System and method for setting and using a momentum liquidity replenishment price in a hybrid auction market

• US 7,647,267 B2
• Filed: 07/15/2005
• Issued: 01/12/2010
• Est. Priority Date: 07/15/2004
• Status: Active Grant

• Current Assignee: New York Stock Exchange LLC (Intercontinental Exchange, Inc.)
• Original Assignee: New York Stock Exchange (Intercontinental Exchange, Inc.)
• Inventors: Burkhardt, Roger, McSweeney, Robert J., Allen, Anne E., Pastina, Louis G.
• Primary Examiner(s): Havan; Thu Thao
• Application Number:
  US11/183,259
• Publication Number:
  US 20060015446A1
• Time in Patent Office: 1,642 Days
• Field of Search: 705 37- 38
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• 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

Abstract

The lowest trade price for a security within a predetermined period of time is determined, and a momentum liquidity replenishment price is determined by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security for the security within the predetermined period of time. In a similar fashion, another momentum liquidity replenishment price is determined from the highest trading price of the security within predetermined period of time.

Claims

1. A method performed at least partially on a programmed computer for managing security trading sweeps comprising:

automatically determining, using the programmed computer, the lowest trade price for a security within an immediately preceding predetermined period of time; and

automatically determining, using the programmed computer, an upper momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security within the immediately preceding predetermined period of time, wherein a single price order sweep at the upper momentum liquidity replenishment price changes a quote for the security from fast to slow.

2. A method according to claim 1, wherein the immediately preceding predetermined period of time is 30 seconds.

3. A method according to claim 1, wherein the predetermined price is 25 cents.

4. A method according to claim 1, wherein the predetermined percentage is one percent of the last trade price.

5. A method performed at least partially on a programmed computer for managing security trading sweeps comprising:

automatically determining, using the programmed computer, the highest trade price for a security within an immediately preceding predetermined period of time; and

automatically determining, using the programmed computer, a lower momentum liquidity replenishment price by subtracting the greater of a predetermined price or a predetermined percentage of the last trade price from the highest trade price for the security within the immediately preceding predetermined period of time, wherein a single price order sweep at the lower momentum liquidity replenishment price changes a quote for the security from fast to slow.

6. A method according to claim 5, wherein the immediately preceding predetermined period of time is 30 seconds.

7. A method according to claim 5, wherein the predetermined price is 25 cents.

8. A method according to claim 5, wherein the predetermined percentage is one percent of the last trade price.

9. A method performed at least partially on a programmed computer for executing a securities order comprising:

automatically determining, using the programmed computer, an upper momentum liquidity replenishment price, by adding the greater of a predetermined price or a predetermined percentage of a last trade price for a security to a lowest trade price for the security within an immediately preceding predetermined period of time;

receiving a limit order to buy with a price that is equal to or greater than the upper momentum liquidity replenishment price;

automatically determining, using the programmed computer, a best offer price and size associated with the best offer price;

executing a portion of the limit order at the best offer price, leaving an unexecuted portion of the limit order;

sweeping at least some of the unexecuted portion of the limit order as a single price execution at the upper momentum liquidity replenishment price against orders on a limit order book; and

changing a quote from fast to slow.

10. A method according to claim 9, wherein the portion of the limit order is equal to the size associated with the best offer price.

11. A method according to claim 9, wherein sweeping the limit order completely fills the limit order.

12. A method according to claim 9, wherein sweeping the limit order partially fills the limit order leaving unexecuted size.

13. A method according to claim 9, further comprising:

waiting for the upper momentum liquidity replenishment price to reset; and

automatically changing the quote from slow to fast.

14. A method according to claim 9, further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

15. A method according to claim 14, wherein the predetermined number of seconds is ten seconds.

16. A method according to claim 9, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted limit order size at the upper momentum liquidity replenishment price.

17. A method performed at least partially on a programmed computer for executing a securities order comprising:

automatically determining, using the programmed computer, a lower momentum liquidity replenishment price, by subtracting the greater of a predetermined price or a predetermined percentage of a last trade price for a security from a highest trade price for the security within an immediately preceding predetermined period of time;

receiving a limit order to sell with a price that is equal to or less than the lower momentum liquidity replenishment price;

automatically determining, using the programmed computer, a best bid price and size associated with the best bid price;

executing a portion of the limit order at the best bid price, leaving an unexecuted portion of the limit order;

sweeping at least some of the unexecuted portion of the limit order as a single price execution at the lower momentum liquidity replenishment price against orders on a limit order book; and

changing a quote from fast to slow.

18. A method according to claim 17, wherein the portion of the limit order is equal to the size associated with the best bid price.

19. A method according to claim 17, wherein sweeping the limit order completely fills the limit order.

20. A method according to claim 17, wherein sweeping the limit order partially fills the limit order leaving unexecuted size.

21. A method according to claim 17, further comprising:

waiting for the lower momentum liquidity replenishment price to reset; and

automatically changing the quote from slow to fast.

22. A method according to claim 17, further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

23. A method according to claim 22, wherein the predetermined number of seconds is ten seconds.

24. A method according to claim 17, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted limit order size at the lower momentum liquidity replenishment price.

25. A method performed at least partially on a programmed computer for executing a securities order comprising:

automatically determining, using the programmed computer, an upper a momentum liquidity replenishment price, by adding the greater of a predetermined price or a predetermined percentage of a last trade price for a security to a lowest trade price for the security within an immediately preceding predetermined period of time;

receiving a limit order to buy with a price that is equal to or greater than the momentum liquidity replenishment price;

automatically determining, using the programmed computer, a best offer price and size associated with the best offer price;

executing a portion of the limit order at the best offer price, leaving an unexecuted portion of the limit order;

sweeping at least some of the unexecuted portion of the limit order as a single price execution against orders on a limit order book;

automatically determining, using the programmed computer, that no orders remain on the limit order book priced less than the upper momentum liquidity replenishment price; and

changing a quote from fast to slow.

