U.S. patent application number 11/967728 was filed with the patent office on 2008-07-24 for methods and systems for managing and trading using a shared order book as internal exchange.
Invention is credited to DAVID WEISS.
Application Number | 20080177645 11/967728 |
Document ID | / |
Family ID | 39589012 |
Filed Date | 2008-07-24 |
United States Patent
Application |
20080177645 |
Kind Code |
A1 |
WEISS; DAVID |
July 24, 2008 |
METHODS AND SYSTEMS FOR MANAGING AND TRADING USING A SHARED ORDER
BOOK AS INTERNAL EXCHANGE
Abstract
Methods and corresponding system are herewith provided that, in
certain embodiments, include the steps or steps of receiving a
plurality of orders for an item from computing devices associated
with a plurality of internal users; receiving a plurality of orders
for the item from computing devices associated with a plurality of
external users; determining a best bid and a best offer from the
plurality of the orders from the plurality of internal users and
the plurality of the external orders; and causing an interface
screen to be displayed at a user computing device, the interface
screen comprising a shared order book for the item that comprises a
listing of the orders from the plurality of internal users and the
plurality of external users sorted based at least by price, the
shared order book arranged in a set of bid side columns and a set
of ask side columns, each of the set of columns comprising at least
one price column and at least one size column, and at least one
column indicating a source of at least one of each of an order from
an internal user and an order for an external user.
Inventors: |
WEISS; DAVID; (New York,
NY) |
Correspondence
Address: |
DEAN P. ALDERUCCI
CANTOR FITZGERALD, L.P., 110 EAST 59TH STREET (6TH FLOOR)
NEW YORK
NY
10022
US
|
Family ID: |
39589012 |
Appl. No.: |
11/967728 |
Filed: |
December 31, 2007 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
|
|
60882905 |
Dec 30, 2006 |
|
|
|
Current U.S.
Class: |
705/30 |
Current CPC
Class: |
G06Q 30/0601 20130101;
G06Q 30/02 20130101; G06Q 40/12 20131203; G06Q 40/04 20130101 |
Class at
Publication: |
705/30 |
International
Class: |
G06Q 10/00 20060101
G06Q010/00 |
Claims
1. A computer implemented method comprising: generating in an
accounting system an invoice for an executed trade; marking in the
accounting system a trade record associated with the executed trade
with an indication that the executed trade is being disputed; and
feeding to a trade system the indication that the trade is being
disputed.
2. The method of claim 1, comprising displaying the indication on a
trading system interface screen.
3. The method of claim 1, wherein the invoice is for a trade
commission associated with the executed trade.
4. The method of claim 1, comprising feeding to the trade system an
indication that at least one other trade has been paid.
5. The method of claim 1, comprising feeding to the trade system
information regarding why the trade is being disputed.
6. The method of claim 1, comprising creating a flag for a user of
the trading system to facilitate with collection of the
invoice.
7. The method of claim 1, comprising feeding information and
flagging therewith at least one trade record in the trading system
with an invoice ID and a date as trades are invoiced in the
accounting system.
8. The method of claim 1, comprising feeding information and
flagging therewith at least one trade record in the trading system
with a payment ID and date as trades are marked paid in the
accounting system.
9. The method of claim 1, comprising feeding information and
flagging therewith at least one trade record in the trading system
with a dispute ID and date as trades are marked disputed in the
accounting system.
10. The method of claim 1, comprising feeding information and
flagging therewith a customer payment status and rating in a
Customer Master database of the trading system as the rating is
calculated in the accounting system.
Description
[0001] This Application claims the benefit of U.S. Provisional
Application No. 60/882,905, filed Dec. 30, 2006, entitled "Methods
and Systems for Managing and Trading Using A Shared Order Book as
Internal Exchange", which is hereby incorporated by reference
herein in its entirety.
BRIEF DESCRIPTION OF THE FIGURES
[0002] FIG. 1 illustrates a system according to at least one
embodiment of the systems disclosed herein;
[0003] FIGS. 2 and 15-17 illustrate methods according to at least
one embodiment of the methods disclosed herein; and
[0004] FIGS. 3-14 illustrate interface screens for use with at
least one of the methods and systems disclosed herein.
DETAILED DESCRIPTION OF THE INVENTION
[0005] The following sections I-X provide a guide to interpreting
the present application.
[0006] I. Terms
[0007] The following sections I-X provide a guide to interpreting
the present application.
[0008] The term "product" means any machine, manufacture and/or
composition of matter, unless expressly specified otherwise.
[0009] The term "process" means any process, algorithm, method or
the like, unless expressly specified otherwise.
[0010] Each process (whether called a method, algorithm or
otherwise) inherently includes one or more steps, and therefore all
references to a "step" or "steps" of a process have an inherent
antecedent basis in the mere recitation of the term `process` or a
like term. Accordingly, any reference in a claim to a `step` or
`steps` of a process has sufficient antecedent basis.
[0011] The term "invention" and the like mean "the one or more
inventions disclosed in this application", unless expressly
specified otherwise.
[0012] The terms "an embodiment", "embodiment", "embodiments", "the
embodiment", "the embodiments", "one or more embodiments", "some
embodiments", "certain embodiments", "one embodiment", "another
embodiment" and the like mean "one or more (but not all)
embodiments of the disclosed invention(s)", unless expressly
specified otherwise.
[0013] The term "variation" of an invention means an embodiment of
the invention, unless expressly specified otherwise.
[0014] A reference to "another embodiment" in describing an
embodiment does not imply that the referenced embodiment is
mutually exclusive with another embodiment (e.g., an embodiment
described before the referenced embodiment), unless expressly
specified otherwise.
[0015] The terms "including", "comprising" and variations thereof
mean "including but not limited to", unless expressly specified
otherwise.
[0016] The terms "a", "an" and "the" mean "one or more", unless
expressly specified otherwise.
[0017] The term "plurality" means "two or more", unless expressly
specified otherwise.
[0018] The term "herein" means "in the present application,
including anything which may be incorporated by reference", unless
expressly specified otherwise.
[0019] The phrase "at least one of", when such phrase modifies a
plurality of things (such as an enumerated list of things) means
any combination of one or more of those things, unless expressly
specified otherwise. For example, the phrase "at least one of a
widget, a car and a wheel" means either (i) a widget, (ii) a car,
(iii) a wheel, (iv) a widget and a car, (v) a widget and a wheel,
(vi) a car and a wheel, or (vii) a widget, a car and a wheel. The
phrase "at least one of", when such phrase modifies a plurality of
things does not mean "one of each of" the plurality of things.
[0020] Numerical terms such as "one", "two", etc. when used as
cardinal numbers to indicate quantity of something (e.g., one
widget, two widgets), mean the quantity indicated by that numerical
term, but do not mean at least the quantity indicated by that
numerical term. For example, the phrase "one widget" does not mean
"at least one widget", and therefore the phrase "one widget" does
not cover, e.g., two widgets.
[0021] The phrase "based on" does not mean "based only on", unless
expressly specified otherwise. In other words, the phrase "based
on" describes both "based only on" and "based at least on". The
phrase "based at least on" is equivalent to the phrase "based at
least in part on".
[0022] The term "represent" and like terms are not exclusive,
unless expressly specified otherwise. For example, the term
"represents" do not mean "represents only", unless expressly
specified otherwise. In other words, the phrase "the data
represents a credit card number" describes both "the data
represents only a credit card number" and "the data represents a
credit card number and the data also represents something
else".
[0023] The term "whereby" is used herein only to precede a clause
or other set of words that express only the intended result,
objective or consequence of something that is previously and
explicitly recited. Thus, when the term "whereby" is used in a
claim, the clause or other words that the term "whereby" modifies
do not establish specific further limitations of the claim or
otherwise restricts the meaning or scope of the claim.
[0024] The term "e.g." and like terms mean "for example", and thus
does not limit the term or phrase it explains. For example, in the
sentence "the computer sends data (e.g., instructions, a data
structure) over the Internet", the term "e.g." explains that
"instructions" are an example of "data" that the computer may send
over the Internet, and also explains that "a data structure" is an
example of "data" that the computer may send over the Internet.
However, both "instructions" and "a data structure" are merely
examples of "data", and other things besides "instructions" and "a
data structure" can be "data".
[0025] The term "respective" and like terms mean "taken
individually". Thus if two or more things have "respective"
characteristics, then each such thing has its own characteristic,
and these characteristics can be different from each other but need
not be. For example, the phrase "each of two machines has a
respective function" means that the first such machine has a
function and the second such machine has a function as well. The
function of the first machine may or may not be the same as the
function of the second machine.
[0026] The term "i.e." and like terms mean "that is", and thus
limits the term or phrase it explains. For example, in the sentence
"the computer sends data (i.e., instructions) over the Internet",
the term "i.e." explains that "instructions" are the "data" that
the computer sends over the Internet.
[0027] Any given numerical range shall include whole and fractions
of numbers within the range. For example, the range "1 to 10" shall
be interpreted to specifically include whole numbers between 1 and
10 (e.g., 1, 2, 3, 4, . . . 9) and non-whole numbers (e.g., 1.1,
1.2, . . . 1.9).
[0028] Where two or more terms or phrases are synonymous (e.g.,
because of an explicit statement that the terms or phrases are
synonymous), instances of one such term/phrase does not mean
instances of another such term/phrase must have a different
meaning. For example, where a statement renders the meaning of
"including" to be synonymous with "including but not limited to",
the mere usage of the phrase "including but not limited to" does
not mean that the term "including" means something other than
"including but not limited to".
[0029] II. Determining
[0030] The term "determining" and grammatical variants thereof
(e.g., to determine a price, determining a value, determine an
object which meets a certain criterion) is used in an extremely
broad sense. The term "determining" encompasses a wide variety of
actions and therefore "determining" can include calculating,
computing, processing, deriving, investigating, looking up (e.g.,
looking up in a table, a database or another data structure),
ascertaining and the like. Also, "determining" can include
receiving (e.g., receiving information), accessing (e.g., accessing
data in a memory) and the like. Also, "determining" can include
resolving, selecting, choosing, establishing, and the like.
[0031] The term "determining" does not imply certainty or absolute
precision, and therefore "determining" can include estimating,
extrapolating, predicting, guessing and the like.
