U.S. patent application number 13/613446 was filed with the patent office on 2013-05-23 for products and processes for order distribution.
The applicant listed for this patent is James R. Driscoll. Invention is credited to James R. Driscoll.
Application Number | 20130132252 13/613446 |
Document ID | / |
Family ID | 41653804 |
Filed Date | 2013-05-23 |
United States Patent
Application |
20130132252 |
Kind Code |
A1 |
Driscoll; James R. |
May 23, 2013 |
PRODUCTS AND PROCESSES FOR ORDER DISTRIBUTION
Abstract
Systems and methods for trading financial instruments through
multiple trading intermediaries are described.
Inventors: |
Driscoll; James R.;
(US) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
Driscoll; James R. |
|
|
US |
|
|
Family ID: |
41653804 |
Appl. No.: |
13/613446 |
Filed: |
September 13, 2012 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
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13459466 |
Apr 30, 2012 |
8326745 |
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13613446 |
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12189266 |
Aug 11, 2008 |
8170949 |
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13459466 |
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Current U.S.
Class: |
705/37 |
Current CPC
Class: |
G06Q 40/04 20130101;
G06Q 40/00 20130101 |
Class at
Publication: |
705/37 |
International
Class: |
G06Q 40/04 20060101
G06Q040/04 |
Claims
1. A method comprising: computing, by a computing device, a first
distribution of first sub-parts for a participant's first desire to
engage in an exchange of an instrument; in response to computing
the first distribution, attempting, by the computing device, to
fulfill the participant's first desire through a plurality of
matching venues according to the first distribution of first
sub-parts; receiving, by the computing device, an indication
identifying a change to a sum of respective quantities from a
plurality of second desires for the same exchange of the instrument
through at least one matching venue of the plurality of matching
venues; in response to receiving the indication, computing, by the
computing device, a second distribution of second sub-parts for the
first desire the plurality of matching venues based at least in
part on the change; and in response to computing the second
distribution, attempting, by the computing device, to fulfill the
first desire through the plurality of matching venues according to
the second distribution of second sub-parts.
2. The method of claim 1, in which the indication identifying the
change to the sum includes an indication of a fulfillment of at
least a portion of at least one of the plurality of second
desires.
3. The method of claim 1, in which the indication identifying the
change to the sum includes an indication of a fulfillment of at
least a portion of the first desire.
4. The method of claim 1, in which attempting to fulfill according
to the second distribution includes placing a plurality of
requests, in which each of the plurality of requests is placed on
one of the plurality of matching venues in accordance with the
second distribution.
5. The method of claim 1, in which at least one of the plurality of
matching venues fulfills desires in at least a partially pro-rata
fashion.
6. The method of claim 5, in which the at least one of the
plurality of matching venues fulfills orders in a hybrid pro-rata
and FIFO fashion.
7. The method of claim 5, in which at least one other of the
plurality of matching venues fulfills orders in a FIFO fashion.
8. The method of claim 5, in which the at least one of the
plurality of matching venues fulfills orders in a pro-rata fashion
that includes business logic elements.
9. The method of claim 1, in which determining the second
distribution includes determining the second distribution based at
least in part on an expected quantity of a third desire expected to
be received by at least one of the plurality of matching venues, in
which the third desire involves the instrument and an opposite side
of the exchange.
10. The method of claim 9, in which the expectation of the quantity
is based on a history of desires received by the at least one of
the plurality of matching venues.
11. The method of claim 1, in which determining the second
distribution includes determining the second distribution based on
an expected rate of desire fulfillment of at least one of the
plurality of matching venues.
12. The method of claim 11, comprising: receiving an indication of
a change to the expected rate; and in response to receiving the
indication of the change to the expected rate, computing a third
distribution of third sub-parts of the first order among the
plurality of matching venues based at least in part on the change
to the expected rate; and attempting to fulfill the first desire
through at least one of the plurality of matching venues based on
the third distribution.
13. The method of claim 1, in which determining the second
distribution includes determining the second distribution based on
a method of fulfilling desires performed by at least one of the
plurality of matching venues.
14. The method of claim 13, comprising determining the method of
fulfilling desires based on at least one of an indication of a
history of desires fulfilled on the at least one matching venue,
and a description of the method of fulfilling desires.