26. A method according to claim 25, further comprising:

determining a new upper momentum liquidity replenishment price; and

changing the quote from slow to fast.

27. A method according to claim 25, further comprising:

receiving a limit order to sell with a price less than the upper momentum liquidity replenishment price; and

changing the quote from slow to fast.

28. A method performed at least partially on a programmed computer for executing a securities order comprising:

automatically determining, using the programmed computer, a lower momentum liquidity replenishment price, by subtracting the greater of a predetermined price or a predetermined percentage of a last trade price for a security from a highest trade price for the security within an immediately preceding predetermined period of time;

receiving a limit order to sell with a price that is equal to or less than the lower momentum liquidity replenishment price;

automatically determining, using the programmed computer, a best bid price and size associated with the best bid price;

executing a portion of the limit order at the best bid price, leaving an unexecuted portion of the limit order;

sweeping at least some of the unexecuted portion of the limit order as a single price execution against orders on a limit order book;

automatically determining, using the programmed computer, that no orders remain on the limit order book priced greater than the lower momentum liquidity replenishment price; and

changing a quote from fast to slow.

29. A method according to claim 28, further comprising:

determining a new lower momentum liquidity replenishment price; and

changing the quote from slow to fast.

30. A method according to claim 28, further comprising:

receiving a limit order to buy with a price greater than the lower momentum liquidity replenishment price; and

changing the quote from slow to fast.

31. A method performed at least partially on a programmed computer for executing a securities order comprising:

automatically determining, using the programmed computer, an upper a momentum liquidity replenishment price, by adding the greater of a predetermined price or a predetermined percentage of a last trade price for a security to a lowest trade price for the security within an immediately preceding predetermined period of time;

receiving a market order to buy;

automatically determining, using the programmed computer, a best offer price and size associated with the best offer price;

executing a portion of the market order at the best offer price, leaving an unexecuted portion of the market order;

sweeping at least some of the unexecuted portion of the market order as a single price execution against orders on a limit order book;

automatically determining, using the programmed computer, that no orders remain on the limit order book priced less than upper the momentum liquidity replenishment price; and

changing a quote from fast to slow.

32. A method according to claim 31, further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

33. A method according to claim 32, wherein the predetermined number of seconds is ten seconds.

34. A method according to claim 31, further comprising:

waiting for the upper momentum liquidity replenishment price to reset; and

automatically changing the quote from slow to fast.

35. A method according to claim 31, further comprising:

calculating a remaining unexecuted size of the market order; and

quoting the remaining unexecuted market order size at the upper momentum liquidity replenishment price.

36. A method according to claim 31, further comprising:

receiving an order to sell that establishes a best offer less than the upper momentum liquidity replenishment price; and

automatically changing the quote from slow to fast.

37. A method performed at least partially on a programmed computer for executing a securities order comprising:

automatically determining, using the programmed computer, a lower momentum liquidity replenishment price, by subtracting the greater of a predetermined price or a predetermined percentage of a last trade price for a security from a highest trade price for the security within an immediately preceding predetermined period of time;

receiving a market order to sell;

automatically determining, using the programmed computer, a best bid price and size associated with the best bid price;

executing a portion of the market order at the best bid price, leaving an unexecuted portion of the market order;

sweeping at least some of the unexecuted portion of the market order as a single price execution against orders on a limit order book;

automatically determining, using the programmed computer, that no orders remain on the limit order book priced greater than the lower momentum liquidity replenishment price; and

changing a quote from fast to slow.

38. A method according to claim 37, further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

39. A method according to claim 38, wherein the predetermined number of seconds is ten seconds.

40. A method according to claim 37, further comprising:

waiting for the lower momentum liquidity replenishment price to reset; and

automatically changing the quote from slow to fast.

41. A method according to claim 37, further comprising:

calculating a remaining unexecuted size of the market order; and

quoting the remaining unexecuted market order size at the lower momentum liquidity replenishment price.

42. A method according to claim 37, further comprising:

receiving an order to buy that establishes a best bid greater than the lower momentum liquidity replenishment price; and

automatically changing the quote from slow to fast.

43. A system for managing security trading sweeps, comprising:

means for determining the lowest trade price for a security within an immediately preceding predetermined period of time;

means for determining an upper momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security within the immediately preceding predetermined period of time, wherein a single price order sweep at the upper momentum liquidity replenishment price changes a quote for the security from fast to slow.

44. A computer-readable medium having computer executable software code stored thereon, the code for managing security trading sweeps, the code comprising:

code to determine the lowest trade price for a security within an immediately preceding predetermined period of time; and

code to determine an upper momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security within the immediately preceding predetermined period of time, wherein a single price order sweep at the upper momentum liquidity replenishment price changes a quote for the security from fast to slow.

45. A programmed computer for managing security trading sweeps, comprising:

a memory having at least one region for storing computer executable program code; and

a processor for executing the program code stored in the memory;

wherein the program code comprises;

code to determine the lowest trade price for a security within an immediately preceding predetermined period of time; and

code to determine an upper momentum liquidity replenishment price by adding the greater of a predetermined price or a predetermined percentage of the last trade price to the lowest trade price for the security within the immediately preceding predetermined period of time, wherein a single price order sweep at the upper momentum liquidity replenishment price changes a quote for the security from fast to slow.