Method and system for obtaining the best fill for an order using automated suborders

• US 8,417,617 B1
• Filed: 04/18/2002
• Issued: 04/09/2013
• Est. Priority Date: 04/27/2001
• Status: Active Grant

• Current Assignee: Charles Schwab Trust Company (Charles Schwab Corporation)
• Original Assignee: Charles Schwab Trust Company (Charles Schwab Corporation)
• Inventors: Swearingen, Bradley J., Harding, David S., Lewis, Brant C., Munoz, Richard Jr., Mogonye, Gregory Scott
• Primary Examiner(s): Kazimi, Hani M
• Assistant Examiner(s): Graham, Clement B
• Application Number:
  US10/126,347
• Time in Patent Office: 4,009 Days
• Field of Search: 705/34, 705 35- 38
• 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

A computerized system (10) and method for obtaining the best fill for an order using automated suborders is disclosed. The system (10) includes a client system (14) that proves a user interface (150) for inputting an order and a single click operation for initiating the order. The system (10) also includes a server system (12) that is in communication with the client system (14) and a plurality of trade execution locations (30). When the server system (12) receives the order from the client system (14), the server system (12) parses the order into a plurality of suborders. The server system (12) then sends each of the suborders to one of the market participants which are selected and sorted based upon having the best available price for a particular suborder. As such, if all of the suborders are filled, the best price is obtained for the order.

Claims

1. A method of electronically obtaining the best price for an order comprising the steps of:

electronically receiving a message identifying eligible market participant types, a security, and a number of shares of the security to include in the order;

electronically determining an available quantity of shares and a price of the available shares of the security-at each of a plurality of market participants to create a list of available shares of the security, the market participants comprising public and private electronic communication networks, market makers, exchanges, and broker systems, and the list of available shares of the security comprising the available quantity and the price of the security at each of the plurality of market participants;

electronically sorting the list of available shares of the security based at least partly on price and quantity, wherein the sorted list includes only eligible market participant types;

electronically parsing the sorted list, by a smart server in a server system, into a plurality of suborders based on the availability and price of the security at each of the plurality of market participants;

electronically identifying a subset of the market participants, based at least partly on the number of shares of the security identified in the received message, the determined available quantity of shares of the security at one or more of the plurality of market participants, and the determined price of the available shares of the security at one or more of the plurality of market participants; and

electronically and automatically sending at the same time, by the server system, each of the suborders to a respective one of the subset of the plurality of market participants, the one of the subset of the plurality of market participants selected for each suborder having the best available price such that if all of the suborders are filled, the best price is obtained for the order,

wherein the step of electronically sending each of the suborders to a respective one of the subset of market participants further comprises the step of electronically sending some of the suborders at a first price and some of the suborders at a second price, and

wherein the operations of electronically determining, sorting, parsing, and sending are repeated until the order is fulfilled or canceled.

2. The method as recited in claim 1 wherein the step of electronically sorting the list of available shares of the security further comprises electronically sorting the list of available shares of the security based upon a preference for a respective market participant type.

3. The method as recited in claim 1 wherein the step of electronically sorting the list of available shares of the security further comprises electronically sorting the list of available shares of the security based upon direct and indirect access to the market participants.

4. The method as recited in claim 1 wherein the step of electronically sorting the list of available shares of the security further comprises electronically sorting the list of available shares of the security based upon response time of the market participants.

5. The method as recited in claim 4 wherein market participants with a lower response time are selected over market participants with a higher response time.

6. The method as recited in claim 1 further comprising the step of electronically setting an order timer for filling all of the suborders and electronically canceling any of the suborders not filled by the expiration of the order timer.

7. The method as recited in claim 1 wherein the order is a limit order and wherein the step of electronically sending each of a respective one of the subset of suborders further comprises the step of electronically sending at least one suborder at a price that is better than the limit price.

8. The method as recited in claim 1 wherein the step of electronically sorting the list of available shares of the security further comprises electronically sorting the list of available shares of the security based upon user preference of their respective market participant.

9. The method as recited in claim 1 wherein the step of electronically sorting the list of available shares of the security further comprises sorting the list of available shares of the security based the number of shares available from a market participant.

40. The method as recited in claim 1, wherein sorting the list of available shares of the security further comprises sorting the list of available shares of the security based upon a price tier offered by each market participant.

