Block trading system and method providing price improvement to aggressive orders

• US 8,069,106 B2
• Filed: 03/11/2004
• Issued: 11/29/2011
• Est. Priority Date: 06/01/2000
• Status: Expired due to Term

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: Aritas Group, Inc.
• Inventors: Lopez, John E., Federspiel, Fred J., Waelbroeck, Henri
• Primary Examiner(s): Ebersman; Bruce I
• Application Number:
  US10/799,205
• Publication Number:
  US 20040210511A1
• Time in Patent Office: 2,819 Days
• Field of Search: 705/37, 705/35, 705/36.R, 705/38, 705/39, 705/40
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

The present invention comprises systems and methods for facilitation of electronic securities trading. A preferred system embodiment comprises a trade facilitation computer system comprising a facilitator module, a financial information exchange server, a transactional database, and an analytics server operative to calculate reference prices for securities. A preferred method embodiment comprises the steps of receiving market data for a security; calculating a reference price for the security; receiving a first order comprising a first price limit and a first quantity limit; receiving a second order contra to the first order and comprising a second price limit and a second quantity limit; and executing a trade comprising the first order and the second order at a price whose difference from the reference price is minimized, wherein the trade complies with the first and second price and first and second quantity limits.

Claims

1. A method for facilitating trading of securities over a computer system, comprising the steps of:

electronically receiving market data including prices for a security;

calculating with a first processor a reference price for said security based at least partially on said market data;

electronically storing said reference price in a computer readable medium;

electronically receiving a first order regarding said security from a first user, wherein said first order is a sell order that comprises a first price limit and a first quantity limit;

electronically storing said first order in a computer readable medium;

electronically receiving a second order regarding said security from a second user, wherein said second order is a buy order that is contra to said first order and comprises a second price limit that is less than said reference price and a second quantity limit;

electronically storing said second order in a computer readable medium;

comparing price aggression of said first order and said second order to said reference price; and

executing with a second processor a trade comprising said first order and said second order at a trade execution price different from said reference price, wherein said trade execution price complies with said first price limit and said second price limit, and wherein said trade execution price is calculated to minimize a difference between said reference price and said trade execution price and is based on said comparing price aggression of said first order and said second order to said reference price,

wherein said first and second processors may be the same processor.

2. A method as in claim 1, wherein said second user is allowed to increase price aggression only after the expiration of a predetermined period of time.

3. A method as in claim 1, wherein said reference price is based on recent market prices.

4. A method as in claim 1, further comprising displaying said reference price to one or more remotely located users by means of a graphic user interface.

5. A method for facilitating trading of securities over a computer system, comprising the steps of:

electronically receiving market data including prices for a security;

calculating with a first processor a reference price for said security based at least partially on said market data;

electronically storing said reference price in a computer readable medium;

electronically receiving a first order regarding said security from a first user, wherein said first order is a sell order that comprises a first price limit that is greater than said reference price and a first quantity limit;

electronically storing said first order in a computer readable medium;

electronically receiving a second order regarding said security from a second user, wherein said second order is a buy order that is contra to said first order and comprises a second price limit and a second quantity limit;

electronically storing said second order in a computer readable medium;

comparing price aggression of said first order and said second order to said reference price; and

executing with a second processor a trade comprising said first order and said second order at a trade execution price that is different from said reference price, wherein said trade execution price complies with said first price limit and said second price limit, and wherein said trade execution price is calculated to minimize a difference between said reference price and said trade execution price and is based on said comparing price aggression of said first order and said second order to said reference price,

wherein said first and second processors may be the same processor.

6. A method as in claim 5, wherein said second user is allowed to increase price aggression only after the expiration of a predetermined period of time.

7. A method as in claim 5, wherein said reference price is based on recent market prices.

8. A method as in claim 5, further comprising displaying said reference price to one or more remotely located users by means of a graphic user interface.

9. A method for facilitating trading of securities over a computer system, comprising the steps of:

electronically receiving market data including prices for a security;

calculating with a first processor a reference price for said security based at least partially on said market data;

electronically storing said reference price in a computer readable medium;

electronically receiving a first order regarding said security from a first user, wherein said first order is a buy order that comprises a first price limit that is less than said reference price and a first quantity limit;

electronically storing said first order in a computer readable medium;

electronically receiving a second order regarding said security from a second user, wherein said second order is a sell order that is contra to said first order and comprises a second price limit and a second quantity limit;

electronically storing said second order in a computer readable medium;

comparing price aggression of said first order and said second order to said reference price, and

executing with a second processor a trade comprising said first order and said second order at a trade execution price that is different from said reference price, wherein said trade execution price complies with said first price limit and said second price limit, and wherein said trade execution price is calculated to minimize a difference between said reference price and said trade execution price and is based on said comparing price aggression of said first order and said second order to said reference price,

wherein said first and second processors may be the same processor.

10. A method as in claim 9, wherein said second user is allowed to increase price aggression only after the expiration of a predetermined period of time.

11. A method as in claim 9, wherein said reference price is based on recent market prices.

12. A method as in claim 9, further comprising displaying said reference price to one or more remotely located users by means of a graphic user interface.

13. A method for facilitating trading of securities over a computer system, comprising the steps of:

electronically receiving market data including prices for a security;

calculating with a first processor a reference price for said security based at least partially on said market data;

electronically storing said reference price in a computer readable medium;

electronically receiving a first order regarding said security from a first user, wherein said first order is a buy order that comprises a first price limit and a first quantity limit;

electronically storing said first order in a computer readable medium;

electronically receiving a second order regarding said security from a second user, wherein said second order is a sell order that is contra to said first order and comprises a second price limit that is greater than said reference price, and a second quantity limit;

electronically storing said second order in a computer readable medium;

comparing price aggression of said first order and said second order to said reference price, and

executing with a second processor a trade comprising said first order and said second order at a trade execution price different from said reference price, wherein said trade execution price complies with said first price limit and said second price limit, and wherein said trade execution price is calculated to minimize a difference between said reference price and said trade execution price and is based on said comparing price aggression of said first order and said second order to said reference price,

wherein said first and second processors may be the same processor.

14. A method as in claim 13, wherein said second user is allowed to increase price aggression only after the expiration of a predetermined period of time.

15. A method as in claim 13, wherein said reference price is based on recent market prices.

16. A method as in claim 13, further comprising displaying said reference price to one or more remotely located users by means of a graphic user interface.