Automatic generation of an order in an instrument in a specified currency

• US 8,027,901 B2
• Filed: 05/23/2003
• Issued: 09/27/2011
• Est. Priority Date: 05/23/2003
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: Sellberg, Lars-Ivar, Dackberg, Claes Urban, Wennerberg, Christer
• Primary Examiner(s): Kramer; James
• Assistant Examiner(s): WONG, ERIC TAK WAI
• Application Number:
  US10/444,091
• Publication Number:
  US 20040236664A1
• Time in Patent Office: 3,049 Days
• Field of Search: 705/35, 705/37, 705/27
• US Class Current: 705/37
• 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

In an automated trading system wherein orders in an instrument in a specified currency are received and a trade in the instrument is performed when, for a certain volume of the instrument, a bid price matches an ask price, a method is provided for automatically generating an order in the instrument in said specified currency. The method comprised the steps of receiving from e.g. a currency market or a market maker a current exchange rate between a currency other than said specified currency and the specified currency; receiving from a trader an order in the instrument in said other currency; calculating a price of the order in the specified currency based on the received order and the current exchange rate; and generating the order in the instrument in the specified currency.

Claims

1. In an automated trading system wherein orders in an instrument in a specified currency are received and a trade in said instrument is performed when, for a certain volume of said instrument, an instrument bid price matches an instrument ask price, a method for automatically generating an order in said instrument priced in said specified currency, comprising:

said automated trading system repeatedly and automatically receiving, from an external source, an updated exchange rate between a currency other than said specified currency and said specified currency, wherein a last updated exchange rate received is a current exchange rate that is guaranteed at least until a next updated exchange rate is received;

said automated trading system receiving, from a trader, an order in said instrument priced in said other currency; and

said automated trading system calculating a price of said order in said specified currency based on said received order and said current exchange rate; and

said automated trading system generating said order in said instrument priced in said specified currency in an order book,

wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders,

wherein said order book includes a plurality of instrument ask orders priced in said specified currency, each with a different instrument ask price from at least one other instrument ask order of said plurality of instrument ask orders, and

wherein the method further comprises said automated trading system performing a trade in said instrument between said generated order in said order book and another order in said order book and performing a currency transaction to convert between said other currency and said specified currency when said generated order is matched by said another order, wherein said trade and said currency transaction are performed concurrently.

2. The method of claim 1, further comprising:

said automated trading system adjusting, when said updated exchange rate between said other currency and said specified currency is received subsequent to generating said order in said instrument priced in said specified currency, said generated order to reflect said updated exchange rate received subsequent to said generating said order.

3. The method of claim 2, wherein said adjusting said generated order is performed each time said updated exchange rate between said other currency and said specified currency is received subsequent to said step of generating said order or subsequent to said step of adjusting said generated order to reflect said updated exchange rates received.

4. The method of claim 1, wherein said external source is a market maker, and said market maker guarantees to perform a currency transaction based on said current exchange rate.

5. The method of claim 1, wherein said external source is a currency market in which bids and offers in currencies are received, the method further comprising:

said automated trading system performing a currency trade in said currency market between said other currency and said specified currency when, for a certain amount of said other currency, a currency bid price matches a currency ask price, wherein said received updated exchange rate is determined based on bids or offers in said specified currency.

6. The method of claim 1, wherein

said order received from said trader is an instrument bid order priced in said other currency, and

said current exchange rate between said other currency and said specified currency reflects a buying price for buying said specified currency.

7. The method of claim 1, wherein

said order received from said trader is an instrument ask order priced in said other currency, and

said current exchange rate between said other currency and said specified currency reflects a selling price for selling said specified currency.