[0032] The term "determining" does not imply that mathematical
processing must be performed, and does not imply that numerical
methods must be used, and does not imply that an algorithm or
process is used.
[0033] The term "determining" does not imply that any particular
device must be used. For example, a computer need not necessarily
perform the determining.
[0034] III. Forms of Sentences
[0035] Where a limitation of a first claim would cover one of a
feature as well as more than one of a feature (e.g., a limitation
such as "at least one widget" covers one widget as well as more
than one widget), and where in a second claim that depends on the
first claim, the second claim uses a definite article "the" to
refer to the limitation (e.g., "the widget"), this does not imply
that the first claim covers only one of the feature, and this does
not imply that the second claim covers only one of the feature
(e.g., "the widget" can cover both one widget and more than one
widget).
[0036] When an ordinal number (such as "first", "second", "third"
and so on) is used as an adjective before a term, that ordinal
number is used (unless expressly specified otherwise) merely to
indicate a particular feature, such as to distinguish that
particular feature from another feature that is described by the
same term or by a similar term. For example, a "first widget" may
be so named merely to distinguish it from, e.g., a "second widget".
Thus, the mere usage of the ordinal numbers "first" and "second"
before the term "widget" does not indicate any other relationship
between the two widgets, and likewise does not indicate any other
characteristics of either or both widgets. For example, the mere
usage of the ordinal numbers "first" and "second" before the term
"widget" (1) does not indicate that either widget comes before or
after any other in order or location; (2) does not indicate that
either widget occurs or acts before or after any other in time; and
(3) does not indicate that either widget ranks above or below any
other, as in importance or quality. In addition, the mere usage of
ordinal numbers does not define a numerical limit to the features
identified with the ordinal numbers. For example, the mere usage of
the ordinal numbers "first" and "second" before the term "widget"
does not indicate that there must be no more than two widgets.
[0037] When a single device, article or other product is described
herein, more than one device/article (whether or not they
cooperate) may alternatively be used in place of the single
device/article that is described. Accordingly, the functionality
that is described as being possessed by a device may alternatively
be possessed by more than one device/article (whether or not they
cooperate).
[0038] Similarly, where more than one device, article or other
product is described herein (whether or not they cooperate), a
single device/article may alternatively be used in place of the
more than one device or article that is described. For example, a
plurality of computer-based devices may be substituted with a
single computer-based device. Accordingly, the various
functionality that is described as being possessed by more than one
device or article may alternatively be possessed by a single
device/article.
[0039] The functionality and/or the features of a single device
that is described may be alternatively embodied by one or more
other devices which are described but are not explicitly described
as having such functionality/features. Thus, other embodiments need
not include the described device itself, but rather can include the
one or more other devices which would, in those other embodiments,
have such functionality/features.
[0040] IV. Disclosed Examples and Terminology are not Limiting
[0041] Neither the Title (set forth at the beginning of the first
page of the present application) nor the Abstract (set forth at the
end of the present application) is to be taken as limiting in any
way as the scope of the disclosed invention(s). An Abstract has
been included in this application merely because an Abstract of not
more than 150 words is required under 37 C.F.R. .sctn. 1.72(b).
[0042] The title of the present application and headings of
sections provided in the present application are for convenience
only, and are not to be taken as limiting the disclosure in any
way.
[0043] Numerous embodiments are described in the present
application, and are presented for illustrative purposes only. The
described embodiments are not, and are not intended to be, limiting
in any sense. The presently disclosed invention(s) are widely
applicable to numerous embodiments, as is readily apparent from the
disclosure. One of ordinary skill in the art will recognize that
the disclosed invention(s) may be practiced with various
modifications and alterations, such as structural, logical,
software, and electrical modifications. Although particular
features of the disclosed invention(s) may be described with
reference to one or more particular embodiments and/or drawings, it
should be understood that such features are not limited to usage in
the one or more particular embodiments or drawings with reference
to which they are described, unless expressly specified
otherwise.
[0044] No embodiment of method steps or product elements described
in the present application constitutes the invention claimed
herein, or is essential to the invention claimed herein, or is
coextensive with the invention claimed herein, except where it is
either expressly stated to be so in this specification or expressly
recited in a claim.
[0045] The preambles of the claims that follow recite purposes,
benefits and possible uses of the claimed invention only and do not
limit the claimed invention.
[0046] The present disclosure is not a literal description of all
embodiments of the invention(s). Also, the present disclosure is
not a listing of features of the invention(s) which must be present
in all embodiments.
[0047] Devices that are described as in communication with each
other need not be in continuous communication with each other,
unless expressly specified otherwise. On the contrary, such devices
need only transmit to each other as necessary or desirable, and may
actually refrain from exchanging data most of the time. For
example, a machine in communication with another machine via the
Internet may not transmit data to the other machine for long period
of time (e.g. weeks at a time). In addition, devices that are in
communication with each other may communicate directly or
indirectly through one or more intermediaries.
[0048] A description of an embodiment with several components or
features does not imply that all or even any of such
components/features are required. On the contrary, a variety of
optional components are described to illustrate the wide variety of
possible embodiments of the present invention(s). Unless otherwise
specified explicitly, no component/feature is essential or
required.
[0049] Although process steps, algorithms or the like may be
described or claimed in a particular sequential order, such
processes may be configured to work in different orders. In other
words, any sequence or order of steps that may be explicitly
described or claimed does not necessarily indicate a requirement
that the steps be performed in that order. The steps of processes
described herein may be performed in any order possible. Further,
some steps may be performed simultaneously despite being described
or implied as occurring non-simultaneously (e.g., because one step
is described after the other step). Moreover, the illustration of a
process by its depiction in a drawing does not imply that the
illustrated process is exclusive of other variations and
modifications thereto, does not imply that the illustrated process
or any of its steps are necessary to the invention(s), and does not
imply that the illustrated process is preferred.
[0050] Although a process may be described as including a plurality
of steps, that does not imply that all or any of the steps are
preferred, essential or required. Various other embodiments within
the scope of the described invention(s) include other processes
that omit some or all of the described steps. Unless otherwise
specified explicitly, no step is essential or required.
[0051] Although a process may be described singly or without
reference to other products or methods, in an embodiment the
process may interact with other products or methods. For example,
such interaction may include linking one business model to another
business model. Such interaction may be provided to enhance the
flexibility or desirability of the process.
[0052] Although a product may be described as including a plurality
of components, aspects, qualities, characteristics and/or features,
that does not indicate that any or all of the plurality are
preferred, essential or required. Various other embodiments within
the scope of the described invention(s) include other products that
omit some or all of the described plurality.
[0053] An enumerated list of items (which may or may not be
numbered) does not imply that any or all of the items are mutually
exclusive, unless expressly specified otherwise. Likewise, an
enumerated list of items (which may or may not be numbered) does
not imply that any or all of the items are comprehensive of any
category, unless expressly specified otherwise. For example, the
enumerated list "a computer, a laptop, a PDA" does not imply that
any or all of the three items of that list are mutually exclusive
and does not imply that any or all of the three items of that list
are comprehensive of any category.
[0054] An enumerated list of items (which may or may not be
numbered) does not imply that any or all of the items are
equivalent to each other or readily substituted for each other.
[0055] All embodiments are illustrative, and do not imply that the
invention or any embodiments were made or performed, as the case
may be.
[0056] V. Computing
[0057] It will be readily apparent to one of ordinary skill in the
art that the various processes described herein may be implemented
by, e.g., appropriately programmed general purpose computers,
special purpose computers and computing devices. Typically a
processor (e.g., one or more microprocessors, one or more
microcontrollers, one or more digital signal processors) will
receive instructions (e.g., from a memory or like device), and
execute those instructions, thereby performing one or more
processes defined by those instructions. Instructions may be
embodied in, e.g., one or more computer programs, one or more
scripts.
[0058] A "processor" means one or more microprocessors, central
processing units (CPUs), computing devices, microcontrollers,
digital signal processors, or like devices or any combination
thereof, regardless of the architecture (e.g., chip-level
multiprocessing/multi-core, RISC, CISC, Microprocessor without
Interlocked Pipeline Stages, pipelining configuration, simultaneous
multithreading).
[0059] Thus a description of a process is likewise a description of
an apparatus for performing the process. The apparatus that
performs the process can include, e.g., a processor and those input
devices and output devices that are appropriate to perform the
process.
[0060] Further, programs that implement such methods (as well as
other types of data) may be stored and transmitted using a variety
of media (e.g., computer readable media) in a number of manners. In
some embodiments, hard-wired circuitry or custom hardware may be
used in place of, or in combination with, some or all of the
software instructions that can implement the processes of various
embodiments. Thus, various combinations of hardware and software
may be used instead of software only.
[0061] The term "computer-readable medium" refers to any medium, a
plurality of the same, or a combination of different media, that
participate in providing data (e.g., instructions, data structures)
which may be read by a computer, a processor or a like device. Such
a medium may take many forms, including but not limited to,
non-volatile media, volatile media, and transmission media.
Non-volatile media include, for example, optical or magnetic disks
and other persistent memory. Volatile media include dynamic random
access memory (DRAM), which typically constitutes the main memory.
Transmission media include coaxial cables, copper wire and fiber
optics, including the wires that comprise a system bus coupled to
the processor. Transmission media may include or convey acoustic
waves, light waves and electromagnetic emissions, such as those
generated during radio frequency (RF) and infrared (IR) data
communications. Common forms of computer-readable media include,
for example, a floppy disk, a flexible disk, hard disk, magnetic
tape, any other magnetic medium, a CD-ROM, DVD, any other optical
medium, punch cards, paper tape, any other physical medium with
patterns of holes, a RAM, a PROM, an EPROM, a FLASH-EEPROM, any
other memory chip or cartridge, a carrier wave as described
hereinafter, or any other medium from which a computer can
read.
[0062] Various forms of computer readable media may be involved in
carrying data (e.g. sequences of instructions) to a processor. For
example, data may be (i) delivered from RAM to a processor; (ii)
carried over a wireless transmission medium; (iii) formatted and/or
transmitted according to numerous formats, standards or protocols,
such as Ethernet (or IEEE 802.3), SAP, ATP, Bluetooth.TM., and
TCP/IP, TDMA, CDMA, and 3G; and/or (iv) encrypted to ensure privacy
or prevent fraud in any of a variety of ways well known in the
art.