15. The method of claim 1, in which determining the second
distribution includes determining the second distribution based at
least in part on a chance that at least one second desire pending
on the at least one of the plurality of matching venues will not be
fulfilled by a third desire received by the at least one of the
plurality of matching venues because a quantity associated with the
at least one second desire is small.
16. The method of claim 1, in which the second distribution defines
a respective portion of a quantity associated with the first desire
to be placed through each of the plurality of matching venues.
17. The method of claim 1, comprising: receiving an indication
identifying the first desire; receiving an indication of a rate at
which desires to engage in the exchange for the instrument are
expected to be fulfilled by at least one first matching venues of
the plurality of matching venues; receiving an indication of at
least one quantity from a third desire for the same exchange
pending on at least one second matching venue of the plurality of
matching venues; receiving an indication of a method used by at
least one third matching venue of the plurality of matching venues
to fulfill desires pending on the matching venue when matching
desires are received by the third matching venue; and in which
computing the first distribution includes computing the first
distribution based at least in part on the rate, the at least one
quantity, and the method.
18. The method of claim 17, in which the first matching venue,
second matching venue, and the third matching venue are the same
matching venue.
19. The method of claim 1, in which determining the second
distribution includes determining an expected rate of desire
fulfillment through the each of the plurality of matching venues,
and determining the distribution to increase an expected overall
rate of desire fulfillment using the plurality of matching
venues.
20. The method of claim 1, in which determining the first
distribution includes determining a distribution that has an
increase in expected speed of fulfillment compared to an expected
speed of fulfillment of submitting the first desire to a single
matching venue of the plurality of matching venues, and in which
determining the second distribution includes determining a
distribution that has an increase in expected speed of fulfillment
compared to the first distribution.
21. The method of claim 1, in which the instrument includes a
financial instrument.
22. The method of claim 21, in which the financial instrument
includes at least one of money, credit, a bond, a bond futures
contract, an interest rate swap, a security, a stock option, a
commodity, an equity, a currency, and a derivative.
23. The method of claim 1, in which the at least one matching venue
includes a trading environment.
24. The method of claim 23, in which the trading environment
includes an exchange.
25. The method of claim 24, in which the exchange includes a
computer system configured to receive indications of desires,
determine if any of the indicated desires match, and facilitate a
transfer to fulfill at least some of the matching desires.
26. The method of claim 1, in which the first desire includes a
first order for an instrument to be traded and identifies a
quantity of the instrument to be traded and a side of trades for
the instrument.
27. The method of claim 26, in which each second desire of the
plurality of second desires identifies a respective quantity of the
instrument to be traded and the same side of trades for the
instrument.
28. An apparatus comprising: a computing device, and a
non-transitory machine readable medium having stored thereon a
plurality of instructions that when executed by the computing
device cause the computing device to: compute a first distribution
of first sub-parts for a participant's first desire to engage in an
exchange of an instrument; in response to computing the first
distribution, attempt to fulfill the participant's first desire
through a plurality of matching venues according to the first
distribution of first sub-parts; receive an indication identifying
a change to a sum of respective quantities from a plurality of
second desires for the same exchange of the instrument through at
least one matching venue of the plurality of matching venues; in
response to receiving the indication, compute a second distribution
of second sub-parts for the first desire the plurality of matching
venues based at least in part on the change; and in response to
computing the second distribution, attempt to fulfill the first
desire through the plurality of matching venues according to the
second distribution of second sub-parts.
29. An apparatus comprising: a computing device, and a
non-transitory machine readable medium having stored thereon a
plurality of instructions that when executed by the computing
device cause the computing device to: receive an indication
identifying a first desire to engage in an exchange of an
instrument; receive an indication of a rate at which desires for
the exchange of the instrument are expected to be fulfilled by at
least one first matching venue of a plurality of matching venues;
receive an indication of at least one quantity, in which each
quantity of the at least one quantity includes a total of
quantities associated with at least one respective second desire to
engage in the exchange through at least one second matching venue
of the plurality of matching venues; receive an indication of a
method used by at least one third matching venue of the plurality
of matching venues to fulfill orders pending on the at least one
third matching venue when matching desires are received by the
third matching venue; based at least in part on the rate, the at
least one quantity, and the method, compute a distribution of
sub-parts of the first desire among the plurality of matching
venue; and attempt to fulfill the first desire through the
plurality of matching venues according to the distribution of
sub-parts to the plurality of matching venues.
