WO2017007444A1 - Systèmes et procédés de production, de mise à jour et d'affinage de prix d'instruments financiers non négociables - Google Patents

Systèmes et procédés de production, de mise à jour et d'affinage de prix d'instruments financiers non négociables Download PDF

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Publication number
WO2017007444A1
WO2017007444A1 PCT/US2015/039152 US2015039152W WO2017007444A1 WO 2017007444 A1 WO2017007444 A1 WO 2017007444A1 US 2015039152 W US2015039152 W US 2015039152W WO 2017007444 A1 WO2017007444 A1 WO 2017007444A1
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WIPO (PCT)
Prior art keywords
mid
price
live
offer
bid
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PCT/US2015/039152
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English (en)
Inventor
Francesco Cicero
Matthew Woodhams
Original Assignee
Gfi Group Inc.
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Gfi Group Inc. filed Critical Gfi Group Inc.
Priority to PCT/US2015/039152 priority Critical patent/WO2017007444A1/fr
Publication of WO2017007444A1 publication Critical patent/WO2017007444A1/fr

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • G06Q30/08—Auctions
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

  • This invention relates to electronic trading systems and methods. Specifically, this invention relates to electronic trading systems and methods of trading that may preferably stimulate regular market activity.
  • BSP broker-suggested price
  • BSO broker-suggested order
  • One characteristic of a bid that is input in response to a BSP may include a bid that may be acted on by a
  • the action by the counterparty which could be a trader or represented by a broker, or just a trader him or herself, may, or may not, be posted on an electronic trading platform.
  • Such posting may allow for viewing, and/or action, by other entities — e.g., traders.
  • Such posting may allow for action in response to the posting.
  • Such action may include at least one of the other entities hitting a posted bid, or lifting a posted offer .
  • a posted price in the form of a bid or offer
  • a posted price may indicate that an entity has agreed to buy or sell a volume of an interest.
  • the first trader may have requested, either by a default setting or a specific request, that the bid or offer remains unposted — i.e., that the bid or offer is not
  • Another trader may submit a counter order, such as an offer or a bid, respectively.
  • the trader who submitted the counter order may have not requested that the offer or bid remain unposted.
  • certain embodiments may notify the trader associated with the unposted order that there is a posted counter order.
  • the trader associated with the unposted order may either accept the counter order and allow a trade to be executed with the posted offer or posted bid, or not respond to the counter order and have his unposted order, after a pre ⁇ determined amount of time, removed from the system.
  • the trader associated with the unposted bid or offer may, alternatively, be presented with a choice — either allow the trade to be consummated or have his unposted bid or unposted offer removed from the system.
  • BSP may then accept, or refuse, the response of the
  • the present embodiment solve problems of prior electronic trading systems, in the context of computerized trading, relating to speed, accuracy and usability.
  • the embodiments herein are directed to solving problems that existed with conventional trading systems that produced broker-suggested prices. There was a risk with the prior art systems would be too
  • a system includes a database
  • a computing device configured to store financial instrument information and a memory configured to store execution instructions.
  • the processor executes the instructions.
  • the processor may initiate a trading session.
  • the processor may receive instructions.
  • the instructions may include either a buy or sell position and a price.
  • the buy or sell position may not be for display to other broker clients.
  • the instructions may require sending an electronic notification to the first broker client that one of the plurality of broker clients has submitted a counter order that is capable of executing a trade with the first broker' s buy or sell position.
  • FIG. 1 shows apparatus in accordance with the principles of the invention
  • FIG. 2 shows a first graphical user interface
  • GUI for use with systems and methods according to the invention ;
  • FIG. 3 shows a second GUI for use with systems and methods according to the invention
  • FIG. 4 shows a third GUI for use with systems and methods according to the invention
  • FIG. 5 shows a fourth GUI for use with systems and methods according to the invention
  • FIG. 6 shows a fifth GUI for use with systems and methods according to the invention
  • FIG. 7 shows a sixth GUI for use with systems and methods according to the invention.
  • FIG. 8 shows yet another graphical user interface according to certain embodiments. DETAILED DESCRIPTION OF THE DISCLOSURE
  • sessions involving broker-suggested prices may be initiated and managed by brokers in a price sheet via a new workspace column.
  • a price sheet may be understood to be a spreadsheet including a bid column (s) and an offer column (s) for one or more interests.
  • a session may be understood to be a period of time within which investors may execute a buy or sell of a volume of an interest.
  • a workspace column for use with a BSP may be understood to be an
  • Such a new workspace column may be used to control the session.
  • Multiple BSP sessions may be maintained for different interests.
  • the identity of each individual interest may be specified by the broker when initiating the session .
  • brokers may be permitted to submit, view, and manage suggested-price orders.
  • broker-suggested price may be understood to refer to a price suggested by a broker that does not reflect a tradable market position.
  • only traders may be permitted to submit, view, and manage suggested-price orders.
  • a suggested-order may be created and updated only by a trader.
  • only selected traders may be allowed to submit, view and manage suggested orders.
  • both brokers and traders may be permitted to submit, view, and manage suggested-price orders.
  • a suggested-price order may be created and updated by brokers and traders.
  • only selected brokers and/or selected traders may be allowed to submit, view, and manage suggested price-orders.
  • buyers and sellers in the session involving a suggested price may be instantly matched based on time priority.
  • BSS Backwards
  • Brokers that had outstanding suggested orders that crossed with the market order may receive a trade execution popup, which notifies the crossed trader of the trading opportunity and allows the trader to hit or lift the market order directly via the trade execution popup.
  • the session may end for all users.
  • the suggested price order may apply to all
  • the specified level may preferably be visible to all users that have access to the workspace.
  • the suggested price level may be populated with the active suggested price level when a suggested price order column is added to the workspace. It should be noted, however, that the embodiments relating to unposted orders may be limited to certain interests and may not be applicable to certain interests.
  • the suggested order price may be validated based on the following rules:
  • the suggested price may be subject to the same validation rules — e.g., rules that determine, based on current market conditions, whether a given trade price is not artificially manipulated — as a price on a conventional market order.
  • validation rules may include price variance checks, price tick checks, and/or minimum and maximum price checks.
  • the BSP level should preferably be somewhere within the quoted bid-offer range, but need not be the exact middle of the range.
  • the BSP may be deemed to be 'out of range' when it equals or crosses either the highest live bid or the lowest live offer in the market.