[0063] Thus a description of a process is likewise a description of
a computer-readable medium storing a program for performing the
process. The computer-readable medium can store (in any appropriate
format) those program elements which are appropriate to perform the
method.
[0064] Just as the description of various steps in a process does
not indicate that all the described steps are required, embodiments
of an apparatus include a computer/computing device operable to
perform some (but not necessarily all) of the described
process.
[0065] Likewise, just as the description of various steps in a
process does not indicate that all the described steps are
required, embodiments of a computer-readable medium storing a
program or data structure include a computer-readable medium
storing a program that, when executed, can cause a processor to
perform some (but not necessarily all) of the described
process.
[0066] Where databases are described, it will be understood by one
of ordinary skill in the art that (i) alternative database
structures to those described may be readily employed, and (ii)
other memory structures besides databases may be readily employed.
Any illustrations or descriptions of any sample databases presented
herein are illustrative arrangements for stored representations of
information. Any number of other arrangements may be employed
besides those suggested by, e.g., tables illustrated in drawings or
elsewhere. Similarly, any illustrated entries of the databases
represent exemplary information only; one of ordinary skill in the
art will understand that the number and content of the entries can
be different from those described herein. Further, despite any
depiction of the databases as tables, other formats (including
relational databases, object-based models and/or distributed
databases) could be used to store and manipulate the data types
described herein. Likewise, object methods or behaviors of a
database can be used to implement various processes, such as the
described herein. In addition, the databases may, in a known
manner, be stored locally or remotely from a device which accesses
data in such a database.
[0067] Various embodiments can be configured to work in a network
environment including a computer that is in communication (e.g.,
via a communications network) with one or more devices. The
computer may communicate with the devices directly or indirectly,
via any wired or wireless medium (e.g. the Internet, LAN, WAN or
Ethernet, Token Ring, a telephone line, a cable line, a radio
channel, an optical communications line, commercial on-line service
providers, bulletin board systems, a satellite communications link,
a combination of any of the above). Each of the devices may
themselves comprise computers or other computing devices, such as
those based on the Intel.RTM. Pentium.RTM. or Centrino.TM.
processor, that are adapted to communicate with the computer. Any
number and type of devices may be in communication with the
computer.
[0068] In an embodiment, a server computer or centralized authority
may not be necessary or desirable. For example, the present
invention may, in an embodiment, be practiced on one or more
devices without a central authority. In such an embodiment, any
functions described herein as performed by the server computer or
data described as stored on the server computer may instead be
performed by or stored on one or more such devices.
[0069] Where a process is described, in an embodiment the process
may operate without any user intervention. In another embodiment,
the process includes some human intervention (e.g., a step is
performed by or with the assistance of a human).
[0070] VI. Continuing Applications
[0071] The present disclosure provides, to one of ordinary skill in
the art, an enabling description of several embodiments and/or
inventions. Some of these embodiments and/or inventions may not be
claimed in the present application, but may nevertheless be claimed
in one or more continuing applications that claim the benefit of
priority of the present application.
[0072] Applicants intend to file additional applications to pursue
patents for subject matter that has been disclosed and enabled but
not claimed in the present application.
[0073] VII. 35 U.S.C. .sctn. 112, Paragraph 6
[0074] In a claim, a limitation of the claim which includes the
phrase "means for" or the phrase "step for" means that 35 U.S.C.
.sctn. 112, paragraph 6, applies to that limitation.
[0075] In a claim, a limitation of the claim which does not include
the phrase "means for" or the phrase "step for" means that 35
U.S.C. .sctn. 112, paragraph 6 does not apply to that limitation,
regardless of whether that limitation recites a function without
recitation of structure, material or acts for performing that
function. For example, in a claim, the mere use of the phrase "step
of" or the phrase "steps of" in referring to one or more steps of
the claim or of another claim does not mean that 35 U.S.C. .sctn.
112, paragraph 6, applies to that step(s).
[0076] With respect to a means or a step for performing a specified
function in accordance with 35 U.S.C. .sctn. 112, paragraph 6, the
corresponding structure, material or acts described in the
specification, and equivalents thereof, may perform additional
functions as well as the specified function.
[0077] Computers, processors, computing devices and like products
are structures that can perform a wide variety of functions. Such
products can be operable to perform a specified function by
executing one or more programs, such as a program stored in a
memory device of that product or in a memory device which that
product accesses. Unless expressly specified otherwise, such a
program need not be based on any particular algorithm, such as any
particular algorithm that might be disclosed in the present
application. It is well known to one of ordinary skill in the art
that a specified function may be implemented via different
algorithms, and any of a number of different algorithms would be a
mere design choice for carrying out the specified function.
[0078] Therefore, with respect to a means or a step for performing
a specified function in accordance with 35 U.S.C. .sctn. 112,
paragraph 6, structure corresponding to a specified function
includes any product programmed to perform the specified function.
Such structure includes programmed products which perform the
function, regardless of whether such product is programmed with (i)
a disclosed algorithm for performing the function, (ii) an
algorithm that is similar to a disclosed algorithm, or (iii) a
different algorithm for performing the function.
[0079] Where there is recited a means for performing a function hat
is a method, one structure for performing this method includes a
computing device (e.g., a general purpose computer) that is
programmed and/or configured with appropriate hardware to perform
that function.
[0080] Also includes a computing device (e.g., a general purpose
computer) that is programmed and/or configured with appropriate
hardware to perform that function via other algorithms as would be
understood by one of ordinary skill in the art.
[0081] VIII. Disclaimer
[0082] Numerous references to a particular embodiment does not
indicate a disclaimer or disavowal of additional, different
embodiments, and similarly references to the description of
embodiments which all include a particular feature does not
indicate a disclaimer or disavowal of embodiments which do not
include that particular feature. A clear disclaimer or disavowal in
the present application shall be prefaced by the phrase "does not
include" or by the phrase "cannot perform".
[0083] IX. Incorporation By Reference
[0084] Any patent, patent application or other document referred to
herein is incorporated by reference into this patent application as
part of the present disclosure, but only for purposes of written
description in accordance with 35 U.S.C. .sctn. 112, paragraph 1
and enablement in accordance with 35 U.S.C. .sctn. 112, paragraph
1, and should in no way be used to limit, define, or otherwise
construe any term of the present application where the present
application, without such incorporation by reference, would not
have failed to provide an ascertainable meaning, but rather would
have allowed an ascertainable meaning for such term to be provided.
Thus, the person of ordinary skill in the art need not have been in
any way limited by any embodiments provided in the reference
[0085] Any incorporation by reference does not, in and of itself,
imply any endorsement of, ratification of or acquiescence in any
statements, opinions, arguments or characterizations contained in
any incorporated patent, patent application or other document,
unless explicitly specified otherwise in this patent
application.
[0086] X. Prosecution History
[0087] In interpreting the present application (which includes the
claims), one of ordinary skill in the art shall refer to the
prosecution history of the present application, but not to the
prosecution history of any other patent or patent application,
regardless of whether there are other patent applications that are
considered related to the present application, and regardless of
whether there are other patent applications that share a claim of
priority with the present application.
[0088] XI. Overview of Various Embodiments
[0089] Referring to FIG. 1, a system 100 according to at least one
embodiment of the systems disclosed herein includes at least one
computing device, such as a remote computer 106, 108, e.g., a
server computer, a client computer 102, 104, or a combination
thereof. The term remote in this context merely means that the
remote computer 106, 108 and at least one of the client computers
102, 104 are separate devices. Thus, the devices may be remote even
if they are located within the same room. In at least one
embodiment, the system includes at least one internal exchange
computer 106 that is connected over a communication network 110 to
one or a plurality of internal client computers 102 and at least
one external exchange computer 108. The external exchange computer
108 may further be connected to an external client computer 104.
One or more of the internal client computers 102 may be connected
to the internal exchange computer 106 through a firewall.
[0090] The system 100 may be implemented over any type of
communications network 110, such as a local area network (LAN), a
wide area network (WAN), the Internet, a telephone network (POTS),
a wireless network, including cellular, WiFi, and WiMax networks,
or a combination of wired and/or wireless networks. In certain
instances, the communications network 110 may be independent of the
Internet or limited with respect to the type of the information
transmitted over the Internet, such as to information that poses
little or no security risk if misappropriated or that has been
encrypted.
[0091] In the networked embodiment, internal client computers 102
are preferably configured or otherwise capable of transmitting
and/or receiving communications to and/or from the internal
exchange computer 106. This may be accomplished with a
communication element, such as a modem, an Ethernet interface, a
transmitter/receiver, etc., that enables communication with a
similarly equipped internal exchange computer 106, wirelessly,
wired, or a combination thereof. It is understood that the relative
functionality described herein may be provided by the exchange
computer 106, by the client computer 102, or both, and is thus not
limited to any particular one of the implementations discussed
herein. In at least one embodiment, the client computers 102 will
generally provide the front-end functionality and the internal
exchange computer 106 will provide the back-end functionality.
[0092] The term internal and external generally denote belonging to
one of two groups. One belongs to an internal group if one or more
criteria are satisfied that define the internal group. One belongs
to the external group if the one or more criteria are not
satisfied. Various types of criteria may define the internal group,
including memberships or affiliations. Grouping may also be
hardware specific as well as individual specific. For instance, the
internal group may include some or all employees of a company,
members of an organization, or members of any other collective.
Similarly, the internal group may include all individuals
authorized to access the functionality of the system 100 as
described herein. For example, the internal group may include all
equity derivative traders of a company or equity derivative traders
that subscribe to the trading services provided by the company.
Alternatively or additionally, the internal group may include all
equity derivative traders authorized to access the backend
functionality provided by the internal exchange computer 106.
Although various embodiments may be described herein in relation to
equity derivatives, it is understood that the methods and systems
disclosed herein are equally applicable to other types of financial
instruments as well as non-financial instrument items and is thus
not limited thereto. The term "financial instrument" denotes any
instrument, issued by a corporation, government, or any other
entity, that evinces dept or equity, and any derivative thereof,
including stocks, bonds, debentures, certificates of interest or
deposit, warrants, options, futures, forwards, swaps, or generally
any security.
