Trade execution methods and systems

• US 8,359,260 B2
• Filed: 10/28/2011
• Issued: 01/22/2013
• 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., Halloran, John, Gutman, Ilya, Lupowitz, Kevin, Greenblatt, Steve
• Primary Examiner(s): JOHNSON, GREGORY L
• Application Number:
  US13/284,308
• Publication Number:
  US 20120072330A1
• Time in Patent Office: 452 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

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 method, comprising:

(i) identifying, from a plurality of data storages, each data storage associated with an order management system and comprising a plurality of open orders to trade securities, a subset of all open orders satisfying at least one predetermined filtering condition, wherein;

a. each data storage is associated with a securities trading firm; and

b. the subset of all open orders is identified by a computer system associated with an execution venue, the computer having one or more processors and a memory;

(ii) determining, by the computer system, from the subset of all 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 in at least one opportunity;

(iii) providing, by the computer system, to at least one trader, the at least one opportunity;

(iv) receiving, by the computer system, 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;

(v) sending, by the computer system, 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;

(vi) updating, by the computer system, 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;

(vii) receiving, by the computer system, 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

(viii) executing, by the computer system, 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 at least one non-displayed priced order relates to a stock.

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

4. 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 percentage of 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 previously executed priced order for a stock.

5. 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.

6. 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.

7. 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.

8. 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.

9. The method of claim 1, 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.

10. 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.

11. The method of claim 1, 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.

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

13. The method of claim 1, wherein the computer system is at least one computer.

14. A trade execution system, comprising:

a memory having at least one region for storing computer executable program code; and

at least one processor for executing the program code stored in the memory, wherein the program code comprises;

(i) code to identify, from a plurality of data storages, each data storage associated with an order management system and comprising a plurality of open orders to trade securities, a subset of all open orders satisfying at least one predetermined filtering condition, wherein each data storage is associated with a securities trading firm;

(ii) code to determine, from the subset of all 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 in at least one opportunity;

(iii) code to provide, to at least one trader, the at least one opportunity;

(iv) code to 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;

(v) code to 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;

(vi) code to 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;

(vii) code to receive, 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

(viii) code to execute at least one order received from the at least one of the smart order routers against the at least one non-displayed priced order.

15. The system of claim 14, wherein the at least one non-displayed priced order relates to a stock.

16. The system of claim 14, wherein the at least one non-displayed priced order is a non-displayed mid-peg order.

17. The system of claim 14, wherein the historical trading data of the execution venue comprises at least one from the group of:

a) liquidity provider volume;

b) a percentage of 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 previously executed priced order for a stock.

18. The system of claim 14, 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.

19. The system of claim 14, 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.

20. The system of claim 14, 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.

21. The system of claim 14, 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.

22. 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.

23. The system of claim 14, 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.

24. 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 one of the smart order routers and by being executed in part against another order from another one of the smart order routers.

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

(i) identifying, from a plurality of data storages, each data storage associated with an order management system and comprising a plurality of open orders to trade securities, a subset of all open orders satisfying at least one predetermined filtering condition, wherein each data storage is associated with a securities trading firm;

(ii) determining, from the subset of all 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 in at least one opportunity;

(iii) providing, to at least one trader, the at least one opportunity;

(iv) 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;

(v) sending, 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;

(vi) 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;

(vii) 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

(viii) 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.

26. The computer-readable medium of claim 25, wherein the at least one non-displayed priced order relates to a stock.

27. The computer-readable medium of claim 25, wherein the at least one non-displayed priced order is a non-displayed mid-peg order.

28. The computer-readable medium of claim 25, wherein the historical trading data of the execution venue comprises at least one from the group of:

a) liquidity provider volume;

b) a percentage of 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 previously executed priced order for a stock.