  • An error message may be generated if the BSP is out of range. Accordingly, the BSO level should preferably be better than any active bids or offers.
  • the BSP may preferably only be validated against firmly posted and subject orders — i.e., orders that are posted for execution subject to fulfillment of a discernable condition.
  • the BSP may preferably not be validated against no-post and held orders.
  • sessions involving BSOs may be initiated, updated and/or terminated by brokers directly via a BSO column. In certain embodiments, sessions involving BSOs may be initiated, update and/or terminated using
  • the request may preferably be applied immediately to the session.
  • sessions involving BSOs may be initiated on any interest regardless of the entity access level of the associated reference entity.
  • the BSO level may be shown in bold font or with another suitable visual indicator (s) of the BSO status.
  • Start Session a session may start when a broker enters a price in the BSO column and presses ⁇ enter>.
  • the BSO level may be updated when a broker updates the price in the BSO order column and presses ⁇ enter> on a session in progress .
  • a BSO session may end once a broker deletes the price in the BSO order column via the ⁇ delete> key, clicks the hold icon next to the BSP or selects the delete price option in the right click menu.
  • the interest settings may preferably not be modified via an update credit (or other suitable selection) until the session is stopped.
  • BSP may flash for a predetermined amount of time or in a predetermined order. Rules for such flashing are known to those skilled in the art with respect to flashing rules for new prices and price updates. For both new sessions and session price updates, the BSP may flash in yellow or some other predetermined color. The price flash duration may be the same duration as for new prices. Once the BSS is cancelled, the BSP may be cleared from the BSO column. In some embodiments, suggested-levels from broker-suggested sessions may not be stored or captured.
  • the BSS may terminate, and all related BSOs may be cancelled, when one of the following events happens on the related interest: [052] Broker or other suitable entity deletes the BSO level ;
  • Broker updates the BSO level.
  • the session at the previous BSO may be cancelled and replaced with a new session. All open orders for the previous BSO may also be cancelled. All traders who wish to participate at the new BSO level, may be required to resubmit their orders.
  • the BSS may terminate and all open BSOs may be cancelled.
  • the cancellation may occur independent of the price level of the trade.
  • unposted trades may not cancel BSSs.
  • a fixing or matching session starts — i.e., a session in which, for example, orders received during a pre ⁇ determined time period are executed based on some equilibrium price, the equilibrium price which preferably allows the execution of highest volume of the interest, preferably in accordance with price and time priority rules, fixing and matching sessions may be initiated on interests that have BSSs in progress.
  • BSP and/or BSO may be generated manually — e.g., in response to a broker suggestion.
  • the BSP and/or BSO may be generated based on an externally determined parameter.
  • Such parameter may include a price determined based on a fixing or matching session.
  • the price some equilibrium price, which allows the execution of highest volume of the interest.
  • the price may be some price other than an equilibrium price.
  • the BSS may terminate and all BSOs may be cancelled.
  • the submission of no-post or held orders may preferably not cancel BSSs.
  • BSSs may terminate when the end of day process runs for the site of the broker that initiated the BSS.
  • One further aspect of an invention may include the ability to "work up" a trade after the original execution. This may also be known as a j oin-the-trade ("JTT") process.
  • JTT j oin-the-trade
  • the option to enable JTT indicators for the BSSs may be required for broker suggested trading.
  • "Working up" a trade may include submitting a request to buy or sell additional size of the traded item at the same price of the item that was recently traded in the electronic trading system of the previously executed trade.
  • the "worked up” trade may preferably occur in a separate and timed market in the same system or in another suitable trading system.
  • JTT market may be referred to herein as a work up/join the trade market.
  • work up and join the trade” aspects of the market is as follows.
  • the original trade participants are referred to as participating in the "work up” and the participants who were not original participants are referred to as participating in the "join the trade.”
  • the market of work up and join the trade may be referred to herein as a work up/join the trade market.
  • "work up” features may be made available to the users in the same group as the originating users of the execution. Users that were not involved in the execution of the trade may be given "join the trade” optionality or features as will be explained in greater detail below.
  • any user with semi-interactive or interactive permission type may "work up” the trade.
  • "ViewOnly” and “restricted” permission types may not be able to utilize any of the "work up” features displayed on their respective interfaces.
  • a further rule associated with "work up” may require an additional level of participation from the semi- interactive or interaction permission type traders. While status as semi-interactive and interactive permission types may be required as a necessary condition to join work-up, nevertheless, if the semi-interactive or interactive users are not signed on to the electronic trading system (or suitable trading application) in which the trade is
  • the work up feature may suppress an execution pop-up on the interface that is normally
  • Live trade refers to the trade that is being worked up following the execution of the original trade.
  • One further feature of working up trades according to the invention may be that a broker or broker clerk that enters, on behalf of a customer, into a live trade with a certain customer code that was involved in the initial execution will preferably be "working up" the live trade opportunity on behalf of the original code group.
  • Join the trade is a feature by which a user submits a request to buy or sell a volume of the interest at the same price, that was recently executed by other users in a separate and timed market in the same or different electronic trading systems and/or
  • said portion (which may be a trading matrix or other suitable trading interface) which may be referred to hereinafter as a "trading screen" or “screen”, may see and/or utilize join the trade features.
  • a trading screen or “screen”
  • one embodiment of the invention may only allow semi-interactive and interactive to join the trade while view only traders, or other similarly restricted traders or users may not have any of the join the trade features displayed and/or activated on their respective screens .
  • any semi-interactive or interactive user may preferably be signed on to the trading system and/or application at the end of the timer to participate in the matching at the conclusion of the live trade .
  • a broker or broker clerk that enters into the live trade on behalf of a client that was not involved in the initial execution is referred to herein as "joining" the live trade on behalf of the customer association.
  • an execution in a trading system and/or application according to the invention preferably triggers the work up/join the trade feature.
  • Alerts and indicators may be sent preferably substantially immediately to interactive users who have the relevant trading screens open on their trading interfaces.
  • an application according to the invention may have certain user's prices automatically entered into the live trade.
  • GUI may indicate a current user's live trade status as "worked up” because he still has untraded volume from the original order.
  • the user may cancel the untraded volume or resubmit a new size prior to the timer for the live trade expiring. Nevertheless, the user associated with the residual volume may not be required to review or respond to the live trade window for the residual size to be included in the work up. Additionally, if the user holds the price using a hold feature - i.e., a feature that allows a user to retain the values of a previously placed order though the held order is not visible or exposed to the market and cannot be traded on without further action on the part of the associated user - while time still remains on the live trade, then automatic work up associated with the residual size may be removed.