[0093] The computing device, e.g., the client computers 102, 104
and/or the exchange computers 106, 108, generally include at least
one processor, and a memory, such as ROM, RAM, FLASH, etc., or any
computer readable medium, such as a hard drive, a flash-drive, an
optical or magnetic disk, etc. The memory or computer readable
medium preferably includes software stored thereon that when
executed performs one or more steps of the methods disclosed
herein, including communicating data and commands back and forth
between the computers, displaying interface screens, etc. The
computers may also be associated with or have access to one or more
databases 114, 116 for retrieving and/or storing the various types
of data discussed herein, including identity verification data,
such as an ID and password, biometric data, etc., internal and/or
external trade/order and market data, account data, communication
preferences, templates, professed interest, historic data, user
preferences, etc.
[0094] The client computers 102, 104 may include, without
limitation, a mobile phone, PDA, pocket PC, personal computer, as
well as any special or other general purpose computing device. As
such, the client computer 102, 104 preferably includes a processor,
a memory, a display, such as a CRT or an LCD monitor, for
displaying information and/or graphics associated with the
functionality provided by the system 100, and at least one input
device, such as a mouse, a touch-sensitive pad, a pointer, a
stylus, a trackball, a button or a plurality of buttons, e.g.,
alphanumeric, a scroll wheel, a touch-sensitive monitor, etc., or a
combination thereof, for users to enter commands and/or information
relevant to the system's functionality. With the general purpose
type of client computer 102, 104, such as the PC or PDA, users may
access the functionality provided by the system 100 with a browser
application or any other generic application, or with special
purpose software designed specifically for accessing the
functionality disclosed herein.
[0095] In at least one embodiment, the internal client computer 102
includes or is otherwise associated with at least one biometric
sensor 118. The biometric sensor 118 is any device that is used to
determine directly from the user at least one item of biometric
data associated with a user, such as a fingerprint reader, an iris
scanner, a retinal scanner, a vascular pattern reader, a facial
recognition camera, etc. The biometric sensor 118 may be embodied
in hardware, software, or a combination thereof. The biometric
sensor 118 may further share resources with other components of the
client computer 102, such as the processor, memory, a camera, a
microphone, a speaker, etc. A single biometric sensor 118 may be
used for reading more than one type of biometric data. For example,
a digital camera may be used to obtain an image of the user's eye
for iris scanning and an image of the user's face for facial
recognition. In this instance, a single image capture of the user's
face may provide the data for facial recognition as well as data
for iris or retinal comparisons.
[0096] The biometric data is generally obtained with the biometric
sensor 118 and used at least to authenticate the identity of the
user as a gateway for allowing the user to access the system's
functionality. In this regard, biometric data may be compared with
previously obtained/stored biometric data that has preferably been
verified as being associated with a particular user and access to
the system's functionality may be provided based on a positive
match thereof.
[0097] In at least one embodiment, the system 100 provides
functions relevant to trading financial instruments or other items
in a plurality of exchanges, such as an internal exchange, e.g., an
over the counter (OTC) exchange, and at least one external
exchange, e.g., a public exchange, an external (OTC) exchange, an
electronic communication network (ECN), etc. The internal exchange
generally includes or otherwise supports at least one or a
plurality of the internal markets. In this respect, the system 100
allows users, such as traders, brokers, dealers, customers, market
makers, etc., to access market data and submit orders to the
internal and/or external exchange using at least one client
computer 102, 104. The term orders as used herein includes actual
orders, such as bids, offers, buys, sells, requests for quotes
(RFQs), quotes, etc., and indications of interest (IOIs), etc. It
is understood that a user may be acting in a principal or agency
capacity. Therefore, the acts disclosed herein as being performed
by a user, include acts of the principle and acts of the agent. For
example, when referring to a user submitting an IOI or order, this
includes a broker submitting an IOI or order for a customer as well
as the customer submitting the IOI or order on his own behalf.
[0098] An indication of interest (IOI) includes any expression
indicating that the submitting party or a customer thereof is
interested in an item, which generally includes any communication
relating to a tradable or traded item that is not a quote, a buy,
sell, bid, or offer. An IOI therefore specifies at least one
trading variable, such as the item name or symbol, whether a buy
side or sell interest, the size of the interest, the price, etc.
IOIs differ from actual orders in that the IOI is not a firm order,
just an indication of one. In certain instances, IOIs may be
missing at least one of the trading variables. For example, an IOI
may specify an item name, symbol, or description, e.g., IBM. In
this instance, the IOI indicates broadly that a user is interested
in IBM without any indication whether the user is interested in
buying or selling, the price, or the size of the interest. The IOI
does not even need to identify any specific item. Rather, the IOI
may identify items by type or any other common data item between
the items. For example, a user may submit an IOI that indicates an
interest to buy or sell derivatives on large cap underliers.
[0099] Referring to FIG. 2, the system 100 generally receives at
210 and stores at 212 the internal orders in one or more databases
to provide a shared order book. The system 100 also receives
external orders, such as bids, offers, quotes, IOIs, etc.,
submitted to the one or more external exchanges, or data related
thereto, such as news, at 214. The system 100 groups orders for
particular items, e.g., financial instruments, to create a market
for each item that includes at least one of internal orders and
external orders for the item. The market for each item may be
managed or worked by users on a manual, a semi-automatic, or an
automated exchange. That is, orders may be executed with the system
at 216, either automatically and/or manually.
[0100] Individual user sessions for access to the relevant
functionality of the system 100 may begin with a user logging into
the system at 218. That is, a user may login to place one or more
orders for execution, view or otherwise access market data for one
or more items, and/or query the system 100 for the particular items
of data maintained by the system 100. Login generally entails
receiving identification information from the user, such as a login
ID, password, biometric data, etc., and verifying therewith that
the user is authorized to access the relevant functionality of the
system 100.
[0101] In at least one embodiment, the system 100 thereafter causes
an interface screen to be displayed at 240, such as at least one of
the shared order book interface screens shown in FIGS. 6-14.
Generally, an initial order, e.g., an actual order or IOI, placed
in the system 100 via the internal client computer 102 marks the
start of an internal market at 220 that is defined by the one or
more items that are the subject of the order, e.g., one or more
financial instruments, and optionally the structure and/or metadata
of the order for the one or more items. The system 100 may then
group subsequent internal and/or external orders received at 222
with the initiating order to update and further define the
particular market continually, e.g., in real time, at 224. In
instances when the initiating order is no longer pending, either
because the order was cancelled, revised, or filled, the system 100
may group subsequent orders with preceding orders for the one or
more items. As such, users may revise or cancel any existing
IOI/actual order, including revising an IOI to be an actual order,
an order in an internal market to hit that market's best bid or
offer, or to match the price, side, and/or size of another order,
on the same side or otherwise, or in the reverse.
[0102] The system 100 may also group orders received at 226 with no
size and/or price specified, e.g., IOIs, with the initiating order
or any prior orders at 228. Orders may be grouped and/or sorted in
this respect by any variable relevant to trading the item, such as
price, size, e.g., to distinguish between largest and smaller sized
orders at the same price, time, e.g., to distinguish between the
first and subsequent orders for the same price, a quality
associated with the order, etc. In instances where the market is
further delineated by users, e.g., customers, any subsequent orders
for a particular user or customer that match an existing order for
that user or customer, respectively, may be grouped with the
existing order.
[0103] The system 100 may also determine internal
best-bid-best-offer (internal BBO or IBBO) data for the internal
market, which includes at least one of the best bid price, total
best bid size, best ask price, and total best ask size. The total
best bid and ask sizes are generally an aggregate of the best price
buy and sell orders, e.g., bids and offers. An IOI is generally
excluded from the IBBO since IOI pricing is merely indicative. For
items listed on an external exchange, e.g., not originating in the
internal OTC, external orders may be deemed to be orders in the
internal market for the purpose of determining the IBBO, both when
the external exchange directly supports the structure type of the
item in the internal market and when it only supports component
legs of the structure type of the item in the internal market, in
which case it will indirectly support such structure types of the
internal market via synthetically using the component legs
available on the external exchange. Thus, the best bid and ask
sizes are, in this instance, an aggregate of the best price
external and internal buy and sell orders, if any. The IBBO may be
the best BBO irrespective of internal/public source. That is, the
IBBO may be the external best-bid and best-offer (EBBO) when the
best prices are public only. The best bid/ask customer may in this
instance simply be the public exchange.
[0104] Order sizes may be aggregated at price levels other than the
IBBO, EBBO, or any other BBO price as well as for a plurality of a
user's customers. Filled, revised, and cancelled orders may be
removed from the market and, where applicable, from any BBO
determinations. Filled orders may be added to a running calculation
of that market's total traded, last trade price, and average trade
price. The running calculations may be specific to internal orders,
external orders, or a combination thereof. Internal exchange data
and statistics can be used to provide quick markets to users and
may have a value all their own, e.g., as market data, valuation
data, etc., for sale to external markets and/or users.
[0105] Each market in an exchange, e.g., the internal exchange,
external exchange, or the combined exchange, therefore has a market
depth. Market depth on the exchange has a depth that includes the
initial order for the item, and resulting and/or subsequent orders
for the item, e.g., bids, offers, quotes, IOIs, etc., if pending.
Market depth for the combined exchange includes orders from a
plurality of exchanges. For example, for combined exchanges
including orders from an internal market and orders from an
external market, the depth includes both internal and external
orders, if any.
[0106] Data from steps 210-216 generally provide at least a portion
of the information for providing a shared order book as discussed
herein. Various types of data may be maintained in this respect,
such as the item name and/or symbol, size, price, execution date
and/or time, posting date and/or time, buyer/seller name and/or
identification number, account numbers, order type, relevant
exchange if from an external source, etc., for orders submitted to
and for trades executed with the system 100, and data derived
therefrom.
