System and method for order sweep in a hybrid auction market

• US 7,778,916 B2
• Filed: 07/15/2005
• Issued: 08/17/2010
• 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:
  US11/183,279
• Publication Number:
  US 20060015447A1
• Time in Patent Office: 1,859 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

A first price and first size of a published offer to sell shares of a security are determined, and a second price and second size of orders to sell shares of the security are determined. A third price and third size of orders to sell shares of the security are determined, wherein the second price is greater than the published offer and the third price is greater than the second price. A market order to buy shares of the security is received with a buy size greater than a sum of the first size and the second size. A first portion of the market order that is equal to the first size is executed at a first price, and a second portion of the market order is executed at the third price. The sum of the size of the first portion and the size of the second portion equals the buy size. Market orders to sell are handled in a similar fashion.

Claims

1. A method implemented at least partially in a programmed computer for executing a securities order sweep, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published offer to sell shares of a security;

using the programmed computer to automatically determine a second price and second size of orders to sell shares of the security;

using the programmed computer to automatically determine a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price;

using the programmed computer to automatically receive a market order to buy shares of the security with a buy size greater than a sum of the first size and the second size;

using the programmed computer to automatically execute at the first price, a first portion of the market order that is equal to the first size; and

using the programmed computer to automatically execute at the third price, a sweep of a second portion of the market order, wherein the sum of the size of the first portion and the size of the second portion equals the buy size.

2. A method according to claim 1, further comprising:

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain; and

if orders at the third price remain, using the programmed computer to automatically quote the third price as the published offer to sell.

3. A method according to claim 1, further comprising:

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain;

if orders at the third price remain, using the programmed computer to automatically determine a new third size; and

using the programmed computer to automatically quote the new third size as a size of the published offer to sell.

4. A method implemented at least partially in a programmed computer for executing a securities order sweep, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published bid to buy shares of a security;

using the programmed computer to automatically determine a second price and second size of orders to buy shares of the security;

using the programmed computer to automatically determine a third price and third size of orders to buy shares of the security, wherein the second price is less than the published offer and the third price is less than the second price;

using the programmed computer to automatically receive a market order to sell shares of the security with a sell size greater than a sum of the first size and the second size;

using the programmed computer to automatically execute at the first price, a first portion of the market order that is equal to the first size; and

using the programmed computer to automatically execute at the third price, a sweep of a second portion of the market order, wherein the sum of the size of the first portion and the size of the second portion equals the sell size.

5. A method according to claim 4, further comprising:

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain; and

if orders at the third price remain, using the programmed computer to automatically quote the third price as the published bid to buy.

6. A method according to claim 4, further comprising:

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain;

if orders at the third price remain, using the programmed computer to automatically determine a new third size; and

using the programmed computer to automatically quote the new third size as a size of the published bid to buy.

7. A method implemented at least partially in a programmed computer for executing a securities order sweep, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published offer to sell shares of a security;

using the programmed computer to automatically determine a second price and second size of orders to sell shares of the security;

using the programmed computer to automatically determine a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price;

using the programmed computer to automatically receive a limit order to buy shares of the security with a limit price equal to the third price and a limit size greater than a sum of the first size and the second size;

using the programmed computer to automatically execute at the first price, a first portion of the limit order that is equal to the first size; and

using the programmed computer to automatically execute at the third price, a sweep of a second portion of the limit order.

8. A method according to claim 7, wherein the sum of the size of the first portion and the size of the second portion equals the limit size.

9. A method according to claim 7, wherein the sum of the size of the first portion and the size of the second portion is less than the limit size, the method further comprising:

using the programmed computer to automatically quote the limit price as a published bid to buy.

10. A method according to claim 7, wherein the sum of the size of the first portion and the size of the second portion is less than the limit size, the method further comprising:

using the programmed computer to automatically determine a new limit size by subtracting the size of the first portion and the size of the second portion from the limit size; and

using the programmed computer to automatically quote the new limit size as a published bid to buy.

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

using the programmed computer to automatically determine a first price and first size of a published bid to buy shares of a security;

using the programmed computer to automatically determine a second price and second size of orders to buy shares of the security;

using the programmed computer to automatically determine a third price and third size of orders to buy shares of the security, wherein the second price is less than the published offer and the third price is less than the second price;

using the programmed computer to automatically receive a limit order to sell shares of the security with a limit price equal to the third price and a limit size greater than a sum of the first size and the second size;

using the programmed computer to automatically execute at the first price, a first portion of the limit order that is equal to the first size; and

using the programmed computer to automatically execute at the third price, a sweep of a second portion of the limit order.