8. The method of claim 1, wherein said other currency is selected from a group of available currencies.

9. A non-transitory computer readable medium having a program recorded therein, said program comprising software code portions for a computer of an automated trading system wherein orders in an instrument in a specified currency are received and a trade in said instrument is performed when, for a certain volume of said instrument, an instrument bid price matches an instrument ask price, said software code portion causing the computer to perform a method for automatically generating an order in said instrument priced in said specified currency, the method comprising:

repeatedly and automatically receiving, from an external source, an updated exchange rate between a currency other than said specified currency and said specified currency, wherein a last updated exchange rate received is a current exchange rate that is guaranteed at least until a next dated exchange rate is received;

receiving, from a trader, an order in said instrument priced in said other currency; and

calculating a price of said order in said specified currency based on said received order and said current exchange rate; and

generating said order in said instrument priced in said specified currency in an order book,

wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders, and

wherein said order book includes a plurality of instrument ask orders priced in said specified currency, each with a different instrument ask price from at least one other instrument ask order of said plurality of instrument ask orders, and

wherein the method further comprises performing a trade in said instrument between said generated order in said order book and another order in said order book and performing a currency transaction to convert between said other currency and said specified currency when said generated order is matched by said another order, wherein said trade and said currency transaction are performed concurrently.

10. An automated trading system, comprising:

a computing device configured to implement an instrument trading module, an order receiving module, a currency exchange rate receiving module, a price calculating module, and a currency trading module,

wherein said instrument trading module is arranged to perform a trade in an instrument priced in a specified currency when, for a certain volume of said instrument, an instrument bid price matches an instrument ask price,

wherein said order receiving module is arranged to receive, from a trader, an order in said instrument priced in a currency other than said specified currency,

wherein said currency exchange rate receiving module is arranged to repeatedly and automatically receive, from an external source, an updated exchange rate between said other currency and said specified currency, wherein a last updated exchange rate received is a current exchange rate that is guaranteed at least until a next updated exchange rate is received,

wherein said price calculating module is arranged to calculate a price of said order in said specified currency based on said received order and said current exchange rate,

wherein said order generating module is arranged to generate said order priced in said instrument in said specified currency in an order book,

wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders,

wherein said order book includes a plurality of instrument ask orders priced in said specified currency, each with a different instrument ask price from at least one other instrument ask order of said plurality of instrument ask orders,

wherein said instrument trading module is arranged to perform a trade in said instrument between said generated order in said order book and another order in said order book when said generated order in said instrument priced in said specified currency is matched by said another order,

wherein said currency trading module is arranged to perform a currency transaction between said other currency and said specified currency when said generated order in said instrument priced in said specified currency is matched by said another order, and

wherein said instrument trading module and said currency trading module concurrently perform said trade in said instrument and said currency transaction.

11. The automated trading system of claim 10, wherein when said updated exchange rate between said other currency and said specified currency is received subsequent to said generation of said order in said instrument priced in said specified currency, said order generating module adjusts said generated order to reflect said updated exchange rate received subsequent to said generation of said order.

12. The automated trading system of claim 11, wherein said order generating module is adapted to adjust said generated order each time said updated exchange rate between said other currency and said specified currency is received subsequent to said generation of said order or subsequent to said adjustment of said generated order to reflect said updated exchange rates received.

13. The automated trading system of claim 10,

wherein said external source is a market maker, and

wherein said market maker guarantees to perform a currency transaction based on said current exchange rate.

14. The automated trading system of claim 10,

wherein said external source is a currency market in which bids and offers in currencies are received, and

wherein said currency trading module is arranged to perform said currency transaction in said currency market between said other currency and said specified currency when, for a certain amount of said other currency, a currency bid price matches a currency ask price, wherein said received updated exchange rate is determined based on currency bids or offers in said specified currency.

15. The automated trading system of claim 10, wherein

said order received from said trader is an instrument bid order priced in said other currency, and

said current exchange rate between said other currency and said specified currency reflects a buying price for buying said specified currency.

16. The automated trading system of claim 10, wherein

said order received from said trader is an instrument ask order priced in said other currency, and

said current exchange rate between said other currency and said specified currency reflects a selling price for selling said specified currency.

17. The automated trading system of claim 10, wherein said other currency is selected from a group of available currencies.