[0107] In at least one embodiment, the system maintains for each
user, e.g., trader, dealer, broker, etc., a record in at least one
User Master database that includes at least one of: the user name,
contact information, a user ID, e.g., a dealer or trader ID, an
internal desk ID, and one or more communications addresses, e.g.,
voice, fax, e-mail, instant message (IM), financial information
eXchange (FIX) protocol, execution management system (EMS), and
associations with other users, traders, and/or customers. In
instances where the user trades on behalf of a customer, each
customer has a record in at least one database that includes at
least one of: the customer name, contact information, a customer
ID, and account details, e.g., firm name, address, account #s,
traders/dealers associated with the customer, etc., and optionally
additional records linked to it as sub-accounts. One or more
databases may also be maintained that associates the users and/or
customers with one or more groups or sectors. The system 100 may
further store user communication preferences that specify the
manner in which users are presented with trading opportunities or
other communications, such as by phone call, email, IM, fax, etc.
The system may also maintain at least one database with order/trade
history and position data stored therein for users and/or their
customers.
[0108] In one embodiment, internal traders, e.g., dealer/broker,
have a record in a Trader Master database with a unique trader ID,
internal desk ID, and communications addresses, such as voice, fax,
e-mail, IM, FIX, EMS, etc. addresses, specified, as shown in FIG.
3. Customers may also have a record in the Customer Master database
with unique customer ID and master account details, e.g., firm
name, address, account #s, and optionally additional records linked
to it as sub-accounts, as shown in FIG. 4. Traders associated with
customers may also have a record in the Trader Master database with
a unique trader ID, a customer ID, e.g., for the customer they
trade for, communications addresses and preferences, e.g., voice,
fax, e-mail, IM, FIX, EMS, etc., and one or more internal trader
IDs used to indicate the internal trader, e.g., dealer/broker, who
covers that trader associated with a customer. Customer records in
the Customer Master database may have one or more trader records in
the Trader Master linked by unique customer ID representing the
customer's traders. Every private/public exchange, montage, ECN,
and/or feed represented in the system may also have a record in the
Customer Master database with a unique customer ID and master
account details, and a record in the Trader Master database with a
unique trader ID, communications addresses, and preferences linked
by the unique customer ID to the Customer Master database/record in
order to represent the source of, e.g., an order, quote, price,
trades, or any other data, from an order as resulting from a
private/public exchange's, montage's, ECN's, or feed's data. An
Interest Matrix database, which includes data such as sector and
group classifications for particular users and/or customers,
professed interest in various securities, security types, sectors,
groups, trade/order history, etc., as shown in FIG. 5, may also be
maintained.
[0109] The databases may be maintained with manual entries of new
records and editing of existing records. That is, users, such as
dealers, brokers, and traders, may add customer and potential
counterparty records, which may include the customer's and
potential counterparty communications addresses. An indication may
be provided specifying which communications address the customer or
potential counterparty prefers to use. In one embodiment, users may
also specify and associate individual securities, sectors, and/or
groups with the user based on the user's interest or coverage. With
regard to the trade/order history database(s), the records therein
may be updated automatically with the, e.g., execution,
cancellation, submission, etc., of orders within the system.
[0110] In one embodiment, the system 100 supports multiple quoting
styles. That is, the trading system 100 allows users to submit
and/or view orders in one or more of a plurality of different
quoting styles, such as price and size, % notional and notional, %
volatility and vega notional, etc. The system 100 may also be
flexible in that it allows users to submit orders in either style.
In this instance, the system 100 will determine the quoting style
of the order at 230 and convert the order at 232 from the submitted
quoting style to the particular market's quoting style when the two
quoting styles differ. The order book for an item may include BBO
data and data for other orders in the native quoting style, e.g.,
of the market, whether on an internal or external exchange, a
preferred quoting style, or in multiple quoting styles together
with indicia of the quoting style. A display showing a plurality of
markets may display the markets side-by-side regardless of quoting
style, optionally with indicia of the quoting style of each of the
plurality of markets, as shown in FIG. 6. In the unitary quoting
style display, e.g., the native quoting style or the preferred
quoting style only displays, the system 100 may convert IBBO or
other orders from non-compliant quoting styles to the required
quoting style for display. The indicia of the quoting style may be
a symbol, such as a price symbol, e.g., $, =C, .English Pound.,
etc., a % symbol, e.g., % notional, % volatility, etc. Similarly,
indicia of the quoting style may be formatting and highlighting,
e.g., color-coded, in a format associated with a quoting style.
Symbols, formatting, and highlighting may similarly be used to
indicate the source of an order, e.g., whether internal or
external.
[0111] The preferred quoting style may be user specific. That is,
the system 100 may store a quoting style preference for at least
one of a plurality of users indicating the quoting style the
particular user prefers quotes in. The system 100 may then
determine the quoting style preference for the particular user and
interact with the user in the desired quoting style. In this
instance, the system 100 may retrieve the user's quoting style
preference, e.g., from the one or more databases that store user
preferences, and display, e.g., the market or individual orders
that make up the market for the item in the preferred quoting style
at 240. The system may display an interface screen for users to
place orders with the system 100 that includes at least one field
for the user to specify the terms of an order in the preferred
quoting style. The preferred quoting style may be group specific in
that the preferred quoting style is applied to all users of the
group.
[0112] In one embodiment, the trading system 100 is designed so
that orders can be entered as a buy, sell, or buy and sell with a
monetary value, amount, and monetary currency. Orders for
exchange-listed securities may be entered in the external
exchange's quoting style, price and size, with the currency
defaulting to that on the exchange. Orders for securities quoted
off-exchange OTC may similarly be entered in the external
exchange's quoting style, price and size, with the currency
defaulting to that on the exchange. Orders for securities quoted
OTC may be entered in % notional and notional, % volatility and
vega notional, etc., with the currency defaulting to that of
underlying security from which it was derived as traded on its
exchange. Orders for securities quoted "Quanto" or cross-currency
OTC may be entered in % notional and notional, % volatility and
vega notional, etc., with a specified quoting currency different
from that of the underlying security from which it was derived as
traded on its exchange. Orders for variance swap securities may be
entered in % volatility and vega notional, with a specified quoting
currency.
[0113] In at least one embodiment, orders and/or markets with price
quoting styles are displayed with "$" or any appropriate currency
symbol, those with % notional/volatility/other styles have a
dynamic display of "%" and denominator (e.g. "notional",
"volatility") next to them to support anything quoted in % or
non-currency, and the quoting currency is displayed, whether Quanto
or not, with various formatting and highlighting, e.g., color-coded
if Quanto, or with a symbol indicating the underlying currency
type. Orders may optionally be converted from one style to another
for display purposes or otherwise, e.g., directly inline with other
orders, as a popup, or on a secondary screen, by, e.g., using the
spot rate of the underlying security to convert % notional to price
style or in the reverse. Orders may also optionally be converted
from Quanto to non-Quanto either for display purposes or otherwise,
e.g., directly inline with other orders, as a popup, or on a
secondary screen, by converting the price from one currency to
another using the spot FX rate of the underlying security's
currency/quoting currency.
[0114] Orders may optionally be displayed with various formatting,
and highlighting, e.g., color-coded, associated with their quoting
styles, if they're Quanto, whether listed or OTC, and whether they
are an aggregate of a plurality of orders. Orders can be displayed
all together with no apparent grouping, or may be optionally
grouped and separated based on their quoting styles, if they are
Quanto, and whether listed or OTC. Order formatting is preferably
applied consistently for all orders that make up the depth of a
market as well as the IBBO.
[0115] In this respect, in certain embodiments, when a user, such
as a dealer, broker, trader, market maker, or customer, enters
orders and works markets, the user can choose which quoting style
the user wants to use as well as the quoting currency for each
order and/or market. Orders may be added to each market using its
quoting style and/or currency, or in the preferred style and/or
currency. In the latter, the system 100 may convert the order from
the preferred style and/or currency to the native style and/or
currency of the relevant exchange. Users can choose to display all
orders in a market or multiple markets in one quoting style, e.g.,
the preferred quoting style, which may be other than the native
quoting style of the market, or all orders in a market and multiple
markets in a plurality of quoting styles. Similarly, the preferred
or native style/currency may be displayed for the order and/or the
market in the order book and the conversion into the native
style/currency to the preferred, respectively, may be displayed as
a popup or separate window, e.g., when the user moves a mouse over
the market or the order. In certain instances, the user may be
required to select, e.g., click the market or the order for the
conversion to be displayed in the popup or the separate window. For
example, the market may be displayed in a % notional style and a
price may be displayed in a popup that appears automatically when
the user moves a pointer over the particular market or order in the
display. Although orders in a market may be displayed in different
styles and currencies, the system 100 preferably sorts the orders
regardless of the quoting style to maintain a hierarchy based on
price and/or size. Orders may be sorted dynamically to reflect real
time changes in the spot rate of the underlying security with
regard to % notional orders and/or the FX spot rate with regard to
Quanto orders.
[0116] Referring to FIG. 6, an order book display 600 generally
includes at least one or a plurality of markets for items 602. The
order book 200 may include all of the markets in the system 100 or
a subset thereof, such as markets filtered based on a query
submitted by a user, e.g., for a particular item. In at least one
embodiment, the order book 600 includes data identifying the item,
such as a symbol 604 and a structure 606. A structure generally
defines the terms of the order, such as the price, strike price,
maturity, expiration, whether a sale (an offer), a buy (a bid), or
a sale and a buy, a put, a call, a future, etc. For example, a
structure for an equity derivative based on the ALV security may
include a put option at 110 that expires in December 2007. The
structure may include multiple components or legs, such as multiple
options, e.g., a put and a call to make up a straddle, a strangle,
etc. The order book 600 may also include data indicating the source
or sources of depth for the market 608, such as an indication of
whether the market is OTC only, listed only, or OTC that includes
listed orders or listed that includes OTC orders. The order book
600 may also include data regarding the quoting style 610 and/or
the quoting currency 612 of the market. The order book 600
preferably includes IBBO data 614 for each market.
[0117] Each individual data item may be highlighted and/or
formatted as discussed above. For example, markets with % notional
quoting styles may be displayed in fields with a first color
background, e.g., with yellow fill. Similarly, Quanto markets may
be displayed in fields with a second color background, e.g., with
red fill. Fields for markets with the same best bid and best ask
price may be displayed with a third color background, e.g., with
green fill. The common price for best bid and best ask or at any
other price level may generally indicate a potential internal cross
that may present trading opportunities for users of the system.
