Discretionary order in an electronic guaranteed entitlement environment
First Claim
1. A method for trading discretionary orders in an electronic options trading environment with market maker participation, comprising:
- providing a market center which lists a plurality of options series, wherein the market center has at least one order book for each option series and at least one quote book for each option series, wherein the order book has a displayed interest component which is processed in a display order process and a nondisplayed interest component which is processed in a working order process, and wherein at least a portion of plurality of the option series have a lead market maker;
posting a discretionary order having a total size, a display price for display, and a discretionary price that is not for display;
receiving an incoming contra side order having a second total size, a second display price for display, and a second discretionary price that is not for display, wherein the incoming contra side order is on the side of the order book opposite to the discretionary order;
determining whether the incoming contra side order is for an option series that has a second lead market maker;
responsive to determining that the incoming contra side order is for the option series that has the second lead market maker;
determining whether the second lead market maker has a quote at the NBBO;
responsive to determining that the second lead market maker has the quote at the NBBO;
computing an allocation percentage for the second lead market maker;
matching the incoming contra side order up to the lesser of the second total size of the incoming contra side order or the computed allocation percentage amount for the second lead market maker; and
after matching the incoming contra side order with the second lead market maker quote, matching at least a portion of the remainder of the incoming contra side order with the discretionary order using the second display price.
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Accused Products
Abstract
An enhanced system and method for handling, matching and executing discretionary orders in an electronic options environment is disclosed. Market maker entitlements are integrated with the discretionary order processing, so that the market maker is guaranteed an allocation of the trade if the market maker is at the NBBO when an incoming discretionary order priced at or better than the NBBO is received. If the incoming discretionary order cannot execute at the NBBO using its display price, then it will use as much discretion as is required to participate in a market maker entitlement if the market maker is quoting at the NBBO, and to execute against the order book and route to away markets quotations at the NBBO. Once posted to the order book, only the display price of a discretionary order is eligible for preferential execution in a market maker entitlement process.
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Citations
20 Claims
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1. A method for trading discretionary orders in an electronic options trading environment with market maker participation, comprising:
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providing a market center which lists a plurality of options series, wherein the market center has at least one order book for each option series and at least one quote book for each option series, wherein the order book has a displayed interest component which is processed in a display order process and a nondisplayed interest component which is processed in a working order process, and wherein at least a portion of plurality of the option series have a lead market maker; posting a discretionary order having a total size, a display price for display, and a discretionary price that is not for display; receiving an incoming contra side order having a second total size, a second display price for display, and a second discretionary price that is not for display, wherein the incoming contra side order is on the side of the order book opposite to the discretionary order; determining whether the incoming contra side order is for an option series that has a second lead market maker; responsive to determining that the incoming contra side order is for the option series that has the second lead market maker; determining whether the second lead market maker has a quote at the NBBO; responsive to determining that the second lead market maker has the quote at the NBBO; computing an allocation percentage for the second lead market maker; matching the incoming contra side order up to the lesser of the second total size of the incoming contra side order or the computed allocation percentage amount for the second lead market maker; and after matching the incoming contra side order with the second lead market maker quote, matching at least a portion of the remainder of the incoming contra side order with the discretionary order using the second display price. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 13, 14, 15)
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12. A market center which lists a plurality of options series and handles discretionary order trading, comprising:
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at least one order book for each option series and at least one quote book for each option series, wherein the order book has a displayed interest component and a nondisplayed interest component, and wherein a plurality of the option series have lead market maker; at least one interface for receiving orders and an interface for receiving quotes; at least one market center memory for storing code for analyzing and processing orders and quotes; at least one processor for interacting with the interfaces and executing the code for analyzing and processing quotes and orders, wherein the code, when executed; posts a discretionary order having a total size, a display price for display, and a discretionary price that is not for display on the market center; receives an incoming contra side order, wherein the incoming contra side order resides on the side of the order book opposite to the discretionary order; determines whether the incoming contra side order is for at least one option series that has a second lead market maker; responsive to determining that the incoming contra side order is for the at least one option series that has the second lead market maker; determines whether the second lead market maker has a quote at the NBBO; responsive to determining that the second lead market maker has the quote at the NBBO; computes an allocation percentage for the second lead market maker; matches the incoming contra side order up to the lesser of the total size of the incoming contra side order or the computed allocation percentage amount for the second lead market maker; determines whether the discretionary order has a second display price that is inferior to the NBBO and has a second discretionary price that is superior or equal to the NBBO; and responsive to determining that the posted discretionary order has the second display price that is inferior to the NBBO and has a second discretionary price that is superior or equal to the NBBO; matches at least a portion of the remainder of the incoming contra side order with the discretionary order using the second display price to execute at the NBBO. - View Dependent Claims (16, 17, 18, 19, 20)
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Specification