Trade execution methods and systems

• US 8,073,763 B1
• Filed: 09/20/2006
• Issued: 12/06/2011
• Est. Priority Date: 09/20/2005
• Status: Active Grant

• Current Assignee: Liquidnet Holdings Incorporated (Liquidnet Incorporated)
• Original Assignee: Liquidnet Holdings Incorporated (Liquidnet Incorporated)
• Inventors: Merrin, Seth I., Greenblatt, Steven B., Halloran, John J., Gutman, Ilya, Lupowitz, Kevin M.
• Primary Examiner(s): JOHNSON, GREGORY L
• Application Number:
  US11/533,675
• Time in Patent Office: 1,903 Days
• Field of Search: None
• 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

The present invention is directed to the field of securities trading. One embodiment of the present invention relates to securities trading using electronic systems. Another embodiment of the present invention relates to a computer implemented trade execution method, comprising: sending from an execution venue to each of a plurality of smart order routers a notification message; receiving at each of the smart order routers the notification message sent thereto, wherein the notification message notifies each of the smart order routers about the presence of a non-displayed priced order at the execution venue; sending from at least one of the smart order routers to the execution venue at least one order to execute against the non-displayed priced order; receiving at the execution venue each order sent from each of the smart order routers; and executing at least one order received from at least one of the smart order routers against the non-displayed priced order.

Claims

1. A computer implemented trade execution method comprising:

obtaining, by a computer, from a plurality of order management systems, records of open orders to trade securities that meet at least one pre-determined filtering condition;

determining, by the computer, from the records of open orders, based, at least in part, on a historical trading data of an execution venue, at least one open order that can be at least partially executed at the execution venue thereby resulting in at least one opportunity;

providing, to at least one trader, the at least one opportunity;

receiving, by the computer, from at least one trader, at least one non-displayed priced order, wherein the non-displayed priced order is based, at least in part, on the at least one opportunity;

sending, by the computer, to each of a plurality of smart order routers, a real-time notification message that notifies each smart order router about the presence of the at least one non-displayed priced order at the execution venue;

updating, by the computer, in real-time, the notification message sent to each of the plurality of smart order routers to reflect any edit, cancel or pause of the at least one non-displayed priced order;

receiving, by the computer, at least one order sent from at least one of the smart order routers to at least partially execute against the at least one non-displayed priced order; and

executing, by the computer, at least one order received from the at least one of the smart order routers against the at least one non-displayed priced order.

2. The method of claim 1, wherein the notification message sent to and received at each of the smart order routers is the same notification message sent to and received at the other smart order routers.

3. The method of claim 1, wherein the notification message sent to and received at one of the plurality of smart order routers is distinct from the notification message sent to and received at another one of the plurality of smart order routers.

4. The method of claim 1, wherein the at least one non-displayed priced order is executed in its entirety against a single order from a single one of the smart order routers.

5. The method of claim 1, wherein the at least one non-displayed priced order is executed in part against one order from a single one of the smart order routers and is executed in part against another order from the same single one of the smart order routers.

6. The method of claim 5, wherein the at least one non-displayed priced order is executed in its entirety by being executed in part against one order from a single one of the smart order routers and by being executed in part against another order from the same single one of the smart order routers.

7. The method of claim 1, wherein the at least one non-displayed priced order is executed in part against one order from one of the smart order routers and is executed in part against another order from another one of the smart order routers.

8. The method of claim 7, wherein the at least one non-displayed priced order is executed in its entirety by being executed in part against one order from one of the smart order routers and by being executed in part against another order from another one of the smart order routers.

9. The method of claim 1, wherein the steps are carried out in the order recited.

19. The method of claim 1, wherein the at least one non-displayed priced order relates to a stock.

22. The method of claim 1, wherein the at least one non-displayed priced order is a non-displayed mid-peg order.

25. The method of claim 1, wherein the historical trading data of the execution venue comprises at least one from the group of:

a) liquidity provider volume;

b) a percent of average daily volume;

c) a liquidity provider volume relative to an overall market'"'"'s average daily volume for a stock; and

d) the at least one trader'"'"'s at least one previously executed priced order for the stock.

