EP1332454A4 - Echanges commerciaux s'appuyant sur une presentation de la capacite d'absorption et des prix du marche - Google Patents

Echanges commerciaux s'appuyant sur une presentation de la capacite d'absorption et des prix du marche

Info

Publication number
EP1332454A4
EP1332454A4 EP01977522A EP01977522A EP1332454A4 EP 1332454 A4 EP1332454 A4 EP 1332454A4 EP 01977522 A EP01977522 A EP 01977522A EP 01977522 A EP01977522 A EP 01977522A EP 1332454 A4 EP1332454 A4 EP 1332454A4
Authority
EP
European Patent Office
Prior art keywords
prices
consolidated
market
price
commodity
Prior art date
Legal status (The legal status 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 status listed.)
Ceased
Application number
EP01977522A
Other languages
German (de)
English (en)
Other versions
EP1332454A1 (fr
Inventor
Gary Allan Ii Kemp
Harris Brumfield
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Trading Technologies International Inc
Original Assignee
Trading Technologies International 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 Trading Technologies International Inc filed Critical Trading Technologies International Inc
Priority to EP10183903A priority Critical patent/EP2317466A1/fr
Priority to EP10183926A priority patent/EP2317467A1/fr
Publication of EP1332454A1 publication Critical patent/EP1332454A1/fr
Publication of EP1332454A4 publication Critical patent/EP1332454A4/fr
Ceased legal-status Critical Current

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
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • 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
    • 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 invention is directed to the electronic trading of commodities. Specifically, the invention provides a trader with a versatile and efficient tool for executing trades. It facilitates the display of and the rapid placement of trade orders within the market trading depth of a commodity, where a commodity includes anything that can be traded with quantities and/or prices.
  • At least 60 exchanges throughout the world utilize electronic trading in varying degrees to trade stocks, bonds, futures, options and other products. These electronic exchanges are based on three components: mainframe computers (host), communications servers, and the exchange participants' computers (client).
  • the host forms the electronic heart of the fully computerized electronic trading system.
  • the system's operations cover order-matching, maintaining order books and positions, price information, and managing and updating the database for the online trading day as well as nightly batch runs.
  • the host is also equipped with external interfaces that maintain uninterrupted online contact to quote vendors and other price information systems.
  • Traders can link to the host through three types of structures: high speed data lines, high speed communications servers and the Internet.
  • High speed data lines establish direct connections between the client and the host.
  • Another connection can be established by configuring high speed networks or communications servers at strategic access points worldwide in locations where traders physically are located. Data is transmitted in both directions between traders and exchanges via dedicated high speed communication lines.
  • Most exchange participants install two lines between the exchange and the client site or between the communication server and the client site as a safety measure against potential failures.
  • An exchange's internal computer system is also often installed with backups as a redundant measure to secure system availability.
  • the third connection utilizes the Internet.
  • the exchange and the traders communicate back and forth through high speed data lines, which are connected to the Internet. This allows traders to be located anywhere they can establish a connection to the Internet.
  • the exchange participants' computers allow traders to participate in the market. They use software that creates specialized interactive trading screens on the traders' desktops.
  • the trading screens enable traders to enter and execute orders, obtain market quotes, and monitor positions.
  • the range and quality of features available to traders on their screens varies according to the specific software application being run.
  • the installation of open interfaces in the development of an exchange's electronic strategy means users can choose, depending on their trading style and internal requirements, the means by which they will access the exchange.
  • each market supplies and requires the same information to and from every trader.
  • the bids and asks in the market make up the market data and everyone logged on to trade can receive this information if the exchange provides it.
  • every exchange requires that certain information be included in each order. For example, traders must supply information like the name of the commodity, quantity, restrictions, price and multiple other variables. Without all of this information, the market will not accept the order. This input and output of information is the same for every trader.
  • the "Mercury" display and trading method of the present invention ensure fast and accurate execution of trades by displaying market depth on a vertical or horizontal plane, which fluctuates logically up or down, left or right across the plane as the market prices fluctuates, while the display of the corresponding prices remains static. This allows the trader to trade quickly and efficiently.
  • One advantage of the static price column is that traders are more likely to enter orders at desired prices because the prices don't move on the screen.
  • the physical size of a trader's computer screen imposes a limitation on the static price column in that only a finite number of prices can be displayed within that screen area.
  • the inventors have developed the present invention which overcomes the drawbacks of the existing trading systems and dramatically reduces the time it takes for a trader to place a trade when electronically trading on an exchange. This, in turn, increases the likelihood that the trader will have orders filled at desirable prices and quantities.