That is, matching prices may be viewed as an indication of where
liquidity is pooling, e.g., in real-time, for an item being traded
among the fragmented markets for the item. Markets with
significantly unbalanced best bid and ask sizes may be formatted in
bold. The extent of the imbalance sufficient to trigger the
differential formatting may vary. For example, the best bid or ask
sizes may be formatted in bold if the ratio of sizes is greater
than 2:1 or some other predetermined amount. IBBO data that is an
aggregate of a plurality of orders on a side may be formatted in
italics. In one embodiment, bold-italic formatting indicates that
best bid or best ask sizes in the BBO is a composite of two or more
counter parties on the inside. Markets with external orders at the
best bid or best ask price levels may be formatted with yet another
color, as shown for the BAY Dec07 straggle, which has a bid side
best price that originates from the Eurex exchange. The system 100
may allow users to sort or filter the markets in the order book 600
by one or more of symbol, structure, exchange indications, quoting
style, Quanto or non-Quanto, quoting currency, bid size, bid price,
ask price, ask size, IBBOs with same bid and ask, imbalance,
etc.
[0118] In at least one embodiment, the system 100 allows a user to
expand/retract individual markets in the order book to show market
depth for internal orders, external orders, or a combination
thereof. The terms "expand" and retract are used herein to indicate
providing or showing additional data and less data, respectively.
Thus, expand includes expanding a market or order(s) to show
additional rows or columns, displaying a popup or separate window
with additional data, etc. Similarly, retracting a market or
order(s) includes removing or hiding data from the market or
order(s) either by removing or hiding rows or columns, closing a
popup or separate window, etc. The combination of markets may be
thought of as a multi-market, e.g., an internal market and an
external market, montage that includes orders from the internal
exchange and orders from the external exchange for the particular
market. A user's holdings or other data may also be displayed in
the montage in relation to the internal exchange, the external
exchange, or a combination thereof. Market depth and/or holdings or
other data may be represented in relation to an X-Y axis, as shown
in FIGS. 7-11, or in a Z-axis, as shown in FIGS. 12-14.
[0119] The system 100 may allow users to switch between displays so
that any public or OTC exchange/montage or a subset/watch-list
thereof forms the central column and act as primary through which
everything else moves through its depth, expand markets to include
or otherwise show certain classes of orders, holdings, and/or data,
and retract markets to exclude or otherwise hide classes of orders,
holdings and/or data. For example, the order book may include a
central column or row that includes IBBO data, such as bid customer
(first in time, largest size, compilation, etc.), bid size
(aggregate if more than one), bid price, ask price, ask size
(aggregate if more than one), ask customer data (first in time,
largest size, compilation, etc.). The order book may show the IBBO
in the middle of the chart with orders, such as bids, offers,
quotes, and IOIs, below and above the IBBO. Users may therefore be
able to switch, expand, and reduce the market to show the IBBO
only, the IBBO with one or more buy side orders, such as bids,
quotes, and IOIs, the IBBO with one or more sell side orders, such
as offers, quotes, and IOIs, or the IBBO with both buy side and
sell side orders. Internal market depth may further be expanded to
show external market depth in relation to the internal market depth
and/or user holdings in the particular market. The IBBO and the
depths of the market may be expanded to show orders beyond the IBBO
and/or holdings, as described herein, in the same interface screen,
e.g., directly inline or offset with the other data, e.g.,
horizontally or vertically, in a separate window or popup of the
same interface screen, or a separate interface screen.
[0120] In at least one embodiment, depth orders are rated for
quality and/or tradability. Quality or tradability may generally
differ between different types of orders and at times between
orders of the same type. Generally, firm orders have a greater
tradability than non-firm orders. For example, bids and orders may
be deemed more tradable than IOIs. Similarly, firm bids or offers
that are not subject to cancellation may be deemed to have a
greater tradability than other bids and offers, and IOIs with more
trading variables specified may be deemed more tradable than IOIs
with less trading variables specified. Moreover, certain trading
variables may provide greater assurance as to tradability and thus
may distinguish IOIs based on the inclusion or exclusion thereof.
For example, IOIs with a price may be deemed to have greater
tradability than IOIs with a size specified. Tradability may also
be based on time. That is, newer orders may be deemed to have a
greater tradability than older orders. For example, IOIs placed in
the most recent trading day may be deemed more tradable than IOIs
placed days prior. Quality and/or tradability may be represented on
any sale, linear or otherwise. For example, quality and/or
tradability may be represented on a numerical scale, e.g., 1 to 10,
with larger numbers indicating better quality or tradability than
smaller numbers. 0 may be used to indicate uninterested. A sample
tradability classification scheme is shown in Table A below.
[0121] Tradability may also be based on historic data for the
particular user submitting the order. For example, bids and offers
from a user having a history of trading the subject item at the
size specified in the bid/offer may be elevated to a higher level,
e.g., from a 2 to one. Similarly, the lack of a trading history and
frequent cancellations may lower the tradability score. It is
understood that any classification scheme may be implemented to
indicate the quality or tradability of an order and is thus not
limited to any one particular scheme. Tradability may be displayed
via additional columns/rows and/or with distinguishing
formatting/highlighting (e.g., color-coding) to clearly indicate
tradability. Moreover, orders may be sorted based on tradability,
in addition to price, size, and time, or a combination thereof.
TABLE-US-00001 TABLE A Score Order 10 Firm Orders 9 Bids, Offers 8
Quotes 7 IOIs w/Name, Side, and Size 6 IOIs w/1 Variable Missing 5
IOI w/Name and Side 4 IOIs w/2 Variable Missing 3 IOIs w/Name Only
2 IOIs w/3 Variable Missing 1 IOI w/No Variables
[0122] A user, such as a dealer/broker, can display their
internalized market/internal exchange in an IBBO and expandable
depth format side-by-side with another public exchange/montage
where the public exchange maps against the securities/structures in
the internal exchange and their depths continuously line up at
coincident levels as the exchanges update. This is so both when the
external exchange/montage directly supports the structure type of
the item in the internalized market/internal exchange and when it
only supports component legs of the structure type of the item in
the internalized market/internal exchange, in which case it will
indirectly support such structure types of the internalized
market/internal exchange via synthetically using the component legs
available on the external exchange/montage to simulate the
structure type as if supported natively. Any exchange/montage can
be chosen as the primary column to display overall BBO. As many
additional exchanges/montages can be compared as screen real estate
allows to, e.g., add columns for them. Matching rows may indicate
crossing opportunities to trade at the same price and can be
highlighted to clearly indicate when trading conditions are
favorable. As price and size move across the exchanges, clear
trading patterns should emerge in real-time.
[0123] A trader may also display multiple liquidity
pools/exchanges/montages in BBO and expandable depth format
side-by-side with other liquidity pools/exchanges/montages where
watch list securities/structures and their depths continuously line
up at coincident levels as the exchanges update. Matching rows may
indicate where liquidity is pooling in real-time among the
fragmented markets and where best price at desired size can be
obtained.
[0124] Referring to FIG. 7, in one embodiment, users are able to
expand and/or retract the order book 300 to show/hide market depth
for each of the markets shown therein. For example, order book 300
may be expanded to show a first level of external market depth,
e.g., an external bid price and bid size, 304, and an external ask
price and ask size 306, along with the IBBO data. Expansion may
occur horizontally by adding relevant columns to the order book
300, as shown, or with a popup or additional window. The first
level of external market depth may be displayed on either side of
and in the same row as the IBBO data for the particular expanded
market. As can be seen, the market for the BP straddle includes an
IBBO with best bid and ask prices at 65 and a best bid size of 200
and a best ask size of 500. The first level of external market
depth, e.g., the external best-bid and best-offer or EBBO, includes
at least one best bid (EBB) at 61 for 100 units and at least one
best ask (EBO) at 66 for 200 units. The EBB and the EBO may be an
aggregate of a plurality of orders at the best price or prices.
[0125] The order book 300 may include order origin data, such as
the name or ID of the user associated with the order. The ID may
further indicate whether the order originates from an exchange, a
market maker, customer, anonymous, or other source. If more than
one customer has submitted orders at a particular price level,
e.g., at the IBBO or any other price level, then the bid/ask
customer field may include the ID for the first customer in time,
the customer with the largest order, or multiple (composite)
customers on each side. The system 100 may differentiate price
levels having multiple customer orders with formatting/highlighting
to indicate as such. The system 100 may further make details
available if there is more than one customer associated with a
field by displaying the additional customer data in, e.g., a popup,
such as hover popup, popup menu, etc. The origin data may be
displayed in an expansion that adds one or more columns to the
order book as shown, in a popup, or separate window.
[0126] Referring to FIG. 8, individual markets in the order book
300 may further be expanded to show external depth beyond the IBBO
data and/or beyond the internal depth. Expanding the market in this
respect may occur vertically in which instance internal orders for
the particular expanded market may be displayed in rows added
above, below, or both relative to the IBBO. Orders relative to the
BBO, such as the IBBO or EBBO, may be displayed sorted either
converging, i.e., bids in descending order by price below and asks
in descending order by price above the IBBO, as shown in FIGS. 8-9,
or side-by-side, i.e., bids in descending order by price and asks
in ascending order by price below the IBBO, as shown in FIGS.
10-11. Bids and asks at the same price may further be sorted based
on a first-in-time priority and/or greater-size priority. As can be
seen, the depth of the IBBO on the bid side includes at least one
order from CstA and on the ask side includes at least one order
from CstB and at least one quote from market maker mmX. Depth
beyond the IBBO on the bid side includes quotes from mmX at 63 and
mmY at 60 and on the ask side from mmY at 67. Depth may similarly
be expanded to show internal and external depth expanded for the BP
market beyond the IBBO, as shown in FIGS. 8 and 10, and EBBO, as
shown in FIGS. 9 and 11, repressively. The IBBO and/or EBBO data
may be set as the default data displayed that are expandable to
show depth beyond the respective BBO data. As such, orders or
groups of orders from each exchange may be expanded at least once,
e.g., from a first or the BBO state to an expanded state.