  • a hold feature i.e., a feature that allows a user to retain the values of a previously placed order though the held order is not visible or exposed to the market and cannot be traded on without further action on the part of the associated user - while time still remains on the live trade
  • prices in the system/application that are equal to the executed price may automatically join the live trade.
  • a user associated with a price that is already in the system and equal to the price of the live trade preferably does not have to review or respond to the live trade window for the size associated with his price to be joined in the live trade.
  • a live trade window when displayed, may indicate the current user's status as "joined" in the live trade. The user may cancel the order or resubmit a new size prior to the timer expiring. If the user holds the price using the hold option, as described above, then the automatic join with the live trade may be removed.
  • users may work up or join the trade.
  • a user may have the ability to modify their respective entry during the countdown to the match of the live trade.
  • the user may only preferably provide one entry per live trade.
  • a trading application and/or trading system may automatically match up the buyers and sellers that participated in the live trade of the work up/join the trade trading opportunity.
  • a single bid/offer may be matched up with multiple bid/offers. Those with priority, which is defined in more detail below, may have their respective entire size matched before moving to the next level of priority. If there is not an equal amount of volume of interest bids to offers or offer to bids, the outstanding size may be thrown out. Once matched, all executed trades may be sent to a suitable trade recordation application or system.
  • trades executed as part of the live trade may not trigger an additional work up/join the trade feature.
  • only trades executed from relevant, preferably predetermined trading screens may trigger the work up/join the trade feature .
  • the reduced size may be sent back to the trading application and/or the trading system.
  • the new users may not be able to associate with the ongoing work up/join the trade trading opportunity.
  • the work up/join the trade may be cancelled. Users may receive a live trade match status message that indicates that no execution took place.
  • Such settings may be accessed via interest level defaults ;
  • BSO column right click menu option may be used to implement the appropriate settings
  • Entity/Bond Buffet setting (this refers to enabling a sub-set of reference entities or bonds for broker suggested matching. Typically, this is implemented using a yes/no flag) ; and/or
  • Such settings may be accessed via a price sheet header, which may apply the setting to all interests in the price sheet. [096] The following settings/options may be available:
  • one, some, or all join and trade indicator settings may be disabled by default.
  • All settings may persist for the interest if the interest is modified — i.e., if the price on the BSS is updated .
  • BSS settings may apply to all instances of the interest
  • Join indicators may be shown in the "BSO" column when a site, other than the broker, joins the BSS.
  • Direction-based join indicators may be shown in the Buy Size and Sell size column, depending on the direction of outstanding join requests, or in any other suitable location on a trading GUI .
  • Trade indicators are shown in the "BSO" column when trades are executed in the BSS by non-trading group members. Such trades may include trades from other traders within the same site. If the trading group does not have share trades enabled, then the trade indicator is shown when a trading group member trades. [0106] The simultaneous display of join and trade
  • Join and trade indicator support may be provided in the BSO field of the price sheet.
  • the background of the BSO field may be displayed in a suitable font color. If the trade indicator is triggered, the background of the BSO field may be a second suitable color.
  • the background of the BSO field may be formed from half of the first suitable color and half of the second suitable color, or from some other suitable combination of colors or other visual indicators.
  • join and trade indicators may be removed from the BSO field.
  • Such a trader should preferably have one of the following desk trader roles: Interactive Trader, which enables the trader to view enter and execute prizes for the interest; Fixer, which enables the trader to participate in the Fixing portion of a matching session; and Joiner, which enables the trader to join the trade during the course of a trade being worked up. Accordingly, such a user may submit a request to buy or sell size at the same price for an interest that was recently executed in the same or a different market by other trades.
  • Traders that have view-only entitlements on the interest may be permitted to view the broker-suggested-level in the BSO column, but may not be permitted to submit orders in the BSS and access to the BSO submission dialog may be disabled .
  • Orders for BSSs may preferably only be submitted and updated by entitled traders and/or brokers via a new order entry dialog.
  • Access to the order entry dialog by traders may be via the BSO column on the trader's price sheet.
  • the dialog may be accessed by double clicking on the price in the BSO column.
  • a right click menu option may be available via the BSO column, with a "BSO" option, which may open the BSO entry dialog.
  • the order entry dialog may only be accessible when a BSS is in progress.
  • brokers may not have access to the order entry dialog for BSSs.
  • the BSO column may provide the ability to cancel BSOs via a hold icon, but the creation and update of orders should preferably be submitted via the dialog.
  • the order entry dialog for BSSs may allow traders to submit buy and sell requests at the broker specified BSO- level .
  • Timer - The timer column may display static text "BSS" when the session is in progress.
  • the ended timestamp may be displayed .
  • the BSO column may also be used to display join and trade indicators if the setting is enabled.
  • credit details, or details of another suitable interest may be the same as for a
  • a buy size field may be used to display direction based join indicators related to buy requests.
  • a BSO may show the BSP level specified by the broker via the BSO column in the price sheet .
  • Traders may submit their size either via the size entry field or size buttons, depending on their user
  • traders may only be
  • the status field and trade summary table may notify traders of trade execution details.
  • BSO tracking may be limited in that only a single BSO entry dialog may be opened at one time.
  • Opening the BSO entry dialog for a different interest may close an open BSO dialog, as long as the dialog for the new interest remains open.
  • the BSO entry dialog may only show details for a single interest at a time.
  • the BSO entry dialog may not automatically pop up when the BSS is initiated or ended.
  • a BSO entry dialog according to the invention may have no timer, and the session may preferably only end when a broker manually deletes the broker-suggested-level via the BSO column.
  • All BSOs should preferably be submitted via the BSO entry dialog. Nevertheless, traders may be permitted to maintain market orders and BSOs simultaneously on a single interest .
  • the BSP may be displayed with a background of a first suitable color.
  • the BSP may be displayed in a second suitable color. Further, the trader may see a hold icon to the left of the BSP.
  • the BSP may be displayed in a third color, and the trader may see a hold icon to the right of the BSP (A different color may be needed, since the first color may conflict with the Join the Trade indicator.)
  • a right click menu option may be available with a "cancel BSO" option, which may cancel the outstanding BSO.
  • the size of the BSO may not be visible in the price sheet.
  • the BSO hold icon may be available regardless of whether the trader has in-cell icons enabled or disabled.
