CN1325516A - 与自动交易相关的方法和设备 - Google Patents
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Abstract
在一个自动交易系统中,提供一种交易方法和设备,能自动检查其它交易所定单册中的相应价格,如果不能在其它地方发现更好的价格,那么交易所只允许匹配。在优选实施例中,如果是这种情况的话,定单自动地传送到具有更好价格的交易所,并且在那个交易所中进一步处理定单。这种方法和设备提供了装置,当使竞价进入自动交易所时,使发明人不必担心在其它地方得到更好的价格。
Description
本发明涉及自动交易的方法和设备,特别涉及一种连接到其它交易所上的自动交易所。
在现存用于连续买卖(交易商市场)的自动交易所系统中,普遍地使用对等匹配的首次简单服务模式。这样,如果有一个卖出价格,与买入价格匹配,那么两份定单匹配。
为了增加流动性,交易所中需要交易市场发期票的人(估价者),来连续地进入双向估价。基本概念是,交易市场发期票的人任何时间都必须在市场上具有双途径估价。估价(与普通定单一起)建立最好的竞价和出价,这作为交易所官方价格发出。当决定买入或卖出一个契约时,投资人使用了最好竞价出价。
然而,在今天的交易所中,同时在不同的交易所中买卖相同的契约,这已经变得越来越普通了。更进一步,在这些不同的交易所中,相同契约的价格不总是相同的。然而,投资人不必关注于此。投资人想要最好的供给和需求,如果存在交易的话,使交易所最好保证提供最好价格。这对投资人提出了问题,即必须选择交易所,其中在特定瞬间,他们相信可以得到最好价格。
本发明的一个目的是克服上面提出的问题,并且提供具有这样功能的自动交易所,即与人们在其它交易所可能得到的相比,减小或消除使定单进入自动交易所,而得到更差价格的风险。
通过自动检查其它交易所最好竞价/出价的方法和设备,来实现这个目的。
在优选实施例中,如果不能在其它地方发现更好的价格,那么交易所只允许这样的匹配。除此之外,交易所的交易市场发期票的人已经使参数进入交易所中。参数指示出交易市场发期票的人是否准备给出更好的价格,如果是的话会好多少。如果更好的价格好于或等于其它交易所的出价,那么在其它交易所的出价上自动完成交易。如果价格仍然不等于其它交易所的出价,那么到来的定单放入定单册中,但不直接发生匹配。除此之外,消息发送给交易市场发期票的人。然后,交易市场发期票的人可以接触其它交易所,并在他们的出价下进行交易,并且将买卖报告与顾客定单一起发送给定单册。如果没有与其它交易所进行交易,那么其它交易所将其价格更新为更差的价格,并且由于其它交易所没有更好的出价,所以现在发生匹配。
在另一个优选实施例中,当出价更好的其它交易所自动交易时,如果是这种情况的话,定单自动地传送到具有更好价格的交易所,并且在那个交易所进一步处理定单,或者该交易所与其它交易所自动地进行交易,然后依次与顾客进行交易。
通过使用这样的方法和设备,投资人将不必担心在其它地方得到更好的价格。
本发明将通过非限制性实例的方式,并参考附图来描述,其中:
-图1是几个互联交易所的普通视图。
-图2是流程图,说明当自动交易系统中匹配定单时,程序中执行的步骤。
在图1中,显示了几个互联交易所的普通视图。这样,交易所101、103和105都通过双向通讯路径互联。互联不同交易所101、103和105的通讯路径,各自可以是无线的或有线的通讯路径,这些路径被证明是最适于特定的情况。
当在图1显示的自动交易系统中匹配定单时,在图2中显示了程序中执行的步骤。在下面的例子中,假设在交易所101接收到买入定单,其中交易所101是自动交易所。其它交易所可以是公开叫价交易所,或者也可以是自动交易所。
这样,首先在步骤201中,接收买入定单。下面在步骤203中,检查定单册中的最好卖出定单。其上在步骤215中检查其它自动交易所的最好卖出定单,即本例中的交易所103和105的最好卖出定单。然后在步骤207中,程序确定此刻在哪里得到最好价格。
这样,如果可以在交易所101中得到最好价格,那么程序进行到步骤209,匹配在那里发生,否则进行到步骤211,后面的步骤在那里执行:
-检查交易市场发期票的人是否准备将其价格调整到其它交易所的出价上。这最好通过检查参数执行,其中参数指示出交易市场发期票的人准备将其价格调整多少。如果调整的价格好于或等于其它交易所的出价,那么由其它交易所出价上自动发生匹配。交易市场发期票的人设置的参数还可以指示出交易市场发期票的人在调整的价格上准备买卖的最大量。
-如果调整的价格不等于或好于其它交易所的出价,那么消息被传送给交易市场发期票的人或在交易所或相似场所的客户。
然后,接收这样消息的交易市场发期票的人可以接触出价更好的交易所,在这个价格上与其它交易所完成交易,然后与客户完成交易,使客户将接收最好价格。如果不与其它交易所进行交易,那么其它交易所将其价格更新为更差的价格,并且由于其它交易所没有更好的出价,所以不发生匹配。在这种情况下,顾客也将接收市场上的最好价格。
在另一个优选实施例中,当出价更好的其它交易所是自动交易所时,如果是这种情况的话,定单自动地传送到具有更好出价价格的交易所,即这个例子中的交易所103或105,并且在那个交易所中进一步处理定单,或者交易所自动地与其它交易所进行交易,然后依次与顾客进行交易。
更进一步,当顾客使其定单进入自动交易所时,顾客将指示他想要在自动交易所买卖的定单,并且不考虑其它交易所的价格。相对于最好价格,如果顾客更关心快速交易的话,这可以是非常有利的。可以非常有利的另一个例子是,当顾客想要买卖全部量或空量(“fill or kill”,即“满单或撤单”)的情况
在又一个优选实施例中,当在价格最差的情况下定单进入交易所时,交易所保证顾客至少得到交易所的出价。这可以以后面的方式执行。首先当顾客向交易所递交定单时,交易所检查其存储器中的最好价格,并且将这个价格作为出价。
其上,在进行匹配前,可以发生其它事件,例如检查其它交易所的价格,并且交易市场发期票的人可能手动地与其它交易所买卖。此时,市场中可以存在改变,导致匹配中的最好价格,更差于顾客初始地使其价格进入时交易所的出价。这样,在进行匹配前,检查存储在存储器中的保证价格,并且如果保证价格好于最好价格,那么顾客得到保证价格。
以这种方式,当顾客使其定单进入时,总保证得到交易所的出价。保证价格可以通过交易市场发期票的人或主要交易市场发期票的人限制在适当的最大量上。
通过使用这样的方法和设备,投资人将不必担心在其它地方得到更好的价格。