[0127] Although expansion is described above in relation to an
external and an internal exchange, the order book may be applied to
multiple external, internal, OTC, and/or public exchanges, ECNs,
etc., and the order book may be expanded to show the depth and BBO
data for each exchange, such as a first, second, third, etc.,
external exchange, with additional columns or rows, popups,
separate windows, etc., for each exchange. The order book may be
applied to any OTC exchange, public exchange, securities, and/or
structures that map against the markets available in the internal
exchange so that orders, such as bids, offers, quotes, IOIs, etc.,
from other exchanges may be displayed at coincident price levels
with orders from the internal exchange, as shown in FIGS. 6-11.
This is so both when the external exchange/montage directly
supports the structure type of the item in the internalized
market/internal exchange and when it only supports component legs
of the structure type of the item in the internalized
market/internal exchange, in which case it will indirectly support
such structure types of the internalized market/internal exchange
via synthetically using the component legs available on the
external exchange/montage to simulate the structure type as if
supported natively.
[0128] The displays discussed herein are not limited to combining
orders for markets on multiple exchanges. Rather, the displays may
be applied to combine one or more exchanges with other data. For
example, user or customer holdings may also be shown in a separate
expansion, which includes fields for size and cost basis for one or
more lots held by the user or customer. The holding data may be
displayed at coincident price levels with orders in a market on at
least one exchange. Additionally, data from multiple exchanges may
be combined in is a single expansion. For example, orders from a
plurality of external exchanges may be combined in one or more
columns displayed along side a column for the internal exchange
with an expandable BBO as discussed herein.
[0129] Order data for orders making up the depth of a market is
preferably presented in real-time. That is, the system 100 may
update the order data in the order book to reflect real time
changes in the market for the one or more items, which may include
refreshing the interface screen and/resorting the data therein
periodically, such as when orders are added or removed from the
market for the one or more items as electronic feeds allow.
[0130] Referring to FIG. 12, in at least one embodiment external
orders are shown in the order book in a Z-axis, e.g., inline with
or in the same direction as that of internal market orders. That
is, when expanded beyond the IBBO the order book for an item may
include internal orders and externals orders in the same column, as
shown, or row. The BBO and the expandable depth for a external or
public exchange may be displayed overlaid on the internal order's
column with distinguishing formatting and/or highlighting, e.g.,
color-coding, hover popup. Expansion may occur both in the X-Y and
Z-axis. That is, internal and external markets may be displayed in
a Z-axis with IOIs, holdings, and other data, in an X-Y expansion,
e.g., in additional column coincident with the Z-axis display. Any
combination of internal and external/public exchanges/montages can
be added together to each set of columns to provide the display
desired by the user.
[0131] As can be seen, the BP Jun07 600 straddle may be expanded
once beyond the IBBO to include the external best ask (EBO) (200 at
66 from the Liffe exchange) and the external best bid (EBB)(100 at
61 from the Liffe exchange). The EBB may further be expanded as
shown in FIG. 9 to show external depth beyond the EBB (500 at 61,
400 at 59, and 1000 at 58 from the Liffe exchange). As in the
embodiments discussed above, the markets may be displayed in a
converging or side-by-side arrangement as shown in FIGS. 8-9 and
10-11, respectively. Further, highlighting and/or formatting may be
used to distinguish external and internal orders in the row or
column. For example, external orders may be included in fields in a
first color and internal orders may be included in fields in a
second color. Additional external exchanges may be displayed in a
third, forth, etc. color. The exchange name may also appear in the
customer field that would normally show the identity of the
customer in the internal exchange. The fields may also be
distinguished further with fill patterns, such as dots, hash marks,
grids, etc.
[0132] Orders may cross the IBBO level. For example, an offer for
10 at 64 BP June07 straddle may cross the IBBO of 65. In an
automated trading system, crossing orders may be transformed to a
market order and executed automatically at the IBBO, e.g., at 65.
In manual trading system, the crossing order may be displayed past
the IBBO until another user accepts the bid or offer by hitting the
bid or taking the offer.
[0133] A dealer/broker can therefore display their internalized
market/internal exchange in an IBBO and expandable depth format in
a single stacked/overlaid column with another public
exchange/montage where the public exchange maps against the
securities/structures in the internal exchange and their depths
continuously line up and overlap at coincident levels as the
exchanges update. Any exchange/montage can be selected as primary
through whose depth the BBOs of the other exchanges/montages move.
As many additional exchanges/montages can be compared as
distinguishing formatting/highlighting allows. Overlapping rows
indicate crossing opportunities to trade at the same price and can
be highlighted to clearly indicate when trading conditions are
favorable. As price and size shift across the exchanges on top of
the other, clear trading patterns should emerge in real-time.
[0134] A trader can also display multiple liquidity
pools/exchanges/montages in BBO and expandable depth format in a
single stacked/overlaid column with other liquidity
pools/exchanges/montages where watch list securities/structures and
their depths continuously line up and overlap at coincident levels
as the exchanges update. Overlapping rows indicate where liquidity
is pooling in real-time amongst all the fragmented markets and
where best price at desired size can be obtained.
[0135] In at least one embodiment, the order book may use
formatting and/or highlighting, as discussed above, to indicate the
quality of the individual orders. For example, formatting and
highlighting may be used to delineate between orders of varying
types, such as orders having indicative prices (IOIs), stale
quotes, etc. For example, orders older than two hours or some other
predetermined time may be color coded to indicate that the order,
such as an IOI, may be stale. Similarly, an order having a price
that has moved away from the IBBO prices greater than a
predetermined amount, e.g., 10%, may also be stale.
[0136] Individual items of order data in the order book may be
selectable for a user to initiation a trade. That is, users may
click, e.g., double click, on a price or size of their own order in
the order book or of the BBO to trade at the BBO if already there.
That is, clicking on their order converts the order to a market
order which may be executed at the BBO price. When a user clicks on
the BBO, the user is simply submitting a market order. When a user
selects the size, their order is modified to match the size of the
selected order. Users may also be able to click on another order
and execute a trade with the selected order.
[0137] In at least one embodiment, users may be able to grab their
order an place it in between any of the orders in the market or
drop the order into another order. When dropped between orders, the
price of the order will be converted to a price within the spread
between the two orders. The price may be, for example, one or more
ticks from the best price in the spread, an average between the
spread prices, etc. When the order is dropped into an order on the
same side, the order being dropped may be converted to match the
price and/or the size of the existing order that the order is being
dropped into. If the order is dropped into an order on the opposite
side, the order being dropped may be converted to match the price
and/or size of the existing order and execute a trade therewith.
Matching can be either automatic, manually prompted, subject to
confirmation, or a combination thereof.
[0138] As such, a user can, in certain embodiments, display markets
in an internal exchange in an IBBO format with expandable depth
together, e.g., side-by-side in separate columns or
stacked/overlaid in the same column, with orders from an external
exchange. Orders from the external exchange generally map against
the items, e.g., the securities and/or structures, having markets
in the internal exchange. The depth or depths between at least two
exchanges preferably continuously line up at coincident levels as
the exchanges update. Users may choose any exchange/montage as the
primary column or row to display overall BBO. Matching rows
indicate crossing opportunities to trade at the same price and can
be highlighted to clearly indicate when trading conditions are
favorable. As price and size move across the exchanges, clear
trading patterns should emerge in real-time.
[0139] In at least one embodiment, the system 100 integrates its
trading with external accounting data to provide front and back
office personnel access to both types of data. In one embodiment,
the trading system 100 is generally wholly separate from any
accounting system. Unlike cleared trades, commissions for give-up
trades are billed to the customer. Thus, after the trade is made
the commission for the give-up trade must be invoiced and payment
collected. Some cleared or principal trades where, e.g., the
brokerage can't be incorporated into the price of the trade, may be
invoiced as well. Moreover, trades both cleared and give-up may
also be disputed. All of these processes happen outside the trading
system that the front office uses, yet the back office accounting
personnel will often call on the front office personnel reactively
to contact their customers to assist in collections or
disputes.
[0140] Referring to FIG. 15, in one embodiment, as the back office
system generates periodic, e.g., monthly, invoices at 1502, it
marks one or each side of a trade in the system 100 at 1504 with
the invoice ID and optionally invoice date, or some other
indication that will or can be used to indicate to the front office
personnel that the trade has been billed. As the back office system
records payments and assigns payments to trades at 1506, the system
marks at 1508 the record or records associated with the trade,
e.g., each side of a trade, with the payment ID and optionally
payment date, or some other indication that will indicate to the
front office personnel that the trade has been paid. As the back
office system flags invoiced trades as disputed at 1510, it marks
the disputed side of a trade at 1512 with a dispute ID and
optionally a dispute date and reason text, or some other indication
that will indicate to the front-office personnel that the trade has
been disputed and why. The back office system may also at 1514
calculate or otherwise determine customer payment status, e.g.,
current, past due, and rating, and feed at 1516 this information
associated with each customer to at least one database, such as a
customer master database. Adverse status/rating or any other of the
above can be displayed at 1518 in an interface generated by the
trading system with various formatting and highlighting, e.g.,
color-coded, of the customer ID wherever it is displayed for the
broker to act on. For example, an interface screen may be displayed
which includes a list of trades associated with a user, e.g., a
trader or broker, with an indication of the status of the trade,
e.g., whether invoiced, disputed, paid, overdue, etc., and any
relevant information associated with the status.
[0141] In this respect, brokers or other users can easily see if
any trade has been invoiced and/or paid by simply looking for the
invoice and/or payment IDs on any of their trades. Disputed trades
are immediately flagged and raised by the back office system to the
trading system so that brokers may facilitate resolution. Brokers
can now see overall customer payment status/rating during trading
and use it to help decide if they want to actively trade with
individual customers. The adverse status or rating may further be
used in identifying potential counter parties. That is, potential
counter parties with adverse ratings may be blocked from the list
altogether or moved down the list, e.g., based on the level of the
adverse rating.
[0142] Trading relationships between a dealer/broker and their
customers may involve a negotiated commission rate that frequently
involves a variety of factors including underlying security price
range (for derivatives) and a leg factor or factors (for multi-leg
trades), as well as a preferred commission currency which may
differ from a security's underlying currency. In at least one
embodiment, the system 100 includes a commission engine that
flexibly calculates commissions for these instances.