  • the background and font coloring of the BSO may be visible to the trader that owns the order, as will all traders from the trader's site and/or group.
  • only the trader that owns the order and traders from the trader' s trading group that shares trades may have access to the hold icon and the right click.
  • a "Hold BSOs" button may be available in the button bar of the trader client, which may hold all of the trader's BSOs. Unlike existing "hold all” buttons, there may only be a single “hold BSOs” button, which may apply to all BSOs in both Credit Derivative Swap ("CDS”) and Investment Grade Bond
  • a trader's timer may apply to all the trader's BSOs in addition to his regular market orders. Once the trader's timer expires, all of the trader's market orders may be held and all BSOs may be cancelled. If the trader's timer is refreshed - e.g., reset to an initial setting -- by the trader or a broker on the trader' s behalf, the timer for outstanding BSOs may also be refreshed.
  • BSOs may be held along with the trader' s market orders if the BSO meets the trader's OCO conditions -- i.e., hold by product line, hold by sector, hold all orders, hold by side.
  • BSS trade executions may be included in the
  • trader' s OCO count and may trigger OCO if OCO conditions are met .
  • ABC Trader has OCO set to be triggered if the trader trades 2 times in 5 minutes, and hold by sector and hold by side are enabled.
  • ABC Trader has three market bids and three market offers in price sheet EU Tobacco.
  • ABC Trader has three BSOs to buy and three BSOs to sell in EU Tobacco.
  • Termination of the BSS or the update of the BSO price level may cancel the BSO. Traders that have outstanding BSOs may be alerted when their BSO is cancelled. Only traders that have outstanding BSOs may receive the alert.
  • the format of the alert message displayed may depend on whether the session was cancelled due to a session cancellation or session update — i.e., whether the broker stops the session, or the session ends due to a trade against a broker position updating the BSO level.
  • Two exemplary cancellation message formats follow:
  • the cancellation alert may be generated in addition to the trade execution dialog.
  • the user interface and interaction of the alert dialog may be the same as the counter and trade alert dialog.
  • trading group functionality may be applicable to BSSs.
  • a trader' s BSO may be visible to the trader that owns the order, and other traders from the trader's trading group.
  • the BSO entry dialog may show outstanding order and trade details related to orders submitted and trades executed by other traders from the logged-in trader's trading group.
  • group functionality may provide that all trading group members that share trades, may share a single buy/sell request on an interest.
  • Group functionality may also provide that all trading group members may be permitted to manage the trading group's orders.
  • Traders from the same site/institution that are not part of a trading group may not see order and trade details in the BSS order entry dialog.
  • the trade details may be viewed by group members via the trade logs.
  • a trader may edit an existing BSO by double- clicking on the related BSP. This may bring up the BSO dialog populated with the trader's existing order size. The trader may then modify the side and/or size as desired.
  • a trader may cancel a BSO by clicking on the red X icon next to the related BSP.
  • Brokers may not see any indication that a trader has an outstanding BSO in the market.
  • Price/Trade log messages may not be generated for brokers or traders when a trader submits, updates or cancels a BSO.
  • brokers may only receive trade
  • Broker trade log messages for BSS trades may have a "G", or other suitable indicator, pre-pended to the size.
  • BSO submissions by traders may generate "joins”, “cancels” and "unfilled” trade log messages in real time. [0174] There may be no reserved phase for BSSs.
  • trades are completed as they are filled. In such embodiments, trade aggregation may not be possible. Therefore, if multiple trades are executed against the same counterparty at the same price for the same BSS, a trade ticket may be created for each execution.
  • BSS may be instantly matched based on time priority.
  • Time priority determination rules may be as follows: price and size updates resets time priority, while size updates do not reset time priority.
  • the BSS may be terminated
  • Any standing BSOs may be checked for a potential match with the improved market order that triggered the 'out of range' condition - i.e., system may check clearing and counterparty restrictions for the two sides;
  • the owner of the BSO may be alerted via a special trade dialog, and be
  • a trade execution dialog may be presented to the trader, via which the trader can view and respond to all potential trades in a single window;
  • Each potential trade may be displayed in a separate row with the credit, or other suitable interest, name, a hit/lift button showing trade direction, size and price, and status ;
  • the trader may click on the desired hit/lift button to execute the trade; [0189] If JTT is enabled for the interest, then workup may be initiated in response to the trader with the crossed BSO election to execute the order in the market;
  • All trades initiated via the trade execution dialog for crossed BSOs may be at the price of the order in the market -- i.e., the execution may be the same as if the trader with the BSO hit/lifted the order on screen via the conventional hit/lift dialog;
  • All trades initiated via the trade execution dialog for crossed BSOs may occur for the size of the posted order in the market, regardless of the size of the trader's BSO, and the trader may be required to workup any additional size he/she wishes to trade -- i.e., the electronic trading system may not auto-workup any amount from the BSO that is greater than the size of the market order.
  • Tl has the 70 bid in the market
  • T2 has the 75 offer in the market
  • BSP is 72;
  • T3 enters a broker suggested offer at 72;
  • T4 also enters a broker suggested offer at 72;
  • Tl improves his market bid to 72; [0202] BSS is terminated; [0203] T3 ' s broker suggested offer is terminated;
  • T4 ' s broker suggested offer is also terminated, but he receives an alert with the option to do a posted trade with Tl at 72;
  • the regular market order may be given priority even when there is a more
  • Market is 70 bid - 73 offer.
  • T5 has the 70 bid in the market
  • T6 has the 73 offer in the market
  • BSP is 72;
  • T7 enters a broker suggested offer at 72;
  • T8 attempts to enter a market bid of 73
  • T8 accepts the trade and continues: [0218] T8 trades at 73 with T6, and JTT starts; [0219] BSS is terminated; [0220] T7 ' s broker suggested offer of 72 is terminated; [0221] If T8 cancels and declines the trade: [0222] T8's bid is not submitted; [0223] BSS remains active.
  • a trade execution dialog box for crossed BSOs may be generated for a trader if the trader' s BSO meets the following conditions:
  • Trader' s BSO should preferably be on the opposite side of the market order -- i.e., if market order is a bid, then trader' s crossed BSO should preferably be a sell
  • Trader with the BSO should preferably not be counterparty-restricted with the initiator of the market order .
  • Trader with the BSO should preferably not be clearing restricted with the initiator of the market order.
  • the order that crossed with the trader' s BSP is preferably not from the trader's institution.
