Automated trading system

• US 8,209,254 B2
• Filed: 07/26/2002
• Issued: 06/26/2012
• Est. Priority Date: 07/26/2002
• Status: Active Grant

• Current Assignee: EBS Group Ltd. (CME Group Incorporated)
• Original Assignee: EBS Group Ltd. (CME Group Incorporated)
• Inventors: Setz, Karen Ilse, Malkin, Snezhana, Mah, Leong Fai, Scully, Steven J., Riordan, Tracey, Howorka, Edward R., Sinclair, James
• Primary Examiner(s): Badii, Behrang
• Application Number:
  US10/202,827
• Publication Number:
  US 20040019553A1
• Time in Patent Office: 3,623 Days
• Field of Search: 705/37, 705/26, 705/36.R, 705/38, 705/35, 705/39
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• 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
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A computer trading system includes a quote screening function configured to accept quotes specifying a quote amount in a price where the quote amount is greater than a minimum quote amount to produce screen quote messages and to reject quotes specifying a quote amount less than the minimum quote amount. A market view generator generates market views from those quotes which specify an amount greater than or equal to the minimum quote amount. An order screening function only accepts orders specifying an amount less than a maximum transaction amount submitted in response to the market views to produce screened order messages. A transaction processor receives screened quote messages and screened order messages and matches appropriate messages with each other. The minimum quote amount is substantially equal to or greater than the maximum transaction amount whereby a screened order message can be matched entirely with one screened quote message.

Claims

1. A method of operating a computer trading system including one or more computers on a network to match instruments between counterparties in which quotes from one or more market makers to bid or offer instruments are matched with orders from one or more market users to buy or sell instruments, comprising:

at least one of the one or more computers receiving quotes from the one or more market makers, each quote specifying a quote amount and a price;

at least one of the one or more computers screening, to identify, from the received quotes, quotes specifying an amount greater than a predetermined minimum quote amount, and producing, from the screened quotes, screened quote messages;

at least one of the one or more computers storing screened quote messages in a quote available store;

at least one of the one or more computers generating and distributing market views from the screened quote messages;

at least one of the one or more computers receiving orders from the one or more market users, the orders having been submitted in response to the distributed market views, each order specifying an amount and a price;

at least one of the one or more computers screening the received orders so as to produce screened order messages comprising only those received orders specifying an amount less than a predetermined maximum transaction amount, said screening of the received orders comprising segmenting an order specifying an amount greater than the maximum order amount into a first reduced value order specifying an amount which is less than the maximum order amount to produce a screened order message and at least a second reduced value order, and rejecting the second reduced value order; and

at least one of the one or more computers matching screened order messages with appropriate screened quote messages;

at least one of the one or more computers decrementing the amount specified in a given screened quote message in the quote available store each time a screened order message is matched therewith;

at least one of the one or more computers removing the given screened quote message from the quote available store when the amount specified in that given screen quote message falls below the minimum quote amount;

wherein the predetermined minimum quote amount is set to be equal to or greater than the predetermined maximum transaction amount, such that a screened order message can always be matched wholly with a single screened quote message.

2. A method according to claim 1, wherein the order screening rejects orders specifying an amount greater than the maximum transaction amount.

3. A method according to claim 1, wherein the matching of screened order messages comprises matching the screened order message derived from the first reduced value order with an appropriate screened quote message.

4. A method according to claim 3, wherein the matching of screened order messages matches the at least second reduced value order with the same appropriate screened quote message.

5. A method according to claim 1, wherein matching of screened order messages comprises matching order messages only with those quote messages stored in the quote available store.

6. A method according to claim 1, wherein the computer trading system comprises a plurality of trader terminals and a separate trading system, the screening of quotes being performed, at least in part, on each of the plurality of trader terminals whereby quotes specifying an amount less than the minimum quote amount are not transmitted to the trading system.

7. A method according to claim 1, wherein the computer trading system comprises a plurality of trader terminals and a separate trading system, the screening of quotes being performed, at least in part, on the separate trading system such that quotes specifying an amount less than the minimum quote amount are removed from the quote available store in the trading system.