  • the present invention consolidates the available ticks and the corresponding bid and ask quantities in the marketplace so that the trader sees a larger range of prices in the market. As a result of the consolidated price rows, the trader will also enter orders in a consolidated fashion by clicking on active trading fields in the Mercury display.
  • the present invention is directed to a method of displaying and a graphical user interface for displaying the market depth of a commodity traded in a market.
  • Both the method and the user interface include: dynamically displaying, in a bid display region, a plurality of consolidated bids for the commodity, each of the plurality of consolidated bids representing a plurality of bid quantities in the market for the commodity; dynamically displaying, in an ask display region, a plurality of consolidated asks for the commodity; each of said plurality of consolidated asks representing a plurality of ask quantities in the market for the commodity; and statically displaying consolidated prices corresponding to the plurality of consolidated bids and asks, each of the consolidated prices representing a plurality of prices for the commodity, wherein the pluralities of consolidated bids and asks are dynamically displayed in alignment with the consolidated prices corresponding thereto.
  • the present invention includes a method and system of placing a trade order for a commodity, using a graphical user interface and a user input device and having preset parameters for trade orders.
  • the method and system include: displaying the market depth of a commodity traded in a market, through a dynamic display, in a bid display region, of a plurality of consolidated bids for said commodity and, in an ask display region, of a plurality of consolidated asks for the commodity, aligned with a static display of consolidated prices corresponding thereto.
  • the method and system also include initiating placement of a trade order of the commodity through a single action of the user input device with a pointer of the user input device positioned within at least one of the bid and ask display regions, wherein each of said plurality of consolidated bids and asks represents a plurality of bid and asks quantities, respectively, in the market for the commodity, wherein each of said consolidated prices represents a plurality of prices for the commodity and wherein the contents of the trade order are based in part upon the preset parameters and the position of the pointer at the time of the single action.
  • This new feature consolidates the display of price information on the static price column of the Mercury electronic trading screen, thereby reducing the potential drawbacks associated with a fast moving marketplace that trades in small denominations.
  • the price consolidation feature of the present invention enables a trader to consolidate a number of prices in order to condense the display. Such action allows a trader to view a greater range of prices and a greater number of orders in the market at any given time. By consolidating prices, and therefore orders, a trader reduces the risk of a favorable order scrolling from the screen prior to his hitting a bid or ask on that order at its favorable price.
  • FIG. 1 illustrates the network connections between multiple exchanges and client sites
  • Figure 2 illustrates screen display showing the inside market and the market depth of a given commodity being traded
  • FIG. 3 illustrates the Mercury display of the present invention
  • Figure 4 illustrates the Mercury display at a later time showing the movement of values when compared to Figure 3;
  • Figure 5 illustrates a Mercury display with parameters set in order to exemplify the Mercury trading method
  • Figure 6 is a flowchart illustrating the process for Mercury display and trading
  • Figures 7 A and 7B show corresponding displays before and after price consolidation
  • Figures 8 A and 8B illustrate the consolidation of bid and ask quantities
  • Figure 9 illustrates different areas of the display of the present invention wherein trade orders can be placed
  • Figure 10 illustrates a consolidated display with a trade order
  • Figures 11-18 illustrate various schemes for distributing a trade order
  • Figure 19 is a flowchart illustrating the process for trading using the price consolidation feature of the present invention.
  • the present invention provides a display and trading method to ensure fast and accurate execution of trades by displaying market depth on a vertical or horizontal plane, which fluctuates logically up or down, left or right across the plane as the market prices fluctuates. This allows the trader to place trade orders quickly and efficiently.
  • a commodity's market depth is the current bid and ask prices and quantities in the market.
  • the display and trading method of the invention increase the likelihood that the trader will be able to execute orders at desirable prices and quantities.
  • the present invention is implemented on a computer or electronic terminal.
  • the computer is able to communicate either directly or indirectly (using intermediate devices) with the exchange to receive and transmit market, commodity, and trading order information. It is able to interact with the trader and to generate contents and characteristics of a trade order to be sent to the exchange.
  • the system of the present invention can be implemented on any existing or future terminal or device with the processing capability to perform the functions described herein.
  • the scope of the present invention is not limited by the type of terminal or device used. Further, the specification refers to a single click of a mouse as a means for user input and interaction with the terminal display as an example of a single action of the user.
  • the scope of the present invention is not limited to the use of a mouse as the input device or to the click of a mouse button as the user's single action. Rather, any action by a user within a short period of time, whether comprising one or more clicks of a mouse button or other input device, is considered a single action of the user for the purposes of the present invention.