[0143] Referring to FIG. 16. in one embodiment, the system 100
receives at 1602 and stores at 1604, for at least one customer, one
or more commission formulas, which includes at least one variable,
such as a per contract rate, a basis points rate, a % notional
commission rate, a hedge commission rate, and a default multi-leg
trades long/short per leg commission billing factor(s). The
commission formulas/variables may be stored in records associated
with the customer master database. These rates and factors may be
generic or based on a range of underlying security prices. That is,
a customer may have a commission formula that is applicable for an
item at a first range of prices and another formula applicable for
the same item at a second range of prices. Additionally, the
customer may have a commission formula that is applicable for one
item and another formula for another item. The system 100 may also
store a standard commission currency for each customer.
[0144] The system 100 may therefore retrieve the one or more
commission formulas/variables and/or the commission currency at
1608 in computing the commission for a trade executed at 1606. The
trading system commission engine may thereafter calculate a trade's
commission at 1610 in the underlying or preferred currency based on
the applicable formula/specified rates associated with the
customer. Commissions may be FX-adjusted to the P&L currency
using the most recent closing FX rate, a spot FX rate, such as at
the execution of the trade, and then recalculated once the then
current day's closing FX rate is received.
[0145] A dealer/broker may therefore enter in and maintain each
customer's commission rates and currency so that when their trades
are booked the commission may be calculated automatically and
accurately. The customer can be billed in their desired currency,
but the trade's true P&L may be calculated based on an FX
adjustment to a uniform P&L currency.
[0146] Customers that trade multi-leg instruments, or have multiple
fills or counter-trades often desire that their trade confirmations
represent the whole of the trade rather than the pieces
individually. In at least one embodiment, the system 100 includes a
confirmation engine that aggregates a plurality of trade
confirmations for each leg of a multi-leg instrument or multiple
fills in a related transactions into a single confirmation. The
system 100 may then generate and transmit confirmations to
customers based on the customer's communication preferences.
[0147] Referring to FIG. 17, in at least one embodiment, the
confirmation engine includes business rules to aggregate
confirmations for multiple legs, hedges, multiple fills, multiple
trades, etc., when a customer trades with a plurality of counter
parties or otherwise. In this instance, the system 100 receives a
confirmation rule at 1702 from a user, e.g., a customer, and stores
the confirmation rule at 1704. The system 100 may also use a
template that includes metadata fields to override how some data is
presented and optionally allow users to customize confirmations.
The template may also be used to force aggregate confirmations for
some trades that have been traded on different exchanges, e.g., on
an internal exchange and at least one external exchange. In any
event, the system 100 receives at least one order from a user, as
discussed above. The at least one order may be a single order for
an item that may be executed with multiple counter side orders,
e.g., multiple fills.
[0148] The system 100 may execute multiple trades for the item or
items at 1706 and thereafter aggregate the confirmations for the
multiple trades in a single confirmation at 1708, e.g., holding the
confirmation for a prior order until a later order is executed and
the two confirmations combined in a single confirmation, according
to the confirmation rule associated with the user. A template may
generally be stored for each customer, in which instance, the
confirmation engine determines the correct template and transmits
to the customer a trade confirmation based thereon at 1710.
Templates may be buy or ask side specific and trade type, e.g.,
listed, OTC, quanto OTC, hedge type, specific. The confirmation
engine may further timestamp each side of each trade when the
post-trade confirmation was transmitted.
[0149] Therefore, a dealer/broker may enter in and maintain each
customer's confirm communications preferences and utilize
predefined business logic and templates to aggregate
legs/fills/trades and generate confirmations based thereon.
Additional metadata in the trade details may be used to customize
and override trade data presented on the confirmation as well as
force aggregate some trades. The confirmation may then be
transmitted to the customer according to their individual
communication preferences. In one embodiment, customer records in
the Customer Master database define communications addresses and
preferences (e.g., fax, e-mail, etc.) for confirmations, which may
be retrieved and used to automatically communicate the confirmation
to the customer.
[0150] Single-leg trades are relatively straightforward in that the
trade notional is identical to the leg notional. Multi-leg trades
can have two or more legs that make up the whole trade each having
a notional that must add up to the overall notional of the trade.
In at least one embodiment, the system provides a multi-leg
notional split checker that generally calculates notional in
real-time during pre-trade pairing/booking, e.g., while the user
prepares the multi-leg order, and post-trade adjustment at the
trade level and at the leg/hedge level. That is, during both
pre-trade pairing/booking and post-trade adjustment, net trade
notional (size.times.multiplier.times.price) is calculated and
displayed. During both pre-trade pairing/booking and post-trade
adjustment, the sum of the trade's individual legs' notionals and
hedge notional is calculated and displayed. During both pre-trade
pairing/booking and post-trade adjustment the difference between
net and sum may be calculated and displayed optionally with a
variety of additional distinguishing formatting/highlighting to
clearly indicate that a multi-leg trade's size and price split is
correctly or incorrectly specified, as the case may be.
[0151] As size and price for each leg and any hedge are entered
during pre-trade pairing/booking and edited during post-trade
adjustment, overall trade notional and summed notional are
calculated, compared, and displayed in real-time to eliminate any
ambiguity and error in the individual leg/hedge sizes and
prices
[0152] Delta measures a derivative security's price sensitivity
relative to the movement in its underlying security. Delta can be
used in a derivatives transaction to represent different quantities
buy/sell of the underlying security to affect various trading
strategies. Ordinarily, two different buys/sells at the same price
on the same derivative are only equivalent if they have the same
spot (in the underlying) and delta but will differ in value if the
spot and delta are different. In at least one embodiment, the
system 100 includes an order/quote engine for derivatives that
automatically delta adjusts bids and asks based on order/quote spot
and delta to normalize the order's individual price in the depth
and resulting IBBO so individual orders/quotes automatically factor
in spot and delta. In one embodiment, the system 100 calculates
delta adjusted bid and/or ask for all orders/quotes in a market by
multiplying the difference between the overall market's spot and
the bid's/ask's spot times time the order/quotes delta divided by
100 and adding that to the bid/ask. The delta adjusted bid/ask may
therefore be displayed on all orders/quotes that comprise a market
to calculate its IBBO and sort orders outside the IBBO based on the
delta adjustment.
[0153] Therefore, when a user enters orders and works markets, the
user can choose to enter a spot and delta for a specific
order/quote in a market that differs from the rest in the other
orders/quotes in that market and then have the delta-adjusted
bid/ask calculated so that it can be represented alongside the
other orders/quotes. Once the buys and sells are delta adjusted
then the trading prices can be compared without regard to any
hedging component of the trade.
[0154] For a given market in a derivative, each of the constituent
orders (w/bid, ask, or bid & ask, can also just be a quote or
IOI) can have its own spot and delta, and the actual underlying of
the derivative has its spot (e.g., the stock's spot price). Each
order may, in certain embodiments, be delta- and spot-adjusted
atomically by calculating the difference between the overall
market's spot and the order's spot times the order's delta divided
by 100 and adding that to the order's price (bid, ask, or both). So
each constituent order has its regular set of prices and
delta/spot-adjusted prices so that the market's BBO and depth can
be ordered by regular or normalized prices.
[0155] In one aspect, a business process is provided for managing
and trading shared order book as an internal exchange. That is, a
dealing/broking business process is provided whereby
dealer's/broker's customers' indications/indicative prices (IOIs)
and actual orders, both initial and resulting from working the
initial indication/order, are pooled together in a shared order
book grouped by the initiating indications/orders and managed as an
internal manual/semi-automated/automated exchange. In this respect,
markets in the internal exchange, consist of an initial
indication's/order's structure and metadata, has depth, consisting
of the resulting private indications/orders, new matching orders,
and private/public quotes, and an inside market/IBBO (internal
BBO), consisting of the best bid and ask, the aggregate best bid
and ask sizes, and the first/largest/composite customers on the
best bid and ask.
[0156] In one embodiment, every initial customer indication/order
becomes an internal market with that indication's/order's
security(ies) and structure. A customer indication is an indicative
price or indication of interest (IOI) which expresses their
interest in an order but is not an actual order. It may contain all
elements of an order or only indicate the security. As the internal
market is worked, all resulting customer orders and structure
(i.e., lack buy/sell side, price, and size), or anywhere in between
and indications are grouped with the initiating indication/order
and constitute the internal market's depth. Depth may optionally
include no size/price for those customers who aren't interested.
All depth may optionally be ranked with a qualitative factor for
each item (e.g., 0-10, 0 not interested, 1 interested to 10 firm
market order). Any new customer indications/orders that match an
existing customer indication/order may be grouped with the existing
customer indication/order.
[0157] Every internal market may have a calculated inside
market/IBBO (internal BBO) that aggregates the best priced buy and
sell orders/quotes together (i.e., excluding indications) to get
the best bid, total best bid size, best ask, and total best ask
size. The first, largest, or a composite customer on each side is
listed as the inside buyer and seller, with further details
available if there is more then one customer on the inside. An
indication can't constitute the BBO because it isn't an actual
order/quote. For markets listed on a public exchange or ECN (i.e.,
not private or OTC), the public exchange's quotes can be an
internal market's IBBO on the internal exchange and would be viewed
as just another component of that internal market's depth (though
not actually a component the internal exchange). This is so both
when the public exchange directly supports the structure type of
the item in the internal market and when it only supports component
legs of the structure type of the item in the internal market, in
which case it will indirectly support such structure types of the
internal market via synthetically using the component legs
available on the public exchange to simulate the structure type as
if supported natively. As each inside market's orders are filled,
those orders are removed from the IBBO and depth and added to a
running calculation of that market's total traded, last trade
price, and average trade price. Dealers/brokers may revise or
cancel any existing indication/order, including revising an
indication to be an order or an order in an internal market to hit
that market's IBBO. Dealers/brokers may work the indications/orders
in a manual/semi-automated/automated manner as indication/order,
price quality, and liquidity allow. All the dealer's/broker's
internal markets together comprise their internal exchange.
Internal exchange data and statistics can be used to provide quick
markets to customers, may eventually become more then internal
(e.g., ECN), and in the abstract may have a value all their own
(e.g., market data, valuation data).
[0158] While the foregoing invention has been described in some
detail for purposes of clarity and understanding, it will be
appreciated by one skilled in the art, from a reading of the
disclosure, that various changes in form and detail can be made
without departing from the true scope of the invention.
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