WO2021044199A1 - Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc - Google Patents

Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc Download PDF

Info

Publication number
WO2021044199A1
WO2021044199A1 PCT/IB2019/057522 IB2019057522W WO2021044199A1 WO 2021044199 A1 WO2021044199 A1 WO 2021044199A1 IB 2019057522 W IB2019057522 W IB 2019057522W WO 2021044199 A1 WO2021044199 A1 WO 2021044199A1
Authority
WO
WIPO (PCT)
Prior art keywords
price
security
indicates
offer
bid
Prior art date
Application number
PCT/IB2019/057522
Other languages
English (en)
Inventor
Anchal Jain
Original Assignee
Synoption Pte. Ltd.
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 Synoption Pte. Ltd. filed Critical Synoption Pte. Ltd.
Priority to PCT/IB2019/057522 priority Critical patent/WO2021044199A1/fr
Publication of WO2021044199A1 publication Critical patent/WO2021044199A1/fr

Links

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
    • 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

  • the present disclosure generally relates to arbitrage protection system, and more particularly relates to determination of best price of securities for electronic trading in Over the Counter (OTC) markets.
  • OTC Over the Counter
  • the OTC Markets are decentralized markets, where trades are executed between counterparties without the presence of a central location or an exchange.
  • the trades executed in the OTC markets are typically bilateral trades, where agreement of price of a security may be reached between two counterparties.
  • the OTC markets may not trade in standard instruments. In certain other scenarios, it may become difficult for a liquid market to determine, monitor and transact on an exact price of the security at all times because of the complexity or the sheer volume of possible securities that can be traded.
  • the OTC markets do not have a common place where the security is traded. Therefore, market participants trade on their determination of fair price of the security.
  • the OTC markets have participants that are classified as Market makers or Liquidity Providers (LPs) who make bid/offer prices for any range of instruments at which they are ready to buy and sell such instruments. In many scenarios, there is no transparent traded liquid market for the instruments.
  • LPs Liquidity Providers
  • LTs Liquidity Takers deal with the LPs by buying the security at their offer or selling the security at their bid.
  • market takers There is a flaw in liquidity access that market takers have, especially in illiquid OTC markets.
  • RFQ Request for Quotation
  • RFS Request for Streaming
  • A, system, a method, and a computer program product are provided herein that focuses on electronic trading in securities for Over the Counter (OTC) market to curb on the arbitrage problem, based on price data available from one or more LPs for one or more securities.
  • the system for determining a best price of at least one security may be provided.
  • the system may include at least one non-transitory memory configured to store computer program code; and at least one processor (hereinafter referred as processor) configured to execute the computer program code to obtain price data associated with at least one security.
  • the price data may include one or more bid prices and one or more offer prices of the at least one security.
  • the processor may be configured to determine a best price of the at least one security, based on the price data to minimize arbitrage.
  • the best price may include a modified bid price and a modified offer price.
  • the price data may include one bid price and one offer price.
  • BP may indicate the best price of the at least one security.
  • B1 may indicate the first best bid price from the price data for the at least one security.
  • Ol may indicate the first best offer price from the price data for the at least one security, Bl may be greater than 01.
  • (Bl + 01) / 2 may indicate the modified bid price of the best price of the at least one security.
  • (Bl + 01) / 2 may indicate the modified offer price of the best price of the at least one security.
  • the price data comprises at least two bid prices and one offer price
  • BP may indicate the best price of the at least one security.
  • Bl may indicate first best bid price from the price data for the at least one security.
  • Ol may indicate first best offer price from the price data for the at least one security.
  • B2 may indicate second best bid price available from the price data for the at least one security.
  • Bl may be greater than Ol and maximum ((Bl + Ol) / 2, B2) may indicate the modified bid price and the modified offer price of the best price of the at least one security.
  • the price data comprises one bid price and at least two offer prices
  • BP may indicate the best price of the at least one security.
  • Bl may indicate first best bid price available from the price data for the at least one security.
  • Ol may indicate first best offer price available from the price data for the at least one security.
  • 02 may indicate second best offer price available from the price data for the at least one security.
  • Bl may be greater than Ol and minimum ((Bl + Ol) / 2, B2) may indicate the modified bid price and the modified offer price of the best price of the at least one security.
  • the price data may include at least two bid prices and at least two offer prices.
  • BP may indicate the best price of the at least one security.
