No title available

• US 3,581,072 A
• Filed:
• Issued:
• Est. Priority Date: 03/28/1968
• Status: Expired due to Term

• Current Assignee: N/A
• Original Assignee: N/A
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0283 Price estimation or determination
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G07C 11/00 Arrangements, systems or apparatus for checking, e.g. the occurrence of a condition, not provided for elsewhere

Abstract

A special purpose digital computer matches orders and establishes market prices in an auction market for fungible goods. Priced orders to buy are arranged in descending order by price and priced orders to sell are arranged in ascending order by price within each price range, all orders are arranged in descending order by time of placement so that the older orders are uppermost. All compatibly priced orders are then matched starting with the highest priced order to buy and the lowest priced order to sell and proceeding sequentially until all compatibly priced pairs of orders have been matched. The prices accompanying the last pair of orders to be matched are then used to establish a trading price for all of the matched pairs and a new market price for future transactions. Unpriced or '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders are assigned prices based upon the market price, unless the market price is substantially below the prices of all priced buy orders or substantially above the price of all priced sell orders, in which case the unpriced orders are not assigned prices until a new market price has been established.

Claims

1. A computation system for establishing prices for a given kind of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell, and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a closing price store, coupled to said main data store, for recording the last selling price for said goods;

a buy order sequencing device for arranging and recording buy orders in descending order by price;

a sell order sequencing device for arranging and recording sell orders in ascending order by price;

control means coupling said main data store to said sequencing devices to transfer said data items from said main data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at a price determined by the last selling price for the goods; and

a comparator, coupled to said sequencing devices, for comparing the sell orders and buy orders recorded therein to determine the lowest compatible pair of buy and sell orders, by price, and thereby establish a new selling price for the goods.

2. A computation system for establishing exchange prices for a given kind of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell, and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a buy order sequencing device for arranging and recording buy orders in descending order by price and within each price level by time so that at each price level the oldest orders are uppermost;

a sell order sequencing device for arranging and recording sell orders in ascending order by price and within each price level in descending order by time so that at each price level the oldest orders are uppermost;

a closing price store, coupled to said main data store, for recording the last selling price for sAid goods;

control means coupling said main data store to said sequencing devices to transfer said data items from said main data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' buy orders at said last selling price plus a minimum price increment and said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' sell orders at said last selling price less a minimum price increment; and

a comparator, coupled to said sequencing devices, for comparing the sell orders and buy orders recorded therein to determine the lowest compatible pair of buy and sell orders, by price, to establish a new selling price for the goods.

3. A special-purpose auction market computer for establishing price for a given kind of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell, and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders, each recorded data item including data representative of the time of entry of the order;

a buy order sequencing device for arranging and recording buy orders in descending order by price and within each price level by time so that at each price level the oldest orders are uppermost;

a sell order sequencing device for arranging and recording sell orders in ascending order by price and within each price level in descending order by time so that at each price level the oldest orders are uppermost;

a closing price store, having an output connected to said main data store, for recording the last selling price for said goods;

control means, connecting said main data store to both of said sequencing devices, for transferring said data items from said main data store to said sequencing devices, said control means including means for transferring said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at a price determined by the last selling price for the goods as stored in said closing price store;

a comparator having two inputs, one connected to each of said sequencing devices, for comparing the sell orders and buy order recorded in said sequencing devices to determine the lowest compatible pair of buy and sell orders, by price, and thereby establish a new selling price for the goods;

said comparator being connected to said closing price store to record said new selling price therein for use in a subsequent price determination; and

output means, connected to said comparator, for recording all buy and sell orders above said lowest compatible pair to thereby record all sales transactions completable at said new selling price.

4. A special-purpose auction market computer according to claim 3, and further comprising inhibiting means, having inputs connected to said main data store and to said control means, actuating said control means to inhibit transfer of any '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders to said sequencing devices whenever there are no specific price orders, of either kind, substantially corresponding to said last selling price.

