EP1334451A2 - Systeme de commerce anonyme - Google Patents

Systeme de commerce anonyme

Info

Publication number
EP1334451A2
EP1334451A2 EP01954232A EP01954232A EP1334451A2 EP 1334451 A2 EP1334451 A2 EP 1334451A2 EP 01954232 A EP01954232 A EP 01954232A EP 01954232 A EP01954232 A EP 01954232A EP 1334451 A2 EP1334451 A2 EP 1334451A2
Authority
EP
European Patent Office
Prior art keywords
market
trading
distributor
price
order input
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.)
Withdrawn
Application number
EP01954232A
Other languages
German (de)
English (en)
Inventor
Neena Jain
Steven Iaccheo
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.)
EBS Group Ltd
Original Assignee
Electronic Broking Services 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 Electronic Broking Services Ltd filed Critical Electronic Broking Services Ltd
Publication of EP1334451A2 publication Critical patent/EP1334451A2/fr
Withdrawn legal-status Critical Current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
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

  • This invention relates to electronic brokerage or trading systems and in particular to systems in which counterparties trade anonymously within fixed credit limits.
  • Such systems may trade financial instruments such as foreign exchange and forward rate agreements .
  • EP-A-0,399,850, EP-A-0 , 406, 026 and EP-A-0 , 11, 748 all assigned to Reuters Ltd disclose aspects of an automated matching system in which a host computer maintains a central database of bids and offers submitted by terminals connected to the host via a network. The host also maintains records of credit limits between each trading bank and the possible counterparties with which it is willing to trade. The host computer uses information in its central database to match bids and offers and buy and sell orders based on matching criteria which include the counter party credit limits.
  • counterparty credit limits are set for each bank or each trading floor and the host computer establishes a gross counter party credit limit for each possible pair of counterparties.
  • the gross counter party credit limit is the minimum amount of remaining credit between two counterparties.
  • a trader's terminal will display a subset of the trading book, typically the best few bids and offers. These will be updated periodically to ensure that the trader sees the true state of the market .
  • a problem with the system outlined above is that the trader sees the bids and offers irrespective of whether he has sufficient credit with the counter party submitting that bid or offer to trade. As a result, a trader can attempt to trade when there is no available credit. As the system is anonymous the trader has no knowledge of the counterparty until a trade as been completed and so, when he hits a bid or offer, has no idea as to whether it is likely to be accepted or rejected for lack of credit. This is extremely frustrating for a trader, particularly in a fast moving market in which trading opportunities can easily be lost. The problem arises as the host computer only checks available credit after a deal has been proposed and a potential match identified.
  • EBS Dealing Resources inc Instead of displaying the actual trading book, or a part of it, to each trader, a different market view is shown to each trader in which bids and offers from counterparties which whom they have insufficient or no credit are screened out. Thus, the trader only sees prices with which he knows he can deal .
  • the architecture of the system of W093/15467 is very different from the of the Reuters system and is based on a distributed network with a number of arbitrators which perform matching. Actual credit limits are stored at local bank nodes to which each of a bank's trading terminals are connected ensuring that sensitive credit data does not leave the bank's physical site.
  • the actual trading book is sent by the arbitrators to the market distributor.
  • the market distributor forms a market view specific to a given trading floor and sends it to the relevant bank node. A different market view may be formed for each trading floor depending on credit criteria.
  • the market view which is distributed to each of the bank nodes is the complete market view with credit screening taking place, the market distributor to filter out any prices with which the bank, or a given trading floor within the bank, has insufficient credit.
  • the market distributers also have limited credit information, maintaining a credit matrix which may store a simple "yes-no" credit indicator for given counterparties.
  • a credit matrix which may store a simple "yes-no" credit indicator for given counterparties.
  • the Reuters system uses a single host computer based in Long Island, New York, USA from where prices and deal information are distributed to the users.
  • the EBS system used for foreign exchange (forex) trading used three arbitrators, one each in New York, London and Tokyo. Each of the arbitrators perform price matching and price distribution is performed by the market distributors.
  • the system for trading Forward Rate Agreements (FRAs) uses a single arbitrator. It has been found that this architecture does not perform satisfactorily in all circumstances.
  • the invention aims to overcome the disadvantage outlined above and to provide an architecture which is potentially cheaper to operate.
