System and method for publishing liquidity replenishment prices in a hybrid auction market

• US 8,024,247 B2
• Filed: 07/15/2005
• Issued: 09/20/2011
• 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): CAMPEN, KELLY SCAGGS
• Application Number:
  US11/183,043
• Publication Number:
  US 20060015442A1
• Time in Patent Office: 2,258 Days
• Field of Search: 705/37, 705/36.R, 705/35, 705/1, 705/26, 705/39, 705/1.1
• US Class Current: 705/36.00R
• 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 system and method determines both a sweep liquidity offer price, and a momentum liquidity offer price. If the sweep liquidity offer price is less than the momentum liquidity offer price, the system and method publishes the sweep liquidity offer price. If the sweep liquidity offer price is greater than the momentum liquidity offer price, the system and method publishes the momentum liquidity offer price. In a similar fashion the system and method determines a sweep liquidity bid price and a momentum liquidity bid price, they are compared and the system and method publishes one.

Claims

1. A method implemented by a securities exchange at least partially in a programmed computer for publishing security offer information, the method comprising:

determining by the programmed computer, a current best offer price for a particular security;

determining by the programmed computer, a sweep liquidity offer price, where the sweep liquidity offer price is a first price difference greater than the current best offer price for the particular security;

determining by the programmed computer, a lowest price of the particular security within an immediately preceding time period;

determining by the programmed computer, a momentum liquidity offer price, where the momentum liquidity offer price is a second price difference greater than the lowest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity offer price and the momentum liquidity offer price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

determining by the programmed computer, whether the sweep liquidity offer price is less than or greater than the momentum liquidity offer price;

publishing by the programmed computer, the sweep liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is less than the momentum liquidity offer price; and

publishing by the programmed computer, the momentum liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is greater than the momentum liquidity offer price.

2. The method according to claim 1, wherein the first price difference is five cents.

3. The method according to claim 1, wherein the second price difference is twenty-five cents.

4. The method according to claim 1, wherein the second price difference is one percent of the particular security price.

5. The method according to claim 1, wherein the immediately preceding time period is 30 seconds.

6. A method implemented by a securities exchange at least partially in a programmed computer for publishing security bid information, the method comprising:

determining by the programmed computer, a current best bid price for a particular security;

determining by the programmed computer, a sweep liquidity bid price, where the sweep liquidity bid price is a first price difference less than the current best bid price for the particular security;

determining by the programmed computer, a highest price of the particular security within an immediately preceding time period;

determining by the programmed computer, a momentum liquidity bid price, where the momentum liquidity bid price is a second price difference less than the highest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity bid price and the momentum liquidity bid price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

determining by the programmed computer, whether the sweep liquidity bid price is greater than or less than the momentum liquidity bid price;

publishing by the programmed computer, the sweep liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is greater than the momentum liquidity bid price; and

publishing by the programmed computer, the momentum liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is less than the momentum liquidity bid price.

7. The method according to claim 6, wherein the first price difference is five cents.

8. The method according to claim 6, wherein the second price difference is twenty-five cents.

9. The method according to claim 6, wherein the second price difference is one percent of the particular security price.

10. The method according to claim 6, wherein the immediately preceding time period is 30 seconds.

11. A system for publishing security offer information, comprising:

means for automatically determining a current best offer price for a particular security;

means for automatically determining a sweep liquidity offer price, where the sweep liquidity offer price is a first price difference greater than the current best offer price for the particular security;

means for automatically determining a lowest price of the particular security within an immediately preceding time period;

means for automatically determining a momentum liquidity offer price, where the momentum liquidity offer price is a second price difference greater than the lowest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity offer price and the momentum liquidity offer price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

means for automatically determining whether the sweep liquidity offer price is less than or greater than the momentum liquidity offer price;

means for automatically publishing the sweep liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is less than the momentum liquidity offer price; and

means for automatically publishing the momentum liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is greater than the momentum liquidity offer price.

12. The system according to claim 11, wherein the first price difference is five cents.

13. The system according to claim 11, wherein the second price difference is twenty-five cents.

14. The system according to claim 11, wherein the second price difference is one percent of the particular security price.

15. The system according to claim 11, wherein the immediately preceding time period is 30 seconds.

16. A computer-executable program tangibly embodied on a non-transitory computer-readable medium as computer executable software code, the code for publishing security offer information, the code comprising:

code to automatically determine a current best offer price for a particular security;

code to automatically determine a sweep liquidity offer price, where the sweep liquidity offer price is a first price difference greater than the current best offer price for the particular security;

code to automatically determine a lowest price of the particular security within an immediately preceding time period;

code to automatically determine a momentum liquidity offer price, where the momentum liquidity offer price is a second price difference greater than the lowest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity offer price and the momentum liquidity offer price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

code to automatically determine whether the sweep liquidity offer price is less than or greater than the momentum liquidity offer price;

code to publish the sweep liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is less than the momentum liquidity offer price; and

code to publish the momentum liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is greater than the momentum liquidity offer price.

17. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 16, wherein the first price difference is five cents.

18. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 16, wherein the second price difference is twenty-five cents.

19. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 16, wherein the second price difference is one percent of the particular security price.

20. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 16, wherein the immediately preceding time period is 30 seconds.

21. A programmed computer for publishing security offer information, 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 automatically determine a current best offer price for a particular security;

code to automatically determine a sweep liquidity offer price, where the sweep liquidity offer price is a first price difference greater than the current best offer price for the particular security;

code to automatically determine a lowest price of the particular security within an immediately preceding time period;

code to automatically determine a momentum liquidity offer price, where the momentum liquidity offer price is a second price difference greater than the lowest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity offer price and the momentum liquidity offer price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

code to automatically determine whether the sweep liquidity offer price is less than or greater than the momentum liquidity offer price;

code to publish the sweep liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is less than the momentum liquidity offer price; and

code to publish the momentum liquidity offer price as the most restrictive offer liquidity price, if the sweep liquidity offer price is greater than the momentum liquidity offer price.

22. The programmed computer according to claim 21, wherein the first price difference is five cents.

23. The programmed computer according to claim 21, wherein the second price difference is twenty-five cents.

24. The programmed computer according to claim 21, wherein the second price difference is one percent of the particular security price.

25. The programmed computer according to claim 21, wherein the immediately preceding time period is 30 seconds.

26. A system for publishing security bid information, comprising:

means for automatically determining a current best bid price for a particular security;

means for automatically determining a sweep liquidity bid price, where the sweep liquidity bid price is a first price difference less than the current best bid price for the particular security;

means for automatically determining a highest price of the particular security within an immediately preceding time period;

means for automatically determining a momentum liquidity bid price, where the momentum liquidity bid price is a second price difference less than the highest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity bid price and the momentum liquidity bid price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

means for automatically determining whether the sweep liquidity bid price is greater than or less than the momentum liquidity bid price;

means for automatically publishing the sweep liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is greater than the momentum liquidity bid price; and

means for automatically publishing the momentum liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is less than the momentum liquidity bid price.

27. The system according to claim 26, wherein the first price difference is five cents.

28. The system according to claim 26, wherein the second price difference is twenty-five cents.

29. The system according to claim 26, wherein the second price difference is one percent of the particular security price.

30. The system according to claim 26, wherein the immediately preceding time period is 30 seconds.

31. A computer-executable program tangibly embodied on a non-transitory computer-readable medium as computer executable software code, the code for publishing security bid information, the code comprising:

code to automatically determine a current best bid price for a particular security;

code to automatically determine a sweep liquidity bid price, where the sweep liquidity bid price is a first price difference less than the current best bid price for the particular security;

code to automatically determine a highest price of the particular security within an immediately preceding time period;

code to automatically determine a momentum liquidity bid price, where the momentum liquidity bid price is a second price difference less than the highest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity bid price and the momentum liquidity bid price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

code to automatically determine whether the sweep liquidity bid price is greater than or less than the momentum liquidity bid price;

code to publish the sweep liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is greater than the momentum liquidity bid price; and

code to publish the momentum liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is less than the momentum liquidity bid price.

32. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 31, wherein the first price difference is five cents.

33. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 31, wherein the second price difference is twenty-five cents.

34. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 31, wherein the second price difference is one percent of the particular security price.

35. The computer-executable program tangibly embodied on a computer-readable medium as computer executable software code according to claim 31, wherein the immediately preceding time period is 30 seconds.

36. A programmed computer for publishing security bid information, 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 automatically determine a current best bid price for a particular security;

code to automatically determine a sweep liquidity bid price, where the sweep liquidity bid price is a first price difference less than the current best bid price for the particular security;

code to automatically determine a highest price of the particular security within an immediately preceding time period;

code to automatically determine a momentum liquidity bid price, where the momentum liquidity bid price is a second price difference less than the highest price of the particular security within the immediately preceding time period, and wherein the sweep liquidity bid price and the momentum liquidity bid price are price points at which the market for the particular security converts from automatic execution to auction market trading only without automatic execution, and automatic execution of the particular security resumes only after passage of a predetermined time;

code to automatically determine whether the sweep liquidity bid price is greater than or less than the momentum liquidity bid price;

code to publish the sweep liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is greater than the momentum liquidity bid price; and

code to publish the momentum liquidity bid price as the most restrictive bid liquidity price, if the sweep liquidity bid price is less than the momentum liquidity bid price.

37. The programmed computer according to claim 36, wherein the first price difference is five cents.

38. The programmed computer according to claim 36, wherein the second price difference is twenty-five cents.

39. The programmed computer according to claim 36, wherein the second price difference is one percent of the particular security price.

40. The programmed computer according to claim 36, wherein the immediately preceding time period is 30 seconds.