PAIRS TRADING SYSTEM AND METHOD

• US 20140279356A1
• Filed: 02/26/2014
• Published: 09/18/2014
• Est. Priority Date: 03/13/2013
• Status: Active Application

• Current Assignee: NYSE Group, Inc. (Intercontinental Exchange, Inc.)
• Original Assignee: NYSE Group, Inc. (Intercontinental Exchange, Inc.)
• Inventors: Haller, Thomas F.
• Application Number:
  US14/191,152
• Publication Number:
  US 20140279356A1
• 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

A trading platform adapted for pairs trading of unrelated securities from one or more asset classes using a single order approach is provided.

Claims

1. A computer-implemented method of conducting a pairs trade, said method comprising:

presenting, by a programmed computer, a plurality of predefined pairs of unrelated securities;

receiving, by the programmed computer, a selection of a predefined pair from said plurality of predefined pairs for a pairs trade order, said predefined pair for said pairs trade order comprising a first leg and a second leg;

entering, by the programmed computer, said pairs trade order as a single order in an order book designated to receive orders for said predefined pair;

determining, by the programmed computer, whether order parameters associated with said first leg and said second leg have been met; and

executing, by the programmed computer, said pairs trade order when order parameters associated with said first leg and said second leg are both met.

2. The computer-implemented method of claim 1, wherein each security in said predefined pair is associated with a different asset class.

3. The computer-implemented method of claim 1, wherein said first leg and said second leg are each representative of one of the underlying securities in said predefined pair.

4. The computer-implemented method of claim 1, wherein said predefined pair is represented by a unique identifier.

5. The computer-implemented method of claim 1, wherein said pairs trade order is executed when order parameters associated with said first leg and said second leg are matched using orders in order books corresponding to each of the underlying securities represented in said pairs trade order.

6. The computer-implemented method of claim 1, wherein said pairs trade order is executed when order parameters associated with said first leg and said second leg are matched using other pairs trade orders received in said order book.

7. A computer system for conducting a pairs trade, comprising:

a memory component;

a processing component coupled to said memory component, wherein the processing component is configured to;

present a plurality of predefined pairs of unrelated securities;

receive a selection of a predefined pair from said plurality of predefined pairs for a pairs trade order, said predefined pair for said pairs trade order comprising a first leg and a second leg;

enter said pairs trade order as a single order in an order book designated to receive orders for said predefined pair;

determine whether order parameters associated with said first leg and said second leg have been met; and

execute said pairs trade order when order parameters associated with said first leg and said second leg are both met.

8. A computer-implemented method of pairing securities, said method comprising:

receiving, by a programmed computer, a request to pair at least two legs of unrelated securities, each security associated with a different asset class;

identifying, by a programmed computer, a first security from a first asset class associated with a first leg;

identifying, by a programmed computer, a second security from a second asset class associated with a second leg;

determining, by a programmed computer, whether said first leg and said second leg are tradable as a pair; and

creating, by a programmed computer, said requested pair of said unrelated securities, said created pair represented by a unique identifier.

9. The computer-implemented method of claim 8, wherein determining whether said first leg and said second leg are tradable as a pair takes into consideration whether there is sufficient liquidity in a market for said first leg and said second leg.

10. The computer-implemented method of claim 9, wherein determining whether said first leg and said second leg are tradable as a pair takes into consideration whether predefined criteria is met for establishing a relationship between said first leg and said second leg.

11. The computer-implemented method of claim 10, wherein said requested pair is created when there is both sufficient liquidity and said predefined criteria for establishing a relationship is met.

12. A computer system for pairing securities, comprising:

a memory component;

a processing component coupled to said memory component, wherein the processing component is configured to;

receive a request to pair at least two legs of unrelated securities, each security associated with a different asset class;

identify a first security from a first asset class associated with a first leg;

identify a second security from a second asset class associated with a second leg;

determine whether said first leg and said second leg are tradable as a pair; and

create said requested pair of said unrelated securities, said created pair represented by a unique identifier.