10. A method comprising the steps of:

electronically receiving a message identifying eligible market participant types, a security, and a number of shares of the security to include in the order;

electronically determining an available quantity of shares and a price of the available shares of the security-at each of the plurality of market participants to create a list of available shares of the security, the market participants comprising public and private electronic communication networks, market makers, exchanges, and broker systems, and the list of available shares of the security comprising the available quantity and the price of the security at each of the plurality of market participants;

electronically sorting the list of available shares of the security based at least partly on historical fill ratios of the market participants;

electronically parsing the sorted list, by a smart server in a server system, into a plurality of suborders based on the availability and price of the security at each of the plurality of market participants;

electronically identifying a subset of the market participants, based at least partly on the number of shares of the security identified in the received message, the determined available quantity of shares of the security at one or more of the plurality of market participants, and the determined price of the available shares of the security at one or more of the plurality of market participants; and

electronically and automatically sending at the same time, by the server system, each of the suborders to a respective one of the subset of the plurality of market participants, the one of the subset of the plurality of market participants selected for each suborder having the best available price such that if all of the suborders are filled, the best price is obtained for the order;

wherein the step of electronically sending each of the suborders to a respective one of the subset further comprises the step of electronically sending some of the suborders at a first price and some of the suborders at a second price.

11. A method of electronically obtaining the best price for an order comprising the steps of:

electronically receiving a message identifying eligible market participant types, a security, and a number of shares of the security to include in the order;

electronically determining an available quantity of shares and a price of the available shares of the security at each of a plurality of market participants to create a list of a available shares of the security, the market participants comprising public and private electronic communication networks, market makers, exchanges, and broker systems, and the list of available shares of the security comprising the available quantity and price of the security at each of a plurality of market participants;

electronically sorting the list of available shares of the security based at least partly on price and quantity, wherein the sorted list includes only eligible market participant types;

electronically parsing the sorted list, by a smart server in a server system, into a plurality of suborders based on the availability and price of the security at each of the plurality of market participants;

electronically identifying a subset of the market participants, based at least partly on the number of shares of the security identified in the received message, the determined available quantity of shares of the security at one or more of the plurality of market participants, and the determined price of the available shares of the security at one or more of the plurality of market participants; and

electronically and automatically sending at the same time, by the server system, each of the suborders to a respective one of the subset of the plurality of market participants, the one of the subset of the plurality of market participants selected for each suborder having the best available price such that if all of the suborders are filled, the best price is obtained for the order,

wherein the step of electronically sending each of the suborders to a respective one of the subset further comprises the step of electronically sending all of the suborders at the same price, and

wherein the operations of electronically determining, sorting, parsing, and sending are repeated until the order is fulfilled or canceled.

12. A method of electronically obtaining the best price for an order comprising the steps of:

electronically receiving a message identifying eligible market participant types, a security, and a number of shares of the security to include in the order;

performing a single click to initiate the order;

electronically determining an available quantity of shares and a price of the available shares of the security at each of a plurality of market participants to create a list of available shares of the security, the market participants comprising public and private electronic communication networks, market makers, exchanges, and broker systems, and the list of available shares of the security comprising the available quantity and price of the security at each of a plurality of market participants;

electronically sorting the list of available shares of the security, wherein the sorted list includes only eligible market participant types;

electronically parsing the sorted list, by a smart server in a server system, into a plurality of suborders based at least partly on the availability and price of the security at each of the plurality of market participants;

electronically identifying a subset of the market participants, based at least partly on the number of shares of the security identified in the received message, the determined available quantity of shares of the security at one or more of the plurality of market participants, and the determined price of the available shares of the security at one or more of the plurality of market participants;

electronically and automatically sending at the same time, by the server system, each of the suborders to a respective one of the subset of the plurality of market participants, the one of the subset of the plurality of market participants selected for each suborder having the best available price such that if all of the suborders are filled, the best price is obtained for the order; and

electronically setting a suborder timer for filling each of the suborders,

wherein the operations of electronically determining, sorting, parsing, and sending are repeated until the order is fulfilled or canceled.

13. The method as recited in claim 12 further comprising the step of electronically canceling respective suborders when a respective suborder timer expires.

14. A system for sending a plurality of suborders to fill an order comprising:

a first data processing system proving a user interface for selecting a security, a number of shares of the security to be included in the order, eligible market participant types, and initiating the order; and

a second data processing system in communication with the first data processing system, the second data processing system receiving the order, querying for an available quantity of shares and a price of the available shares of the security at each of a plurality of market participants to create a list of available shares of the security, the market participants comprising public and private electronic communication networks, market makers, exchanges, and broker systems, and the list of available shares of the security comprising the available quantity and price of the security at each of a plurality of market participants, sorting the list of available shares of the security by price and quantity, wherein the sorted list includes only eligible market participant types;

parsing the sorted list into a plurality of suborders based at least partly on the availability and price of the security at each of the plurality of market participants, identifying a subset of the market participants, based at least partly on the number of shares of the security identified in the received message, the determined available quantity of shares of the security at one or more of the plurality of market participants, and the determined price of the available shares of the security at one or more of the plurality of market participants, and automatically sending at the same time each of the suborders to a respective one of the subset of the plurality of market participants, the one of the subset of the plurality of market participants selected for each suborder having the best available price such that if all of the suborders are filled, the best price is obtained for the order, wherein sending each of the suborders to a respective one of the subset further comprises the step of electronically sending some of the suborders at a first price and some of the suborders at a second price and wherein the operations of electronically determining, sorting, parsing, and sending are repeated until the order is fulfilled or canceled.