Claims (10)
1.一种与其它交易所连接的自动交易的方法,该方法包括以下步骤:
-接收一个定单;
-检查哪个交易所当前出价最好,用于匹配所述定单,并且
-如果别的交易所的出价更好的话,那么自动报出等于所述交易所更好价格的出价。
2.根据权利要求1所述的方法,其特征在于,如果交易市场发期票的人或主要交易市场发期票的人设置的参数,指示匹配所述出价更好的交易所的所述出价时,那么只匹配所述交易所的所述价格。
3.根据权利要求2所述的方法,其特征在于,它还包括步骤:
-如果所述设置的参数指示没有发生匹配,那么将没有发生匹配的消息发布给所述交易市场发期票的人或主要交易市场发期票的人,使所述交易市场发期票的人或主要交易市场发期票的人根据需要,可以手动地处理所述顾客定单。
4.根据权利要求1-3的任何之一所述的方法,其特征在于,它还包括步骤:
当接收到一个定单时,将所述交易所当前的所述出价存储在存储器中。
5.根据权利要求4所述的方法,其特征在于,它还包括步骤:
-将存储在所述存储器中的所述价格与最好价格比较,并且在这两个价格的最好价格上匹配。
6.一种连接到其它交易所的自动交易所,包括:
-用于接收定单的装置;
-用于检查哪个交易所当前出价最好以便匹配所述定单的装置,和
-用于如果别的交易所出价更好的话,则自动报出等于所述交易所更好价格的出价的装置。
7.根据权利要求6所述的自动交易所,其特征在于,包括用于如果交易市场发期票的人或主要交易市场发期票的人设置的参数,则指示匹配所述出价更好的交易所的出价,以只匹配所述交易所的所述价格的装置。
8.根据权利要求7所述的自动交易所,其特征在于,包括用于如果所述设置的参数指示没有发生匹配,则将消息发布给所述交易市场发期票的人或主要交易市场发期票的人,使所述交易市场发期票的人或主要交易市场发期票的人根据需要,可以手动地处理所述客户定单的装置。
9.根据权利要求6-8的任何之一所述的自动交易所,其特征在于,包括用于当接收到定单时将所述交易所当前的所述出价存储在存储器中的装置。
10.根据权利要求9所述的自动交易所,其特征在于,包括用于将存储在所述存储器中的所述价格与最好价格比较,并在这两个价格的最好价格上匹配的装置。
Applications Claiming Priority (2)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
US09/186,155 US6377940B2 (en) | 1998-11-05 | 1998-11-05 | Method and apparatus for setting a price for a security on an automated exchange based on a comparison of prices on other exchanges |
US09/186,155 | 1998-11-05 |
Publications (1)
Publication Number | Publication Date |
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CN1325516A true CN1325516A (zh) | 2001-12-05 |
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Application Number | Title | Priority Date | Filing Date |
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CN99812973A Pending CN1325516A (zh) | 1998-11-05 | 1999-11-04 | 与自动交易相关的方法和设备 |
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US (1) | US6377940B2 (zh) |
EP (1) | EP1125234A2 (zh) |
JP (1) | JP2003522345A (zh) |
CN (1) | CN1325516A (zh) |
AU (1) | AU1515400A (zh) |
HK (1) | HK1042149A1 (zh) |
SE (1) | SE9804169L (zh) |
WO (1) | WO2000028450A2 (zh) |
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1999
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- 1999-11-04 AU AU15154/00A patent/AU1515400A/en not_active Abandoned
- 1999-11-04 JP JP2000581565A patent/JP2003522345A/ja active Pending
- 1999-11-04 EP EP99957454A patent/EP1125234A2/en not_active Withdrawn
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2002
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HK1042149A1 (zh) | 2002-08-02 |
SE9804169L (sv) | 2000-05-06 |
WO2000028450A3 (en) | 2000-08-10 |
US6377940B2 (en) | 2002-04-23 |
AU1515400A (en) | 2000-05-29 |
JP2003522345A (ja) | 2003-07-22 |
SE9804169D0 (sv) | 1998-12-02 |
US20020019794A1 (en) | 2002-02-14 |
WO2000028450A2 (en) | 2000-05-18 |
EP1125234A2 (en) | 2001-08-22 |
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