18. In an automated trading system wherein orders in an instrument priced in a specified currency are received and a trade in said instrument is performed when, for a certain volume of said instrument, an instrument bid price matches an instrument ask price, and wherein orders in said specified currency are received and a trade in said specified currency is performed when, for a certain amount of said specified currency, a currency bid price matches a currency ask price, a method for automatically generating an order in said instrument priced in said specified currency, comprising:

said automated trading system receiving, from a trader, a first order in said instrument priced in another currency;

said automated trading system forming a combination order comprising a second order in said instrument priced in said specified currency and a third order in said specified currency priced in said other currency based on said first order;

said automated trading system performing, when said combination order is matched by an existing order in an order book, a trade in said instrument priced in said specified currency and a currency transaction between said specified currency and said another currency simultaneously; and

said automated trading system generating, when said combination order is not matched by any existing order in said order book, a derived order in said instrument, in said specified currency, or both in said order book,

wherein said derived order is formed so that when said derived order is matched by any existing order in said order book, said first and second orders of said combination order are automatically matched by existing orders in said order book, and trades in said instrument priced in said specified currency and said currency transaction between said specified currency and said another currency are performed simultaneously,

wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders, and

wherein said order book includes a plurality of instrument sell orders priced in said specified currency, each with a different instrument sell price from at least one other instrument sell order of said plurality of instrument sell orders.

19. The method of claim 18, wherein

said order book includes a plurality of currency bid orders between said other currency and said specified currency each with a different currency bid price from at least one other currency bid order of said plurality of currency bid orders, and

said order book includes a plurality of currency sell orders between said other currency and said specified currency each with a different currency sell price from at least one other currency sell order of said plurality of currency sell orders.

20. The method of claim 18, wherein

when said order from said trader is a bid order to buy a bid volume of said instrument at a first bid price per said instrument expressed in said other currency, said derived order includes one or both of

a derived instrument bid order to buy said bid volume of said instrument at a second bid price per instrument expressed in said specified currency, said second bid price being based on a best currency ask order, from a perspective of a buyer, in said order book between said other currency and said specified currency, and

a derived currency bid order to buy a volume of said specified currency sufficient to buy said bid volume of said instrument at a third bid price expressed as a ratio of said other currency and said specified currency, said third bid price being based on a best instrument ask order, from said perspective of said buyer, in said specified currency in said order book, and

when said order from said trader is an ask order to sell an ask volume of said instrument at a first ask price per said instrument expressed in said other currency, said derived order includes one or both of

a derived instrument ask order to sell said ask volume of said instrument at a second ask price per instrument expressed in said specified currency, said second ask price being based on a best currency bid order, from a perspective of a seller, in said order book between said other currency and said specified currency, and

a derived currency ask order to sell a volume of said specified currency sufficient to sell said ask volume of said instrument at a third ask price expressed as a ratio of said other currency and said specified currency, said third ask price being based on a best instrument bid order, from said perspective of said seller, in said specified currency in said order book.

21. The method of claim 20, further comprising:

said automated trading system adjusting said derived order based on changes to said order book; and

said automated trading system performing, when said adjusted derived order is matched by any existing order in said order book, a trade in said instrument and said specified currency simultaneously.

22. In a client-based trader system connectable to a server-based trading system wherein orders in an instrument traded in a specified currency are received in said specified currency and in a currency other than said specified currency, an exchange rate between a currency other than said specified currency and said specified currency is received repeatedly, and when an order in said instrument priced in said other currency is received from a trader, a price of said order in said specified currency is calculated based on said received order and the last received exchange rate, said order in said instrument is generated in said specified currency, and when said order in said instrument generated in said specified currency is matched by another order, a trade in said instrument and a currency transaction are performed concurrently, a method for automatically trading in said instrument priced in said currency other than said specified currency, comprising:

said client-based trader system sending to said server-based trading system a buy or sell order in said instrument priced in said other currency;

said client-based trader system receiving information of said buy or sell order in said instrument priced in said specified currency from said server-based trading system, wherein a price of said buy or sell order in said instrument priced in said specified currency is based on a guaranteed exchange rate; and

when said buy or sell order in said instrument priced in said specified currency is matched on the market, said client-based trader system receiving information of a trade in said instrument and a currency transaction as performed concurrently by said server-based trading system,

wherein said buy or sell order in said instrument is generated in said server-based trading system in an order book,

wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders, and

wherein said order book includes a plurality of instrument ask orders priced in said specified currency, each with a different instrument ask price from at least one other instrument ask order of said plurality of instrument ask orders.