  • the outstanding size of the BSO may be ignored, in that the trader with the BSO may be given the option to trade the market order for the market order's size, regardless of whether the size of the BSO is greater or less than the size of the market order.
  • FIX Financial Information exchange Protocol
  • the trade execution dialog for crossed BSOs may only reflect the state of the market when the crossed market was generated and may not be updated to reflect any changes to the market.
  • Certain embodiments of the invention may only display a color-coded - e.g., red for hit, and blue for lift - trade execution button with the direction, size and price details of the best order only. Only the best order may be traded even if there are orders in depth at the same price level -- i.e., deal by volume may not be permitted.
  • the ability to partially trade the crossed market order may be available if the size of the market order is greater than the standard size.
  • the related panel may close and the JTT session may initiate if JTT is enabled.
  • dialog Once the dialog is generated by a crossed order event, the dialog may not be refreshed to reflect subsequent market updates on the corresponding interest.
  • hit/lift button may be disabled and an error message may be displayed in bold red in status field.
  • the trade request processing rules may be the same as the standard trader hit/lift dialog.
  • broker has hit/lift dialog open on the order
  • Expanding rules for handling trade executions may be as follows:
  • All trades executed via the dialog may be posted trades and follow-on workup sessions may be initiated if enabled for the interest.
  • the trade may be executed at the best price available.
  • the trade may fail if the price is worse than quoted price.
  • ABC submits the hit request and the trade is executed with GS for 5MM@101.
  • the system may attempt to execute the trade for the full-quoted size requested by the trader.
  • the system may execute orders in depth to fulfill the quoted size, if the orders in depth have a price equal to or better than the quoted price.
  • MS Prior to ABC submitting a hit request via the crossed order trade execution dialog, MS updates the size of the bid to 5MM@100;
  • the traded size may preferably never be greater than the size shown in the trade execution dialog.
  • the available size of the best order is greater than the size of the quoted size, the best order may be partially traded and the remainder may automatically be worked up if JTT is enabled.
  • MS Prior to ABC submitting a hit request via the crossed order trade execution dialog, MS updates the size of the bid to 10MM@100;
  • the system may execute the available size and the remainder may automatically be worked up if JTT is enabled.
  • MS Prior to ABC submitting a hit request via the crossed order trade execution dialog, MS updates the size of the bid to 5MM@100;
  • the trader with the BSO may be permitted to partially trade the market order.
  • Standard size is 5MM
  • MS is automatically worked up to buy 45MM in a live trade session.
  • each trader that qualifies to execute the market order may be presented with the trading opportunity .
  • execution dialog may be on a first-come first-served basis, and order ranking from the BSS may not apply.
  • JTT is enabled on the interest, only the first trade request submission may be accepted and subsequent trade request submissions may be rejected if the request is received while the JTT session is in progress.
  • BSS is in progress on DT 5y at a price of 100;
  • KITI submits a BSO to buy 10MM
  • MS enters an offer in the market for 10MM@99;
  • KITI responds first and lifts the offer via the crossed trade dialog and JTT is initiated;
  • the system may execute the trade request if there is market depth that fulfills the price and size conditions request.
  • BSS is in progress on DT 5y at a price of 100;
  • ABC submits a BSO to buy 10MM
  • KITI submits a BSO to buy 10MM
  • MS enters an offer in the market for 10MM@99;
  • MS has post unfilled enabled and an offer is created in the market for 10MM@99;
  • BSS is in progress on DT 5y at a price of 100;
  • ABC submits a BSO to buy 10MM
  • KITI submits a BSO to buy 10MM
  • MS enters an offer in the market for 10MM@99;
  • KITI responds first and lifts the offer and the trade is executed with GS for 10MM@98.5;
  • ABC responds second and is matched with MS for 10MM@99.
  • the crossed order trade execution dialog may only show one order per interest even if there are multiple orders at the best price level.
  • Traders may not be permitted to directly submit deal-by-volume executions via the crossed order trade
  • the system may attempt to execute orders in depth to fulfill the initial size quoted if orders in depth are available and fulfill the price and counterparty criteria.
  • the system may attempt to execute the trade with any non-restricted orders in depth that meet price and size requirements.
  • GS is counterparty-restricted with ABC
  • ABC submits the hit request and the trade is executed with MS for 5MM@100, bypassing GS's restricted bid;
  • GS's bid is auto-worked up to buy 5MM@100.
  • Trades executed via BSSs may preferably be reported to trade capture systems (CTC CTC-2842 and BTC BTC-2930) substantially immediately as trades are executed during the session.
  • a trade executed, at least in part, in response to a "broker suggested" price e.g., a trade between an unposted bid submitted in response to a broker suggested offer and a posted offer, or a trade between an unposted offer submitted in response to a broker suggested bid and a posted bid
  • all BSS trades may be characterized as no-post trades. In certain embodiments, all BSS trades may be characterized as posted trades. In certain embodiments, all BSS trades may be characterized as
  • Both sides of a BSS trade may be
  • BSOs may not be sent to price API.
  • FIX may not support BSSs.
  • FIX users may not receive the trading opportunity message in the case of crossed BSO events.
  • Such aspects may take the form of a computer program product stored by one or more computer- readable storage media having computer-readable program code, or instructions, embodied in or on the storage media.
  • Any suitable computer readable storage media may be utilized, including hard disks, CD-ROMs, optical storage devices, magnetic storage devices, and/or any combination thereof.
  • signals representing data or events as described herein may be transferred between a source and a destination in the form of electromagnetic waves traveling through signal-conducting media such as metal wires, optical fibers, and/or wireless transmission media (e.g., air and/or space) .
  • FIG. 1 is a block diagram that illustrates a generic computing device 101 (alternatively referred to herein as a "server") that may be used according to an illustrative embodiment of the invention.
  • the computer server 101 may have a processor 103 for controlling overall operation of the server and its associated components, including RAM 105, ROM 107, input/output module 109, and memory 115.
  • I/O module 109 may include a microphone, keypad, touch screen, and/or stylus through which a user of server 101 may provide input, and may also include one or more of a speaker for providing audio output and a video display device for providing textual, audiovisual and/or graphical output.
  • Software may be stored within memory 115 and/or storage to provide instructions to
  • processor 103 for enabling server 101 to perform various functions.
  • memory 115 may store software used by server 101, such as an operating system 117, application programs 119, and an associated database 121.
  • server 101 computer executable instructions may be embodied in hardware or firmware (not shown) .
