System and method for processing composite trading orders

• US 8,494,952 B2
• Filed: 11/24/2010
• Issued: 07/23/2013
• Est. Priority Date: 12/20/2005
• Status: Active Grant

• Current Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Original Assignee: BGC Partners Incorporated (BGC Group, Inc.)
• Inventors: Claus, Matthew W., Driscoll, James R., Manning, Gregory P., Noviello, Joseph C.
• Primary Examiner(s): Khattar, Rajesh
• Application Number:
  US12/953,838
• Publication Number:
  US 20110264576A1
• Time in Patent Office: 972 Days
• Field of Search: 705 35- 45
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/042 characterized in that the payment protocol involves at least one cheque
• 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 system for processing a composite trading order comprises a memory operable to store market data received from one or more market centers. The system further comprises a processor operable to generate a composite value based at least in part on the market data. The processor is further operable to receive a composite trading order associated with at least a portion of the composite value. The processor is further operable to generate a plurality of constituent trading orders that, when filled, combine to satisfy the composite trading order.

Claims

1. A method comprising:

receiving, by at least one computing device, a trading order that comprises a first quantity of a first financial instrument;

determining, by the at least one computing device, that at least one market center comprises insufficient liquidity to fill the first quantity of the trading order;

identifying, by the at least one computing device, a plurality of financial instruments that are different from the first financial instrument, in which the act of identifying comprises identifying one or more of the plurality of financial instruments based at least in part on a first stored trader preference that the identified one or more of the plurality of financial instruments be associated with a yield spread that satisfies a configurable threshold;

receiving, by the at least one computing device, market data from at least one market center, wherein the market data relates to the plurality of financial instruments;

generating, by the at least one computing device, at least one constituent trading order for at least one of the plurality of financial instruments, in which the at least one constituent trading order is configured to, if filled, satisfy at least a portion of the trading order;

transmitting, by the at least one computing device, at least one of the at least one constituent trading order to at least one market center.

2. The method of claim 1, further comprising:

determining, by the at least one computing device, based on the market data, a composite value for the plurality of financial instruments, in which determining the composite value comprises determining one or more respective weighted quantities of one or more of the plurality of financial instruments,

in which the act of generating the at least one constituent trading order comprises generating the at least one constituent trading order responsive to determining the composite value, and

in which the act of receiving a trading order comprises receiving a trading order from at least one market center.

3. The method of claim 2, further comprising:

summing a particular quantity of the first financial instrument and the one or more respective weighted quantities.

4. The method of claim 1, further comprising:

wherein the at least one constituent trading order comprises a plurality of constituent trading orders that are configured to, if filled, combine to satisfy the trading order.

5. The method of claim 1, further comprising:

monitoring whether the at least one constituent trading orders is filled successfully in the at least one market center;

determining that at least one of the at least one constituent trading order was not filled successfully;

receiving further updated market data from the one or more market centers; and

determining, based at least in part on the further updated market data, one or more additional constituent trading orders, wherein the one or more additional constituent trading orders are configured to be substantially equivalent to an unfilled portion of the at least one constituent trading order; and

transmitting, on behalf of a trader associated with the first order, the one or more additional constituent trading orders to at least one market center of the one or more market centers.

6. The method of claim 1, in which the first stored trader preference is a preference of a trader associated with the first trading order, further comprising:

determining, by the at least one computing device, based on the market data, a composite value for the plurality of financial instruments,

wherein at least one of identifying the plurality of financial instruments and determining the composite value is based at least in part on one or more stored preferences of the trader.

7. The method of claim 6, in which the first stored trader preference is a preference of a trader associated with the first trading order,

in which the act of generating the at least one constituent trading order comprises generating the at least one constituent trading order based at least in part on a second stored trader preference of the trader;

and

wherein the act of identifying the plurality of different financial instruments further comprises;

identifying the plurality of different financial instruments based at least in part on a third stored trader preference of the trader and not on the first stored trader preference;

further comprising;

determining, by the at least one computing device a composite value for the plurality of financial instruments based at least in part on the market data and a fourth stored trader preference of the trader and not on the first stored trader preference.

8. The method of claim 1, in which the at least one constituent trading order comprises a first constituent trading order for one financial instrument of the plurality of financial instruments and a second constituent trading order for another financial instrument of the plurality of financial instruments, the one financial instrument comprising a financial instrument that is different from the another financial instrument.

9. The method of claim 8, in which the one financial instrument comprises a note associated with a first maturity, and in which the another financial instrument comprises a note associated with a second maturity different from first maturity.

23. The method of claim 1, in which each of the plurality of financial instruments is related to the first financial instrument, wherein the first stored trader preference comprises a preference that a yield spread associated with one or more of the plurality of financial instruments be less than or greater than the configurable threshold.

24. The method of claim 1, in which each of the plurality of financial instruments is related to the first financial instrument, further comprising:

causing, by the at least one computing device, the trading order to be partially filled by a second quantity of the first financial instrument, in which the second quantity is less than the first quantity.

25. The method of claim 1, in which each of the plurality of financial instruments is related to the first financial instrument, and in which each of the plurality of financial instruments is different from the first financial instrument with respect to at least one of:

(1) a financial instrument class, in which a class comprises one of an underlying asset, a future on an underlying asset, and an option on an underlying asset,

(2) a maturity,

(3) a yield, and

(4) a face value.