15. The system as recited in claim 14 wherein the second data processing system sorts the list of available shares of the security based upon market participant type.

16. The system as recited in claim 14 wherein the second data processing system sorts the list of available shares of the security based upon user preference.

17. The system as recited in claim 14 wherein the second data processing system sorts the list of available shares of the security based upon direct and indirect access to the market participants.

18. The system as recited in claim 14 wherein the second data processing system sorts the list of available shares of the security based upon response time of the market participants.

19. The system as recited in claim 14 wherein the second data processing system sorts the list of available shares of the security of market participants based upon historical fill ratios of the market participants.

20. The system as recited in claim 19 wherein market participants with a higher historical fill ratio of past orders are selected over market participants with a lower historical fill ratio.

21. The system as recited in claim 14 wherein the second data processing system sends all of the suborders at the same price.

22. The system as recited in claim 14 wherein the second data processing system sends some of the suborders at a first price and some of the suborders at a second price.

23. The system as recited in claim 14 wherein the second data processing system sets a suborder timer for filling each of the suborders.

24. The system as recited in claim 23 wherein the second data processing system cancels respective suborders when the suborder timers expire.

25. The system as recited in claim 24 wherein the second data processing system resends the canceled suborders to another of the subset.

26. The system as recited in claim 14 wherein the order is a limit order and wherein the second data processing system sends at least one suborder at a price that is better than the limit price.

27. A non-transitory computer program embodied on a computer readable medium for sending a plurality of suborders to fill an order comprising:

a code segment for receiving order parameters including a security, eligible market participant types, and a number of shares of the security to be included in the order;

a code segment for querying for availability and price an available quantity of shares and a price of the available shares of the security at each of a plurality of market participants to create a list of available shares of the security, the market participants comprising public and private electronic communication networks, market makers, exchanges, and broker systems, and the list of available shares of the security comprising the available quantity and price of the security at each of a plurality of market participants;

a code segment for sorting the list of available shares of the security based at least partly on price and quantity, wherein the sorted list includes only eligible market participant types;

a code segment for parsing the sorted list into a plurality of suborders automatically based at least partly on the availability and price of the security at each of the plurality of market participants;

a code segment for identifying a subset of the market participants, based at least partly on the number of shares of the security identified in the received message, the determined available quantity of shares of the security at one or more of the plurality of market participants, and the determined price of the available shares of the security at one or more of the plurality of market participants; and

a code segment for automatically sending at the same time each of the suborders to a respective one of the subset of the plurality of market participants, the one of the subset of the plurality of market participants selected for each suborder having the best available price such that if all of the suborders are filled, the best price is obtained for the order, wherein electronically sending each of the suborders to a respective one of the subset further comprises the step of electronically sending some of the suborders at a first price and some of the suborders at a second price.

28. The non-transitory computer program as recited in claim 27 wherein the code segment for sorting the list of available shares of the security further comprises a code segment for sorting the list of available shares of the security based upon price.

29. The non-transitory computer program as recited in claim 27 wherein the code segment for sorting the list of available shares of the security further comprises a code segment for sorting the list of available shares of the security based upon market participant type.

30. The non-transitory computer program as recited in claim 27 wherein the code segment for sorting the list of available shares of the security further comprises a code segment for sorting the list of available shares of the security based upon user preference.

31. The non-transitory computer program as recited in claim 27 wherein the code segment for sorting the list of available shares of the security further comprises a code segment for sorting the list of available shares of the security based upon direct and indirect access to the market participants.

32. The non-transitory computer program as recited in claim 27 wherein the code segment for sorting the list of available shares of the security further comprises a code segment for sorting the list of available shares of the security based upon response time of the market participants.

33. The non-transitory computer program as recited in claim 27 wherein the code segment for sorting the list of available shares of the security further comprises a code segment for sorting the list of available shares of the security based upon historical fill ratios of the market participants.

34. The non-transitory computer program as recited in claim 27 wherein the code segment for sending each of the suborders to a respective one of the subset further comprises a code segment for sending all of the suborders at the same price.

35. The non-transitory computer program as recited in claim 27 wherein the code segment for sending each of the suborders to a respective one of the subset further comprises a code segment for sending some of the suborders at a first price and some of the suborders at a second price.

36. The non-transitory computer program as recited in claim 27 further comprising a code segment for setting a suborder timer for filling each of the suborders.

37. The computer program as recited in claim 36 further comprising a code segment for canceling respective suborders when the suborder timers expire.

38. The non-transitory computer program as recited in claim 27 further comprising a code segment for setting an order timer for filling all of the suborders and a code segment for canceling any of the suborders not filled by the expiration of the order timer.

39. The non-transitory computer program as recited in claim 27 wherein the order is a limit order and wherein the code segment for sending each of the suborders to a respective one of the subset further comprises a code segment for sending at least one suborder at a price that is better than the limit price.