  • the system can be configured to allow for trading in a single or in multiple exchanges simultaneously. Connection of the system of the present invention with multiple exchanges is illustrated in Figure 1. This figure shows multiple host exchanges 101-103 connected through routers 104-106 to gateways 107-109. Multiple client terminals 110-116 for use as trading stations can then trade in the multiple exchanges through their connection to the gateways 107-109.
  • the preferred implementation is to translate the data from various exchanges into a simple format. This "translation" function is described below with reference to Figure 1.
  • An applications program interface (“TT API” as depicted in the figure) translates the incoming data formats from the different exchanges to a simple preferred data format.
  • This translation function may be disposed anywhere in the network, for example, at the gateway server, at the individual workstations or at both.
  • the storage at gateway servers and at the client workstations, and/or other external storage cache historical data such as order books which list the client's active orders in the market; that is, those orders that have neither been filled nor cancelled.
  • Information from different exchanges can be displayed at one or in multiple windows at the client workstation. Accordingly, while reference is made through the remainder of the specification to a single exchange to which a trading terminal is connected, the scope of the invention includes the ability to trade, in accordance with the trading methods described herein, in multiple exchanges using a single trading terminal.
  • the preferred embodiments of the present invention include the display of "Market Depth” and allow traders to view the market depth of a commodity and to execute trades within the market depth with a single click of a computer mouse button.
  • Market Depth represents the order book with the current bid and ask prices and quantities in the market.
  • Market Depth is each bid and ask that was entered into the market, subject to the limits noted below, in addition to the inside market.
  • the "inside market” is the highest bid price and the lowest ask price.
  • the exchange sends the price, order and fill information to each trader on the exchange.
  • the present invention processes this information and maps it through simple algorithms and mapping tables to positions in a theoretical grid program or any other comparable mapping technique for mapping data to a screen.
  • the physical mapping of such information to a screen grid can be done by any technique known to those skilled in the art.
  • the present invention is not limited by the method used to map the data to the screen display.
  • FIG. 2 illustrates a screen display of an invention described in a commonly owned co-pending application entitled “Click Based Trading with Market Depth Display” serial no. 09/589,751 filed on June 9, 2000, the contents of which are incorporated herein by reference. This display shows the inside market and the market depth of a given commodity being traded.
  • Row 1 represents the "inside market” for the commodity being traded which is the best (highest) bid price and quantity and the best (lowest) ask price and quantity.
  • Rows 2-5 represent the "market depth" for the commodity being traded.
  • the display of market depth (rows 2-5) lists the available next-best bids, in column 203, and asks, in column 204.
  • the working bid and ask quantity for each price level is also displayed in columns 202 and 205 respectively (inside market - row 1).
  • prices and quantities for the inside market and market depth update dynamically on a real time basis as such information is relayed from the market.
  • the commodity (contract) being traded is represented in row 1 by the character string "CDHO".
  • the Depth column 208 will inform the trader of a status by displaying different colors. Yellow indicates that the program application is waiting for data. Red indicates that the Market Depth has failed to receive the data from the server and has "timed out. " Green indicates that the data has just been updated.
  • the other column headings in this and all of the other figures, are defined as follows.
  • BidQty (Bid Quantity): the quantity for each working bid
  • BidPrc (Bid Price): the price for each working bid
  • AskPrc (Ask Price): the price for each working ask
  • AskQty (Ask Quantity): the quantity for each working ask
  • LastPrc (Last Price): the price for the last bid and ask that were matched in the market
  • LastQty LastQty (Last Quantity): the quantity traded at the last price. Total represents the total quantity traded of the given commodity.
  • the configuration of the screen display itself informs the user in a more convenient and efficient manner than existing systems. Traders gain a significant advantage by seeing the market depth because they can see trends in the orders in the market.
  • the market depth display shows the trader the interest the market has in a given commodity at different price levels. If a large amount of bids or asks are in the market
  • the display and trading method of the present invention provide the user with certain advantages over systems in which a display of market depth, as shown in Figure 2, is used.
  • the Mercury display and trading method of the present invention ensure fast and accurate execution of trades by displaying market depth on a vertical or horizontal plane, which fluctuates logically up or down, left or right across the plane as the market prices fluctuates. This allows the trader to trade quickly and efficiently.
  • An example of such a Mercury display is illustrated in the screen display of Figure 3.
  • the Mercury display overcomes this problem in an innovative and logical manner.
  • Mercury also provides an order entry system, market grid, fill window and summary of market orders in one simple window.
  • Such a condensed display material ly simplifies the trading system by entering and tracking trades in an extremely efficient manner.