  • B2 may indicate second best bid price from the price data for the at least one security.
  • 02 may indicate second best offer price from the price data for the at least one security.
  • B2 may be greater than 02.
  • B2 may indicate the modified bid price of the best price of the at least one security.
  • 02 may indicate the modified offer price of the best price of the at least one security.
  • the price data may include at least two bid prices and at least two offer prices.
  • the at least two bid prices may include a first best bid price Bl and a second best bid price B2.
  • the at least two offer prices may include a first best offer price Ol and a second best offer price 02, such that Bl may be greater than Ol and B2 may be less than 02.
  • the processor may be configured to determine the best price of the at least one security by determining a first difference between Bl and B2.
  • the processor may be configured to determine a second difference between Ol and 02.
  • the processor may be configured to determine a third difference between Bl and Ol.
  • the processor may be configured to determine the best price of the at least one security based on the first difference, the second difference and the third difference.
  • BP indicates the best price of the at least one security.
  • BD indicates the first difference between Bl and B2.
  • OD indicates the second difference between Ol and 02.
  • BOD indicates the third difference between B1 and Ol.
  • Bl- (BD * BOD) / (BD + OD) indicates a modified bid of the best price
  • 01+ (OD * BOD) / (BD + OD) indicates a modified offer of the best price.
  • Embodiments disclosed herein may provide an arbitrage protection method for electronic trading in securities for Over the Counter (OTC) market may be provided.
  • the arbitrage protection method may include obtaining, by one or more processors, price data associated with a price of at least one security.
  • the price data may include one or more bid prices and one or more offer prices of the at least one security.
  • the arbitrage protection method may include determining, by the processor, a best price of the at least one security, based on the price data to minimize arbitrage.
  • the best price may comprise a modified bid price and a modified offer price, both are equal, thereby eliminating arbitrage
  • Embodiments of the present disclosure may provide a computer programmable product including at least one non-transitory computer-readable storage medium having computer- executable program code stored therein.
  • the computer programmable product comprising a non- transitory computer readable medium having stored thereon computer executable instructions, which when executed by a computer, cause the computer to carry out operations, for generating traffic estimation data associated with at least one lane in a region, the operations comprising: obtaining, by one or more processors, price data associated with a price of at least one security.
  • the price data comprises one or more bid prices and one or more offer prices of the at least one security; determining, by one or more processors, a best price of the at least one security, based
  • FIG. 1 illustrates a block diagram of the system, that may be used for arbitrage protection in electronic trading of securities for Over the Counter (OTC) market, in accordance with an example embodiment
  • FIG.2 illustrates a flowchart for implementation of an exemplary method for arbitrage protection in electronic trading of securities for Over the Counter (OTC) market, in accordance with an example embodiment.
  • FIG. 1 illustrates a block diagram of the arbitrage protection system that may be used for arbitrage protection in electronic trading of securities for Over the Counter (OTC) market, in accordance with an example embodiment.
  • OTC Over the Counter
  • the arbitrage protection system 100 may include a processing means, such as, at least one processor (hereinafter interchangeably used with processor) 102, a storage means, such as, at least one memory (hereinafter interchangeably used with memory) 104, a communication means, such as, at least one network interface (hereinafter interchangeably used with network interface) 106 and an I/O interface 108.
  • the arbitrage protection system 100 may communicate with other platforms, via a network 110.
  • the processor 102 may retrieve computer program instructions that may be stored in the memory 104 for execution of the computer program instructions.
  • the memory 104 may store price data of securities provided from systems, such as multi-dealer platform.
  • the Multi Dealer Platform (MDP) is a platform where multiple LPs can provide prices.
  • Such platforms are usually third- party platforms, that allow multiple LPs to provide prices, and an LT can see the aggregated price streams of multiple LPs.
  • the processor 102 may be configured to obtain input (such as, price data) from platforms, such as, the MDP and Single Dealer Platforms (SDP), and renders output, such as, the determination of a best price of the at modified bid price and a modified offer price for use by a user on a user device through the network interface 106.
  • input such as, price data
  • platforms such as, the MDP and Single Dealer Platforms (SDP)
  • SDP Single Dealer Platforms
  • the processor 102 may be embodied in a number of different ways.