  • the invention contemplates including one or more additional market distributors in at least on of the branches. This allows a single link to be in place across the expensive links with local fanout of a number of branches each having its own market distributor.
  • Figure 1 shows a map of the world to illustrate the prior art distribution of price information
  • Figure 2 shows a map of the world to illustrate the distribution of price information in accordance with an embodiment of the invention
  • Figure 3 is a similar view to Figure 2 illustrating a second embodiment of the invention
  • Figure 4 is a schematic diagram showing the system architecture of all embodiments of the invention.
  • Figure 1 shows geographically how the prices may be distributed from a simple arbitrator system such as the project EBS FRA system. Price matching and deal execution is performed by the arbitrator and process are distributed by the marked distributor, located close to the arbitrators in London to a number of city nodes .
  • figure 1 only shows the Far Eastern branches of the network. In practice there will be branches to many other cities, for example in Europe and North America.
  • Figure 2 shows how the architecture of figure 1 is modified in an embodiment of the invention.
  • the Tokyo branch has an additional market distributor, all the data for the Far Eastern cities is sent on the Tokyo branch and distributed to the city nodes from Tokyo.
  • some of the distances between the Tokyo distributor and city nodes are still large but they are considerably shorter than the distances between the respective city nodes and London.
  • one or more further market distributors are included.
  • the Melbourne city node may have a market distributor which distributes prices from Tokyo market distributors to other Australian and New Zealand cities. This possibility is shown in figure 3.
  • separate international lines from Tokyo to each of the cities shown are replaced by a single international line from Tokyo to Melbourne and then inland lines to other Australian cities.
  • This example also requires an international line from Melbourne to each New Zealand city but it will be appreciated that further market distributors could be located in, say, Auckland to distribute prices out to other New Zealand cities.
  • the network comprises a clique (10) of arbitrators (12, 14, 16, 18) . It will be appreciated that this example is based on the current multi-arbitrator system used for forex trading and could, by removal of three arbitrators and connection of the various branches to the remaining arbitrator, be adapted for the single arbitrator model discussed with respect to figures 2 and 3.
  • the arbitrators (12, 14, 16, 18) of the clique are all interconnected and, in practice, located in geographically different areas. For example, one may be in New York and one in Tokyo and two in London reflecting the amount of business passing through the London market.
  • a branch (20, 22, 24, 26, 28) having one or more market distributors (30) and one or more bank nodes (32) .
  • branches 20 and 24 each have two market distributors and in branch 24 the first, closest market distributor to the arbitrator has attached to it a bank node (32) as well as a further market distributor.
  • the architecture illustrated is highly schematic. In practice, each of the market distributors at the end of each branch may fan out to a large number of bank nodes.
  • arbitrator 18 may represent the Tokyo arbitrator and market distributor 30T the Tokyo market distributor which distributes process to Tokyo banks via bank nodes 32T.
  • the Tokyo market distributor is also connected to a further down stream market distributor, the Hong Kong market distributor 30HK which in turn distributes prices to Hong Kong banks via Hong Kong bank nodes 32HK.
  • each bank node will have one or more trading floors connected, the trader terminals are an example of order input means by which quotes such as buy or sell orders are input into the system.
  • the input may be manual, for example an input from the trader via a keypad which is input to the bank node, or automatic.
  • An example of an automatic order is a pre-stored but or sell order entered by a trader which is activated when the market reaches a certain condition.
  • the order input may be fully automatic and integrated into an institutions and dealing systems.
  • the architecture is based closely on that of W093/15467 it follows that all matching is performed by the arbitrators and the invention resides in the idea of having multiple levels of market distribution. In fact, this could be at the arbitrator, market distributor or bank node level. In each case, although the stage may not be identified as a market distributor as such, it performs a market distribution function and as such is a means for distributing market prices to traders.
  • a bank node (32) receives a "submit quote" request from a trader who wishes to place a buy or sell order onto the system, the bank node first validates the quote and decides whether or not to accept it. If the quote is accepted it is forwarded to the arbitrator. In practice it will pass physically through the market distributor (s) but they are transparent to the message and the logical connection is between the bank node and the arbitrator. The arbitrator then validates the quote and puts the order in its order book and tells the market distributor that a quote has been put in the market. This message is communicated directly to the market distributors in branches connected directly to the arbitrator in question and for other branches passes through the relevant arbitrator in the clique. The market distributors in turn inform the bank nodes (32) about the quote who in turn inform the deals at the various banks.