  • database 111 may provide storage for records of trades based on broker suggested bids and broker suggested offers, attempts to act upon broker
  • Server 101 may operate in a networked environment supporting connections to one or more remote computers, such as terminals 141 and 151.
  • Terminals 141 and 151 may be personal computers or servers that include many or all of the elements described above relative to server 101.
  • the network connections depicted in FIG. 1 include a local area network
  • LAN local area network
  • WAN wide area network
  • computer 101 is connected to LAN 125 through a network interface or adapter 113.
  • WAN wide area network
  • server 101 may include a modem 127 or other means for establishing communications over WAN 129, such as Internet 131. It will be appreciated that the network connections shown are illustrative and other means of establishing a communications link between the computers may be used. The existence of any of various well-known protocols such as TCP/IP, Ethernet, FTP, HTTP and the like is presumed, and the system can be operated in a client-server configuration to permit a user to retrieve web pages from a web-based server. Any of various conventional web browsers can be used to display and manipulate data on web pages.
  • application program 119 which may be used by server 101, may include computer executable
  • Computing device 101 and/or terminals 141 or 151 may also be mobile terminals including various other
  • components such as a battery, speaker, and antennas (not shown) .
  • Terminal 151 and/or terminal 141 may be portable devices such as a laptop, cell phone, blackberry, or any other suitable device for storing, transmitting and/or transporting relevant information.
  • FIG. 2 shows an exemplary user interface 202 for use with systems and methods according to the invention.
  • User interface 202 preferably includes line 204.
  • a broker suggested trader trade execution dialog box 206 may be displayed to a user.
  • Box 206 may preferably include a live broker suggested trade portion.
  • the live broker suggested trade portion may include a broker suggested mid price field 208, a credit (or other financial interest or instrument) identification field 210, a buy size 212 (ADDITIONAL) field 212, a sell size (ADDITIONAL) field 214, and/or a trade status field 216.
  • Box 206 may also include a trade summary portion 218.
  • Trade summary portion may include an amount bought field 220, a price field 222, an amount sold field 224, a counterparty field 226 and/or a trade method toggle field 228.
  • Toggle field 228 may toggle between clearing and bilateral .
  • a trade in which a BSP has been posted may be displayed as a mid price in GUI 202 (see price 205) .
  • box 206 may be displayed. Box 206 may display that price 208 is in fact a BSP.
  • a user other than the trader who entered the BSP may understand that the BSP is only a bid, offer, or trade for display to a market. The user may understand that the bid, offer or trade does not reflect a tradable interest. Rather, the BSP represents a possible trading position which is, however, not executable.
  • FIG. 3 shows a second GUI for use with systems and methods according to the invention.
  • FIG. 3 shows, inter alia, a bid price 302, a mid price 304 and an offer price 306.
  • the buy price 302 may represent the current tradeable buy price.
  • the sell price 304 may represent the current tradeable sale price.
  • the mid price 306 may represent either a true mid price, which may be obtained via a fixing session and which may form the basis of a mid-price auction, or a BSP, which one of the traders entered and which does not reflect a tradeable price.
  • the shading of the "70" indicates that the trader (FIG. 3 shows the trader's view) has an active BSP of "70".
  • the "X" icon on the left of the price indicates that the BSP is a bid to buy.
  • Such a BSP may be displayed with a red X 308 to the left of mid price 304, or an X of another suitable color.
  • a trader may cancel a BSO by clicking on the red X icon next to the related BSP.
  • FIG. 4 shows a third GUI for use with systems and methods according to the invention.
  • FIG. 4 also includes a bid price 402, a mid price 404 and an offer price 406.
  • the "X" icon on the right of the mid price indicates that the BSP is an offer to sell.
  • FIG. 5 shows a fourth GUI for use with systems and methods according to the invention.
  • FIG. 5 includes columns 502, 504 and 506. In FIG. 5, none of columns 502, 504 and 506 are shaded.
  • FIG. 5 shows the trader's view of an active BSS (with the column being populated at 72) where the viewing trader has not submitted any BSOs .
  • FIG. 6 shows a fifth GUI for use with systems and methods according to the invention.
  • FIG. 6 includes columns 602, 604 and 606. In certain embodiments, this can be the starting point of the BSS for a trader that enters a nopost order, where another party has submitted a broker suggested bid or a broker suggested offer.
  • FIG. 7 shows a sixth GUI for use with systems and methods according to the invention.
  • FIG. 7 occurs at the point described above where the owner of the host price can be matched against a posted order; thereby generating a posted trade and, if enabled, a JTT session.
  • Certain conventional electronic trading systems provide a continuous matching function that operates within a Central Limit Order Book - i.e., an interactive display including executable bids and offers for trading an interest.
  • a broker manually enters and/or updates a mid-price (a price between the bid and offer) - referred to heretofore as a broker-suggested price.
  • Traders can then anonymously enter into the trading systems to trade an interest to buy or sell the instrument.
  • the order when a trader enters an order that crosses the mid-price, the order may be treated as active when at or better than the mid-price, or non-active otherwise. Accordingly, the trader may be able to submit a type of limit order within the session that goes in or out of the session depending on how the mid-price fluctuates. The order may also go in or out of the session depending on a flag that the trader has activated to obtain such
  • the broker-suggested price on the screen may turn a suitable color such as orange.
  • the color indicates that there is interest in the instrument, but does not indicate whether the interest is to buy or to sell. If a second trader enters a contrary interest at a suitable price, the instrument may trade between those two parties at the mid-price.
  • tolerance may include a x typical' bid/offer spread of the given instrument based on historical bids/offers from internal and external sources (hereinafter, a "tolerance”) .
  • the following algorithms preferably update the mid- price while trading is occurring. Because the updates are done via an algorithm, the mid-price can be preferably constantly (or periodically) updated across a virtually unlimited number of instruments.
  • This technology an algorithmically-generated, market-data-based mid-price that is continuously or periodically updated - preferably creates a more possible opportunity for clients to complete trades with one another.
  • Mid-prices may preferably be algorithmically generated from several publically-available data sources as well as from internal entity data - e.g., bids, offers and trades that are received, and/or otherwise occur, on an entity's internal platform.
  • These algorithmically-generated mid-prices may, in certain embodiments, be first fed into a customized column in the Central Limit Order Book that is viewable preferably only by brokers that are associated with an entity responsible for providing the mid-prices.
  • a column may include the mid- price, which is preferably continuously (or periodically) updated.
