Methods and apparatus for routing securities orders

• US 9,892,459 B2
• Filed: 06/04/2008
• Issued: 02/13/2018
• Est. Priority Date: 12/04/2003
• Status: Active Grant

• Current Assignee: Goldman Sachs & Co. LLC (Goldman Sachs Group Incorporated)
• Original Assignee: Goldman Sachs & Co. LLC (Goldman Sachs Group Incorporated)
• Inventors: Nangalia, Rishi, Mahoney, John, Ribaudo, Debra L.
• Primary Examiner(s): Puttaiah, Asha
• Application Number:
  US12/133,139
• Publication Number:
  US 20080243700A1
• Time in Patent Office: 3,541 Days
• Field of Search: 705 35, 705 37
• CPC Class Codes: G06Q 20/382 insuring higher security of transaction
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

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.

Claims

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.

2. The apparatus according to claim 1, wherein each percentage of total market volume is based on an average daily volume of the particular security handled by one the securities exchanges or ECNs over five previous trading days.

6. The apparatus according to claim 1, wherein the instructions when executed further cause the at least one processor to:

generate at least part of the data associated with the performance of the securities exchanges or ECNs based on electronic interactions between the apparatus and the securities exchanges or ECNs.

7. The apparatus according to claim 1, wherein communications over the at least one communication network are encrypted.

8. The apparatus according to claim 1, wherein the at least one database comprises:

information regarding the performance of the securities exchanges or ECNs related to individual securities; and

information regarding the performance of the securities exchanges or ECNs without regard to individual securities.

9. The apparatus according to claim 1, wherein:

the at least one database comprises a speed rating associated with each of the securities exchanges or ECNs;

each speed rating is based on multiple factors associated with one of the securities exchanges or ECNs; and

the instructions when executed cause the at least one processor to dynamically update one or more of the factors and the speed rating associated with one or more of the securities exchanges or ECNs.

10. The apparatus according to claim 9, wherein the speed rating for each of the securities exchanges or ECNs is (i) positively correlated with one or more of the factors associated with that securities exchange or ECN and (ii) negatively correlated with one or more of the factors associated with that securities exchange or ECN.

11. The apparatus according to claim 9, wherein:

the instructions when executed further cause the at least one processor to;

present a graphical user interface to a user; and

receive input from the user via the graphical user interface, the input defining user preferences for routing orders to the securities exchanges or ECNs; and

the speed ratings associated with the securities exchanges or ECNs are based partially on the user preferences.

12. The apparatus according to claim 1, wherein another part of the information in the at least one database relates to prices obtained by the securities exchanges or ECNs in executing orders for securities.

3. 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 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.

4. The apparatus according to claim 3, wherein the degree to which one of the securities exchanges or ECNs is overfilling orders for the particular security is determined based in part on a size of the overfilled orders by that securities exchange or ECN.

13. The apparatus according to claim 3, wherein the instructions when executed further cause the at least one processor to:

generate at least part of the data associated with the performance of the securities exchanges or ECNs based on electronic interactions between the apparatus and the securities exchanges or ECNs.

14. The apparatus according to claim 3, wherein communications over the at least one communication network arc encrypted.

15. The apparatus according to claim 3, wherein the at least one database comprises:

information regarding the performance of the securities exchanges or ECNs related to individual securities; and

information regarding the performance of the securities exchanges or ECNs without regard to individual securities.

16. The apparatus according to claim 3, wherein:

the at least one database comprises a speed rating associated with each of the securities exchanges or ECNs;

each speed rating is based on multiple factors associated with one of the securities exchanges or ECNs; and

the instructions when executed cause the at least one processor to dynamically update one or more of the factors and the speed rating associated with one or more of the securities exchanges or ECNs.

17. The apparatus according to claim 16, wherein the speed rating for each of the securities exchanges or ECNs is (i) positively correlated with one or more of the factors associated with that securities exchange or ECN and (ii) negatively correlated with one or more of the factors associated with that securities exchange or ECN.

18. The apparatus according to claim 16, wherein:

the instructions when executed further cause the at least one processor to;

present a graphical user interface to a user; and

receive input from the user via the graphical user interface, the input defining user preferences for routing orders to the securities exchanges or ECNs; and

the speed ratings associated with the securities exchanges or ECNs are based partially on the user preferences.

19. The apparatus according to claim 3, wherein another part of the information in the at least one database relates to prices obtained by the securities exchanges or ECNs in executing orders for securities.

5. 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 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.

20. The apparatus according to claim 5, wherein the instructions when executed further cause the at least one processor to:

generate at least part of the data associated with the performance of the securities exchanges or ECNs based on electronic interactions between the apparatus and the securities exchanges or ECNs.