System and method for preventing cross trading

• US 7,552,073 B1
• Filed: 05/02/2006
• Issued: 06/23/2009
• Est. Priority Date: 09/12/2002
• Status: Expired due to Term

• Current Assignee: Trading Technologies International, Inc.
• Original Assignee: Trading Technologies International, Inc.
• Inventors: Brumfield, Harris, Owens, Farley
• Primary Examiner(s): Abdi; Kambiz
• Assistant Examiner(s): Merchant; Shahid R
• Application Number:
  US11/415,870
• Time in Patent Office: 1,148 Days
• Field of Search: 705/37, 705/35, 705/36.R
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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

Abstract

Information regarding the current state in the market is used to prevent orders from crossing. In an example provided herein, when an order is entered into a market, information regarding current positions in the market is taken into account to determine whether the order will cross with other orders. If the orders would cross, appropriate action is taken to prevent the crossing of orders in a way suitable for the person or persons trading. The teachings described herein may be used for any reason to prevent orders from crossing. Moreover, they may be used in other areas of trading to assist the trader in obeying any other rule or regulation that might involve analyzing current positions in the market before taking action.

Claims

1. A method for preventing orders from crossing at an electronic exchange, comprising:

receiving by a computing device a sweep order that is to be sent to an electronic exchange on behalf of a particular trading entity, the sweep order to be executed against available quantity at a best bid or offer price in a market, and to be executed against quantity available at one or more next best bid or offer price levels in the market until at least one of the following occurs;

a total cumulative quantity for the sweep order is reached or a desired highest or lowest price level is reached;

determining by the computing device that a plurality of orders are currently residing in an exchange order book that were placed on behalf of the particular trading entity, the bid or offer type of the plurality of orders is opposite to the bid or offer type of the sweep order, and the plurality of orders are at a price levels at which the sweep order is to be executed;

sending by the computing device an instruction to delete quantity remaining in the exchange order book associated with the plurality of orders to prevent the sweep order from crossing the plurality of orders at the electronic exchange prior to sending the sweep order to the electronic exchange;

generating by the computing device the sweep order having a sweep order quantity that is determined based on quantity available in the market at each price level for which the sweep order is to be executed less the quantity of the plurality of orders that is deleted from the exchange order book; and

sending by the computing device the sweep order to the electronic exchange.

2. The method of claim 1, wherein the step of receiving the sweep order comprises receiving a command from a user input device to send the sweep order to the electronic exchange.

3. The method of claim 1, wherein the step of receiving the sweep order comprises receiving an order message from a client device to send the sweep order to the electronic exchange.

4. The method of claim 1, further comprising waiting for receipt of a delete confirmation indicating that a certain portion of the quantity was deleted from the exchange order book, and once the delete confirmation is received, automatically sending the sweep order to the electronic exchange with the sweep order quantity determined based on the certain portion of the quantity that was deleted.

5. The method of claim 1, further comprising not waiting for receipt of a delete confirmation indicating that a certain portion of the quantity was deleted from the exchange order book, but instead automatically sending the sweep order with the sweep order quantity determined based on the quantity remaining in the exchange order book at the time of sending the sweep order.

6. The method of claim 1, wherein the quantity of the order that is deleted from the exchange order book is internally matched.

7. The method of claim 6, wherein a fill transaction message is generated indicating the internal match.

9. The method of claim 1, further comprising establishing the total cumulative quantity for the sweep order.

10. The method of claim 1, further comprising determining that a second order is currently residing in the exchange order book that was placed on behalf of the particular trading entity, the bid or offer type of the second order is opposite to the bid or offer type of the sweep order, but the second order is at a price level that is different from the price levels at which the sweep order is to be executed, and sending the instruction to delete quantity remaining in the exchange order book associated with the plurality of orders and not the second order.

11. The method of claim 1, further comprising generating the sweep order having a sweep order quantity that is further determined based on quantity of an in-flight order sent on behalf of the particular trading entity, wherein the bid or offer type of the in-flight order is opposite to the bid or offer type of the sweep order, and the in-flight order is at a price level at which the sweep order is to be executed.

8. A computer readable medium having program code recorded thereon for execution on a computer having a graphical user interface and a user input device, the program code causing a machine to perform the following method steps:

receiving by a computing device a sweep order that is to be sent to an electronic exchange on behalf of a particular trading entity, the sweep order to be executed against available quantity at a best bid or offer price in a market, and to be executed against quantity available at one or more next best bid or offer price levels in the market until at least one of the following occurs;

a total cumulative quantity for the sweep order is reached or a desired highest or lowest price level is reached;

determining by the computing device that a plurality of orders are currently residing in an exchange order book that were placed on behalf of the particular trading entity, the bid or offer type of the plurality of orders is opposite to the bid or offer type of the sweep order, and the plurality of orders are at a price levels at which the sweep order is to be executed;

sending by the computing device an instruction to delete quantity remaining in the exchange order book associated with the plurality of orders to prevent the sweep order from crossing the plurality of orders at the electronic exchange prior to sending the sweep order to the electronic exchange;

generating by the computing device the sweep order having a sweep order quantity that is determined based on quantity available in the market at each price level for which the sweep order is to be executed less the quantity of the plurality of orders that is deleted from the exchange order book; and

sending by the computing device the sweep order to the electronic exchange.