  • the mid-price may be updated in real-time, or close to real-time.
  • This custom column may then become the source for the actual mid-price that is viewed by other traders - whether entity or non-entity affiliated.
  • the manner in which the mid-prices are updated may be substantially entirely configurable. That is, the
  • updating of the mid-price can be configured individually for each instrument, by instrument sector -- e.g., Oil and Gas Sector, Financial Sector, or by any other grouping that is useful .
  • instrument sector e.g., Oil and Gas Sector, Financial Sector, or by any other grouping that is useful .
  • the updating of the mid-price may also be referred to as "throttling" the mid-price.
  • the term “throttling” as used herein may be understood to refer to setting a frequency of the calculation and/or change of display of the mid-price.
  • the frequency of mid-price refresh and the circumstances and length of a suppression of a refresh -- i.e., a "freeze” or “lock” of the mid-price for a period of time, or, in the alternative, based on a relative value of the interest, to allow other traders to enter bids or offers for the interest and execute a matched trade -- may be user-or system- configurable options.
  • the configuration of the throttling mid-price when an interest has been selected.
  • These forms may include, for example, 1) allowing the mid-price to continue to refresh at normal intervals, which would have the effect of removing the trader' s interest off of the platform when the mid-price changes; 2) suppressing the refresh of the mid-price for a specific number of cycles; 3) only refreshing the mid-price, and therefore removing the trader' s interest from the
  • the new mid-price is an improvement from the current interest; or 4) a combination of #2 and #3 - e.g., no refresh for a pre-determined number of cycles, and after that number of cycles has expired no refresh so long as the new mid-price is worse than the current mid-price for which the bids and offers have been entered.
  • a trader can affect the mid-price by entering bids or offers that are better than the mid-price ("bidding through” or "offering through” or
  • the mid-price may, in certain embodiments, go blank for a period of time (the length of which is preferably likewise configurable) .
  • the system may provide, in this or other circumstances, a visual indicator (s) that the mid-price is currently unavailable. Thereafter, an algorithm according to the embodiments may then recalculate the mid-price taking into consideration the "better" bid or offer.
  • the mid-price column may be updated with this freshly recalculated mid- price, and the mid-price column may then be populated with the recalculated mid-price preferably in response to the occurrence of the next refresh cycle.
  • algorithmically generated mid-price preferably provides traders with a substantially constant, accurate, potentially- actionable price to trade the instrument.
  • a mid-price may preferably encourage traders to express buying and selling interest in the
  • an algorithmically-generated mid-price may preferably be used to populate the mid-price column. Populating the mid-price column may preferably allow an entity to disseminate mid- prices and promote trading based on the mid-price across a virtually-unlimited number of instruments.
  • the above-described embodiments preferably address the need in conventional electronic trading platforms and systems associated with their inability to provide traders with real-time, accurate, market-based mid-prices across large numbers of instruments. This need exists, at least in part, because of the conventional method of distributing such prices .
  • one or more of the following inputs may be particularly useful .
  • some or all of the following inputs may be used to form a mid-price according to certain embodiments: the institution/trader name and primary broker name associated with the trading event; any live bids/offers in the interest
  • hours/days/etc. including, but not limited to, the level, size, side, time of the bids and offers
  • live orders including, but not limited to, the level, size, side, time of the bids and offers
  • certain information may be calculated preferably in real time. Such information may include elapsed time with respect to received data points. Such a calculation may determine which data points are stale, partially stale and/or relevant. Such a calculation may determine what data points should be discounted or discarded. [0384] In addition, such information may include a
  • Such calculations may also include calculating moving average (s) of a bid/offer spread and/or forming of an indicative mid-price (referred to hereinafter as an "indicative mid") using external sources and/or internally-generated and executed trades.
  • an indicative mid may be
  • an indicative mid may be used to validate orders seen in the electronic trading systems.
  • the act of validating orders may, for example, include ensuring that bids and offers are reasonable.
  • such an indicative mid may also serve as 'benchmark' or default-mid-price in the absence of live interest in the instrument.
  • certain embodiments may also include the ability to generate specific messages back to the entity's central trading system. For example, such embodiments may trigger the launch of a predetermined type of matching session or alert specific users about imminent electronic trading system actions.
  • a weighted average of real-time pricing sources and real-time trades may be used.
  • real-time prices derived from real-time trading sources and real-time trades may be weighted at 100% if the trade occurred within the previous ⁇ n> minutes, or other suitable time period. If the prices or the trade had not been refreshed, or, alternatively, did not occur, within the previous n minutes, then, for each bid, offer and/or trade, a decay may be calculated by an algorithm as follows -- at
  • the weighting algorithm may be configurable according to the interest for which the indicative mid is being generated.
  • the following conditions may be considered primary conditions for determining the mid- price. After each of the primary conditions, secondary conditions for each of the primary conditions are listed as well. In certain embodiments, when the primary condition is true, preferably at least one of the second conditions is true as well .
  • a live bid and a live offer exists for an interest, then this may be considered a primary condition for determining a mid-price.
  • a secondary condition for determining such a mid-price may be that the live bid and live offer are each within one (or some other predetermined amount of) tolerance (s) of the indicative mid-price.
  • An alternative secondary condition for determining such a mid-price may be that the live bid and/or the live offer are not within the tolerance (s) and a further aspect of the second condition may be that the indicative mid is within the live bid/offer spread.
  • the selection of the mid-price may be based, on any suitable algorithm ( s ) , or pricing matrix (or matrices), as set forth herein.
  • a live bid or a live offer exists for an interest, but not both a live bid and a live offer, then this may be considered a different primary condition for determining a mid-price.
  • a secondary condition for determining such a mid-price may occur when the
  • the indicative mid is set on the correct side of the live bid (a correct side of the indicative mid may be understood to be preferably higher than the live bid) or the live offer (the correct side of the indicative mid may be understood to be lower than the live offer) .
  • the mid-price may be set to equal the indicative mid.
  • An alternative second condition for determining such a mid-price may be that the indicative mid is on the wrong side of the live bid/offer (someone bid/offered through - i.e., they crossed the indicative mid and/or the existing market) .
  • the live bid or offer is within ⁇ x> tolerances from the
  • the mid-price live bid or live offer +/- ⁇ x> * tolerance (s) .
  • the system may not print the mid and may generate an alert for validation. The alert may inform the system of the necessity of validation of the live bids and offers on the system.
  • the step of determining the indicative- mid may be determined as an implementation detail.
