METHOD FOR CUSTOMIZED MARKET DATA DISSEMINATION IN SUPPORT OF HIDDEN-BOOK ORDER PLACEMENT AND EXECUTION

• US 20120246055A1
• Filed: 06/05/2012
• Published: 09/27/2012
• Est. Priority Date: 08/12/2005
• Status: Abandoned Application

• Current Assignee: Boulder Capital Trading
• Original Assignee: Boulder Capital Trading
• Inventors: Schlifstein, Craig, David, Evan
• Application Number:
  US13/489,212
• Publication Number:
  US 20120246055A1
• 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

Abstract

Presented is a method that uses a system comprising a secure server to generate a customized market data stream for a client, according to the client'"'"'s current involvement in, for example, market making or in portfolio management. Some alerts are distributed to all clients, others are sent to those clients that have one or more qualifying open master orders on a particular symbol. Still other alerts signify that a contra order is present in the book maintained by the secure server. The alerts facilitate hidden-book order placement and execution.

Claims

1. A method for providing customized market data from a secure server in support of hidden-book order placement and execution, comprising:

completing an authentication sequence between the secure server and a plurality of clients;

accepting an order for an instrument in a market from a first authenticated client, the order having order parameters;

maintaining a current state of each accepted order in a memory of the secure server, the memory contents defining a book utilized by the secure server for generating market data for dissemination to the plurality of clients;

generating a price range, using the secure server, for each instrument M the market;

disseminating, using the secure server, the market data with the generated price range to the plurality of clients in response to each accepted order from the clients; and

distributing an alert to the clients in response to the acceptance of the order, wherein the alert has a classification as a function of whether the accepted order is within the generated price range and whether the accepted order has qualifying order parameters,

wherein specific attributes of the accepted orders in the book are maintained hidden by the secure server within the contents of the book.

2. The method of claim 1, wherein the distributing step distributes the alert having a first classification to each of the plurality of clients and distributes the alert having a second classification to only a portion of the plurality of clients having the qualifying order parameters on a side opposite to another accepted order in the book.

3. The method of claim 2, wherein the alert having the second classification is sent in place of the alert having the first classification.

4. The method of claim 3, including the additional steps of receiving at the secure server iterations of the accepted orders having the second classification.

5. The method of claim 4, including the additional steps of:

receiving at the secure server an iteration to the accepted order having the second classification, and,

in the event that a matching condition is created by the iteration with a contra order in the book, sending the just-iterated order and the matching contra order from the book to an electronic communication network (ECN) for execution.

6. The method of claim 1, including the additional steps of accepting a modified order for the instrument from the first authenticated client and updating the book.

7. The method of claim 6, including the additional step of disseminating market data after accepting the modified order.

8. The method of claim 1, wherein the alert classification includes a first alert mechanism which is distributed to each of the plurality of clients and a second alert mechanism which is distributed to only a portion of the plurality of clients having the qualifying order parameters on a side opposite to another accepted order in the book.

9. The method of claim 1, wherein the instrument is associated with a symbol.

10. The method of claim 1, wherein qualifying order parameters include a minimum share size.

11. The method of claim 1, wherein the alert is a color alert.

12. The method of claim 1, wherein the generated price range includes a buy order price and a sell order price and wherein a spread between the buy order price and the sell order price is widened as compared to a National Best Bid and Offer.

13. The method of claim 12, wherein the spread differs from the NBBO by an absolute amount.

14. The method of claim 12, wherein the spread differs from the NBBO by a relative amount.

15. The method of claim 12, wherein the secure server is configured to widen the spread for each instrument.

16. The method of claim 12, wherein each instrument in the market has the price range set individually based on criteria including one or more of:

volume traded and volatility measures.

17. The method of claim 1, wherein each accepted order is received through an interactive GUI with software of the client.