5. A computation system for establishing prices for a given kind of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell, and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a buy order sequencing device for arranging and recording buy orders in descending order by price;

a sell order sequencing device for arranging and recording sell orders in ascending order by price;

a closing price store for recording the last selling price for said goods;

control means coupling said main data store and said closing price store to said sequencing devices to transfer said data items from said main data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at a price determined by the last selling price for the goods;

inhibiting means, coupled to said control means, for iNhibiting transfer of '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders to said sequencing devices whenever there are few or no specific price orders of either kind, substantially corresponding to said last selling price; and

a comparator, coupled to said sequencing devices, for comparing the sell orders and buy orders recorded therein to determine the lowest compatible pair of buy and sell orders, by price, and thereby establish a new selling price for the goods.

6. A computation system for establishing prices for a given kind of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a buy order sequencing device for arranging and recording buy orders in descending order by price;

a sell order sequencing device for arranging and recording sell orders in ascending order by price;

a closing price store for recording the last selling price for said goods;

control means coupling said main data store and said closing price store to said sequencing devices to transfer said data items from said data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at a price determined by said last selling price;

a market comparator, coupled to said main data store and to said closing price store, for comparing specific price buy and sell orders with said last selling price;

means, included in said control means, for inhibiting transfer of '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders to said sequencing devices whenever said last selling price is substantially smaller than the prices of all or most specific price buy orders and whenever said last selling price substantially exceeds the prices of all or most specific price sell orders; and

a price comparator, coupled to said sequencing devices, for comparing the sell orders and buy orders recorded therein to determine the lowest buy order, by price, that is equal to or greater than a recorded sell order.

7. A computation system for establishing prices for a given kind of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a buy order sequencing device for arranging and recording buy orders in descending order by price and within each price level by time so that at each price level the oldest orders are uppermost;

a sell order sequencing device for arranging and recording sell orders in ascending order by price and within each price level in descending order by time so that at each price level the oldest orders are uppermost;

a closing price store, coupled to said main store, for recording the last selling price for said goods;

control means coupling said main data store to said sequencing devices to transfer said data items from said data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' buy and sell orders at prices incrementally larger and smaller, respectively, then said last selling price;

a market comparator, coupled to said main data store and to said closing price store, for comparing specific price buy and sell orders with said last selling price;

means, included in said control means, for inhibiting transfer of '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders to said sequencing devices whenever said last selling price is smaller than the prices of all or most specific price buy orders by a given price increment and whenever said last selling price exceeds the price of all or most specific price sell orders by a given price increment; and

a price comparator, coupled to said sequencing devices, for comparing the sell orders and buy orders recorded therein to determine the lowest buy order, by price, that is equal to or greater than a reCorded sell order.

8. A computation system for establishing prices for a given kind of fungible goods, in an auction market, comprising:

data storing means for storing data representing buy orders for the goods and for storing data representing sell orders for the goods;

order entering means for entering data representative of individual buy and sell orders, including price information, in said data storing means;

comparing means for sequentially examining and comparing the prices of buy and sell orders recorded in said data storing means, by pairs, taking the buy and sell orders in descending and ascending order by price respectively; and

means, controlled by said comparing means, for selecting the price at which the goods are to be sold and for selecting the pairs of said buy and sell orders to be executed.

9. A computation system for establishing prices for a given kind of fungible goods, in an auction market, comprising:

data storing means for storing data representing buy orders for the goods and for storing data representing sell orders for the goods, said buy and sell orders including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

order entering means for entering data representative of individual buy and sell orders, including price information, in said data storing means;

means including a closing price store for recording the last selling price for the goods, for entering '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at a price value determined by the last selling price for the goods;

comparing means for sequentially examining and comparing the prices of buy and sell orders recorded in said data storing means, by pairs, taking the buy and sell orders in descending and ascending order by price respectively;

'"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders being accorded a price value determined by the last selling price for the goods; and

means, controlled by said comparing means, for selecting the lowest compatible pair of buy and sell orders, by price, to establish the price at which the goods are to be sold.

10. A computation system for establishing prices for a plurality of different kinds of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell, and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a closing price store for recording the last selling prices for said goods;

a goods type sequencing device for forming groups of order relating to the same type of fungible goods;

a buy order sequencing device for arranging and recording buy orders within each group in descending order by price;

a sell order sequencing device for arranging and recording sell orders within each group in ascending order by price;

control means coupling said main data store to said closing price store and to said sequencing devices to transfer said data items from said main data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at a price determined by the last selling price for the goods; and

a comparator, coupled to said buy and sell sequencing devices, for comparing the sell orders and buy orders within each group to determine the lowest compatible pairs of buy and sell orders, by price, and thereby establish new selling prices for the goods.