  • Mercury displays market depth in a logical, vertical fashion or horizontally or at some other convenient angle or configuration. A vertical field is shown in the figures and described for convenience, but the field could be horizontal or at an angle.
  • Mercury further increases the speed of trading and the likelihood of entering orders at desired prices with desired quantities.
  • the Mercury display is a static vertical column of prices with the bid and ask quantities displayed in vertical columns to the side of the price column and aligned with the corresponding bid and ask prices.
  • Bid quantities are in the column 1003 labeled BidQ and ask quantities are in column 1004 labeled AskQ.
  • the representative ticks from prices for the given commodity are shown in column 1005.
  • the column does not list the whole prices (e.g. 95.89), but rather, just the last two digits (e.g. 89).
  • the inside market, cells 1020 is 18 (best bid quantity) at 89 (best bid price) and 20 (best ask quantity) at 90 (best ask price).
  • these three columns are shown in different colors so that the trader can quickly distinguish between them.
  • the values in the price column are static; that is, they do not normally change positions unless a re-centering command is received (discussed in detail later).
  • the values in the Bid and Ask columns are dynamic; that is, they move up and down (in the vertical example) to reflect the market depth for the given commodity.
  • the LTQ column 1006 shows the last traded quantity of the commodity. The relative position of the quantity value with respect to the Price values reflects the price at which that quantity was traded.
  • Column 1001 labeled E/W (entered/working) displays the current status of the trader's orders. The status of each order is displayed in the price row where it was entered.
  • the number next to S indicates the number of the trader's ordered lots that have been sold at the price in the specific row.
  • the number next to W indicates the number of the trader's ordered lots that are in the market, but have not been filled— i.e. the system is working on filling the order. Blanks in this column indicate that no orders are entered or working at that price.
  • the number next to B indicates the number of the trader's ordered lots that have been bought at the price in the specific row.
  • the number next to W indicates the number of the trader's ordered lots that are in the market, but have not been filled— i.e. the system is working on filling the order.
  • buttons which appear below the Current Quantity in cells 1014. These buttons increase the current quantity by the indicated amount; for example, “10” will increase it by 10; “1H” will increase it by 100; “IK” will increase it by 1000.
  • the 1016 is the Quantity Description; this is a pull down menu allowing the trader to chose from three Quantity Descriptions.
  • the pull down menu is displayed when the arrow button in the window is clicked.
  • the window includes NetPos, Offset and a field allowing the trader to enter numbers. Placing a number in this field will set a default buy or sell quantity. Choosing "Offset” in this field will enable the L/R buttons of cell 1010. Choosing "NetPos” in this field will set the current Net Quantity (trader's net position) as the trader's quantity for his next trade.
  • Cell 1017 are +/- buttons; these buttons will alter the size of the screen — either larger (+) or smaller (-).
  • Cell 1018 is used to invoke Net 0; clicking this button will reset the Net Quantity (cell 1011) to zero.
  • Cell 1019 is used to invoke Net Real; clicking this button will reset the Net Quantity (cell 1011) to its actual position.
  • FIG. 4 shows a screen displaying the same market as that of Figure 3 but at a later interval where the inside market, cells 1101, has risen three ticks.
  • the inside market for the commodity is 43 (best bid quantity) at 92 (best bid price) and 63 (best ask quantity) at 93 (best ask price).
  • the price column remained static, but the corresponding bids and asks rose up the price column.
  • Market Depth similarly ascends and descends the price column, leaving a vertical history of the market.
  • the inside market might go above or below the price column displayed on a trader's screen.
  • a trader will want to be able to see the inside market to assess future trades.
  • the system of the present invention addresses this problem with a one click centering feature. With a single click at any point within the gray area, 1021, below the "Net Real" button, the system will re-center the inside market on the trader's screen. Also, when using a three- button mouse, a click of the middle mouse button, irrespective of the location of the mouse pointer, will re-center the inside market on the trader's screen.
  • the price consolidation feature of the present invention is used to condense a large number of price rows into a more manageable number of price rows, resulting in more expedient trading. By consolidating prices, and therefore orders, a trader reduces the risk of a favorable order scrolling from the screen prior to his hitting a bid or ask on that order at its favorable price.
  • the present invention provides a display and graphical user interface on which order and price information is displayed and from which order and price information can be sent to electronic markets.
  • Figure 7 A shows an unconsolidated screen 1700 while
  • Figure 7B shows a consolidated screen 1702 under the present invention.