8. A computer readable storage medium having stored thereon program code which, when executed on a computer trading system for matching instruments between counterparties in which quotes from one or more market makers to bid or offer instruments are matched with orders from one or more market users to buy or sell instruments, performs the steps of:

receiving quotes from the one or more market makers, each quote specifying a quote amount and a price;

screening, to identify, from the received quotes, quotes specifying an amount greater than a predetermined minimum quote amount, and producing, from the screened quotes, screened quote messages;

storing screened quote messages in a quote available store;

generating and distributing market views from the screened quote messages;

receiving orders from the one or more market users, the orders having been submitted in response to the distributed market views, each order specifying an amount and a price;

screening the received orders to as to produce screened order messages comprising only those received orders specifying an amount less than a predetermined maximum transaction amount, said screening of the received orders comprising segmenting an order specifying an amount greater than the maximum order amount into a first reduced value order specifying an amount which is less than the maximum order amount to produce a screened order message and at least a second reduced value order, and rejecting the second reduced value order; and

matching screened order messages with appropriate screened quote messages;

decrementing the amount specified in a given screened quote message in the quote available store each time a screened order message is matched therewith;

removing the given screened quote message from the quote available store when the amount specified in that given screened quote message falls below the minimum quote amount;

wherein the predetermined minimum quote amount is set to be equal to or greater than the predetermined maximum transaction amount, such that a screened order message can always be matched wholly with a single screened quote message.

9. A computer readable storage medium having stored thereon program code which, when executed on a computer trading system for matching instruments between counterparties in which quotes from one or more market makers to bid or offer instruments are matched with orders from one or more market users to buy or sell instruments, performs the steps of:

receiving quotes from the one or more market makers, each quote specifying a quote amount and a price;

screening, to identify, from the received quotes, quotes specifying an amount greater than a predetermined minimum quote amount, and producing, from the screened quotes, screened quote messages;

generating and distributing market views from the screened quote messages;

receiving orders from the one or more market users, the orders having been submitted in response to the distributed market views, each order specifying an amount and a price;

screening the received orders to as to produce screened order messages comprising only those received orders specifying an amount less than a predetermined maximum transaction amount, said screening of the received orders comprising segmenting an order specifying an amount greater than the maximum order amount into a first reduced value order specifying an amount which is less than the maximum order amount to produce a screened order message and at least a second reduced value order; and

rejecting the second reduced value order; and

matching screened order messages with appropriate screened quote messages;

modifying each screened quote message when an order message is matched therewith by decrementing the amount specified in each screened quote message; and

removing each screened quote message from the market views when the amount specified in each screened quote message is less than the minimum quote amount,

wherein the predetermined minimum quote amount is set to be equal to or greater than the predetermined maximum transaction amount, such that a screened order message can always be matched wholly with a single screened quote message.

10. A method of operating a computer trading system including one or more computers on a network to match instruments between counterparties in which quotes from one or more market makers to bid or offer instruments are matched with orders from one or more market users to buy or sell instruments, comprising:

at least one of the one or more computers receiving quotes from the one or more market makers, each quote specifying a quote amount and a price;

at least one of the one or more computers screening, to identify, from the received quotes, quotes specifying an amount greater than a predetermined minimum quote amount, and producing, from the screened quotes, screened quote messages;

at least one of the one or more computers generating and distributing market views from the screened quote messages;

at least one of the one or more computers receiving orders from the one or more market users, the orders having been submitted in response to the distributed market views, each order specifying an amount and a price;

at least one of the one or more computers screening the received orders so as to produce screened order messages comprising only those received orders specifying an amount less than a predetermined maximum transaction amount, said screening of the received orders comprising segmenting an order specifying an amount greater than the maximum order amount into a first reduced value order specifying an amount which is less than the maximum order amount to produce a screened order message and at least a second reduced value order, and rejecting the second reduced value order; and

at least one of the one or more computers matching screened order messages with appropriate screened quote messages;

at least one of the one or more computers modifying each screened quote message when an order message is matched therewith by decrementing the amount specified in each screened quote message;

and at least one of the one or more computers removing each screened quote message from the market views when the amounts specified in each screened quote message is less than the minimum quote amount,

wherein the predetermined minimum quote amount is set to be equal to or greater than the predetermined maximum transaction amount, such that a screened order message can always be matched wholly with a single screened quote message.