METHOD AND SYSTEM FOR TRADING FINANCIAL ASSETS

• US 20100325031A1
• Filed: 06/18/2010
• Published: 12/23/2010
• Est. Priority Date: 06/18/2009
• Status: Abandoned Application

• Current Assignee: Penson Worldwide, Inc.
• Original Assignee: Penson Worldwide, Inc.
• Inventors: KAHAN, MICHAEL ALAN, Ferguson, Ralph Bruce
• Application Number:
  US12/818,329
• Publication Number:
  US 20100325031A1
• 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

Abstract

Systems and methods for trading financial assets are disclosed. Financial assets may be traded by locally providing quotes for a financial asset in a foreign currency, locally receiving orders for the financial asset in the foreign currency, and locally filling the orders in the foreign currency. Hedged quotes for the financial assets may be developed for trading, in a first currency, financial assets priced in a second currency.

Claims

1. A method for trading financial assets on a computer system of a local trading platform in a currency foreign to the local trading platform, the method comprising:

a) providing, by the computer system of the local trading platform, quotes of the financial assets in the foreign currency;

b) receiving, by the computer system of the local trading platform, an order for one or more of the financial assets in the foreign currency; and

c) filling, by the computer system of the local trading platform, the order by matching the order in the foreign currency to one or more counterparty orders in the foreign currency.

2. The method according to claim 1, further comprising:

d) providing, by the computer system of the local trading platform, an indication of a status of the order, the status indicating that the order is filled if the order is matched to the one or more counterparty orders.

3. The method according to claim 2, wherein the step (d) is performed in the computer system, which is programmed to provide the indication of the status of the order.

4. The method according to claim 1, wherein the step (a) is performed by a quotes module, and the computer system of the local trading platform is programmed to provide the quotes of the financial assets in the foreign currency.

5. The method according to claim 1, wherein the step (b) is performed by an order module, and the computer system of the local trading platform is programmed to receive the order for one or more of the financial assets in the foreign currency.

6. The method according to claim 1, wherein the step (c) is performed by a market module, and the computer system of the local trading platform is programmed to fill the order by matching the order in the foreign currency to the one or more counterparty orders.

7. The method according to claim 1, further comprising:

(d) listing the financial assets priced in the foreign currency on the local trading platform.

8. The method according to claim 7, wherein the step (d) is performed by a listing module, and the computer system of the local trading platform is programmed to list the one or more financial assets on the local trading platform.

9. A method for trading, in a first currency, a financial asset priced in a second currency, the first currency different from the second currency, the method comprising:

a) receiving, in a computer system of a trading platform, at least one substantially real-time series of currency conversion quotes for converting between the first currency and the second currency;

b) determining, by the computer system of the trading platform, a hedged quote for the financial asset in the first currency by applying a currency conversion model to the at least one substantially real-time series of currency conversion quotes and a substantially real-time series of quotes for the financial asset priced in the second currency;

c) providing, by the computer system of the trading platform, the hedged quote in the first currency; and

d) receiving an order for the financial asset by the computer system of the trading platform, the order priced in the first currency.

10. The method according to claim 9, wherein the step (b) comprises:

b1) applying, by the computer system, the at least one substantially real-time series of currency conversion quotes to the currency conversion model to estimate a plurality of future currency conversion quotes, the currency conversion model adapted to estimate the plurality of future currency conversion quotes;

b2) determining, by the computer system, an offered conversion price for converting between the first and second currencies within a time window using the plurality of estimated future currency conversion quotes; and

b3) multiplying, by the computer system, a respective quote of the substantially real-time series of quotes for the financial asset by the offered conversion price to determine the hedged quote for the financial asset in the first currency.

11. The method according to claim 10, further comprising:

e) converting, by the computer system, the order for the financial asset priced in the first currency to an order for the financial asset priced in the second currency by applying the offered conversion price to the order priced in the first currency; and

f) identifying, by the computer system, a counterparty order priced in the second currency counter to the order for the financial asset priced in the second currency to fill the order for the financial asset priced in the first currency.

12. The method according to claim 11, wherein the step (f) comprises:

f1) identifying, by the computer system, one or more counterparty orders priced in the second currency counter to the order for the financial asset priced in the second currency; and

f2) filling, by the computer system, the order priced in the first currency by matching the order priced in the second currency to the one or more counterparty orders priced in the second currency.

13. The method according to claim 10, wherein the step (b2) further comprises:

b2a) executing, by the computer system, an algorithm that includes parameters for the plurality of future currency conversion quotes estimated in the step (b1) to determine a best estimated conversion price within the time window; and

b2b) adding, by the computer system, the best estimated conversion price to an associated trade fee to obtain the offered conversion price.

14. The method according to claim 10, wherein:

the step (b1) further comprises estimating, by the computer system, a plurality of risk values associated with the plurality of future currency conversion quotes; and

the step (b2) further comprises executing, by the computer system, an algorithm that includes parameters for the plurality of future currency conversion quotes estimated in the step (b1) and parameters for the plurality of risk values associated with the plurality of future currency conversion quotes to determine a best estimated conversion price within the time window.

15. The method according to claim 9, wherein the order for the financial asset priced in the first currency is a first order, the method further comprising:

e) receiving a second order for the financial asset, the second order priced in a third currency different from the first and second currencies;

f) converting the first order for the financial asset priced in the first currency to a first order for the financial asset priced in the second currency;

g) converting the second order for the financial asset priced in the third currency to a second order for the financial asset priced in the second currency; and

h) filling the first order priced in the first currency by matching the first order priced in the second currency to the second order priced in the second currency.

16. The method according to claim 9, wherein:

the step (b) comprises determining, with the computer system, a substantially real-time series of hedged quotes for the financial asset in the first currency by successively applying a respective one of the at least one substantially real-time series of currency conversion quotes and a respective one of the substantially real-time series of quotes for the financial asset priced in the second currency to the currency conversion model; and

the step (c) comprises providing the substantially real-time series of hedged quotes for the financial asset in the first currency.

17. The method according to claim 16, wherein the step (b) further comprises:

b1) applying, by the computer system, the at least one substantially real-time series of currency conversion quotes to the currency conversion model to estimate a plurality of future currency conversion quotes, the currency conversion model adapted to estimate the plurality of future currency conversion quotes;

b2) determining, by the computer system, a series of offered conversion prices for converting between the first and second currencies within a time window or time windows using the plurality of estimated future currency conversion quotes; and

b3) multiplying, by the computer system, a respective quote in the substantially real-time series of quotes for the financial asset by a respective conversion price in the series of offered conversion prices to determine the substantially real-time series of hedged quotes for the financial asset in the first currency.