System and method for managing an imbalance in a hybrid auction market

• US 7,788,161 B2
• Filed: 07/15/2005
• Issued: 08/31/2010
• 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): CHEUNG, MARY DA ZHI WANG
• Application Number:
  US11/183,106
• Publication Number:
  US 20060015443A1
• Time in Patent Office: 1,873 Days
• Field of Search: 705/14.71, 705/26, 705/35, 705/36.R, 705/37, 705/80, 707/1, 707100-104
• 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 large market order to buy is received causing an imbalance. A portion of the market order is executed at a best offer price. A quote is changed from fast to slow, and a remaining unexecuted size of the market order is calculated. The unexecuted size of the market order is quoted at the best offer price, and the best bid size is quoted as 100 shares. The best bid price is quoted as a gap price. In a similar fashion a large market order to sell results in a gap quote.

Claims

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

receiving a market order to buy with a size that causes an imbalance;

executing a portion of the market order at an execution price, wherein the execution price is a best offer price;

changing a quote from fast to slow;

using the programmed computer to automatically calculate a remaining unexecuted size of the market order;

using the programmed computer to automatically set a new best bid price equal to the execution price;

using the programmed computer to automatically quote the unexecuted size of the market order at the new best bid price;

using the programmed computer to automatically quote a new best offer size as 100 shares; and

using the programmed computer to automatically quote the new best offer price as a gap price, wherein the gap price is the next even 50 cents greater than the new best bid price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best offer size serves to draw in sellers.

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

executing a manual trade; and

changing the quote from slow to fast.

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

receiving a market order to sell with a size that causes an imbalance;

executing a portion of the market order at an execution price, wherein the execution price is a best bid price;

changing a quote from fast to slow;

using the programmed computer to automatically calculate a remaining unexecuted size of the market order;

using the programmed computer to automatically set a new best offer price equal to the execution price;

using the programmed computer to automatically quote the unexecuted size of the market order at the new best offer price;

using the programmed computer to automatically quote a new best bid size as 100 shares; and

using the programmed computer to automatically quote the new best bid price as a a rice, wherein the a rice is the next even 50 cents less than the new best offer price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best bid size serves to draw in buyers.

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

executing a manual trade; and

changing the quote from slow to fast.

5. A system implemented in a programmed computer for executing a securities order, the system comprising:

means for receiving a market order to buy with a size that causes an imbalance;

means for executing a portion of the market order at an execution price, wherein the execution price is a best offer price;

means for changing a quote from fast to slow;

means for automatically calculating a remaining unexecuted size of the market order;

means for automatically setting a new best bid price equal to the execution price;

means for automatically quoting the unexecuted size of the market order at the new best bid price;

means for automatically quoting a new best offer size as 100 shares; and

means for automatically quoting the new best offer price as a gap price, wherein the gap price is the next even 50 cents greater than the new best bid price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best offer size serves to draw in sellers.

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

code to receive a market order to buy with a size that causes an imbalance;

code to execute a portion of the market order at an execution price, wherein the execution price is a best offer price;

code to change a quote from fast to slow;

code to calculate a remaining unexecuted size of the market order;

code to set a new best bid price equal to the execution price;

code to quote the unexecuted size of the market order at the new best bid price;

code to quote a new best offer size as 100 shares; and

code to quote the new best offer price as a gap price, wherein the gap price is the next even 50 cents greater than the new best bid price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best offer size serves to draw in sellers.

7. A programmed computer for executing a securities order, 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 receive a market order to buy with a size that causes an imbalance;

code to execute a portion of the market order at an execution price, wherein the execution price is a best offer price;

code to change a quote from fast to slow;

code to calculate a remaining unexecuted size of the market order;

code to set a new best bid price equal to the execution price;

code to quote the unexecuted size of the market order at the new best bid price;

code to quote a new best offer size as 100 shares; and

code to quote the new best offer price as a gap price, wherein the gap price is the next even 50 cents greater than the new best bid price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best offer size serves to draw in sellers.

8. A system implemented in a programmed computer for executing a securities order, the system comprising:

means for receiving a market order to sell with a size that causes an imbalance;

means for executing a portion of the market order at an execution price, wherein the execution price is a best bid price;

means for changing a quote from fast to slow;

means for automatically calculating a remaining unexecuted size of the market order;

means for automatically setting a new best offer price equal to the execution price;

means for automatically quoting the unexecuted size of the market order at the new best offer price;

means for automatically quoting a new best bid size as 100 shares; and

means for automatically quoting the new best bid price as a gap price, wherein the gap price is the next even 50 cents less than the new best offer price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best bid size serves to draw in buyers.

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

code to receive a market order to sell with a size that causes an imbalance;

code to execute a portion of the market order at an execution price, wherein the execution price is a best bid price;

code to change a quote from fast to slow;

code to calculate a remaining unexecuted size of the market order;

code to set a new best offer price equal to the execution price;

code to quote the unexecuted size of the market order at the new best offer price;

code to quote a new best bid size as 100 shares; and

code to quote the new best bid price as a gap price, wherein the gap price is the next even 50 cents less than the new best offer price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best bid size serves to draw in buyers.

10. A programmed computer for executing a securities order, 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 receive a market order to sell with a size that causes an imbalance;

code to execute a portion of the market order at an execution price, wherein the execution price is a best bid price;

code to change a quote from fast to slow;

code to calculate a remaining unexecuted size of the market order;

code to set a new best offer price equal to the execution price;

code to quote the unexecuted size of the market order at the new best offer price;

code to quote a new best bid size as 100 shares; and

code to quote the new best bid price as a gap price, wherein the gap price is the next even 50 cents less than the new best offer price and creates a wider-than-normal spread between the quoted new best bid and new best offer, and the combination of gap price and 100 share new best bid size serves to draw in buyers.