  • the processor 102 may be embodied as one or more of various hardware processing means such as a coprocessor, a microprocessor, a controller, a digital signal processor (DSP), a processing element with or without an accompanying DSP, or various other processing circuitry including integrated circuits such as, for example, an ASIC (application specific integrated circuit), an FPGA (field programmable gate array), a microcontroller unit (MCU), a hardware accelerator, a special-purpose computer chip, or the like.
  • the processor 102 may include one or more processing cores configured to perform independently.
  • a multi-core processor may enable multiprocessing within a single physical package.
  • the processor 102 may include one or more processors configured in tandem via the bus to enable independent execution of instructions, pipelining and/or multithreading. Additionally or alternatively, the processor 102 may include one or more processors capable of processing large volumes of workloads and operations to provide support for big data analysis. In an example embodiment, the processor 102 may be in communication with the memory 104 via a bus for passing information among components of the arbitrage protection system 100.
  • the memory 104 may be non-transitory and may include, for example, one or more volatile and/or non-volatile memories.
  • the memory 104 may be an electronic storage device (for example, a computer readable storage medium) comprising gates configured to store data (for example, bits) that may be retrievable by a machine (for example, a computing device like the processor 102).
  • the memory 104 may be configured to store information, data, content, applications, instructions, or the like, for enabling the arbitrage protection system 100 to carry out various functions in accordance with an example embodiment of the present disclosure.
  • the memory 104 may be configured to buffer input data for processing by the processor 102. As exemplarily illustrated in FIG.
  • the memory 104 may be configured to store instructions for execution by the processor 102.
  • the processor 102 may represent an entity (for example, physically embodied in circuitry) capable of performing operations according to an embodiment of the present disclosure while configured accordingly.
  • the processor 102 when the processor 102 is embodied as an ASIC, FPGA or the like, the processor 102 may be specifically configured hardware for conducting the operations described herein.
  • the instructions may specifically configure the processor 102 to perform the algorithms and/or operations described herein when the instructions are executed.
  • the processor 102 may be a processor specific device (for example, a mobile terminal or a fixed computing device) configured to employ an embodiment of the present disclosure by further configuration of the processor 102 by instructions for performing the algorithms and/or operations described herein.
  • the processor 102 may include, among other things, a clock, an arithmetic logic unit (ALU) and logic gates configured to support operation of the processor 102.
  • the network environment may be accessed using the network interface 106 of the arbitrage protection system 100.
  • the network interface 106 may provide an interface for accessing various features and data stored in the arbitrage protection system 100.
  • the I/O interface 108 may communicate with the arbitrage protection system 100 and displays input and/or output of the arbitrage protection system 100.
  • the I/O interface 108 may include a display and, in some embodiments, may also include a keyboard, a mouse, a joystick, a touch screen, touch areas, soft keys, one or more microphones, a plurality of speakers, or other input/output mechanisms.
  • the arbitrage protection system 100 may comprise user interface circuitry configured to control at least some functions of one or more I/O interface elements such as a display and, in some embodiments, a plurality of speakers, a ringer, one or more microphones and/or the like.
  • the processor 102 and/or I/O interface 108 circuitry comprising the processor 102 may be configured to control one or more functions of one or more I/O interface 108 elements through computer program instructions (for example, software and/or firmware) stored on a memory 104 accessible to the processor 102.
  • the processor 102 may further render best price notification on user equipment via the I/O interface 108.
  • the network 110 may comprise suitable logic, circuitry, and interfaces that may be configured to provide a plurality of network ports and a plurality of communication channels for transmission and reception of data, such as the price data.
  • Each network port may correspond to a virtual address (or a physical machine address) for transmission and reception of the communication data.
  • the virtual address may be an Internet Protocol Version 4 (IPv4) (or an IPv6 address) and the physical address may be a Media Access Control (MAC) address.
  • IPv4 Internet Protocol Version 4
  • MAC Media Access Control
  • the network 110 may include a medium through which the arbitrage protection system 100, and/or the other components may communicate with each other.
  • the network 110 may be associated with an application layer for implementation of communication protocols based on one or more communication requests from at least one of the one or more communication devices.
  • the communication data may be transmitted or received, via the communication protocols.
