Dynamic Tick Size Order Aggregator

• US 20140316961A1
• Filed: 04/23/2013
• Published: 10/23/2014
• Est. Priority Date: 04/23/2013
• Status: Active Application

• Current Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Original Assignee: Chicago Mercantile Exchange, Inc. (CME Group Incorporated)
• Inventors: Boudreault, James, Sturm, Frederick, Labuszewski, John, Grombacher, Daniel, Co, Richard
• Application Number:
  US13/868,781
• Publication Number:
  US 20140316961A1
• 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 are provided for dynamically adjusting a bid ask spread while maintaining a fixed trading increment. Various criteria may be analyzed to determine if a bid ask spread meets the desired criteria. When the criteria is not met, the bid ask spread may be adjusted by aggregating orders. Aggregation may include raising a price of the lowest ask prices and/or lowering a price of the highest bid orders.

Claims

1. A method comprising:

(a) determining a minimum bid ask spread for a financial instrument having a fixed trading increment; and

(b) by a processor dynamically adjusting the minimum bid ask spread to meet a predetermined criteria while not adjusting a trading increment.

2. The method of claim 1, wherein (b) comprises aggregating resting and incoming orders at a price level.

3. The method of claim 2, wherein (b) comprises reducing a price of at least one bid order.

4. The method of claim 3, wherein (b) comprises increasing a price of at least one ask order.

5. The method of claim 2, further comprising:

(c) at a processor matching orders for the financial instrument.

6. The method of claim 5, wherein (c) comprises giving priority to orders that had a price change in (b).

7. The method of claim 1, wherein the predetermined criteria comprises a minimum order quantity for orders at a highest bid price or lowest ask price.

8. The method of claim 1, wherein the predetermined criteria comprises implied volatility of the financial instrument.

9. The method of claim 1, wherein the predetermined criteria comprises realized volatility of the financial instrument.

10. The method of claim 1, wherein the predetermined criteria comprises volatility of an underlying financial instrument.

11. The method of claim 1, wherein the predetermined criteria comprises a volume of trades of the financial instrument during a time period or the level of open interest during a time period.

12. A financial instrument trading system comprising:

a processor;

a tangible computer readable medium could be processor and containing computer-executable instructions that when executed cause the processor to perform the steps comprising;

(a) maintaining an initial minimum bid ask spread for a financial instrument having a fixed trading increment; and

(b) dynamically adjusting the minimum bid ask spread to meet a predetermined criteria while not adjusting a trading increment.

13. The financial instrument trading system of claim 12, wherein (b) comprises aggregating resting and incoming orders at a price level.

14. The financial instrument trading system of claim 13, wherein (b) comprises reducing a price of at least one bid order.

15. The financial instrument trading system of claim 14, wherein (b) comprises increasing a price of at least one ask order.

16. The financial instrument trading system of claim 13, further comprising:

(c) matching orders for the financial instrument.

17. The financial instrument trading system of claim 16, wherein (c) comprises giving priority to orders that had a price change in (b).

18. A non-transitory computer-readable medium containing computer-executable instructions that when executed cause a processor to perform the steps comprising:

(a) maintaining an initial minimum bid ask spread for a financial instrument having a fixed trading increment; and

(b) dynamically adjusting the minimum bid ask spread to meet a predetermined criteria while not adjusting a trading increment.

19. The non-transitory computer-readable medium of claim 18, wherein (b) comprises aggregating resting and incoming orders at a price level.

20. The non-transitory computer-readable medium of claim 19, wherein (b) comprises reducing a price of at least one bid order.

21. A method comprising:

(a) determining a minimum bid ask spread for a financial instrument having a fixed trading increment;

(b) by a processor dynamically adjusting the minimum bid ask spread to meet a predetermined criteria; and

(c) by a processor dynamically adjusting a minimum trading increment to meet a predetermined criteria.