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

• US 7,747,509 B2
• Filed: 07/15/2005
• Issued: 06/29/2010
• 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:
  US11/183,123
• Publication Number:
  US 20060015444A1
• Time in Patent Office: 1,810 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 price of a best bid is determined, and a proposed bid sweep liquidity replenishment price is determined by subtracting five cents from the price of the best bid. The proposed bid sweep liquidity replenishment price is incrementally decreased by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder. The bid sweep liquidity replenishment price is set equal to the proposed bid sweep liquidity replenishment price. In a similar fashion an offer sweep liquidity replenishment price is determined by adding five cents to the price of the best offer and incrementally increasing by 0, 1, 2, 3 or 4 cents until the offer sweep liquidity price is divisible by 5 without any remainder.

Claims

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

automatically determining price of a best bid;

automatically determining a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

automatically and incrementally decreasing the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

automatically setting a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

2. A method implemented at least partially in a programmed computer for managing security trading sweeps comprising:

automatically determining price of a best offer;

automatically determining a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

automatically and incrementally increasing the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

automatically setting an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

3. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to buy the security with a price that is greater than the sweep liquidity replenishment price for the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the limit order at the published best offer price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically locking the book.

4. A method according to claim 3, wherein a portion of the limit order is equal to the size associated with the published best offer price for the security.

5. A method according to claim 3, further comprising changing a published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

6. A method according to claim 3, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted size at the sweep liquidity replenishment price for the security.

7. A method according to claim 3, further comprising:

changing the published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions;

executing a manual trade for the security; and

changing the quote from slow to fast.

8. A method according to claim 5, further comprising:

receiving a cancel of the limit order; and

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

9. A method according to claim 8, wherein the predetermined number of seconds is five seconds.

10. A method according to claim 3, further comprising:

assigning priority to the limit order for at least one trade.

11. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to sell the security with a price that is less than the sweep liquidity replenishment price for the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the limit order at the published best bid price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically locking the book.

12. A method according to claim 11, wherein a portion of the limit order is equal to the size associated with the published best bid price for the security.

13. A method according to claim 11, further comprising changing a published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

14. A method according to claim 11, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted size at the sweep liquidity replenishment price for the security.

15. A method according to claim 11, further comprising:

changing the published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions;

executing a manual trade for the security; and

changing the quote from slow to fast.

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

receiving a cancel of the limit order; and

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

17. A method according to claim 16, wherein the predetermined number of seconds is five seconds.

18. A method according to claim 11, further comprising:

assigning priority to the limit order for at least one trade.

19. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to buy the security with a price that is equal to the sweep liquidity replenishment price for the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the limit order at the published best offer price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

20. A method according to claim 19, wherein a portion of the limit order is equal to the size associated with the published best offer price for the security.

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

22. A method according to claim 19, wherein sweeping the limit order partially fills the limit order leaving unexecuted size.

23. A method according to claim 19, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted limit order size at the sweep liquidity replenishment price for the security.

24. A method according to claim 19, further comprising:

calculating a remaining unexecuted size of the limit order;

quoting the remaining unexecuted limit order size at the limit order price; and

changing the quote from slow to fast.

25. A method according to claim 19, further comprising:

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

26. A method according to claim 25, wherein the predetermined number of seconds is five seconds.

27. A method according to claim 25, wherein the predetermined number of seconds is ten seconds.

28. A method according to claim 19, further comprising:

receiving a locking order;

completing a manual trade; and

changing the quote from slow to fast.

29. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to sell the security with a price that is equal to the sweep liquidity replenishment price for the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the limit order at the published best bid price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

30. A method according to claim 29, wherein a portion of the limit order is equal to the size associated with the published best bid price for the security.

31. A method according to claim 29, wherein sweeping the limit order completely fills the limit order.

32. A method according to claim 29, wherein sweeping the limit order partially fills the limit order leaving unexecuted size.

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

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted limit order size at the sweep liquidity replenishment price for the security.

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

calculating a remaining unexecuted size of the limit order;

quoting the remaining unexecuted limit order size at the limit order price; and

changing the quote from slow to fast.

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

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

36. A method according to claim 35, wherein the predetermined number of seconds is five seconds.

37. A method according to claim 35, wherein the predetermined number of seconds is ten seconds.

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

receiving a locking order;

completing a manual trade; and

changing the quote from slow to fast.

39. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to buy the security with a price that is greater than the sweep liquidity replenishment price for the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the limit order at the published best offer price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

40. A method according to claim 39, wherein a portion of the limit order is equal to the size associated with the published best offer price for the security.

41. A method according to claim 39, wherein sweeping the limit order partially fills the order leaving unexecuted size.

42. A method according to claim 39, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted order size at the sweep liquidity replenishment price for the security.

43. A method according to claim 39, further comprising:

calculating a remaining unexecuted size of the order;

quoting the remaining unexecuted order size at the limit order price; and

changing the quote from slow to fast.

44. A method according to claim 39, further comprising:

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

45. A method according to claim 44, wherein the predetermined number of seconds is ten seconds.

46. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to sell the security with a price that is less than the sweep liquidity replenishment price for the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the limit order at the published best bid price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

47. A method according to claim 46, wherein a portion of the limit order is equal to the size associated with the published best bid price for the security.

48. A method according to claim 46, wherein sweeping the limit order partially fills the order leaving unexecuted size.

49. A method according to claim 46, further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted order size at the sweep liquidity replenishment price for the security.

50. A method according to claim 46, further comprising:

calculating a remaining unexecuted size of the order;

quoting the remaining unexecuted order size at the limit order price; and

changing the quote from slow to fast.

51. A method according to claim 46, further comprising:

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

52. A method according to claim 51, wherein the predetermined number of seconds is ten seconds.

53. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a market order to buy the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the market order at the published best offer price for the security;

automatically sweeping the market order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

54. A method according to claim 53, further comprising:

calculating a remaining unexecuted size of the market order; and

quoting the remaining unexecuted market order size at the sweep liquidity replenishment price for the security.

55. A method according to claim 53, wherein a portion of the market order is equal to the size associated with the published best offer price for the security.

56. A method according to claim 53, wherein sweeping the market order partially fills the market order leaving unexecuted size.

57. A method according to claim 53, further comprising:

completing a manual trade; and

changing the quote from slow to fast.

58. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a market order to sell the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the market order at the published best bid price for the security;

automatically sweeping the market order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

59. A method according to claim 58, further comprising:

calculating a remaining unexecuted size of the market order; and

quoting the remaining unexecuted market order size at the sweep liquidity replenishment price for the security.

60. A method according to claim 58, wherein a portion of the market order is equal to the size associated with the published best bid price for the security.

61. A method according to claim 58, wherein sweeping the market order partially fills the market order leaving unexecuted size.

62. A method according to claim 58, further comprising:

completing a manual trade; and

changing the quote from slow to fast.

63. A system implemented at least partially in a programmed computer for managing security trading sweeps, comprising:

means for automatically determining price of a best bid;

means for automatically determining a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

means for automatically and incrementally decreasing the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

means for automatically setting a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

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

code to determine price of a best bid;

code to determine a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

code to incrementally decrease the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

65. 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 price of a best bid;

code to determine a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

code to incrementally decrease the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

66. A system implemented at least partially in a programmed computer for managing security trading sweeps, comprising:

means for automatically determining price of a best offer;

means for automatically determining a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

means for automatically and incrementally increasing the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

means for automatically setting an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

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

code to determine price of a best offer;

code to determine a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

code to incrementally increase the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

68. 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 price of a best offer;

code to determine a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

code to incrementally increase the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.