  • wired and wireless communication protocols may include, but are not limited to, Transmission Control Protocol and Internet Protocol (TCP/IP), User Datagram Protocol (UDP), Hypertext Transfer Protocol (HTTP), File Transfer Protocol (FTP), ZigBee, EDGE, infrared (IR), IEEE 802.11, 802.16, cellular communication protocols, and/or Bluetooth (BT) communication protocols.
  • Examples of the network 110 may include, but is not limited to a wireless channel, a wired channel, a combination of wireless and wired channel thereof.
  • the wireless or wired channel may be associated with a network standard which may be defined by one of a Local Area Network (LAN), a Personal Area Network (PAN), a Wireless Local Area Network (WLAN), a Wireless Sensor Network (WSN), Wireless Area Network (WAN), Wireless Wide Area Network (WWAN), a Long Term Evolution (LTE) network, a plain old telephone service (POTS), and a Metropolitan Area Network (MAN).
  • the wired channel may be selected on the basis of bandwidth criteria. For example, an optical fiber channel may be used for a high bandwidth communication. Further, a coaxial cable-based or Ethernet-based communication channel may be used for moderate bandwidth communication.
  • a user may want to access (liquidity access) the OTC market for electronic trading in securities.
  • the OTC markets are decentralized markets, where trades are executed between counterparties without the presence of a central location or an exchange. Recent years may have seen a huge advent of electronic trading in the OTC markets. The biggest market where such trading takes place is foreign exchange (FX) markets.
  • the FX market, or currency market is a global decentralized or the OTC market for the trading of currencies that includes all aspects of buying, selling and exchanging currencies at current or determined prices.
  • Electronic trading in securities provides various advantages. Firstly, the electronic trading provides ease of execution. Unlike voice traded systems, LTs can click-trade on prices to execute trades and have greater control in terms of executing at the price and time of their choice. An LT is a participant of the OTC market that is agreeing with currently listed prices on order book and wishes to fill his trade immediately.
  • Electronic trading also comes with advantages of Straight through Processing of trades directly into LP’s and LT’s risk management systems.
  • the LPs include global banks, financial institutions and other market makers.
  • the electronic trading provides increase in transparency. Aggregation of various electronic liquidity pools over a common platform lends transparency to an otherwise bilateral market by performing price discovery role that an exchange provides. However, due to the aggregation nature of this kind of operation, prices may be inverted. The prices may be inverted the bid of one user may be higher than the offer of another user.
  • RFQ/RFS based streaming There are different execution modes in electronic trading in the OTC markets, such as live streaming and RFQ/RFS based streaming. Most of FX markets operate on a “Live Streaming” basis, which means that the banks are continuously showing bid/offer prices for such securities. Due to the continuous nature of such markets, arbitrage opportunities usually get neutralized fairly quickly.
  • RFQ/RFS based streaming This is a popular method of electronic execution in markets where either the securities are illiquid, or where the sheer volume of possible securities that can be traded makes Live Streaming of all such securities impossible.
  • a request for quotation (RFQ) is a standard business process whose purpose is to invite suppliers into a bidding process to bid on specific products or services.
  • RFQ generally means the same thing as Call for bids (CFB) and invitation for bid (IFB).
  • CFB Call for bids
  • IFB Invitation for bid
  • the RFQ may involve both bid and offer.
  • the RFS may be a type of RFQ where an automated system at the LP end automatically starts streaming a bid and an offer for the instrument.
  • a market in which that is difficult to sell assets because of their expense, lack of interested buyers, or some other reason is a market where the securities are illiquid. Examples of illiquid markets include real estate, some stocks with low trading volume, or collectibles.
  • SDP Single Dealer Platform
  • MDP Multi Dealer Platform
  • the SDP is a platform where only one LP provides prices. These are typically platforms that are proprietary to that particular LP and LTs use the platform to only trade with that LP.
  • the MDP is a platform where multiple LPs can provide prices.
  • the MDP platforms are usually third-party platforms that allow multiple LPs to provide prices, and an LT can see the aggregated price streams of multiple LPs.
  • an LT may request for a price associated with a security from 3 different LPs (viz., LP1, LP2, and LP3).
  • the prices that the three LPs make are LP1 8.5/9.0, LP2 92/9.7, and LP3 8.8/9.3.
  • the format of the prices given is (Bid/Offer) and for the LT, the format of the prices given is (Sell/Buy).
  • the LT who has requested for the price gets an inverted price on aggregation of the 3 prices: 9.2/9.0.
  • the LT can sell the security at 9.2 and buy the security at 9.0. Effectively, the LT may execute both sides of the trade and make a profit of 0.2.
  • This particular anomaly is known as Arbitrage.
  • the simultaneous buying and selling of securities, currency, or commodities in different markets or in derivative forms in order to take advantage of differing prices for the same asset may be known as the arbitrage.
