Crossing network utilizing satisfaction density profile

• US 6,098,051 A
• Filed: 10/21/1997
• Issued: 08/01/2000
• Est. Priority Date: 04/27/1995
• Status: Expired due to Term

• Current Assignee: Optimark, Inc. (Optimark Holdings, Inc.)
• Original Assignee: Optimark Technologies Incorporated (Optimark Holdings, Inc.)
• Inventors: Rickard, John T., Lupien, William A.
• Primary Examiner(s): Voeltz, Emanuel Todd
• Assistant Examiner(s): Alvarez, Raquel
• Application Number:
  US08/945,074
• Time in Patent Office: 1,015 Days
• Field of Search: 705/37, 705/36, 705/35, 705/30, 705/4, 705/38, 345/172, 116/313, 395/500.03, 395/500.05
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/08 Insurance
• CPC Class Codes: G06Q 40/12 Accounting

Abstract

A crossing network that matches buy and sell orders based upon a satisfaction and quantity profile is disclosed. The crossing network includes a number of trader terminals that can be used for entering order. The orders are entered in the form of a satisfaction density profile that represents a degree of satisfaction to trade a particular instrument at various (price, quantity) combinations. Typically, each order is either a buy order or a sell order. The trader terminals are coupled to a matching controller computer. The matching controller computer can receive as input the satisfaction density profiles entered at each one of the trading terminals. The matching controller computer matches orders (as represented by each trader'"'"'s satisfaction density profile) so that each trader is assured that the overall outcome of the process (in terms of average price and size of fill) has maximized the mutual satisfaction of all traders. Typically, the matching process is anonymous. The matching process can be continuous or a batch process, or a hybrid of the two. Unmatched satisfaction density profiles can be used to provide spread and pricing information. Factors other than price and quantity also may be used to determine the degree of satisfaction. Optionally, priority may be given to certain profiles in the matching process to accommodate stock exchange rules, for example, requiring that priority be given to orders exhibiting the best price, regardless of size or any other consideration. The crossing network has utility both in the securities industry and for non-securities industry applications.

Claims

1. A computer-implemented crossing network that matches orders for instruments where each order is represented by a satisfaction density profile, the crossing network comprising:

a plurality of trader terminals for entering orders in the form of a satisfaction density profile that represents a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and

a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and receiving each satisfaction density profile entered at each one of the plurality of trader terminals, each received satisfaction density profile stored at the matching controller computer in a database as a file, the matching controller computer interacting with each file by pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, and thereafter calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price, and thereafter ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function, and matching, in accordance with the ranking, buy orders with sell orders.

2. A crossing network that matches orders for a plurality of instruments based upon a satisfaction and size profile, the crossing network comprising:

a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and

a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of trader terminals, the matching controller computer comprising;

means for pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order,

means for calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price,

means for ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function, and

means for matching, in accordance with the ranking, buy orders with sell orders, wherein the instrument includes computer chips.

3. A crossing network that matches orders for a plurality of instruments based upon a satisfaction and size profile, the crossing network comprising:

a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and

a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of trader terminals, the matching controller computer comprising;

means for pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order,

means for calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price,

means for ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function, and

means for matching, in accordance with the ranking, buy orders with sell orders, wherein the instrument includes concert tickets.

4. A crossing network that matches buy and sell orders based upon a satisfaction and quantity profile, the crossing network comprising:

a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a decree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each order being either a buy order or a sell order for the instrument; and

a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and adapted to receive as input satisfaction density profiles entered at each one of the plurality of trader terminals, the matching controller computer pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, and calculating for each satisfaction density profile pair a mutual satisfaction cross product representing a degree of satisfaction to which the satisfaction density profiles in the satisfaction density profile pair satisfy each other, and ranking each (price, quantity) combination of each mutual satisfaction cross product in an order, the matching controller computer thereafter matching buy orders and sell orders in accordance with the ranked order, wherein the satisfaction density profile is a two-dimensional graph having a price axis and a quantity axis, and the matching controlling further comprises means for storing each satisfaction density profile as a file in a database.

5. A crossing network that matches orders for instruments where the orders are represented by a satisfaction density profile, the crossing network comprising:

a plurality of terminals for entering orders in the form of a satisfaction density profile that represents a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and

a matching controller computer coupled to each one of the plurality of terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of terminals, the matching controller computer matching, where possible, satisfaction density profiles representing buy orders with satisfaction density profiles representing sell orders,

the matching controller computer aggregating information from each entered satisfaction density profile to obtain an aggregate density profile, wherein the aggregate density profile is a market depth profile representing quantities of non-zero (price, quantity) combinations entered at each (price, quantity) coordinate for all satisfaction density profiles relating to a predetermined instrument.

