System for matching orders for futures contracts which facilitate electronic trading of over the counter futures contracts

• US 8,001,036 B2
• Filed: 05/30/2006
• Issued: 08/16/2011
• Est. Priority Date: 05/30/2006
• Status: Active Grant

• Current Assignee: TP Icap Americas Holdings Inc. (TP ICAP Plc)
• Original Assignee: Altex-ATS Ltd. (TP ICAP Plc)
• Inventors: Macleod, Jamie, Brown, Simon G., Noles, Kevin
• Primary Examiner(s): Subramanian; Narayanswamy
• Application Number:
  US11/442,858
• Publication Number:
  US 20070294160A1
• Time in Patent Office: 1,904 Days
• Field of Search: 705 35- 37
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

An electronic trading system and method is disclosed for matching orders for various asset classes including futures contracts and the subsequent settlement and clearance of such contracts. The electronic trading system is configured to be connected to one or more electronic exchanges and is also configured to interface with the existing infrastructure of the front office software of a trading firm, broker or dealer to provide the best fill for traders by enabling electronic trades to be executed both on the exchange and over the counter. In one embodiment of the invention, a local order book is established thereby establishing an independent pool of liquidity of the asset class of interest.

Claims

1. A computerized method for handling orders for an asset, the method comprising the steps of:

checking whether an order received from an order handling system for an asset is within predetermined price limits, and rejecting the received order if it is not within the predetermined price limits, otherwise, performing the following steps;

a computerized matching engine determining whether the received order matches any previous contra-side order that the order handling system had previously sent to an electronic exchange;

if the determining determines that there is no matching previous contra-side order, sending the received order to the electronic exchange; and

if the determining determines that there is a matching previous contra-side order, the matching engine generating an instruction to the electronic exchange to revise the previous contra-side order sent to the electronic exchange and the matching engine performing a non-exchange based trade based on the order received from the order handling system and the matching previous contra-side order.

2. The method as recited in claim 1, wherein said asset is a futures contract or an options contract.

3. The method as recited in claim 1, further including the step of said received order being filled according to predetermined constraints.

4. The method as recited in claim 3, further including the step of said received order being filled as an over the counter only order or as a preferred order that can be filled either over the counter or on the exchange.

5. The method as recited in claim 4, wherein said step of said received order being filled as over the counter only order or as a preferred order that can be filled either over the counter or on the exchange results in the preferred order being filled at a best price.

6. The method as recited in claim 5, further including the step of checking the exchange for a price of a matching order to the received order on the exchange.

7. The method as recited in claim 6, further comprising filling the received order at a price equal to the price of the matching order on the exchange.

8. The method as recited in claim 7, further including the step of:

sending a received order that can not be filled as an over the counter order to the exchange.

9. The method as recited in claim 8, further including the step of keeping track of an order book on the exchange.

10. The method as recited in claim 9, further including the step of checking the order book on the exchange and retrieving orders from the exchange on the exchange order book that can be matched with the received order to enable an over the counter trade.

11. The method as recited in claim 9, further including the step of maintaining a local order book, separate from said order book on said exchange.

12. An order handling system for handling orders for an asset, the system being configured to check whether a received order is within predetermined rice limits and rejecting the order if it is not within the predetermined price limits, and the system comprising:

one or more computers of a matching engine being arranged to determine whether a non-rejected received order matches any previous contra-side order that the system had previously sent to an electronic exchange;

wherein, if it is determined that there is no matching previous contra-side order the system sends the non-rejected received order to the electronic exchange; and

wherein, if it is determined that there is a matching previous contra-side order, the matching engine (a) generates an instruction to the electronic exchange to revise the matching previous contra-side order sent to the electronic exchange and (b) performs a non-exchange based trade based on the non-rejected received order and the matching previous contra-side order.

13. The system as recited in claim 12, wherein said asset is a futures contract or an options contract.

14. An electronic trading system, comprising:

an order handling system for handling orders for an asset, the order handling system being configured to check whether a received order is within predetermined price limits and rejecting the order if it is not within the predetermined price limits,

the order handling system comprising;

one or more order input devices structured to receive an order for an asset; and

a matching engine that matches non-rejected orders received by the one or more order input devices,

the matching engine being arranged to determine whether a non-rejected order matches any previous contra-side order that the, order handling system had previously sent to an electronic exchange;

wherein, if it is determined that there is no matching previous contra-side order, the order handling system sends the non-rejected received order to the electronic exchange; and

wherein, if it is determined that there is a matching the a previous contra-side order, the matching engine (a) generates an instruction to the electronic exchange to revise the matching previous contra-side order sent to the electronic exchange and (b) performs a non-exchange based trade based on the non-rejected received order and the matching previous contra-side order.

15. The electronic trading system as recited in claim 14, wherein said electronic trading system is configured such that said received order may be filled as either an over the counter only order or a preferred order which can be filled either over the counter or on the exchange.

16. The electronic trading system as recited in claim 15, wherein said electronic trading system is configured so that said preferred order is filled at a best price.

17. The electronic trading system as recited in claim 15, wherein said electronic trading system is configured to keep track of an order book on the electronic exchange.

18. The electronic trading system as recited in claim 16, wherein said electronic trading system is configured to retrieve orders from the exchange for over the counter trades.

19. The electronic trading system as recited in claim 17, wherein said electronic trading system is configured to maintain a local order book separate from said order book on said exchange.

20. A tangible computer readable medium that stores a computer program that, when executed by a computerized matching engine that matches orders submitted to an order handling system for handling orders for an asset, causes the computerized matching engine to perform the steps of:

checking whether an order received from an order handling system for an asset is within predetermined price limits, and rejecting the received order if it is not within the predetermined price limits, otherwise, performing the following steps;

determining whether the received order matches any previous contra-side order that the order handling system had previously sent to an electronic exchange;

if the determining determines that there is no matching previous contra-side order, sending the received order to the electronic exchange; and

if the determining determines that there is a matching previous contra-side order, the computerized matching engine generating an instruction to the electronic exchange to revise the previous contra-side order sent to the electronic exchange and the computerized matching engine performing a non-exchange based trade based on the received order and the matching previous contra-side order.