  • an arbitrage opportunity is present when there is an opportunity to instantaneously buy something for a low price and sell it for a higher price. People who engage in arbitrage are called arbitrageurs.
  • the term “arbitrage” may be mainly applied to trading in financial instruments, such as bonds, stocks, derivatives, commodities and currencies.
  • Arbitrage situations may only occur in the MDP electronic markets as compared to the SDP electronic markets because the MDP electronic markets may have multiple price makers.
  • Such platforms may be run by third party participants and they usually address the arbitrage in one or more ways, such as, do nothing where the arbitrage price is shown to the LT and the LT is able to make risk free profit due to market illiquidity.
  • disable the outlier price where the platform disables the price that seems to be an outlier and hence cannot be traded.
  • the issue with the second approach is that in very illiquid markets, it is difficult to determine with confidence which price is the outlier price.
  • the other issue is in the case of Axed prices, where the LP knowingly wants to buy above market offer and gets disabled despite being the best bid.
  • Many anti-latency arbitrage mechanisms may be used to address the issue of latency arbitrage to reduce susceptibility by high frequency trading platforms.
  • the MDP electronic market that works over RFQ based trading in the OTC markets where there is no central price reference.
  • Each LP may provide a price based on their inference of where the market should be and hence is subject to making various different prices that can be arbitraged.
  • the arbitrage occurs due to the latency of prices i.e. they occur as one price maker is slower in reacting to price changes in market as compared to others, giving a chance to quicker participants to gain from that.
  • anti-latency arbitrage mechanism may be used.
  • the arbitrage protection system 100 may provide a solution that not only accounts to counteract latency driven arbitrage but also arbitrage due to lack of enough market information.
  • the arbitrage protection system 100 may work for the MDPs seeking to aggregate liquidity.
  • the arbitrage protection system 100 may be configured to work for RFQ/RFS based OTC system where liquidity is provided and price discovery happens on an ad-hoc basis leading to the LT seeing a variety of prices that could be arbitraged.
  • the arbitrage protection system 100 may be configured to for streaming aggregation platforms to remove arbitrage even when prices associated with price data may be obtained continuously.
  • the arbitrage protection system 100 may be configured to obtain the price data associated with a price of at least one security from different LPs.
  • the price data may include one or more bid prices and one or more offer prices of the at least one security.
  • the arbitrage protection system 100 may account for the price data available to the platform based on the bid and offer stacks for a particular price, to modify the bid prices and offer prices in favor of the a price selected by a buyer to buy a stock, while the offer price may be a price at which a seller is offering to sell the stock.
  • the processor 102 of the arbitrage protection system 100 may be configured to
  • the best price may include a modified bid price and a modified offer price.
  • the plurality of bid prices may be arranged in decreasing order, such that the highest bid price (and hence first best bid price)) is Bl.
  • the second highest bid price (and hence second best bid price) is B2.
  • the plurality of offer prices may be arranged in increasing order, such that the lowest offer price (and hence first best offer price) is 01 and second lowest offer price (and hence second best offer price) is 02. If there is an addition which says that when the first best bid price from the price data is less than a first best offer price, no arbitrage protection may be required.
  • the modified bid price may be equal to the first best bid price Bl and the modified offer price may be equal to second best bid price B2.
  • the processor 102 of the arbitrage protection system 100 may be configured to determine the best price of the at least one security when the price data comprises only one bid price and only one offer price.
  • BP may indicate the best price of the at least one security.
  • Bl may indicate the one bid price from the price data for the at least one security.
  • Ol may indicate the one offer price from the price data for the at least one security, Bl may be greater than Ol.
  • (Bl + 01) / 2 may indicate the modified bid price of the best price of the at least one security.
  • (Bl + 01) / 2 may indicate the modified offer price of the best price of the at least one security.
  • the processor 102 of the arbitrage protection system 100 may be configured to determine the best price of the at least one security when the price data comprises at least two bid prices and only one offer price.
  • BP may indicate the best price of the at least one security.
  • Bl may indicate first bid price (also referred as best bid price) from the price data for the at least one security.
  • Ol may indicate first offer price from the price data for the at least one security.
  • B2 may indicate second bid price (also referred as second best bid price) available from the price data for the at least one security.