  • One of the functions of the market distributor is to compile a market view which is unique to each trading floor, taking into account the credit limits that floor has with other counter parties in the system. Quotes from parties with which there is no credit will not be shown to traders and so will not form a part of the market view. If there are two or more market distributors in a branch, the formation of individual market views is left to the last market distributor before the bank node for whose traders the market views are to be formed. Thus, market distributor 30T will form market views for traders terminals 33T connected to bank node 32T but will pass the whole book to market distribution 30HK which will prepare market views for trader terminals 33HK connected to bank node 32 HK.
  • the arbitrator who receives the "submit quote” message will own the quote.
  • the owning arbitrator them notifies all the remaining arbitrators about the quote.
  • Those arbitrator put the quote in their order book before putting it in their book and distributing it down the branches attached to them.
  • a dealer who sees a price displayed with which he wishes to trade may "hit" that price.
  • a hit is a fill or kill order which the arbitrator either satisfies or deletes.
  • a hit is not entered into the order book.
  • the hit is transmitted by the traders bank node to the branch' s arbitrator. That arbitrator initiates a deal with the quote that has been hit, which may be local or remote, this is it may be owned by the same or a different arbitrator.
  • the deal request is passed to the owning arbitrator of the quote that has been hit, if it is not the arbitrator which first received the hot order and the owning arbitrator will fail the deal request if the original quote that has been hit is no longer available.
  • a trader submits a "Hit" request to its bank node.
  • the bank node forwards the request to its arbitrator.
  • an arbitrator When an arbitrator receives a hit request from a trader, it looks at its order book to find one or multiple quotes, based on 'the trading rules defined by the market, to fill up the request . If the arbitrator can not find any quote, the arbitrator fails the request immediately. If the arbitrator finds a quote and the quote is local quote, it performs the following actions:
  • the quote update is propagated in the same way as the "submit a quote" message. If the quote is a remote quote, the owning arbitrator for the hit updates the hit request to lock a certain amount and updates the status of the quote to reserve a certain amount. It then sends a deal request containing the quote, hit and amount to the arbitrator who notified it of the existence of the quote.
  • an arbitrator who owns a quote When an arbitrator who owns a quote receives a deal request for the quote, it checks the availability of the quote. If the quote is still available for the requested amount, the arbitrator updates the quote to reserve the quote with the requested amount and initiates a deal for the request. It then replies back to the requester that the deal has been initiated. It also tells all its neighbour arbitrators; the arbitrators that have the direct connection with it, except for the requesting arbitrator, that the quote has been changed with a marked update message in this manner all the arbitrators are advised of the quote update. It then starts the deal execution process. If the quote is no longer available, the arbitrator fails the deal request.
  • the arbitrator needs to see if the request can be partially filled. If the request can not be partially filled, the arbitrator shall fail the request. Otherwise, it will initiate a deal with a modified amount, it then sends the request back and tells its neighbour arbitrators about quote status update. It then starts to execute the deal.
  • the arbitrator When the arbitrator receives a response for a deal request, if the request has been fulfilled, the arbitrator responds back to the trader that its request has been fulfilled. If the request is rejected, the arbitrator needs to search its order book in order to find another quote (or quotes) to fill the request. If it can find one or some quote (s) it sends its deal request (or requests) to the owning arbitrator (or arbitrators) . If the request is partially filled, the arbitrator may need to find one or more other quotes to fill the remaining part of the request. At a certain point, the arbitrator needs to respond back to the. trader requester to tell it about the overall fulfilment of the request.
  • the arbitrator also automatch bids and offers input into the trading book where price and quantities are compatible.
  • the automatch is performed in the same manner as the present system described in W093/15467 and includes the following operating and rules:
  • the system has been described in the context of a distributed system using multiple arbitrators and alternatively separate arbitrators and market distributors. It is to be understood that it is applicable to any trading system, anonymous or not in which there is a market distribution functionality. This may include, systems using a single host computer and system in which the matching, market distribution and deal execution are all performed at the same function to give a broking functionality mimicking the steps performed by a human broker.