6. A crossing network that matches orders for instruments where the orders are represented by a satisfaction density profile, the crossing network comprising:

a plurality of terminals for entering orders in the form of a satisfaction density profile that represents a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and

a matching controller computer coupled to each one of the plurality of terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of terminals, the matching controller computer matching, where possible, satisfaction density profiles representing buy orders with satisfaction density profiles representing sell orders,

the matching controller computer aggregating information from each entered satisfaction density profile to obtain an aggregate density profile, wherein each satisfaction density profile is stored in a file at the matching controller computer.

7. A computer-implemented crossing network to match orders, each order represented as either a buy satisfaction density profile or a sell satisfaction density profile and specifying a degree of satisfaction to trade at a plurality of (price, quantity) combinations.

8. For use in a computer-implemented crossing network, a trading terminal to input orders, each order represented as either a buy satisfaction density profile or a sell satisfaction density profile and specifying a degree of satisfaction to trade at a plurality of (price, quantity) combinations.

9. A trading network to match desires of buyers and sellers of airline tickets, the trading network comprising:

a plurality of terminals for entering an order for an airline ticket in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, time of departure) combinations, each order being either a buy order or a sell order for the airline ticket; and

a matching controller computer coupled to each one of the plurality of terminals over a communications network and adapted to receive as input satisfaction density profiles entered at each one of the plurality of terminals, the matching controller computer pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, and calculating for each satisfaction density profile pair a mutual satisfaction cross product representing a degree of satisfaction to which the satisfaction density profiles in the satisfaction density profile pair satisfy each other, and ranking each (price, time of departure) combination of each mutual satisfaction cross product in an order, the matching controller computer thereafter matching buy orders and sell orders in accordance with the ranked order.

10. The trading network of claim 9 wherein the matching controller further comprises means for reporting to each terminal the results of the matching.

11. A computer-implemented matching network that matches orders for travel tickets where each order is represented by a satisfaction density profile, the matching network comprising:

a plurality of terminals for entering orders in the form of a satisfaction density profile that represents a degree of satisfaction to trade a travel ticket at a plurality of (price, time of departure) combinations, each satisfaction density profile representing either a buy order or a sell order for the travel ticket; and

a matching controller computer coupled to each one of the plurality of terminals over a communications network and receiving each satisfaction density profile entered at each one of the plurality of terminals, each received satisfaction density profile stored at the matching controller computer in a database as a file, the matching controller computer interacting with each file by pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, and thereafter calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, time of departure) combinations representing a degree of mutual satisfaction for trading said travel ticket at said price and time of departure combination, and thereafter ranking according to the degree of mutual satisfaction every (price, time of departure) combination of every mutual satisfaction function, and matching, in accordance with the ranking, buy orders with sell orders.

12. The matching network of claim 11 wherein the matching controller computer further comprises means for selecting between (price, time of departure) (combinations having the same ranking.

13. The crossing network of claim 11 wherein the matching controller computer matches orders at regular time intervals.

14. A method for matching orders for a plurality of instruments based upon a satisfaction and size profile, the method comprising the steps of:

entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument;

transmitting each satisfaction density profile to a host computer;

at the host computer, pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order;

at the host computer, calculating for each satisfaction density profile pair a mutual satisfaction cross product, each mutual satisfaction cross product including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price;

at the host computer, ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction cross product; and

at the host computer, matching, in accordance with the ranking, buy orders with sell orders.

15. A method for matching orders for a plurality of instruments based upon a satisfaction and size profile, the method comprising the steps of:

receiving a plurality of orders for a plurality of instruments, each order received in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument;

pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order;

calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price;

ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function;

matching, in accordance with the ranking, buy orders with sell orders.

16. The method of claim 15 wherein the step of receiving further comprises the step of storing each received satisfaction density profile in a database as a file.

17. The method of claim 16 wherein the step of pairing further comprises interacting with the files stored in the database.

18. The method of claim 15 wherein the step of receiving further comprises the step of electronically receiving each order in the form of a satisfaction density profile.

19. A method for matching orders for a plurality of instruments based upon a satisfaction and size profile, the method comprising the steps of:

receiving a plurality of orders as a satisfaction density profile, each satisfaction density profile representing a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations and representing either a buy order or a sell order for the instrument;

pairing each satisfaction density profile representing a sell order with each satisfaction density profile representing a buy order;

calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price;

ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function;

where possible, matching in accordance with the ranking buy orders with sell orders; and

comparing unmatched satisfaction density profiles representing buy orders for one or more predetermined instruments with unmatched satisfaction density profiles representing sell orders for corresponding one or more predetermined instruments to obtain spread information for each one or more predetermined instruments.

20. The method of claim 19 further comprising the step of outputting the spread information.

21. A method for matching orders for a plurality of instruments based upon a satisfaction and size profile, the method comprising the steps of:

receiving a plurality of orders as a satisfaction density profile, each satisfaction density profile representing a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations and representing either a buy order or a sell order for the instrument;

aggregating information from each entered satisfaction density profile to obtain an aggregate density profile;

outputting the aggregate density profile to provide price information to users;

pairing each satisfaction density profile representing a sell order with each satisfaction density profile representing a buy order;

calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price;

ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function; and

matching, in accordance with the ranking, buy orders with sell orders.