  • the processor 102 of the arbitrage protection system 100 may be configured to determine the best price of the at least one security when the price data comprises only one bid price and at least two offer prices.
  • BP may indicate the best price of the at least one security.
  • Bl may indicate first bid price (also referred as first best bid price) available from the price data for the at least one security.
  • Ol may indicate first offer price (also referred as first best offer price) available from the price data for the at least one security.
  • 02 may indicate second offer price (also referred as second best offer price) available from the price data for the at least one security.
  • the processor 102 of the arbitrage protection system 100 may be configured to determine the best price of the at least one security when the price data comprises at least two bid prices and at least two offer prices.
  • BP may indicate the best price of the at least one security.
  • B2 may indicate second bid price (also referred as second best bid price) from the price data for the at least one security.
  • 02 may indicate second offer price (also referred as second best offer price) from the price data for the at least one security.
  • B2 may be greater than 02.
  • B2 may indicate the modified bid price of the best price of the at least one security.
  • 02 may indicate the modified offer price of the best price of the at least one security.
  • the processor 102 of the arbitrage protection system 100 may be configured to determine the best price of the at least one security when the price data comprises two bid prices and two offer prices.
  • the two bid prices may include a first best bid price Bl and a second best bid price B2.
  • the two offer prices may include a first best offer price Ol and a second best offer price 02, such that Bl may be greater than Ol and B2 may be less than 02.
  • the processor may be configured to determine the best price of the at least one security by determining a first difference between Bl and B2.
  • the processor may be configured to determine a second difference between Ol and 02.
  • the processor may be configured to determine a third difference between B1 and Ol.
  • the processor may be configured to determine the best price of the at least one security based on the first difference, the second difference and the third difference.
  • BP indicates the best price of the at least one security.
  • BD indicates the first difference between Bl and B2.
  • OD indicates the second difference between Ol and 02.
  • BOD indicates the third difference between Bl and Ol.
  • Bl- (BD * BOD) / (BD + OD) indicates a modified bid of the best price
  • 01+ (OD * BOD) / (BD + OD) indicates a modified offer of the best price.
  • the bid belongs to a user with bid B 1 and offer belongs to a user with offer Ol .
  • the code snippet used by the arbitrage protection system 100 may be provided below:
  • FIG.2 illustrates a flowchart for implementation of an exemplary method for arbitrage protection in electronic trading of securities for Over the Counter (OTC) market, in accordance with an example embodiment.
  • the control starts at 202.
  • price data associated with a price of at least one security may be obtained.
  • the arbitrage protection system 100 may be configured to obtain the price data associated with a price of at least one security from different LPs.
  • the price data may include one or more bid prices and one or more offer prices of the at least one security.
  • the arbitrage protection system 100 may account for the price data available to the platform based on the bid and offer stacks for a particular price, to modify the bid prices and offer prices in favor of the LPs to minimize situations of arbitrage.
  • a bid price may be a price selected by a buyer to buy a stock, while the offer price may be a price at which a seller is offering to sell the stock.
  • best price of the at least one security may be determined.
  • the processor 102 of the arbitrage protection system 100 may be configured to determine a best price of the at least one security, based on the price data to minimize arbitrage.
  • the best price may include a modified bid price and a modified offer price. Both, the modified bid price and a modified offer price of the best price may be equal to eliminate the arbitrage.
  • the control passes to the end 208.
  • blocks of the flowchart support combinations of means for performing the specified functions and combinations of operations for performing the specified functions for performing the specified functions. It will also be understood that one or more blocks of the flowchart, and combinations of blocks in the flowchart, can be implemented by special purpose hardware-based computer systems which perform the specified functions, or combinations of special purpose hardware and computer instructions.
  • the system may comprise means for performing each of the operations described above.
  • examples of means for performing operations may comprise, for example, the processor 102 and/or a device or circuit for executing instructions or executing an algorithm for processing information as described above.
  • the end result generated by the arbitrage protection system 100 is a tangible determination of the best price of the at least one security in electronic trading from the price data.
  • the determination of the best price of the at least one security is of utmost importance to avoid arbitrage.