Abstract

Dans un système de commerce anonyme des ordres sont entrés dans le système par les terminaux de négociants (33) chacun de ceux-ci étant reliés à un noeud bancaire (32), et chacun recevant un aperçu du marché préparé par un distributeur du marché (30). Ces distributeurs sont reliés à un arbitre (12, 14, 16, 18) et au noeud bancaire. Un certain nombre d'arbitres sont agencés en groupes, exécutent des mises en correspondances d'ordres et s'occupent de leur exécution. Plus d'un distributeur peut être relié à un arbitre donné et à un noeud bancaire donné. Ce qui permet une liaison unique d'être mise en place à travers des liaisons coûteuses au moyen d'une structure pyramidale locale d'un certain nombre de succursales possédant chacune son propre distributeur de marché.
EP01954232A 2000-06-23 2001-06-21 Systeme de commerce anonyme Withdrawn EP1334451A2 (fr)

Applications Claiming Priority (3)

Application Number Priority Date Filing Date Title
US60250200A 2000-06-23 2000-06-23
US602502 2000-06-23
PCT/IB2001/001260 WO2001098958A2 (fr) 2000-06-23 2001-06-21 Systeme de commerce anonyme

Publications (1)

Publication Number Publication Date
EP1334451A2 true EP1334451A2 (fr) 2003-08-13

Family

ID=24411602

Family Applications (1)

Application Number Title Priority Date Filing Date
EP01954232A Withdrawn EP1334451A2 (fr) 2000-06-23 2001-06-21 Systeme de commerce anonyme

Country Status (7)

Country Link
EP (1) EP1334451A2 (fr)
JP (1) JP2003536165A (fr)
AU (1) AU7657501A (fr)
CA (1) CA2383108A1 (fr)
GB (1) GB2366022B (fr)
WO (1) WO2001098958A2 (fr)
ZA (1) ZA200202215B (fr)

Families Citing this family (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US8706610B2 (en) 2011-08-16 2014-04-22 Sl-X Technology Uk Ltd. Systems and methods for electronically initiating and executing securities lending transactions
WO2013025938A2 (fr) 2011-08-16 2013-02-21 Sl-X Ip Sarl Systèmes et procédés pour initier et exécuter électroniquement des transactions de prêt de titres

Family Cites Families (6)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5136501A (en) * 1989-05-26 1992-08-04 Reuters Limited Anonymous matching system
US5305200A (en) * 1990-11-02 1994-04-19 Foreign Exchange Transaction Services, Inc. Financial exchange system having automated recovery/rollback of unacknowledged orders
US5375055A (en) * 1992-02-03 1994-12-20 Foreign Exchange Transaction Services, Inc. Credit management for electronic brokerage system
EP0847561B1 (fr) * 1995-08-28 2003-10-22 Ebs Dealing Resources, Inc. Systeme d'echange commercial anonyme a possibilites ameliorees d'introduction de cotation
US5924083A (en) * 1996-05-29 1999-07-13 Geneva Branch Of Reuters Transaction Services Limited Distributed matching system for displaying a book of credit filtered bids and offers
US7636683B1 (en) * 1998-09-11 2009-12-22 Ebs Group Limited Communication of credit filtered prices in an electronic brokerage system

Non-Patent Citations (1)

* Cited by examiner, † Cited by third party
Title
See references of WO0198958A2 *

Also Published As

Publication number Publication date
WO2001098958A8 (fr) 2003-05-30
JP2003536165A (ja) 2003-12-02
WO2001098958A2 (fr) 2001-12-27
ZA200202215B (en) 2004-03-30
GB0101432D0 (en) 2001-03-07
GB2366022A (en) 2002-02-27
CA2383108A1 (fr) 2001-12-27
AU7657501A (en) 2002-01-02
GB2366022B (en) 2004-08-25

Similar Documents

Publication Publication Date Title
US8639607B2 (en) Conversational dealing in an anonymous trading system
US7693774B2 (en) Credit limit storage in an anonymous trading system
JP5087197B2 (ja) 仲介プラットフォーム基本アーキテクチャ
US6983259B1 (en) Anonymous trading system
US20020099641A1 (en) Credit handling in an anonymous trading system
US20020099647A1 (en) Deal matching in an anonymous trading system
AU771660B2 (en) Anonymous trading system
EP1334451A2 (fr) Systeme de commerce anonyme

Legal Events

Date Code Title Description
PUAI Public reference made under article 153(3) epc to a published international application that has entered the european phase

Free format text: ORIGINAL CODE: 0009012

17P Request for examination filed

Effective date: 20020218

AK Designated contracting states

Designated state(s): AT BE CH CY DE DK ES FI FR GB GR IE IT LI LU MC NL PT SE TR

AX Request for extension of the european patent

Extension state: AL LT LV MK RO SI

REG Reference to a national code

Ref country code: HK

Ref legal event code: DE

Ref document number: 1059656

Country of ref document: HK

RAP1 Party data changed (applicant data changed or rights of an application transferred)

Owner name: EBS GROUP LIMITED

17Q First examination report despatched

Effective date: 20060905

STAA Information on the status of an ep patent application or granted ep patent

Free format text: STATUS: THE APPLICATION IS DEEMED TO BE WITHDRAWN

18D Application deemed to be withdrawn

Effective date: 20070316

REG Reference to a national code

Ref country code: HK

Ref legal event code: WD

Ref document number: 1059656

Country of ref document: HK