  • the display has a vertical orientation and these display regions are shown as columns, as is evident in the figures. However, in other embodiments, these display regions could be horizontal rows or some other shape and orientation.
  • the Bid Quantity column lists the total amount of working bids in the market at the corresponding price rows. As discussed above, a "bid” is an order to buy a given quantity of a commodity at a given price.
  • the Ask Quantity column lists the total amount of working asks in the market at the corresponding price rows.
  • An "ask” is an order to sell a given quantity of a commodity at a given price.
  • the Price column lists the prices (ticks) for the chosen commodity.
  • markets provide prices in ticks.
  • the static price column of the Mercury trading screen can display as many such ticks as the trader's screen will allow.
  • the present invention makes it possible to expand the price range displayed by consolidating the price rows as much as the trader desires.
  • the trader designates a finite number of ticks (e.g. 5) to be consolidated into a single consolidated price row, and the present invention will consolidate the price rows accordingly.
  • each price in the range corresponding to a consolidated price row will be rounded up or down depending on whether the price is considered in relation to an ask or a bid quantity. If considered in relation to an ask quantity, the price will round up (or remain equal) to the nearest consolidated price row, and if considered in relation to a bid quantity, the price will round down (or remain equal) to the nearest consolidated price row.
  • Figures 7A and 7B illustrate the consolidation of the prices from the unconsolidated display 1700 to the consolidated display 1702.
  • the range of prices 95-99 (1716) corresponding to bids consolidate to price 95 (1726).
  • the range of prices 00-04 (1718) corresponding to bids consolidate to price 00 (1728).
  • the range of prices 01-05 (1720) corresponding to asks consolidate to price 05 (1730).
  • the range of prices 06-10 (1722) corresponding to asks consolidate to price 10 (1732).
  • the 04 price in the 1720 range is rounded up to 05 when considered in relation to the ask quantity in the market.
  • the 05 price is included in the 05 consolidated price row when considered in relation to the ask quantity in the market.
  • range 1720 (03, 02, and 01) are irrelevant when considering the prices of asks in the market because there are no ask quantities in the market.
  • prices 03, 02, 01, and 00 in the range 1718 are rounded down to 00 as the next lowest consolidated price row in relation to the bid quantities in the market.
  • Price 04 of range 1718 is irrelevant when considering the prices of bids in the market because there are no corresponding bid quantities in the market.
  • the user under the present invention, has the ability to offset the starting point for the consolidation of prices.
  • This display of prices depends both on the manner in which each exchange provides the price information and the user's preferences.
  • the prices may be displayed on the screen in ticks, fractions of ticks, or in currency (dollars, Euros, etc.).
  • the starting point for the display of the consolidation of prices automatically defaults to the zero price level, but it may be offset to any price level from zero to one less than the range size (increment) chosen by the user. For example, if the trader chose to consolidate the price row into groups of five, the starting point could be any integer from 0 through 4, since 4 is one less than the maximum group size of 5. From that starting point, the static price row will ascend and descend. This enables the trader to group price rows at any tick offset. For example, if the market tick size is .25 (i.e. $0.25) the price row will ascend as follows: .25, .50, .75, 1.00, 1.25, etc. If the trader wanted to display the price row in increments of 1.0 (e.g.
  • the consolidation would begin at .50 with .50, .75, 1.00, and 1.25 being the prices in the first consolidated price group (this group would be displayed on the screen as the .50 price level). All of the ascending price groups, beginning at 1.50, would now be in increments of 1.00 (groups of four .25 price levels) and will ascend the price row as follows: .50, 1.50, 2.50, 3.50, 4.50, etc.
  • N Variable increment chosen by the trader (number of ticks per consolidated price)
  • the result which is in the units of ticks, is displayed on the screen in ticks or converted to a format/unit desired by the user in a manner as set forth above with respect to the conversion to ticks.
  • the corresponding bid and ask quantities in the market also are condensed with their corresponding consolidated prices.
  • Bid quantities in the market are consolidated into the lowest corresponding price row.
  • ask quantities in the market are consolidated into the highest corresponding price row.
  • FIGs 8 A and 8B The screen displayed on the right (1702) shows a consolidated price column 1714 and the corresponding consolidated bid 1710 and ask 1712 quantities.
  • the bid quantities in the market are consolidated to the lowest corresponding price (00, 95, 90, 85 etc.), while the ask quantities are consolidated to their highest corresponding price (05, 10, 15, 20 etc.).
  • the inside market may fall within a consolidated price row.
  • the inside market prices— 03 and 04 in price column 1708— are between the consolidated price rows— 00 and 05 in price column 1714.
  • the rounding principle set forth above still applies in this scenario.
