System and method for determining and applying parity in a hybrid auction market

• US 7,571,135 B2
• Filed: 07/15/2005
• Issued: 08/04/2009
• Est. Priority Date: 07/15/2004
• Status: Active Grant

• Current Assignee: New York Stock Exchange LLC (Intercontinental Exchange, Inc.)
• Original Assignee: New York Stock Exchange (Intercontinental Exchange, Inc.)
• Inventors: Burkhardt, Roger, McSweeney, Robert J., Allen, Anne E., Pastina, Louis G.
• Primary Examiner(s): Havan; Thu Thao
• Application Number:
  US11/183,285
• Publication Number:
  US 20060015448A1
• Time in Patent Office: 1,481 Days
• Field of Search: 705 36 R- 37
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A plurality of limit orders are received at the same price and the limit orders are aggregated as a single aggregate. A plurality of broker interests are received at the same price. Equal parity is assigned to the single aggregate and each of the plurality of broker interests.

Claims

1. A method for determining and applying parity for execution of securities orders performed at least partially on a programmed computer system, the method comprising:

receiving a plurality of limit orders at the same price and using the programmed computer to automatically aggregate the limit orders as a single aggregate;

receiving a plurality of broker interests at the same price;

using the programmed computer to automatically assign equal parity to the single aggregate and each of the plurality of broker interests;

using the programmed computer to automatically execute a trade against the single aggregate and each of the plurality of broker interests; and

using the programmed computer to automatically allocate the trade execution among the single aggregate and each of the plurality of broker interests according to the equal parity that is assigned to the single aggregate and each of the plurality of broker interests, whereby the same trade execution allocation goes to the single aggregate and each of the plurality of broker interests.

2. A method for executing a securities order performed at least partially on a programmed computer system, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published offer to sell shares of a security;

using the programmed computer to automatically determine a second price and second size of limit orders to sell shares of the security, wherein the second price is greater than the published offer;

receiving broker interest to sell shares of the security at the second price;

using the programmed computer to automatically assign equal parity to the limit orders to sell at the second price and the broker interest to sell at the second price;

receiving a market order to buy shares of the security with a buy size greater than the first size;

using the programmed computer to automatically execute at the first price a first portion of the market order that is equal to the first size;

using the programmed computer to automatically execute at the second price a second portion of the market order; and

using the programmed computer to automatically allocate the execution of the second portion of the market order among the limit orders to sell at the second price and the broker interest to sell at the second price according to the assigned parity, wherein the same allocation goes to the limit orders at the second price and the broker interest at the second price as a result of the equal assigned parity.

3. A method for executing a securities order performed at least partially on a programmed computer system, the method comprising:

using the programmed computer to automatically determine a first price and first size of a published bid to buy shares of a security;

using the programmed computer to automatically determine a second price and second size of limit orders to buy shares of the security, wherein the second price is less than the published bid;

receiving broker interest to buy shares of the security at the second price;

using the programmed computer to automatically assign equal parity to the limit orders to buy at the second price and the broker interest to buy at the second price;

receiving a market order to sell shares of the security with a sell size greater than the first size;

using the programmed computer to automatically execute at the first price a first portion of the market order that is equal to the first size;

using the programmed computer to automatically execute at the second price a second portion of the market order; and

using the programmed computer to automatically allocate the execution of the second portion of the market order among the limit orders to buy at the second price and the broker interest to buy at the second price according to the assigned parity using the computer system, wherein the same allocation goes to the limit orders at the second price and the broker interest at the second price as a result of the equal assigned parity.

4. A system for determining and applying parity for execution of securities orders, comprising:

means for receiving a plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

means for receiving a plurality of broker interests at the same price;

means for assigning equal parity to the single aggregate and each of the plurality of broker interests;

means for executing a trade against the single aggregate and each of the plurality of broker interests; and

means for allocating the trade execution among the single aggregate and each of the plurality of broker interests according to the equal parity that is assigned to the single aggregate and each of the plurality of broker interests, whereby the same trade execution allocation goes to the single aggregate and each of the plurality of broker interests.

5. A computer-readable medium having computer executable software code stored thereon, the code for determining and applying parity for execution of securities orders, the code comprising:

code to receive a plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

code to receive a plurality of broker interests at the same price;

code to assign equal parity to the single aggregate and each of the plurality of broker interests;

code to execute a trade against the single aggregate and each of the plurality of broker interests; and

code to allocate the trade execution among the single aggregate and each of the plurality of broker interests according to the equal parity that is assigned to the single aggregate and each of the plurality of broker interests, whereby the same trade execution allocation goes to the single aggregate and each of the plurality of broker interests.

6. A programmed computer for determining and applying parity for execution of securities orders, comprising:

a memory having at least one region for storing computer executable program code; and

a processor for executing the program code stored in the memory;

wherein the program code comprises;

code to receive a plurality of limit orders at the same price and aggregating the limit orders as a single aggregate;

code to receive a plurality of broker interests at the same price;

code to assign equal parity to the single aggregate and each of the plurality of broker interests;

code to execute a trade against the single aggregate and each of the plurality of broker interests; and

code to allocate the trade execution among the single aggregate and each of the plurality of broker interests according to the equal parity that is assigned to the single aggregate and each of the plurality of broker interests, whereby the same trade execution allocation goes to the single aggregate and each of the plurality of broker interests.