10. A trade execution system, comprising:

at least one computer of an execution venue, wherein the at least one computer is programmed to;

obtain, from a plurality of order management systems, records of open orders to trade securities that meet at least one pre-determined filtering condition;

determine, from the records of open orders, based, at least in part, on a historical trading data of the execution venue, at least one open order that can be at least partially executed at the execution venue thereby resulting in at least one opportunity;

provide, to at least one trader, the at least one opportunity;

receive, from at least one trader, at least one non-displayed priced order, wherein the non-displayed priced order is based, at least in part, on the at least one opportunity;

send, to each of a plurality of smart order routers, a real-time notification message that notifies each smart order router about the presence of the at least one non-displayed priced order at the execution venue;

update, in real-time, the notification message sent to each of the plurality of smart order routers to reflect any edit, cancel or pause of the at least one non-displayed priced order;

receive at least one order sent from at least one of the smart order routers to at least partially execute against the at least one non-displayed priced order; and

execute the at least one order received from the at least one of the smart order routers against the at least one non-displayed priced order.

11. The system of claim 10, wherein the notification message sent to and received at each of the smart order routers is the same notification message sent to and received at the other smart order routers.

12. The system of claim 10, wherein the notification message sent to and received at one of the plurality of smart order routers is distinct from the notification message sent to and received at another one of the plurality of smart order routers.

13. The system of claim 10, wherein the at least one non-displayed priced order is executed in its entirety against a single order from a single one of the smart order routers.

14. The system of claim 10, wherein the at least one non-displayed priced order is executed in part against one order from a single one of the smart order routers and is executed in part against another order from the same single one of the smart order routers.

15. The system of claim 14, wherein the at least one non-displayed priced order is executed in its entirety by being executed in part against one order from a single one of the smart order routers and by being executed in part against another order from the same single one of the smart order routers.

16. The system of claim 10, wherein the at least one non-displayed priced order is executed in part against one order from one of the smart order routers and is executed in part against another order from another one of the smart order routers.

17. The system of claim 16, wherein the at least one non-displayed priced order is executed in its entirety by being executed in part against one order from one of the smart order routers and by being executed in part against another order from another one of the smart order routers.

20. The system of claim 10, wherein the at least one non-displayed priced order relates to a stock.

23. The system of claim 10, wherein the at least one non-displayed priced order is a non-displayed mid-peg order.

26. The trade execution system of claim 10, wherein the historical trading data of the execution venue comprises at least one from the group of:

a) liquidity provider volume;

b) a percent of average daily volume;

c) a liquidity provider volume relative to an overall market'"'"'s average daily volume for a stock; and

d) the at least one trader'"'"'s at least one previously executed priced order for the stock.

18. A non-transitory computer-readable medium comprising computer program code adapted to perform, when said program is run on a computer, the steps comprising:

obtaining, from a plurality of order management systems, records of open orders to trade securities that meet at least one pre-determined filtering condition;

determining, from the records of open orders, based, at least in part, on historical trading data of an execution venue, at least one open order that can be at least partially executed at the execution venue thereby resulting at least one opportunity;

providing, to at least one trader, the at least one opportunity;

receiving, from at least one trader, at least one non-displayed priced order, wherein the non-displayed priced order is based, at least in part, on the at least one opportunity;

sending, to each of a plurality of smart order routers, a real-time notification message, wherein the notification message notifies each of the smart order routers about the presence of the at least one non-displayed priced order at the execution venue;

updating, in real-time, the notification message sent to each of the plurality of smart order routers to reflect any edit, cancel or pause of the at least one non-displayed priced order;

receiving at least one order sent from at least one of the smart order routers to at least partially execute against the at least one non-displayed priced order; and

executing at least one order received from the at least one of the smart order routers against the at least one non-displayed priced order.

21. The computer program of claim 18, wherein the at least one non-displayed priced order relates to a stock.

24. The computer program of claim 18, wherein the at least one non-displayed priced order is a non-displayed mid-peg order.

27. The computer-readable medium of claim 18, wherein the historical trading data of the execution venue comprises at least one from the group of:

a) liquidity provider volume;

b) a percent of average daily volume;

c) a liquidity provider volume relative to an overall market'"'"'s average daily volume for a stock; and

d) the at least one trader'"'"'s at least one previously executed priced order for the stock.