Automated price improvement protocol processor

• US 6,963,856 B2
• Filed: 09/20/2002
• Issued: 11/08/2005
• Est. Priority Date: 12/13/1996
• Status: Expired due to Term

• Current Assignee: Cantor Fitzgerald, L.P., CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: Cantor Fitzgerald, L.P., CEPH
• Inventors: Paul, Bijoy, Fraser, Stuart, Lutnick, Howard
• Primary Examiner(s): Rosen, Nicholas D.
• Application Number:
  US10/251,717
• Publication Number:
  US 20030149636A1
• Time in Patent Office: 1,145 Days
• Field of Search: 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/06 Buying, selling or leasing transactions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Data processing systems and methods for managing transactions in auction-based trading of specialized items such as fixed income instruments are presented. The data processing system provides a highly structured trading protocol implemented through a sequence of trading paradigms. The system employs a distributed computer processing network linking together a plurality of commonly configured program-controlled workstations. The protocol and its program-controlling logic improves trading efficiency, rewards market Makers, and fairly distributes market opportunity to system users.

Claims

1. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first bid command having a first price and a first volume for an item;

receiving a second bid command having a second price and a second volume for said item;

receiving a sell command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price lower than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said sell command;

executing a transaction at said second price for said second volume in response to receiving said sell command;

setting a transaction price between said third price and the lower of said first and second prices at which a transaction for the difference between said third volume and the sum of said first and second volumes can be completed; and

providing a limited time period during which only the Participant that entered the higher of said first and second prices can execute a transaction at said set transaction price.

2. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first offer command having a first price and a first volume for an item;

receiving a second offer command having a second price and a second volume for said item;

receiving a buy command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price higher than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said buy command;

executing a transaction at said second price for said second volume in response to receiving said buy command;

setting a transaction price between said third price and the higher of said first and second prices at which a transaction for the difference between said third volume and the sum of said first and second volumes can be completed; and

providing a limited time period during which only the Participant that entered the lower of said first and second prices can execute a transaction at said set transaction price.

3. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a bid command having a first price and a first volume for an item;

receiving a sell command having a second price and a second volume for said item, said second volume larger than said first volume, said second price lower than said first price;

executing a transaction at said first price for said first volume in response to receiving said sell command;

receiving a buy command having a third price that is higher than said second price and a volume equal to at least a portion of the difference between said first and second volumes;

calculating a transaction price between said first and second prices in response to receiving said buy command at which a transaction for said portion is completed; and

displaying an indication of price improvement availability in response to receiving said buy command.

4. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving an offer command having a first price and a first volume for an item;

receiving a buy command having a second price and a second volume for said item, said second volume larger than said first volume, said second price higher than said first price;

executing a transaction at said first price for said first volume in response to receiving said buy command;

receiving a sell command having a third price that is lower than said second price and a volume equal to at least a portion of the difference between said first and second volumes;

calculating a transaction price between said second and third prices in response to receiving said sell command at which a transaction for said portion is completed; and

displaying an indication of price improvement availability in response to said sell command.

5. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first bid command having a first price and a first volume for an item;

receiving a second bid command having a second price and a second volume for said item;

receiving a sell command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price lower than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said sell command;

executing a transaction at said second price for said second volume in response to receiving said sell command;

receiving a buy command having a fourth price that is higher than said third price and a volume equal to at least a portion of the difference between said third volume and the sum of said first and second volumes;

setting a transaction price between said third price and said fourth price in response to receiving said buy command at which a transaction for said portion is completed; and

providing a limited time period during which only the Participant that entered the higher of said first and second prices can execute a transaction at said set transaction price.

6. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first bid command having a first price and a first volume for an item;

receiving a second bid command having a second price and a second volume for said item;

receiving a sell command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price lower than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said sell command;

executing a transaction at said second price for said second volume in response to receiving said sell command;

receiving a buy command having a fourth price that is higher than said third price and a volume equal to at least a portion of the difference between said third volume and the sum of said first and second volumes;

setting a transaction price between said third price and said fourth price in response to receiving said buy command at which a transaction for said portion is completed; and

displaying an indication of price improvement availability in response to receiving said buy command.

7. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first offer command having a first price and a first volume for an item;

receiving a second offer command having a second price and a second volume for said item;

receiving a buy command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price higher than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said buy command;

executing a transaction at said second price for said second volume in response to receiving said buy command;

receiving a sell command having a fourth price that is lower than said third price and a volume equal to at least a portion of the difference between said third volume and the sum of said first and second volumes;

setting a transaction price between said third price and said fourth price in response to receiving said sell command at which a transaction for said portion is completed; and

providing a limited time period during which only the Participant that entered the lower of said first and second prices can execute a transaction at said set transaction price.

8. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first offer command having a first price and a first volume for an item;

receiving a second offer command having a second price and a second volume for said item;

receiving a buy command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price higher than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said buy command;

executing a transaction at said second price for said second volume in response to receiving said buy command;

receiving a sell command having a fourth price that is lower than said third price and a volume equal to at least a portion of the difference between said third volume and the sum of said first and second volumes;

setting a transaction price between said third price and said fourth price in response to receiving said sell command at which a transaction for said portion is completed; and

displaying an indication of price improvement availability in response to receiving said sell command.

9. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first bid command having a first price and a first volume for an item;

receiving a second bid command having a second price and a second volume for said item;

receiving a sell command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price lower than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said sell command;

executing a transaction at said second price for said second volume in response to receiving said sell command;

setting a transaction price between said third price and the lower of said first and second prices at which a transaction for the difference between said third volume and the sum of said first and second volumes can be completed; and

displaying an indication of price improvement availability in response to receiving said sell command.

10. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a first offer command having a first price and a first volume for an item;

receiving a second offer command having a second price and a second volume for said item;

receiving a buy command having a third price and a third volume for said item, said third volume larger than the sum of said first and second volumes, said third price higher than said first price and said second price;

executing a transaction at said first price for said first volume in response to receiving said buy command;

executing a transaction at said second price for said second volume in response to receiving said buy command;

setting a transaction price between said third price and the higher of said first and second prices at which a transaction for the difference between said third volume and the sum of said first and second volumes can be completed; and

displaying an indication of price improvement availability in response to receiving said buy command.

11. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving a bid command having a first price and a first volume for an item;

receiving a sell command having a second price and a second volume for said item, said second volume larger than said first volume, said second price lower than said first price;

executing a transaction at said first price for said first volume in response to receiving said sell command;

receiving a buy command having a third price that is higher than said second price and a volume equal to at least a portion of the difference between said first and second volumes;

calculating a transaction price between said first and second prices in response to receiving said buy command at which a transaction for said portion is completed; and

providing a limited time period during which only the Participant that entered the higher of said first and third prices can execute a transaction at said set transaction price.

12. A method of electronic interactive buying and selling of items via a data processing system comprising a server and a plurality of workstations in communication with said server, said workstations used by Participants for entering commands having prices and volumes, said server receiving said commands, said method comprising:

receiving an offer command having a first price and a first volume for an item;

receiving a buy command having a second price and a second volume for said item, said second volume larger than said first volume, said second price higher than said first price;

executing a transaction at said first price for said first volume in response to receiving said buy command;

receiving a sell command having a third price that is lower than said second price and a volume equal to at least a portion of the difference between said first and second volumes;

calculating a transaction price between said second and third prices in response to receiving said sell command at which a transaction for said portion is completed; and

providing a limited time period during which only the Participant that entered the lower of said first and third prices can execute a transaction at said set transaction price.