Methods and apparatus for routing securities orders
First Claim
Patent Images
1. An apparatus comprising:
- at least one communication interface configured to communicate over at least one communication network;
at least one processor; and
at least one storage device storing instructions that when executed cause the at least one processor to;
receive, via the at least one communication interface, a first order associated with a particular security during a trading session;
obtain, from at least one database, information associated with multiple securities exchanges or electronic communication networks (ECNs), at least part of the information related to speeds of the securities exchanges or ECNs in executing orders for securities;
determine a percentage of total market volume in the particular security handled during the trading session by each of at least some of the securities exchanges or ECNs;
determine during the trading session, based at least in part on at least some of the information and the determined percentages of total market volume, (a) two or more of the securities exchanges or ECNs to be used to execute the first order and (b) a proportion of the first order to allocate to each of the two or more securities exchanges or ECNs;
route, via the at least one communication interface, the first order to the two or more securities exchanges or ECNs in accordance with the proportions allocated to the two or more securities exchanges or ECNs for execution;
receive, via the at least one communication interface, responses associated with the first order from the two or more securities exchanges or ECNs;
dynamically update at least a portion of the information in the at least one database based on data associated with performance of the securities exchanges or ECNs, at least some of the data relating to the speeds of the securities exchanges or ECNs during the trading session; and
use at least some of the dynamically updated information to route a second order during the trading session.
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Abstract
According to some embodiments, a securities order trading system may determine, during a trading session, one or more attributes of an order destination. The attribute or attributes may be other than a price quoted or a size of an order booked on an order destination. The trading system may also determine during the trading session, and based on the order destination attribute or attributes, at least one of whether to route an order to the order destination, and a proportion of the order to allocate to the order destination.
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Citations
20 Claims
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1. An apparatus comprising:
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at least one communication interface configured to communicate over at least one communication network; at least one processor; and at least one storage device storing instructions that when executed cause the at least one processor to; receive, via the at least one communication interface, a first order associated with a particular security during a trading session; obtain, from at least one database, information associated with multiple securities exchanges or electronic communication networks (ECNs), at least part of the information related to speeds of the securities exchanges or ECNs in executing orders for securities; determine a percentage of total market volume in the particular security handled during the trading session by each of at least some of the securities exchanges or ECNs; determine during the trading session, based at least in part on at least some of the information and the determined percentages of total market volume, (a) two or more of the securities exchanges or ECNs to be used to execute the first order and (b) a proportion of the first order to allocate to each of the two or more securities exchanges or ECNs; route, via the at least one communication interface, the first order to the two or more securities exchanges or ECNs in accordance with the proportions allocated to the two or more securities exchanges or ECNs for execution; receive, via the at least one communication interface, responses associated with the first order from the two or more securities exchanges or ECNs; dynamically update at least a portion of the information in the at least one database based on data associated with performance of the securities exchanges or ECNs, at least some of the data relating to the speeds of the securities exchanges or ECNs during the trading session; and use at least some of the dynamically updated information to route a second order during the trading session. - View Dependent Claims (2, 6, 7, 8, 9, 10, 11, 12)
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3. An apparatus comprising:
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at least one communication interface configured to communicate over at least one communication network; at least one processor; and at least one storage device storing instructions that when executed cause the at least one processor to; receive, via the at least one communication interface, a first order associated with a particular security during a trading session; obtain, from at least one database, information associated with multiple securities exchanges or electronic communication networks (ECNs), at least part of the information related to speeds of the securities exchanges or ECNs in executing orders for securities; determine a degree to which each of at least some of the securities exchanges or ECNs is overfilling orders for the particular security during the trading session; determine during the trading session, based at least in part on at least some of the information and the determined degrees to which the at least some of the securities exchanges or ECNs are overfilling orders, (a) two or more of the securities exchanges or ECNs to be used to execute the first order and (b) a proportion of the first order to allocate to each of the two or more securities exchanges or ECNs; route, via the at least one communication interface, the first order to the two or more securities exchanges or ECNs in accordance with the proportions allocated to the two or more securities exchanges or ECNs for execution; receive, via the at least one communication interface, responses associated with the first order from the two or more securities exchanges or ECNs; dynamically update at least a portion of the information in the at least one database based on data associated with performance of the securities exchanges or ECNs, at least some of the data relating to the speeds of the securities exchanges or ECNs during the trading session; and use at least some of the dynamically updated information to route a second order during the trading session. - View Dependent Claims (4, 13, 14, 15, 16, 17, 18, 19)
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5. An apparatus comprising:
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at least one communication interface configured to communicate over at least one communication network; at least one processor; and at least one storage device storing instructions that when executed cause the at least one processor to; receive, via the at least one communication interface, a first order associated with a particular security during a trading session; obtain, from at least one database, information associated with multiple securities exchanges or electronic communication networks (ECNs), at least part of the information related to speeds of the securities exchanges or ECNs in executing orders for securities; determine at least one attribute of each of at least some of the securities exchanges or ECNs, wherein each attribute is selected from the group consisting of;
(a) an average amount of time that one of the securities exchanges or ECNs offered a price for the particular security at least as good as other order destinations;
(b) a percentage of the trading session during which one of the securities exchanges or ECNs offered a price for the particular security at least as good as other order destinations; and
(c) an average amount of time required during the trading session for one of the securities exchanges or ECNs to match a price offered for the particular security by another order destination;determine during the trading session, based at least in part on at least some of the information and the determined attributes, (a) two or more of the securities exchanges or ECNs to be used to execute the first order and (b) a proportion of the first order to allocate to each of the two or more securities exchanges or ECNs; route, via the at least one communication interface, the first order to the two or more securities exchanges or ECNs in accordance with the proportions allocated to the two or more securities exchangs or ECNs for execution; receive, via the at least one communication interface, responses associated with the first order from the two or more securities exchanges or ECNs; dynamically update at least a portion of the information in the at least one database based on data associated with performance of the securities exchanges or ECNs, at least some of the data relating to the speeds of the securities exchanges or ECNs during the trading session; and use at least some of the dynamically updated information to route a second order during the trading session. - View Dependent Claims (20)
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Specification