11. A computation system as in claim 10 wherein said buy and sell sequencing devices arrange equal priced orders in descending order by time of receipt.

12. A computation system as in claim 10 wherein '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' buy orders are transferred at said last selling price plus a minimum price increment and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' sell orders are transferred at last selling price less a minimum price increment.

13. A computation system as in claim 10 and including:

inhibiting means, coupled to said control means, for inhibiting transfer of '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders within a group To said buy and sell sequencing devices whenever there are few or no specific price orders of either kind within that group, substantially corresponding in price to the last selling price for goods within that group.

14. A computation system as in claim 10 and including:

a market comparator, coupled to said main data store and to said closing price store, for comparing specific price buy and sell orders within a group to the last selling price of the goods within that group; and

means, included in said control means, for inhibiting transfer of '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders within a group to said buy and sell sequencing devices whenever the last selling price of goods within the group is substantially smaller than the prices of all or most specific price buy orders within the group and whenever said last selling price of goods within the group substantially exceeds the prices of all or most specific price sell orders within the group.

15. A computation system for establishing prices for a plurality of differing kinds of fungible goods, in an auction market, comprising:

a main data store for recording encoded data items representative of individual orders to buy and sell and including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

a goods type sequencing device for forming groups of orders relating to the same type of fungible goods;

a buy order sequencing device for arranging and recording buy orders in descending order by price and within each price level by time so that at each price level the oldest orders are uppermost;

a sell order sequencing device for arranging and recording sell orders in ascending order by price and within each price level in descending order by time so that at each price level the oldest orders are uppermost;

a closing price store for recording the last selling price for said goods;

control means coupling said main data store to said closing price store and to said sequencing devices to transfer said data items from said data store to said sequencing devices, said control means including means for transferring each of said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' buy and sell orders at prices incrementally larger and smaller, respectively, than said last selling price;

a market comparator, coupled to said main data store and to said closing price store, for comparing specific price buy and sell orders within a group to the last selling price of goods within that group;

means included in said control means, for inhibiting transfer of '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders within a group to said sequencing devices whenever the last selling price of goods within the group is smaller than the prices of all or most specific price buy orders within the group by a given price increment and whenever said last selling price of goods within the group exceeds the price of all or most specific price sell orders within the group by a given price increment; and

a price comparator, coupled to said buy and sell sequencing devices, for comparing the sell orders and buy orders within each group to determine the lowest buy order, by price, within the group that is equal to or greater than a recorded sell order.

16. A computation system for establishing prices for a plurality of different kinds of fungible goods, in an auction market, comprising:

data storing means for storing data representing buy orders for the goods and for storing data representing sell orders for the goods;

order entering means for entering data representative of individual buy and sell orders, including price information, in said data storing means;

comparing means for sequentially examining and comparing the prices of buy and sell orders relating to the same type of goods and recorded in said data storing means, by pairs, taking the buy and sell orders in descending and ascending order by price respectively; and

means, controlled by said comparing means, for selecting the prices at which each type of goods are to be sold and for selecting thE pairs of said buy and sell orders to be executed.

17. A computation system for establishing prices for a plurality of different kinds of fungible goods, in an auction market, comprising:

data storing means for storing data representing buy orders for the goods and for storing data representing sell orders for the goods, said buy and sell orders including specific price orders and '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

order entering means for entering data representative of individual buy and sell orders, including price information, in said data storing means;

means, including a closing price store for recording the last selling prices for the goods, for entering '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders at price values determined by the last selling prices for the goods;

comparing means for sequentially examining and comparing the prices of buy and sell orders relating to the same type of goods and recorded in said data storing means, by pairs, taking the buy and sell orders in descending and ascending order respectively by price;

'"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders being accorded a price value determined by the last selling prices for the goods; and

means, controlled by said comparing means, for selecting the lowest compatible pairs of buy and sell orders, by price, to establish the prices at which the goods are to be sold.