  • all of the bid quantities in the relevant range 1802 here one of the bid quantities is 0, because it is above the inside market
  • P Price value of row clicked (in ticks)
  • R Value in R field
  • L Value in L field
  • Q Current Quantity
  • Q a Total of all quantities in AskQ column at an equal or better price than P
  • Qb Total of all quantities in BidQ column at an equal or better price than P
  • N Current Net Position
  • Bo Buy order sent to market
  • So Sell order sent to market.
  • Orders can also be sent to market for quantities that vary according to the quantities available in the market; quantities preset by the trader; and which mouse button the trader clicks.
  • a trader can buy or sell all of the bids or asks in the market at or better than a chosen price with one click.
  • the trader could also add or subtract a preset quantity from the quantities outstanding in the market. If the trader clicks in a trading cell — i.e. in the BidQ or AskQ column, he will enter an order in the market. The parameters of the order depend on which mouse button he clicks and what preset values he set.
  • the values in the L or R fields may be negative numbers. This would effectively decrease the total quantity sent to market. In other words, in the example of a right click in the AskQ column 1202 in the 87 price row, if the R field was -5, the total quantity sent to market would be 140 (30 + 97 + 18 + (-5)).
  • This embodiment of the invention also allows a trader to delete all of his working trades with a single click of either the right or left mouse button anywhere in the last traded quantity (LTQ) column 1207.
  • the invention also allows a trader to delete all of his orders from the market at a particular price level. A click with either mouse button in the Entered/Working (E/W) column 1208 will delete all working orders in the cell that was clicked. Thus, if a trader believes that previously sent orders at a particular price that have not been filled would be poor trades, he can delete these orders with a single click.
  • step 1301 the trader has the Mercury display on the trading terminal screen showing the market for a given commodity.
  • step 1302 the parameters are set in the appropriate fields, such as the L and R fields and the Current Quantity, NetPos or Offset fields from the pull down menu.
  • step 1303 the mouse pointer is positioned and clicked over a cell in the Mercury display by the trader.
  • step 1304 the system determines whether the cell clicked is a tradeable cell (i.e. in the AskQ column or BidQ column).
  • step 1305 no trade order is created or sent and, rather, other quantities are adjusted or functions are performed based upon the cell selected. Otherwise, in step 1306, the system determines whether it was the left or the right button of the mouse that was clicked. If it was the right, then in step 1307, the system will use the quantity in the R field when it determines the total quantity of the order in step 1310. If the left button was clicked, then in step 1308, the system determines which quantity description was chosen: Offset, NetPos or an actual number.
  • step 1309 If Offset was chosen, then the system, in step 1309, will use the quantity in the L field when it determines the total quantity of the order in step 1310. If NetPos was chosen, then the system, in step 1312, will determine that the total quantity for the trade order will be the current NetPos value, i.e. the net position of the trader in the given commodity. If an actual number was used as the quantity description, then, in step 1311, the system will determine that the total quantity for the trade order will be the current quantity entered.
  • step 1310 the system will determine that the total quantity for the trade order will be the value of the R field (if step 1307 was taken) or the value of the L field (if step 1309 was taken) plus all quantities in the market for prices better than or equal to the price in the row clicked. This will add up the quantities for each order in the market that will fill the order being entered by the trader (plus the L or R value).
  • step 1313 determines which column was clicked, BidQ or AskQ. If AskQ was clicked, then, in step 1314, the system sends a sell limit order to the market at the price corresponding to the row for the total quantity as already determined. If BidQ was clicked, then, in step 1315, the system sends a buy limit order to the market at the price corresponding to the row for the total quantity as already determined.
  • Figure 9 illustrates an unconsolidated display 1700 under the present invention.
  • the bid 1704 and ask 1706 columns of the display of the present invention there are essentially four distinct areas in which a trader can click to send an order to the market. These are shown as Areas 1-4 in Figure 9. Two are within the bid display region (1704) and two are within the ask display region (1706). Clicking on an active cell within one of the areas will enter an order that either "joins" the market, "hits" an existing bid, or "takes” an existing ask. If either hitting a bid or taking an ask, then such orders will likely be immediately filled in the market.
  • Area 1 is meant to refer to the cells in the bid display region corresponding to prices at or above the inside market.
  • Area 2 refers to the cells in the ask display region corresponding to prices at or below the inside market.
  • Area 3 refers to the cells in the bid display region corresponding to prices at or below the inside market.
  • Area 4 refers to the cells in the ask display region corresponding to prices at or above the inside market.