  • Secondary Condition B.2 The Secondary Condition B.2.
  • ⁇ y> tolerance(s) of the live bid when the live order is an offer, less than the live offer and within ⁇ y> tolerance(s) of the live offer.
  • FIG. 8 shows a graphical user interface according to certain embodiments.
  • FIG. 8 may typically be displayed to an administrator for configuring mid-price generation for an individual instrument.
  • FIG. 8 shows selectable update option 802.
  • Selectable update option 802 preferably enables a user to select whether the mid-price algorithm will automatically update mid-prices in a column, such as columns 304 in FIG. 3, 404 in FIG. 4, 504 in FIG. 5, 604 in FIG. 6, or any other suitable column.
  • Selectable update option 802 may preferably update a mid-price according to the options set forth within the GUI. or not update at all, depending on the user
  • Field 804 preferably allows a user to specify a source for the updating of the mid-price. Field 804 is preferably actionable when the automatic updates in
  • option 802 are selected.
  • field 804 is selected to provide
  • the system may preferably retrieve updated information from one of the hidden columns such that updates in a hidden column is replicated in a visible column in the GUI such as columns 304 in FIG. 3, 404 in FIG. 4, 504 in FIG. 5, 604 in FIG. 6, or any other suitable column.
  • Refresh frequency or, as described hereinabove, throttling, may also be a user-configurable option, as shown in field 806. While the algorithm for producing the mid- price may update every few seconds, for example, the display screen behavior may update only once every 10, 30 or 60 seconds, depending on user configuration. In certain
  • one or more hidden columns may correspond to one or more pre-set frequency settings.
  • Fields 808-812 correspond to certain suppression features. Such features may include field 808 for
  • a mid-price of 55 may be calculated by a relevant algorithm. Then, a live bid may be received that corresponds to the mid-price. Further, the algorithm may also, substantially co-temporaneously with the receipt of the live bid that corresponds to the mid-price, possibly based on information other than the received live bid, to change the mid-price to a different level which would cause the live order to be worse than the new mid-price. In such a circumstance, field 808 may be configured to suppress a mid-price update for one or more cycles before proceeding with display of the updated mid-price.
  • field 806 is configured for a 60 second refresh and one cycle update suppression when live orders exist. Such a combination may preferably provide an interval between updates of 120 seconds (during a pre-determined live order condition) because only one 60 second cycle will be bypassed.
  • live orders are not required to be worse than the updated mid-price. As such, any live order will preferably suppress the mid-price update for 60 seconds.
  • Field 810 which follows from field 808, preferably applies to circumstances when the mid-price changes to a worse level compared to an existing live order that
  • the mid-price may be 55 and there may also be a bid order at 55. But the algorithm then receives updated information which provides for a change of the mid-price to 56, thereby effecting a change that will distance the live bid from the new mid- price.
  • field 810 preferably
  • Field 812 may enable selecting a number of cycles to suppress mid-price updates when a trade occurs in the current session corresponding to the mid-price. In essence, if a trade has been executed, field 812 user-configurably restrains the system from updating the mid-price too quickly because other traders might want to attempt to trade at the same price level as the recent trade. An overly rapid updating of the mid-price may cause price jitter - i.e., over-rapid price changing - and discourage additional trading instead of promoting additional trading.
  • the refresh frequency dictates, on a general level, the refresh frequency, and fields 808, 810 and 812 determine whether a refresh, as dictated by the refresh frequency set in field 806, should be suppressed or not.
  • the invention may be operational with numerous other general purpose or special purpose computing system environments or configurations.
  • Examples of well known computing systems, environments, and/or configurations that may be suitable for use with the invention include, but are not limited to, personal computers, server computers, hand ⁇ held or laptop devices, mobile phones and/or other personal digital assistants ("PDAs”) , multiprocessor systems,
  • the invention may be described in the general context of computer-executable instructions, such as program modules, being executed by a computer.
  • program modules include routines, programs, objects, components, data structures, etc., that perform particular tasks or implement particular abstract data types.
  • the invention may also be practiced in distributed computing environments where tasks are performed by remote processing devices that are linked through a communications network.
  • program modules may be located in both local and remote computer storage media including memory storage devices .

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Abstract

L'invention concerne des systèmes et des procédés destinés à mettre en œuvre des transactions et un rapprochement. Un système comprend une base de données configurée pour mémoriser des informations sur des instruments financiers et une mémoire configurée pour mémoriser des instructions d'exécution. Un processeur exécute les instructions. Le processeur peut lancer une session de transactions. Le processeur peut recevoir des instructions. Les instructions peuvent comprendre une position soit à l'achat, soit à la vente, ainsi qu'un prix. Il se peut que la position d'achat ou de vente ne soit pas destinée à être présentée à d'autres clients de courtiers. En réaction à une consigne de transaction provenant d'un client parmi une pluralité d'autres clients de courtiers, les instructions peuvent imposer l'envoi d'une notification électronique au premier client de courtier indiquant qu'un client parmi la pluralité de clients de courtiers a émis un ordre en sens inverse qui est susceptible d'exécuter une transaction avec la position d'achat ou de vente du premier client de courtier.
PCT/US2015/039152 2015-07-03 2015-07-03 Systèmes et procédés de production, de mise à jour et d'affinage de prix d'instruments financiers non négociables WO2017007444A1 (fr)

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Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20050027634A1 (en) * 2001-10-13 2005-02-03 David Gershon Method and system for pricing financial derivatives
US20050144061A1 (en) * 2001-04-26 2005-06-30 Rarity Malcolm E. Method of and apparatus for forecasting the price of a commodity
US20120109809A1 (en) * 2003-03-24 2012-05-03 Michael Sweeting Midprice trading within a spread market
US20120221457A1 (en) * 2011-02-14 2012-08-30 Icap North America Inc. Computerized Method and System for Trading Credit Default Swap Combinations

Patent Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20050144061A1 (en) * 2001-04-26 2005-06-30 Rarity Malcolm E. Method of and apparatus for forecasting the price of a commodity
US20050027634A1 (en) * 2001-10-13 2005-02-03 David Gershon Method and system for pricing financial derivatives
US20120109809A1 (en) * 2003-03-24 2012-05-03 Michael Sweeting Midprice trading within a spread market
US20120221457A1 (en) * 2011-02-14 2012-08-30 Icap North America Inc. Computerized Method and System for Trading Credit Default Swap Combinations

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