10. An apparatus comprising:

at least one computing device; and

a memory having instructions stored thereon which, when executed by the at least one computing device, direct the at least one computing device to;

receive a trading order that comprises a first quantity of a first financial instrument;

determine that a market center comprises insufficient liquidity to fill all of the first quantity of the trading order;

identify a plurality of financial instruments that are different from the first financial instrument, in which the act of identifying comprises identifying one or more of the plurality of financial instruments based at least in part on a first stored trader preference that the identified one or more of the plurality of financial instruments be associated with a yield spread that satisfies a configurable threshold;

receive market data from one or more market centers, wherein the market data relates to the plurality of financial instruments;

generate at least one constituent trading order for at least one of the plurality of financial instruments, in which the at least one constituent trading order is configured to, if filled, satisfy at least a portion of the trading order;

transmit at least one of the at least one constituent trading order to at least one market center.

11. The apparatus of claim 10,

in which the instructions, when executed by the at least one computing device, further direct the at least one computing device to:

determine, based on the market data, a composite value for the plurality of financial instruments,

in which the act of determining the composite value comprises;

determining one or more respective weighted quantities of one or more of the plurality of financial instruments, and

in which the act of receiving a trading order comprises receiving a trading order from a market center.

12. The apparatus of claim 11,

in which the instructions, when executed by the at least one computing device, further direct the at least one computing device to:

sum a particular quantity of the first financial instrument and the one or more respective weighted quantities, and

in which the act of transmitting the constituent trading order comprises transmitting the constituent trading order to at least one market center.

13. The apparatus of claim 10, in which the instructions, when executed by the at least one computing device, further direct the at least one computing device to:

wherein the at least one constituent trading order comprises a plurality of constituent trading orders that are configured to, if filled, combine to satisfy the composite trading order.

14. The apparatus of claim 10, in which the instructions, when executed by the at least one computing device, further direct the at least one computing device to:

monitor whether the at least one constituent trading order is filled successfully in the at least one market center;

determine that at least one of the at least one constituent trading order was not filled successfully;

receive further updated market data from the one or more market centers; and

determine, based at least in part on the further updated market data, one or more additional constituent trading orders, wherein the one or more additional constituent trading orders are configured to be substantially equivalent to an unfilled portion of the at least one constituent trading order; and

transmit, on behalf of the trader, the one or more additional constituent trading orders to at least one market center of the one or more market centers.

15. The apparatus of claim 11, in which the first stored trader preference is a preference of a trader associated with the first trading order, and wherein the act of determining the at least one constituent trading order comprises:

determining the one or more constituent trading orders based at least in part on one or more stored preferences of the trader.

16. The apparatus of claim 11, in which the first stored trader preference is a preference of a trader associated with the first trading order, and in which the instructions, when executed by the at least one computing device, further direct the at least one computing device to determine, based on the market data, a composite value for the plurality of financial instruments,

wherein at least one of the act of identifying the plurality of financial instruments and the act of determining the composite value is based at least in part on one or more stored preferences of the trader.

17. The apparatus of claim 16, in which the first stored trader preference is a preference of a trader associated with the first trading order, and

in which the act of generating the at least one constituent trading order comprising generating the at least one constituent trading order based at least in part on a second stored trader preference of the trader;

wherein identifying the plurality of different financial instruments further comprises;

identifying the plurality of different financial instruments based at least in part on a third stored trader preference of the trader and not on the first preference;

in which the instructions, when executed by the at least one computing device, further direct the at least one computing device to;

determine a composite value based at least in part on the market data and a fourth stored trader preference of the trader and not on the first preference.

18. The apparatus of claim 10, wherein the instructions, when executed, further direct the computing device to:

update the composite value according to current trading conditions in the one or more market centers,

wherein the market data represent trading conditions in the one or more market centers.

19. The apparatus of claim 10, in which the one or more constituent trading orders comprise a first constituent trading order for one financial instrument of the plurality of financial instruments and a second constituent trading order for another financial instrument of the plurality of financial instruments, in which the one financial instrument is different from the another financial instrument.

20. The apparatus of claim 19, in which the one financial instrument comprises a note associated with a first maturity, and in which the another financial instrument comprises a note associated with a second maturity different from first maturity.

21. A non-transitory computer-readable medium having instructions stored thereon which, when executed by at least one computing device, direct the at least one computing device to:

receive a trading order that comprises a first quantity of a first financial instrument;

determine that a market center comprises insufficient liquidity to fill all of the first quantity of the trading order;

identify a plurality of financial instruments that are different from the first financial instrument, in which the act of identifying comprises identifying one or more of the plurality of financial instruments based at least in part on a trader preference that the identified one or more of the plurality of financial instruments be associated with a yield spread that satisfies a configurable threshold;

receive market data from one or more market centers, wherein the market data relates to the plurality of financial instruments;

determine based on the market data, a composite value for the plurality of financial instruments;

generate at least one constituent trading order for at least one of the plurality of financial instruments, in which the at least one constituent trading order is configured to, if filled, satisfy at least a portion of the trading order;

transmit at least one of the at least one constituent trading order to at least one market center.

22. The computer-readable medium of claim 21,

wherein the first stored trader preference comprises a preference that a yield spread associated with one or more of the plurality of financial instruments be less than or greater than the configurable threshold, and

wherein the at least one constituent trading order comprises a plurality of constituent trading orders that are configured to, if filled, combine to satisfy the composite trading order, in which the plurality of constituent trading orders comprises a first constituent trading order for one financial instrument of the plurality of financial instruments and a second constituent trading order for another financial instrument of the plurality of financial instruments, and in which the another financial instrument comprises a note associated with a second maturity different from the first maturity.