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

• Pat. 4.674,044 which discloses an automated securities trading system
• U.S. Pat. 5,136,501 which discloses an anonymous matching system for effectuating trades through automatic matching in which buyers and sellers who are willing to trade with one another based on specified criteria, such as price, quantity and credit, may automatically trade when matching events occur satisfying these criteria
• U.S. Pat. No. 5.101,353 which discloses an automated system for providing liquidity to securities markets in which orders are entered by the system and executed in real time either internally between system users or externally with stock exchanges and markets.
• Fig. 10 depicts a preference profile for use in the exemplar)' embodiment for use with a specific exchange
• Fig. 15 is a flow chart representing the sequential steps ofthe matching algorithm of the subject invention.
• FIG. 2 there is illustrated an example satisfaction density profile for a sell order.
• each security that a trader wishes to trade requires the creation of a satisfaction density profile.
• the satisfaction density profile as shown in Fig. 2 is a two-dimensional grid. Quantity is represented on the vertical axis and price is represented on the horizontal axis. (The ranges and scale of each axis can be set by the trader or automatically set by the present invention.) The satisfaction density levels are described by the numbers shown.
• the CMC 2 could determine the smallest grid resolution used and interpolate all coarser grid resolutions to that resolution.
• the CMC 2 could specify a minimum resolution (e.g. 100 shares and 1/8 in price) and interpolate all coarser grid resolutions to the specified minimum resolution.
• Fig. 8 is a flow chart representing the overall steps performed in accordance with the present invention.
• Traders enter satisfaction density profiles, as discussed above, at steps 100 and 102. It will be appreciated that many traders can each enter one or more satisfaction density profiles.
• Fig. 8 shows that the buy and sell profiles are entered at different steps (i.e.. steps 100 and 102); however, the same interface (e.g., interface window 21) and terminals 10. 12, 14 are used for the input of both buy and sell profiles.
• steps 100 and 102 could conceptually be considered to be the same step, merely with differing data.
• the CMC 2 ranks each grid element (possible buy /sell pair at a corresponding price and size) of each mutual satisfaction cross product in order from largest to smallest.
• the buy /sell pairs are then matched in the ranked order (step 1 12), accumulating the price and size for the buyer and seller of each matched transaction (steps 1 14 and 116).
• step 1 12 When the size limit for a particular satisfaction density profile is reached, all remaining lower ranked grid elements involving that profile are removed from consideration (steps 122 and 124). If all feasible (i.e.. non-zero mutual satisfaction) crosses have not been done (step 1 18), then control returns to step 112. If all feasible crosses have been completed, then the process is temporarily suspended until the next order is entered or an existing unmatched order is canceled or modified (step 120), upon which control returns to step 108.
• J ik (p,s) min (B,(p,s), S k (p,s) ⁇
• Both the urgency variable and the eligibility variable can be associated with the satisfaction density profile as a whole (e.g.. one value per variable per profile) or each coordinate ofthe satisfaction density profile (e.g., one value for each (price, size) coordinate.)
• satisfaction density profiles are entered via the specification of preference contours, which are adequate to describe any practical preference profile.
• the user can specify individual preference contours, corresponding to preference values from the set [0.0, 0.1. . . . 1.0]. manually via the GUI, or eventually by computer using an extension ofthe Financial Information Exchange (FIX) standard messaging format.
• Each contour is specified in terms of its vertices (i.e., end points or bend points in the contour), which correspond to discrete preference coordinates in the specified price and size increments.
• the profile in Fig. 10 is entirely defined by the two preference contours shown, each of which is specified by only two vertices.
• buy (sell) profiles specifying preference contour coordinates that are much lower (higher) than the NBB (NBO) are also excluded from a match. If a buy profile specifies any preference coordinate more than 799 price ticks below the NBB (i.e.. more than $50.00 below the NBBj it will be rejected. Similarly, if a sell profile specifies a preference coordinate more than 799 price ticks above the NBO (i.e., more than $50.00 above the NBO), it will be rejected. Profiles that are rejected in these tests remain in the system with their original time stamps, so they may participate in future call cycles if the NBB or NBO changes so as to make them eligible for trading.
• a user may enter an Intermarket Trading System (ITS) restriction that limits the number of shares (as a percentage ofthe maximum quantity) in his profile that may be matched against the quotes of ITS participants, as described more fully in Section 6.3 below.
• ITS Intermarket Trading System
• Time of entry Among coordinates that have equal price, standing and class status, the time of entry ofthe associated profile determines relative priority, with earlier time of entry having higher priority. Each profile has a unique time of entry assigned upon its receipt by the system, so there are no ties among profiles in this category. 5. Size. Among coordinates of a given price within the same profile, priority for matching is determined by size, with larger sizes having higher priority.
• the matching algorithm never permits a match that would result in the violation of any price or size control (implicit or explicit) associated with any profile involved in a match.
• Pegged profiles which the user designates to be adjusted with reference to the current market at the beginning of each match cycle) may not contain explicit price controls. All price and/or size control limits affecting a particular coordinate must be satisfied in order for the coordinate to participate in a trade.
• each kernel represents a single-price row of contiguous coordinates in the profile, having ' 1 ' preference values.
• each kernel is parameterized by the minimum and maximum number of shares spanned by the row of ' 1 ' coordinates.
• kernels are generated at every price increment lying in the range of price overlap with contra-side profiles.
• a single buy kernel list and a single sell kernel list are constructed from the kernels of all profiles, via a sequence of nested sorts of each list in strict order of price, standing, class and time of entry priority, as described above. (Note that the size sort on coordinates mentioned hereinabove is implicit in the kernel structure, given that kernels always seek to fill their maximum size, but no less than their minimum size.)
• the aggregation process continues until no further aggregations are possible.
• the matching algorithm then proceeds into the negotiation stage, described in detail hereinbelow.
• the priority order for trading is as follows: Price; Class; and Time of Entry.

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• Business, Economics & Management (AREA)
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• Engineering & Computer Science (AREA)
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• 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)
• Management, Administration, Business Operations System, And Electronic Commerce (AREA)

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• 1999
  • 1999-10-29 EP EP99971554A patent/EP1131764A2/de not_active Withdrawn
  • 1999-10-29 AU AU14558/00A patent/AU1455800A/en not_active Abandoned
  • 1999-10-29 WO PCT/US1999/025369 patent/WO2000026834A2/en active Application Filing
  • 1999-11-03 PE PE1999001105A patent/PE20001219A1/es not_active Application Discontinuation
• 2000
  • 2000-05-03 TW TW088119003A patent/TW495691B/zh active
• 2004
  • 2004-12-24 GB GBGB0428305.7A patent/GB0428305D0/en not_active Ceased

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