Landscapes

  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

L'invention concerne un système de protection par arbitrage, un procédé et un produit programme d'ordinateur pour déterminer le meilleur cours d'un titre dans un marché hors cote. Un système peut comprendre une mémoire configurée pour stocker un code de programme d'ordinateur, et un processeur configuré pour exécuter le code de programme d'ordinateur afin d'obtenir des données de cours associées au titre à partir de systèmes, tels que des plateformes multi-contrepartiste. Les données de cours peuvent comprendre un ou plusieurs cours acheteur et un ou plusieurs cours vendeur du titre. Le processeur peut être configuré pour déterminer un meilleur cours du titre, sur la base des données de cours, afin de réduire au maximum un arbitrage. Le meilleur cours peut comprendre un cours acheteur modifié et un cours vendeur modifié.
PCT/IB2019/057522 2019-09-06 2019-09-06 Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc WO2021044199A1 (fr)

Priority Applications (1)

Application Number Priority Date Filing Date Title
PCT/IB2019/057522 WO2021044199A1 (fr) 2019-09-06 2019-09-06 Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc

Applications Claiming Priority (1)

Application Number Priority Date Filing Date Title
PCT/IB2019/057522 WO2021044199A1 (fr) 2019-09-06 2019-09-06 Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc

Publications (1)

Publication Number Publication Date
WO2021044199A1 true WO2021044199A1 (fr) 2021-03-11

Family

ID=74852813

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/IB2019/057522 WO2021044199A1 (fr) 2019-09-06 2019-09-06 Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc

Country Status (1)

Country Link
WO (1) WO2021044199A1 (fr)

Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
WO2004013780A2 (fr) * 2002-08-05 2004-02-12 Volbroker.Com Limited Systeme et procede pour negocier des options
US20130054439A1 (en) * 2011-10-04 2013-02-28 Intercontinentalexchange, Inc. Curve engine
WO2014043420A1 (fr) * 2012-09-12 2014-03-20 Trudeau, Matthew Appareils, procédés et systèmes de nivellement de latence de transmission
US20140195407A1 (en) * 2000-06-01 2014-07-10 Itg Software Solutions, Inc. Confidential block trading system and method

Patent Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20140195407A1 (en) * 2000-06-01 2014-07-10 Itg Software Solutions, Inc. Confidential block trading system and method
WO2004013780A2 (fr) * 2002-08-05 2004-02-12 Volbroker.Com Limited Systeme et procede pour negocier des options
US20130054439A1 (en) * 2011-10-04 2013-02-28 Intercontinentalexchange, Inc. Curve engine
WO2014043420A1 (fr) * 2012-09-12 2014-03-20 Trudeau, Matthew Appareils, procédés et systèmes de nivellement de latence de transmission

Similar Documents

Publication Publication Date Title
US11830060B2 (en) Matching techniques for data transaction requests with private attributes
JP6461250B2 (ja) 注文分散のための製品および処理
US11682078B2 (en) Trading based on fill rate
JP2010182311A (ja) コンピュータ取引を行う方法およびシステム
US11393028B2 (en) Trading based on fill rate
US11580602B2 (en) Darkpool matching of orders with price discretion
US20170316502A1 (en) Techniques for automated order matching
US20210256609A1 (en) Arbitrage protection system and method to determine best price of securities in otc market
US20120078775A1 (en) Electronic call auction trading system and method
WO2021044199A1 (fr) Système de protection par arbitrage et procédé pour déterminer le meilleur cours de titres dans le marché otc
US20220156833A1 (en) Systems and methods for detecting interest and volume matching
AU2014347282A1 (en) Foreign exchange trading

Legal Events

Date Code Title Description
121 Ep: the epo has been informed by wipo that ep was designated in this application

Ref document number: 19944197

Country of ref document: EP

Kind code of ref document: A1

NENP Non-entry into the national phase

Ref country code: DE

122 Ep: pct application non-entry in european phase

Ref document number: 19944197

Country of ref document: EP

Kind code of ref document: A1