METHODS AND SYSTEMS FOR MATCHING BUY AND SELL ORDERS

• US 20120296795A1
• Filed: 05/20/2011
• Published: 11/22/2012
• Est. Priority Date: 05/20/2011
• Status: Abandoned Application

• Current Assignee: Citigroup Global Markets Incorporated (Citigroup Incorporated)
• Original Assignee: Citigroup Global Markets Incorporated (Citigroup Incorporated)
• Inventors: Greim, Hannes
• Application Number:
  US13/112,845
• Publication Number:
  US 20120296795A1
• 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

Methods and systems for matching buy and sell orders that maximize the number of shares matched while simultaneously providing an even allocation of shares regardless of when a given order is received, are provided herein. The methods and system utilize an optimization function to determine the optimized price point at which the maximum number of shares can be matched using such inputs as a set of buy and sell orders, market spread, and participant defined exclusion criteria. This optimized price point may then be used to select those buy and sell orders eligible for participation in the matching event. Shares are then evenly allocated between participants using, for example, a round-lot base allocation procedure. The methods and systems may also utilize an anti-gaming function that compresses multiple orders from a single participant into a single participant interest prior to allocating shares.

Claims

1. A method for matching buy and sell orders, comprising:

determining, using a microprocessor, an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders wherein each order defines at least a number of shares and an acceptable price range criteria;

selecting, with the microprocessor, executable buyer-side and seller-side orders for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point;

evenly allocating shares between the executable buyer-side and seller-side orders, using the microprocessor, by mapping available shares between the seller-side and buyer-side orders based on a round-lot base allocation; and

distributing, using the microprocessor, the allocated shares from the seller-side orders to the buyer-side orders.

2. The method of claim 1, wherein at least one buyer-side or seller-side order defines an exclusion criteria.

3. The method of claim 2, wherein the exclusion criteria can be a categorical exclusion or a specific exclusion.

4. The method of claim 3, wherein the categorical exclusion is based on a corporate profile or trading behavior.

5. The method of claim 4, wherein the specific exclusion is based on a specific counter party, and wherein the counter party can be identified directly or anonymously through a previous trading event.

6. The method of claim 2, wherein the exclusion criteria is utilized when evenly allocating shares between executable buyer-side and seller-side orders.

7. The method of claim 1, wherein determining an optimized price point requires a single pass or non-iterative process.

8. The method of claim 7, wherein determining an optimized price point comprises:

defining, using the microprocessor, a set of legitimate price points based on a given market and price granularity of a specific symbol;

generating, using the microprocessor, an array of available shares for each order at each price point that maps a size matrix to a given price point;

mapping, using the microprocessor, an aggregated volume of shares available to each buyer-side order and seller-side order based on the size matrices and an exclusion matrix;

normalizing, using the microprocessor, each mapping with respect to the relative number of buyer and seller inputs;

determining, using the microprocessor, a maximum number of shares that can be matched at each price point based on the mappings;

determining, using the microprocessor, the optimized price point by identifying the price point nearest a mid spread at which each maximum occurs.

9. The method of claim 1, wherein the method further comprises compressing multiple buyer-side and seller-side orders from the same participant into a single buyer-side interest or seller-side interest.

10. The method of claim 9, wherein distributing the mapped shares comprises reformatting the mapped buyer-side interest and seller-side interest to individual buyer-side and seller-side orders.

11. The method of claim 1, wherein the round-lot base allocation is determined at least in part from the cumulative shares available from a side with the greatest aggregate number of shares, and the number of participants on a side with the lesser aggregate number of shares.

12. The method of claim 1, wherein the base allocation is automatically recalculated as to any remaining unfilled orders as buyer-side or seller-side orders are met or exceeded by the base allocation.

13. The method of claim 1, wherein evenly allocating the shares follows a per capita distribution.

14. The method of claim 1, wherein evenly allocating shares between the executable buyer-side and seller-side orders comprises mapping available shares between the seller-side and buyer-side orders based on a round-lot base allocation using linear algebra functions.

15. The method of claim 1, wherein evenly allocating the share comprises:

selecting, using the microprocessor, an outer (M) loop and an inner (N) loop of orders based on which of the selected buyer-side orders or seller-side orders has a lesser or greater cumulative size, the outer (M) loop having the lesser cumulative size and the inner loop (N) having the greater cumulative size;

sorting, using the microprocessor, the outer loop (M) from largest to smallest order size, and sorting the inner loop (N) from the smallest to largest order size;

iterating, using the microprocessor, on the outer loop (M) from largest to smallest order on the outer loop (M) to match against orders on the inner loop (N) from smallest to largest order on the inner loop (N) using the round-lot base allocation to be distributed to each (N)-side participant;

iterating, using the microprocessor, on the inner loop (N) from the largest to smallest order on the inner loop (N), attempting to distribute the base allocation to each (N)-side participant; and

mapping, using the microprocessor, (M)-side-to-(N)-side matched shares.

16. The method of claim 15, wherein iterating on the outer loop (M) further comprises iterating on the outer loop (M) to match against orders on the inner loop (N) using a round-lot base allocation to be distributed to each (N)-side participant calculated according to the number of qualifying (N)-side participants.

17. The method of claim 15, wherein iterating on the outer loop (M) further comprises calculating the round-lot base allocation to be distributed to each (N)-side participant with at least a round-lot remaining based on the number of qualifying (N)-side participants.

18. The method of claim 15, wherein iterating on the inner loop (N) further comprises after filling an order of an (N)-side participant that is less than or equal to a current round-lot base allocation, recalculating the base allocation for all remaining qualifying (N)-side participants with at least a round-lot remaining.

19. The method of claim 18, wherein if there are shares remaining on the (M)-side orders, distributing any round-lots remaining to (N)-side participants based on how many extra round-lots have already been distributed to an (N)-side participant compared to extra round-lots distributed to the other (N)-side participants.

20. The method of claim 19, wherein if there are still shares remaining on the (M)-side orders, distributing any remaining odd-lots from the (M)-side orders, giving priority to (N)-side participants that have received less of the additional round-lot distributions in the preceding step and matching enough shares of the remaining odd-lot orders on the outer (M) loop to accumulate a round lot before moving on to the next (N)-side participant.

21. The method of claim 1, further comprising converting the (M)-side-to-(N)-side mapping of matched shares to a buy-to-sell order mapping of matched shares and outputting the buy-to-sell order mapping of matched shares.

22. A system for matching buy and sell orders, comprising:

a microprocessor couple to memory, wherein the processor is programmed for;

determining an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders, wherein each orders defines at least a number of shares and an acceptable price range criteria;

selecting participants for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point;

evenly allocating shares by mapping available seller-side shares to buyer-side orders based on a round-lot base allocation; and

distributing the mapped shares from the seller-side orders to the buyer-side orders.

23. A non-transitory computer-readable storage medium with an executable program for matching buy and sell orders stored thereon, wherein the program instructs a microprocessor to perform the following steps:

determining an optimized price point within a market spread that maximizes the number of shares matched for a matching event given a plurality of buyer-side and seller-side orders, wherein each order defines a number of shares and an acceptable price range criteria;

selecting participants for a matching event by filtering the plurality of buyer-side and seller-side orders to select those orders eligible to participate based on the optimized price point;

mapping shares by evenly allocating available seller-side shares to buyer-side orders based on a round-lot base allocation; and

distributing the mapped shares from the seller-side orders to the buyer-side orders.