22. The method of claim 21 wherein the aggregate density profile is a market depth profile representing quantities of non-zero (price, quantity) combinations for all received satisfaction density profiles relating to a predetermined instrument.

23. A method for trading a plurality of instruments based upon a satisfaction density profile, the method comprising the steps of:

creating an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument;

causing the order to be communicated to a matching controller computer that matches orders so that an outcome of the matching process in terms of individual allocations is a maximization of mutual satisfaction for all parties who submit orders; and

receiving from the matching controller computer an indication of matched trades.

24. The method of claim 23 wherein the step of creating comprises entering the satisfaction density profile on a two-dimensional graph having a price axis and a quantity axis.

25. The method of claim 23 wherein the step of creating comprises utilizing factors other than price and size to determine the degree of satisfaction at each (price, quantity) combination.

26. A method for matching orders for a plurality of instruments based upon a satisfaction density profile by giving priority to orders exhibiting a best price, the method comprising the steps of:

receiving a plurality of orders as a set of satisfaction density profiles, each satisfaction density profile representing a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations and representing either a buy order or a sell order for the instrument;

pairing each satisfaction density profile representing a sell order with each satisfaction density profile representing a buy order;

calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price;

ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function;

matching in accordance with the ranking buy orders with sell orders; and

allocating trades first to unmatched satisfaction density profiles comprising a complete satisfaction indication at a better price than the matched buy orders and sell orders, and then in accordance with the ranking.

27. The method of claim 26 further comprising the steps of:

comparing any unmatched satisfaction density profiles representing buy orders for one or more predetermined instruments with unmatched satisfaction density profiles representing sell orders for corresponding one or more predetermined instruments to obtain spread information for each one or more predetermined instruments; and

outputting the spread information to provide users with generalized price information.

28. A method for matching orders for a plurality of instruments based upon a satisfaction density profile by giving priority to orders having time priority, the method comprising the steps of:

receiving a plurality of orders, each order represented as a satisfaction density profile, each satisfaction density profile representing a degree of satisfaction to trade an instrument at a plurality of (price, quantity) combinations and representing either a buy order or a sell order for the instrument;

pairing each satisfaction density profile representing a sell order with each satisfaction density profile representing a buy order;

calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price;

ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function;

matching in accordance with the ranking buy orders with sell orders; and

allocating trades first to unmatched satisfaction density profiles comprising a complete satisfaction indication at an equal price to the matched buy orders and sell orders if said unmatched orders have time priority, and then in accordance with the ranking.

29. The method of claim 28 further comprising the steps of:

comparing any unmatched satisfaction density profiles representing buy orders for one or more predetermined instruments with unmatched satisfaction density profiles representing sell orders for corresponding one or more predetermined instruments to obtain spread information for each one or more predetermined instruments; and

outputting the spread information to provide users with generalized price information.

30. The method of claim 28 wherein the step of receiving further comprises the step of storing each received satisfaction density profile in a database as a file.

31. The method of claim 30 wherein the step of pairing further comprises interacting with the files stored in the database.

32. The method of claim 28 wherein the step of receiving further comprises the step of electronically receiving each order in the form of a satisfaction density profile.

33. A method for trading a plurality of instruments based upon a satisfaction and size profile, the method comprising the steps of:

entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument;

transmitting each satisfaction density profile to a host computer that matches orders as represented by satisfaction density profiles such that an outcome of the matching process in terms of average price and size of fill is a maximization of mutual satisfaction for all parties; and

receiving from the host computer an indication of matched trades.

34. The method of claim 33 wherein the step of entering comprises entering the satisfaction density profile on a two-dimensional graph having a price axis and a quantity axis.

35. The method of claim 33 wherein the step of entering comprises entering the satisfaction density profile as a contour graph.

36. The method of claim 33 wherein the step of entering comprises displaying the satisfaction density profile as a temperature grid.

37. The method of claim 33 wherein the step of entering further comprises entering a satisfaction density value for each (price, quantity) combination in the satisfaction density profile.

38. The method of claim 33 wherein the step of entering further comprises the step of combining a plurality of satisfaction density profiles.

39. The method of claim 33 wherein the step of entering further comprises the step of linking related satisfaction density profiles.

40. The method of claim 33 wherein the step of transmitting further comprises the step of storing and transmitting each satisfaction density profile as a file.

41. A method for trading airline tickets comprising the steps of:

entering an order for an airline ticket in the form of a satisfaction density profile that represents a degree of satisfaction to trade the airline ticket at a plurality of (price, time of departure) combinations, each satisfaction density profile representing either a buy order or a sell order for the airline ticket;

transmitting each satisfaction density profile to a host computer that matches orders as represented by satisfaction density profiles such that an outcome of the matching process in terms of price and time of departure is a maximization of mutual satisfaction for all parties; and

receiving from the host computer an indication of matched orders.