18. A machine implementable method for matching orders in an auction market that includes a data processor and a plurality of data input stations at which machine-readable orders to buy or to sell a plurality of differing types of fungible goods may be placed, said orders being accompanied by a trading price or else being assigned a trading price that is based upon an established market price, said method comprising the steps of:

collecting the orders as they are placed in data storage areas of the data processor;

using one or more storage areas of the data processor;

to separate the orders relating to different types of fungible goods into separate groups;

within each group, to separate the buy orders from the sell orders;

within each group of buy orders or sell orders, to arrange the orders sequentially by price with the buy orders arranged in descending order by price and with the sell orders arranged in ascending order of price; and

within an ordered group of buy and sell orders, to arrange identically priced orders in descending order by time so that the oldest orders are uppermost; and

sequentially matching all of the buy orders and all of the sell orders within each group that can be compatibly matched, starting by first matching the highest priced buy order to the lowest priced sell order, and by then proceeding sequentially through the remaining buy orders and sell orders at rates that maintain equality at all times between the quantity of goods represented by matched orders to buy and the quantity of goods represented by matched orders to sell;

breaking orders into a plurality of parts when necessary to maintain this equality; and

checking the compatibility of each match by seeing that the price accompanying each buy order is greater than or equal to the price accompanying each sell order, using comparison means within the data processor.

19. A machine implementable method for establishing market prices and for matching orders in an auction market that includes a data processor and a plurality of data input stations at which machine-readable orders to buy or to sell a plurality of differing types of fungible goods may be placed, said orders being either priced orders or at '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders;

said method comprising the steps of;

collecting orders as they are placed in data storage areas of the data processor;

using one or more storage areas of the data processor;

to separate the orders relating to different types of fungible goods into separate groups;

within each group, to separate the buy orders from the sell orders;

within each group of buy orders or sell orders, to arrange the orders sequentially by price with the buy orders arranged in descending order by price and with the sell orders arranged in ascending order by price; and

within each group of buy orders and sell orders, to arrange identically priced orders in descending order by time of placement so that the oldest orders are uppermost;

sequentially matching all of the buy orders and all of the sell orders within each group that can be compatibly matched, starting by first matching the highest priced buy order to the lowest priced sell order, and by then proceeding sequentially through the remaining buy orders and sell orders at rates that maintain equality at all times between the quantity of goods represented by matched orders to sell, breaking individual orders into a plurality of parts as necessary to maintain this equality;

checking the compatibility of each match by seeing that the price accompanying each buy order is greater than or equal to the price accompanying each sell order, using comparison means within the data processor; and

adjusting the market price of the various goods to fall within the limits established by the prices accompanying the last pair of orders within each group that were compatibly matched.

20. A method as in claim 19 and including the additional steps of comparing the prices of the orders within each group to the established market price of the goods before the orders are arranged and matched and withholding the '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders within a group from arranging and from matching and price comparing until after a new market price is established, whenever all or most priced orders to buy within the group carry a price that is substantially above the market price or whenever all or most priced orders to sell within the group carry a price that is substantially below the market price, said '"'"''"'"''"'"''"'"'at market'"'"''"'"''"'"''"'"' orders being later matched to each other and to any remaining buy and sell orders that are compatible with the new market price.

21. A machine implementable method of establishing upper and lower limits on the price of a given kind of fungible goods in an auction market where there is an established market price stored within a data processor and where both priced and unpriced machine-readable buy and sell orders are to be matched by the data processor, said method comprising the steps of:

pairing orders to buy with orders to sell, starting with the order to buy having the highest price and with the order to sell having the lowest price, and continuing through the orders sequentially by price, taking unpriced orders at a price that is related to the established market price, using data retrieval means of the data processor to seek out and to pair the orders;

sequentially comparing the prices accompanying the orders so paired using comparison means within the data processor, and locating the last pair of orders to be matched in which the order to buy is accompanied by a price that is higher than or equal to the price accompanying the order to sell; and

determining the prices accompanying said last pair of orders and storing these prices within the data processor as new upper and lower limits on the established market price for the goods.

22. A method as in claim 21 and further including the step of preventing unpriced orders from being paired whenever the market price is substantially below the prices of all or most priced buy orders or whenever the market price is substantially above the prices of all or most priced sell orders, using data processor comparison means and/or arithmetic means to make this determination.

23. A method as in claim 22 in which the test of whether the market price is substantially below or above the prices of priced buy or sell orders is carried out by the data processor comparison means comparing the market price plus a margin number to the prices of all priced buy orders, and comparing the market price minus a margin number to the prices of all priced sell orders.