23. An automated trading system in which orders in an instrument priced in a specified currency are received and a trade in said instrument is performed when, for a certain volume of said instrument, an instrument bid price matches an instrument ask price, and wherein orders in said specified currency are received and a currency transaction between said specified currency and another currency is performed when, for a certain amount of said specified currency, a currency bid price matches a currency ask price, said system comprising:

a computing device configured to implement an order receiving module, a combination order generating module, an instrument trading module, and a derived order generating module,

wherein said order receiving module is arranged to receive, from a trader, a first order in said instrument priced in said another currency,

wherein said combination order generating module is arranged to generate a combination order comprising a second order in said instrument priced in said specified currency and a third order in said specified currency priced in said other currency based on said first order,

wherein said instrument trading module is arranged to perform a trade in said instrument priced in said specified currency and a currency transaction between said specified currency and said another currency simultaneously when said combination order is matched by an existing order an order book,

wherein said derived order generating module is arranged to generate, when said combination order is not matched by any existing order in said order book, a derived order in said instrument, in said specified currency, or both in an order book,

wherein said derived order is formed so that when said derived order is matched by any existing order in said order book, said first and second orders of said combination order are automatically matched by existing orders in said order book, and trades in said instrument priced in said specified currency and said currency transaction between said specified currency and said another currency are performed simultaneously,

wherein said order book includes a plurality of instrument bid orders priced in said specified currency, each with a different instrument bid price from at least one other instrument bid order of said plurality of instrument bid orders, and

wherein said order book includes a plurality of instrument sell orders priced in said specified currency, each with a different instrument sell price from at least one other instrument sell order of said plurality of instrument sell orders.

24. The automated trading system of claim 23, wherein

said order book includes a plurality of currency bid orders between said other currency and said specified currency each with a different currency bid price from at least one other currency bid order of said plurality of currency bid orders, and

said order book includes a plurality of currency sell orders between said other currency and said specified currency each with a different currency sell price from at least one other currency sell order of said plurality of currency sell orders.

25. The automated trading system of claim 23, wherein

when said order from said trader is a bid order to buy a bid volume of said instrument at a first bid price per said instrument expressed in said other currency, said derived order includes one or both of

a derived instrument bid order to buy said bid volume of said instrument at a second bid price per instrument expressed in said specified currency, said second bid price being based on a best currency ask order, from a perspective of a buyer, in said order book between said other currency and said specified currency, and

a derived currency bid order to buy a volume of said specified currency sufficient to buy said bid volume of said instrument at a third bid price expressed as a ratio of said other currency and said specified currency, said third bid price being based on a best instrument ask order, from said perspective of said buyer, in said specified currency in said order book, and

when said order from said trader is an ask order to sell an ask volume of said instrument at a first ask price per said instrument expressed in said other currency, said derived order includes one or both of

a derived instrument ask order to sell said ask volume of said instrument at a second ask price per instrument expressed in said specified currency, said second ask price being based on a best currency bid order, from a perspective of a seller, in said order book between said other currency and said specified currency, and

a derived currency ask order to sell a volume of said specified currency sufficient to sell said ask volume of said instrument at a third ask price expressed as a ratio of said other currency and said specified currency, said third ask price being based on a best instrument bid order, from said perspective of said seller, in said specified currency in said order book.

26. The automated trading system of claim 25, wherein

said derived order generating module is arranged to adjust said derived order based on changes to said order book;

and

said instrument trading module is arranged to perform, when said adjusted derived order is matched by any existing order in said order book, a trade in said instrument and said specified currency simultaneously.