Crossing network utilizing optimal mutual satisfaction density profile
First Claim
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1. A crossing network that matches orders for a plurality of instruments based upon a satisfaction and size profile, the crossing network comprising:
- a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and
a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of trading terminals, the matching controller computer comprisingmeans for pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order,means for calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price,means for ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function, andmeans for matching, in accordance with the ranking, buy orders with sell orders.
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Abstract
A crossing network that matches buy and sell orders based upon a satisfaction and quantity profile is disclosed. The crossing network includes a number of trader terminals that can be used for entering orders. The orders are entered in the form of a satisfaction density profile that represents a degree of satisfaction to trade a particular instrument at various (price, quantity) combinations. Typically, each order is either a buy order or a sell order. The trader terminals are coupled to a matching controller computer. The matching controller computer can receive as input the satisfaction density profiles entered at each one of the trading terminals. The matching controller computer matches orders (as represented by each trader'"'"'s satisfaction density profile) so that each trader is assured that the overall outcome of the process (in terms of average price and size of fill) has maximized the mutual satisfaction of all traders. Typically, the matching process is anonymous. The matching process can be continuous or performed on a batch basis.
1163 Citations
19 Claims
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1. A crossing network that matches orders for a plurality of instruments based upon a satisfaction and size profile, the crossing network comprising:
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a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each satisfaction density profile representing either a buy order or a sell order for the instrument; and a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and receiving as input each satisfaction density profile entered at each one of the plurality of trading terminals, the matching controller computer comprising means for pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, means for calculating for each satisfaction density profile pair a mutual satisfaction function, each mutual satisfaction function including a plurality of (price, quantity) combinations representing a degree of mutual satisfaction for trading said quantity at said price, means for ranking according to the degree of mutual satisfaction every (price, quantity) combination of every mutual satisfaction function, and means for matching, in accordance with the ranking, buy orders with sell orders. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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12. A crossing network that matches buy and sell orders based upon a satisfaction and quantity profile, the crossing network comprising:
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a plurality of trader terminals for entering an order for an instrument in the form of a satisfaction density profile that represents a degree of satisfaction to trade the instrument at a plurality of (price, quantity) combinations, each order being either a buy order or a sell order for the instrument; and a matching controller computer coupled to each one of the plurality of trader terminals over a communications network and adapted to receive as input satisfaction density profiles entered at each one of the plurality of trading terminals, the matching controller computer pairing each satisfaction density profile representing a buy order with each satisfaction density profile representing a sell order, and calculating for each satisfaction density profile pair a mutual satisfaction cross product representing a degree of satisfaction to which the satisfaction density profiles in the satisfaction density profile pair satisfy each other, and ranking each (price, quantity) combination of each mutual satisfaction cross product in an order, the matching controller computer thereafter matching buy orders and sell orders in accordance with the ranked order. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19)
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Specification
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Current AssigneeOptimark, Inc. (Optimark Holdings, Inc.)
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Original AssigneeOptimark Technologies Incorporated (Optimark Holdings, Inc.)
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InventorsRickard, John Terrell, Lupien, William A.
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Primary Examiner(s)Chin, Tommy P.
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Assistant Examiner(s)LIN, BRYAN T
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Application NumberUS08/430,212Time in Patent Office936 DaysField of Search395/237, 395/235, 395/236US Class Current705/37CPC Class CodesG06Q 40/00 Finance; Insurance; Tax str...G06Q 40/04 Trading; Exchange, e.g. sto...
