Automated price setting for paired orders
First Claim
Patent Images
1. A computer-implemented method for facilitating trading of orders in a batch process, comprising:
- determining, by a computer, for each order in a batch, a premium for the order at a particular price, wherein for a respective order, the particular price is adjusted in accordance with the premium when setting a price for pairing, andpairing, by a computer, the orders in the batch in accordance with their respective premiums,wherein the premium for an order depends on the size of the order that is matched with at least one contra side order, and when a portion of the order is unmatchable in a pairing, the method further comprises reducing the size of the order by the size of the unmatchable portion and determining a new premium for the order in accordance with the reduced order size.
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Abstract
A market process collects orders from trading processes into a batch, the orders associated with respective liquidity curves. The market process uses the liquidity curve to determine a premium offered by or demanded for the order. The market process then pairs orders in the batch that have indicated willingness to bear the greatest amount of market risk, as demonstrated by their premiums. Greedy or risk averse orders, as indicated by their premiums, may not be paired during the batch.
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Citations
35 Claims
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1. A computer-implemented method for facilitating trading of orders in a batch process, comprising:
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determining, by a computer, for each order in a batch, a premium for the order at a particular price, wherein for a respective order, the particular price is adjusted in accordance with the premium when setting a price for pairing, and pairing, by a computer, the orders in the batch in accordance with their respective premiums, wherein the premium for an order depends on the size of the order that is matched with at least one contra side order, and when a portion of the order is unmatchable in a pairing, the method further comprises reducing the size of the order by the size of the unmatchable portion and determining a new premium for the order in accordance with the reduced order size. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 17, 19, 20)
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13. A computer-implemented method for facilitating trading of orders in a batch process, comprising:
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automatically, for each order in a batch, converting a liquidity curve respectively associated with the order into a premium for the order at a particular price, wherein for a respective order, the particular price is adjusted in accordance with the premium when setting a price for pairing, and wherein the premium for an order depends on the size of the order that is matched with at least one contra side order, and automatically posting the orders with premiums to a batch process for automatically pairing the orders in accordance with their respective premiums, and when a portion of an order is unmatched, the method further comprises reducing the size of the order by the size of the unmatched portion and determining a new premium for the order in accordance with the reduced order size and the liquidity curve associated with the order. - View Dependent Claims (18)
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14. A computer-implemented method for representing an order, comprising:
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selecting, by a computer, an order processing methodology wherein a premium for the order at a particular price is automatically determined based on a liquidity curve and the order is automatically paired in accordance with its premium, and posting, by a computer, the order to a market operative according to the selected order processing methodology, wherein the premium for the order depends on the size of the order that is matched with at least one contra side order at the market, and when a portion of the order is unmatched at the market, the method further comprises reducing the size of the order by the size of the unmatched portion and determining a new premium for the order in accordance with the reduced order size and the liquidity curve associated with the order. - View Dependent Claims (15, 16)
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21. A computer system for facilitating trading of orders in a batch process, comprising:
a computer having a processing component configured to automatically determine, for each order in a batch, a premium for the order at a particular price, wherein for a respective order, the particular price is adjusted in accordance with the premium when setting a price for pairing, the processing component being further configured to automatically pair the orders in the batch in accordance with their respective premiums, wherein the premium for an order depends on the size of the order that is matched with at least one contra side order and when a portion of the order is unmatched in a pairing, the processing component is configured to reduce the size of the order by the size of the unmatched portion and determine a new premium for the order in accordance with the reduced order size. - View Dependent Claims (22, 23, 24, 25, 26, 27, 28, 29)
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30. A tangible computer-readable medium having executable instructions stored thereon for facilitating trading of orders in a batch process, wherein the instructions, in response to execution by a computer, cause the computer to:
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automatically convert, for each order in a batch, a liquidity curve respectively associated with the order into a premium for the order at a particular price, wherein for a respective order, the particular price is adjusted in accordance with the premium when setting a price for pairing, and wherein the premium for an order depends on the size of the order that is matched with at least one contra side order, and automatically post the orders with premiums to a batch process for automatically pairing the orders in accordance with their respective premiums, and when a portion of an order is unmatched, the instructions further cause the computer to reduce the size of the order by the size of the unmatched portion and determine a new premium for the order in accordance with the reduced order size and the liquidity curve associated with the order. - View Dependent Claims (31)
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32. A computer system for processing an order for a trade, comprising:
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means for receiving an order at a particular price; means for determining a premium for the order at the particular price based on a liquidity curve, and means for posting the order to a market that is operative to automatically pair the order in accordance with its premium, wherein the premium for the order depends on the size of the order that is matched with at least one contra side order at the market, and when a portion of the order is unmatched at the market, the system further comprises means for reducing the size of the order by the size of the unmatched portion and determining a new premium for the order in accordance with the reduced order size and the liquidity curve associated with the order. - View Dependent Claims (33, 34)
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35. A computer configured to facilitate trading of orders in a batch process, comprising:
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a processor; and a memory, wherein the processor is configured to execute instructions stored in the memory that cause the computer to determine, for each order in a batch, a premium for the order at a particular price, wherein for a respective order, the computer adjusts the particular price in accordance with the premium when setting a price for pairing; wherein the processor is further configured to execute instructions stored in the memory that cause the computer to pair the orders in the batch with contra side orders in accordance with their respective premiums; and wherein the premium for an order depends on the size of the order that is matched with at least one contra side order, and when a portion of the order is unmatched in a pairing, the instructions further cause the computer to reduce the size of the order by the size of the unmatched portion and determine a new premium for the order in accordance with the reduced order size.
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Specification