotalOrderQty representing the total quantity of financial instrument units to be traded; a BookDepth representing the total number of consecutive price levels, beginning at the Target Execution Price, at which trade orders of the collection are to be submitted; a MaxShow representing the maximum quantity to be shown on the order book at each level of the BookDepth; a FilledQty representing the aggregate amount of the TotalOrderQty confirmed as being filled; a RemainingQty representing the difference between the TotalOrderQty and the FilledQty; a LevelQty representing a total of the quantity accounted for at the current price level; a DesiredQty representing the lesser of MaxShow and RemainingQty minus MaxShow multiplied by the number of price levels away from the Target Execution Price; a PendingQty representing the maximum amount of the TotalOrderQty that has not been filled but could potentially get filled at any time, and includes the quantity of any trade orders of the collection for which a Cancel order is pending, and in the event In-flight Fill Messaging (IFM) is not available from the market center, further includes both the new and old quantity of any trade order of the collection re-priced via a Cancel and Replace (CXR) order less one; and an AvailableQty representing RemainingQty minus PendingQty; if RemainingQty is greater than zero, receiving an instruction to re-price said collection of one or more trade orders to a new Target Execution Price; in response to said instruction; cancelling all “
too close”
trade orders of the collection resting at a price level that is closer to the current market price than the new Target Execution Price;removing all “
too far”
trade orders of the collection resting at a price level that is farther from the new Target Execution Price than the BookDepth;adjusting the total quantity of financial instrument units at each price level of the BookDepth, as needed, so that the total quantity at each price level of the BookDepth is no greater than DesiredQty; and repeating said receiving step, said cancelling steps, and said adjusting step until FilledQty equals TotalOrderQty or until the collection is cancelled. - View Dependent Claims (16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27)
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28. An apparatus for pricing and placing a collection of one or more trade orders for a financial instrument to one side of a market center order book, the apparatus comprising:
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a graphical user display device; a user input device; a communication network for electronically communicating with one or more electronic market centers; and a programmable electronic processing device in communication with the display device, user input device, and communication network, the electronic processing device being programmed to take the following actions in response to input received from the user input device; submit a collection of one or more trade orders for a financial instrument to a market center, each of said one or more trade orders being submitted to one side of the market center order book, wherein said collection is characterized by; a Target Execution Price representing the least favorable price acceptable for all trade orders of the collection; a TotalOrderQty representing the total quantity of financial instrument units to be traded; a BookDepth representing the total number of consecutive price levels, beginning at the Target Execution Price, at which trade orders of the collection are to be submitted; a MaxShow representing the maximum quantity to be shown on the order book at each level of the BookDepth; a FilledQty representing the aggregate amount of the TotalOrderQty confirmed as being filled; a RemainingQty representing the difference between the TotalOrderQty and the FilledQty; a LevelQty representing a total of the quantity accounted for at the current price level; a DesiredQty representing the lesser of MaxShow and RemainingQty minus MaxShow multiplied by the number of price levels away from the Target Execution Price; a PendingQty representing the maximum amount of the TotalOrderQty that has not been filled but could potentially get filled at any time, and includes the quantity of any trade orders of the collection for which a Cancel order is pending, and in the event In-flight Fill Messaging (IFM) is not available from the market center, further includes both the new and old quantity of any trade order of the collection re-priced via a Cancel and Replace (CXR) order less one; and an AvailableQty representing RemainingQty minus PendingQty; cancel all “
too close”
trade orders of the collection resting at a price level that is closer to the current market price than the Target Execution Price;remove all “
too far”
trade orders of the collection resting at a price level that is farther from the Target Execution Price than the BookDepth; andadjust the total quantity of financial instrument units at each price level of the BookDepth, as needed, so that the total quantity at each price level of the BookDepth is no greater than DesiredQty. - View Dependent Claims (29, 30, 31, 32, 33, 34, 35)
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Specification