12. A method according to claim 11, wherein the sum of the size of the first portion and the size of the second portion equals the limit size.

13. A method according to claim 11, wherein the sum of the size of the first portion and the size of the second portion is less than the limit size, the method further comprising:

using the programmed computer to automatically quote the limit price as a published offer to sell.

14. A method according to claim 11, wherein the sum of the size of the first portion and the size of the second portion is less than the limit size, the method further comprising:

using the programmed computer to automatically determine a new limit size by subtracting the size of the first portion and the size of the second portion from the limit size; and

using the programmed computer to automatically quote the new limit size as a published offer to sell.

15. A method implemented at least partially in a programmed computer for executing a securities order sweep, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published offer to sell shares of a security;

using the programmed computer to automatically receive broker interest to sell the security at a second price and second size;

using the programmed computer to automatically determine a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price;

using the programmed computer to automatically receive a market order to buy shares of the security with a buy size greater than a sum of the first size and the second size;

using the programmed computer to automatically execute at the first price, a first portion of the market order that is equal to the first size; and

using the programmed computer to automatically execute at the third price, a sweep of a second portion of the market order, wherein the broker interest is the contra party for at least some of the second portion.

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

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain; and

if orders at the third price remain, using the programmed computer to automatically quote the third price as the published offer to sell.

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

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain;

if orders at the third price remain, using the programmed computer to automatically determine a new third size; and

using the programmed computer to automatically quote the new third size as a size of the published offer to sell.

18. A method implemented at least partially in a programmed computer for executing a securities order sweep, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published bid to buy shares of a security;

using the programmed computer to automatically receive broker interest to buy the security at a second price and second size;

using the programmed computer to automatically determine a third price and third size of orders to buy shares of the security, wherein the second price is less than the published bid and the third price is less than the second price;

using the programmed computer to automatically receive a market order to sell shares of the security with a sell size greater than a sum of the first size and the second size;

using the programmed computer to automatically execute at the first price, a first portion of the market order that is equal to the first size; and

using the programmed computer to automatically execute at the third price, a sweep of a second portion of the market order, wherein the broker interest is the contra party for at least some of the second portion.

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

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain; and

if orders at the third price remain, using the programmed computer to automatically quote the third price as the published bid to buy.

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

after executing at the third price, a sweep of a second portion of the market order, using the programmed computer to automatically determine whether any orders at the third price remain;

if orders at the third price remain, using the programmed computer to automatically determine a new third size; and

using the programmed computer to automatically quote the new third size as a size of the published bid to buy.

21. A system implemented at least partially in a programmed computer for executing a securities order sweep, the system comprising:

means for determining a first price and first size of a published offer to sell shares of a security;

means for determining a second price and second size of orders to sell shares of the security;

means for determining a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price;

means for receiving a market order to buy shares of the security with a buy size greater than a sum of the first size and the second size;

means for executing at the first price, a first portion of the market order that is equal to the first size; and

means for executing at the third price, a sweep of a second portion of the market order, wherein the sum of the size of the first portion and the size of the second portion equals the buy size.

22. A computer-readable medium having computer executable software code stored thereon, the code for executing a securities order sweep, the code comprising:

code to determine a first price and first size of a published offer to sell shares of a security;

code to determine a second price and second size of orders to sell shares of the security;

code to determine a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price;

code to receive a market order to buy shares of the security with a buy size greater than a sum of the first size and the second size;

code to execute at the first price, a first portion of the market order that is equal to the first size; and

code to execute at the third price, a sweep of a second portion of the market order, wherein the sum of the size of the first portion and the size of the second portion equals the buy size.

23. A programmed computer for executing a securities order sweep, 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 a first price and first size of a published offer to sell shares of a security;

code to determine a second price and second size of orders to sell shares of the security;

code to determine a third price and third size of orders to sell shares of the security, wherein the second price is greater than the published offer and the third price is greater than the second price;

code to receive a market order to buy shares of the security with a buy size greater than a sum of the first size and the second size;

code to execute at the first price, a first portion of the market order that is equal to the first size; and

code to execute at the third price, a sweep of a second portion of the market order, wherein the sum of the size of the first portion and the size of the second portion equals the buy size.