  • Step 1 involves sending an order to the market up to the quantity of orders available in the market at the desired price or better. If the quantity of the order is for less than the quantity available in the market, then the order will be filled completely.
  • step 1 will result in filling only the quantity available at the desired price or better (therefore "taking out” the market).
  • Step 2 will be performed whereby the remaining quantity will "join” the market in accordance with the distribution scheme selected by the trader (the various distribution schemes are described in detail later in the specification). In essence, the process carried out in step 2 is the same as when a trader joins the market via area 3 or area 4.
  • Figure 10 illustrates the consolidated display 1702, but here, unlike previous figures, only the trader's orders are shown.
  • the increment chosen by the trader is 10.
  • the invention provides the trader with multiple options for distributing the trade order quantity among the prices within the range represented by the consolidated price. The following are examples of such distribution methods shown in unconsolidated displays using Figure 10 and the trade order shown therein as a reference.
  • the first option is to allow a single limit order to be entered for the chosen quantity at the best price within the consolidated price row.
  • a trader clicks on the BidQ column 1710 (see Figure 10) at the 00 consolidated price row he will join the market in that consolidated price row. If the Bid quantity that he wishes to enter is 10, and he chooses to distribute all 10 orders at the best price, the 10 orders (see 1704) will then be entered at the best price of 09 (see 1708).
  • FIG. 12 Another option under the present invention, as shown in Figure 12, is to allow a single limit order to be entered for the chosen quantity at the worst price within the consolidated price row. Upon joining the market at the 00 consolidated price row, and choosing to distribute all 10 orders at the worst price, all 10 orders (see 1704) will be entered at the worst price of 00 (see 1708).
  • Yet another option for distributing an entered order includes an even distribution of multiple orders throughout the prices in the consolidated price row. As shown in Figure 13, after joining the market at the 00 consolidated price row, and choosing to evenly distribute all 10 order, one order each will be distributed among the 10 price rows that make up the consolidated 00 price row.
  • a further option is a random distribution of the orders as shown in Figure 14.
  • the bid quantities shown in column 1704 sum to the order quantity of 10 and are randomly distributed among the prices within the range corresponding to the consolidated price at which the order was placed.
  • the present invention will also allow a single limit order to be entered for the chosen quantity at both the best price and random prices within the consolidated price row. As shown in Figure 15, the trader chose to distribute 50% of his 10 orders at the best price and randomly distribute the additional 50% among any of the prices incorporated into the consolidated price row.
  • Figure 16 illustrates orders entered by a trader when he chose to distribute 50% of the 10 orders at the best price, 20% at the worst price, and 30% midway through the best and worst prices.
  • the present invention will allow for the distribution of multiple orders from a consolidated price row to be weighted toward the best price.
  • the trader chose to weight his 10 orders toward the best price resulting in four orders at the 09 price, three at 08, two at 07, and one at 06.
  • the present invention also allows for the distribution of multiple orders from a consolidated price row to be weighted toward the worst price.
  • Figure 18 illustrates the result of a trader choosing to weight his 10 orders toward the worst price (four are at the 00 worst price, three at 01, two at 02, and one at 03).
  • the aforementioned distribution schemes or any combination thereof can be used to distribute orders that are placed to join the market. Furthermore, they can be used to distribute excess orders, that is, the quantity of the order remaining after the quantity available in the market has been matched.
  • the distribution of trade orders can be accomplished by any convenient programming techniques, including rule- based programming techniques. Also, the randomization in distributing the trade orders can be accomplished through the use of one or more standard randomizing algorithms.
  • the market depth may affect the display of consolidated ticks. The order information that is available varies depending on the exchange. Some exchanges offer an infinite number of prices, while others may supply only a limited number. If a trader elects to group ticks into consolidated price rows of five ticks per row, and a particular exchange offers only ten prices, consolidating would be unnecessary because all of the prices could be displayed separately on the screen at the same time.
  • the flowchart shown in Figure 19 illustrates the trade order placement using price consolidation. It is a modification of that shown in Figure 6 which illustrates the process described in the parent application.
  • the modifications include a step 1916 for setting up the consolidation quantity (increment) and distribution scheme.
  • the flowchart of Figure 6 has been altered to illustrate the effect of consolidating price rows. For example, if a trader enters the market and elects to enter a Bid order of 20 commodities at a consolidated price of 00, since that 00 represents a range of prices, the 00 may not be the best market price.
  • the present invention provides that trader with the option of splitting the quantity into one or more orders within the consolidated price range, and therefore potentially entering the market at a better price.
  • a trader joining the market has the option of setting up consolidation quantity and distribution schemes as discussed above.
  • the boxes added to the flowchart address the treatment of orders that are "better than” the market price but where the quantity selected is larger than the quantity available in the market. Specifically, the added decision boxes address whether there is any quantity available in the market at the order price or better (step 1917). If not, the order remainder will be placed for the desired quantity in accordance with the predefined distribution scheme (steps 1922 and 1923). If so, the next question addressed is whether the entire quantity ordered is greater than what is available in the market at the order price or better (step 1918). If not, the entire order will be placed (step 1919). If so, the order will be placed for the quantity available in the market (step 1920) and the remainder (step 1921) will be placed in accordance with the predefined distribution scheme (steps 1922 and 1923).

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Abstract

L'invention concerne un procédé et un système pour réduire le temps nécessaire à un négociateur pour effectuer une transaction dans le cadre d'échanges réalisés électroniquement, augmentant ainsi les probabilités pour le négociateur d'avoir des ordres exécutés conformément aux prix et quantités désirés. La présentation « Mercury » et le procédé d'échanges commerciaux de la présente invention assurent une exécution rapide et précise des opérations en présentant la capacité d'absorption du marché dans un plan vertical ou horizontal, laquelle fluctue logiquement, c'est-à-dire qu'elle se déplace vers le haut ou vers le bas, vers la droite ou vers la gauche dans ledit plan, en fonction de la fluctuation des prix du marché. Cela permet au négociateur d'exécuter des opérations rapidement et de manière efficace. L'aspect de consolidation des prix, tel qu'il est décrit dans la présente invention, permet au négociateur de consolider un certain nombre de prix afin de condenser la présentation. Le négociateur peut alors visualiser un éventail plus large de prix et un nombre d'ordres sur le marché plus important, à n'importe quel moment donné. En consolidant les prix, et de ce fait les ordres, un négociateur réduit le risque qu'un ordre favorable défile d'un écran avant qu'il puisse négocier un cours acheteur ou un cours vendeur à un prix favorable.
EP01977522A 2000-10-06 2001-10-05 Echanges commerciaux s'appuyant sur une presentation de la capacite d'absorption et des prix du marche Ceased EP1332454A4 (fr)

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EP10183903A EP2317466A1 (fr) 2000-10-06 2001-10-05 Échanges commerciaux s'appuyant sur une présentation de la capacité d'absorption et des prix du marché
EP10183926A EP2317467A1 (fr) 2000-10-06 2001-10-05 Échanges commerciaux s'appuyant sur une présentation de la capacité d'absorption et des prix du marché

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PCT/US2001/031222 WO2002029686A1 (fr) 2000-10-06 2001-10-05 Echanges commerciaux s'appuyant sur une presentation de la capacite d'absorption et des prix du marche

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KR (1) KR100860727B1 (fr)
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BR (1) BR0114469A (fr)
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JP5518105B2 (ja) 2014-06-11
RU2292590C2 (ru) 2007-01-27
JP6240641B2 (ja) 2017-11-29
SG10201808933VA (en) 2018-11-29
JP2004537769A (ja) 2004-12-16
CN104574186A (zh) 2015-04-29
SG149683A1 (en) 2009-02-27
SG180021A1 (en) 2012-05-30
JP4948437B2 (ja) 2012-06-06
JP2012108929A (ja) 2012-06-07
JP4125117B2 (ja) 2008-07-30
JP5345187B2 (ja) 2013-11-20
CA2425107C (fr) 2017-10-31
KR20030063358A (ko) 2003-07-28
SG10201403261YA (en) 2014-08-28
CA2425107A1 (fr) 2002-04-11
JP6511488B2 (ja) 2019-05-15
CN104574186B (zh) 2018-05-08
JP2019036367A (ja) 2019-03-07
JP4948438B2 (ja) 2012-06-06
CN1474988A (zh) 2004-02-11
JP5898170B2 (ja) 2016-04-06
EP1332454A1 (fr) 2003-08-06
AU9663501A (en) 2002-04-15
WO2002029686A1 (fr) 2002-04-11
EP2317466A1 (fr) 2011-05-04
JP2008112474A (ja) 2008-05-15
JP2012014715A (ja) 2012-01-19
KR100860727B1 (ko) 2008-09-29
AU2001296635B2 (en) 2007-09-06
JP2017188138A (ja) 2017-10-12
BR0114469A (pt) 2003-12-30
EP2317467A1 (fr) 2011-05-04
JP2014089736A (ja) 2014-05-15
MXPA03003041A (es) 2004-12-06
JP2008112475A (ja) 2008-05-15

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