30. An apparatus comprising: a computing device, and a
non-transitory machine readable medium having stored thereon a
plurality of instructions that when executed by the computing
device cause the computing device to: receiving, by the computing
device, an indication identifying a change to a sum of respective
quantities from a plurality of second desires for the same exchange
of the instrument through at least one matching venue of the
plurality of matching venues; in response to receiving the
indication, computing, by the computing device, a distribution of
second sub-parts for the first desire the plurality of matching
venues based at least in part on the change; and in response to
computing the second distribution, attempting, by the computing
device, to fulfill the first desire through the plurality of
matching venues according to the second distribution of second
sub-parts.
Description
CROSS REFERENCE TO RELATED APPLICATION
[0001] This application is a continuation of U.S. patent
application Ser. No. 13/459,466, filed Apr. 30, 2012, which is a
continuation of U.S. patent application Ser. No. 12/189,266, filed
Aug. 11, 2008, which are hereby incorporated by reference herein in
their entireties.
BACKGROUND
[0002] 1. Field
[0003] Some embodiments may relate to trading of financial
instruments.
[0004] 2. Related art
[0005] Financial exchanges allow participants to buy and sell
financial instruments from other participants. Various methods may
be used by such exchanges to determine matching of orders and
facilitate execution of trades.
SUMMARY
[0006] Some embodiments may include a method comprising: receiving,
by a computing device from a trading system, a computer message
identifying a first order, in which the first order includes an
instrument to be traded, a quantity of the instrument to be traded,
and a side of a trade for the instrument; receiving, by the
computing device, an indication of a rate at which orders for the
side of the trade for the financial instrument are expected to be
fulfilled by at least one first exchange of a plurality of
exchanges; receiving, by the computing device, an indication of at
least one quantity, in which each quantity of the at least one
quantity includes a total of quantities associated with at least
one respective second order pending on at least one second exchange
of the plurality of exchanges, in which the second orders include
the instrument and the side of trades for the instrument;
receiving, by the computing device, an indication of a method used
by at least one third exchange of the plurality of exchanges to
fulfill orders pending on the exchange when matching orders
received by the third exchange; based at least in part on the rate,
the at least one quantity, and the method, computing, by the
computing device, a distribution of sub-parts of the first order
among the plurality of exchanges; and attempting, by the computing
device, to facilitate execution of the first order on the plurality
of exchanges according to the distribution of sub-parts to the
plurality of exchanges. Other example embodiments are described as
well.
BRIEF DESCRIPTION OF THE DRAWINGS
[0007] FIG. 1 illustrates an example system for trading financial
instruments;
[0008] FIG. 2 illustrates an example method that may be performed
by some embodiments; and
[0009] FIG. 3 illustrates an example system for determining
distributions.
DETAILED DESCRIPTION
[0010] The following sections I-X provide a guide to interpreting
the present application.
I. TERMS
[0011] The term "product" means any machine, manufacture and/or
composition of matter, unless expressly specified otherwise.
[0012] The term "process" means any process, algorithm, method or
the like, unless expressly specified otherwise.
[0013] 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.
[0014] The term "invention" and the like mean "the one or more
inventions disclosed in this application", unless expressly
specified otherwise.
[0015] 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.
[0016] The term "variation" of an invention means an embodiment of
the invention, unless expressly specified otherwise.
[0017] 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.
[0018] The terms "including", "comprising" and variations thereof
mean "including but not limited to", unless expressly specified
otherwise.
[0019] The terms "a", "an" and "the" mean "one or more", unless
expressly specified otherwise.
[0020] The term "plurality" means "two or more", unless expressly
specified otherwise.
[0021] The term "herein" means "in the present application,
including anything which may be incorporated by reference", unless
expressly specified otherwise.
[0022] 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.
[0023] 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.
[0024] 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".
[0025] The term "represent" and like terms are not exclusive,
unless expressly specified otherwise. For example, the term
"represents" does 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".
[0026] 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.
[0027] 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".
[0028] 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.
[0029] 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.
[0030] 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).
[0031] 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".
II. DETERMINING
[0032] 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.
[0033] The term "determining" does not imply certainty or absolute
precision, and therefore "determining" can include estimating,
extrapolating, predicting, guessing and the like.
[0034] 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.
[0035] The term "determining" does not imply that any particular
device must be used. For example, a computer need not necessarily
perform the determining.
III. FORMS OF SENTENCES
[0036] 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).
[0037] 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.
[0038] 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).
[0039] 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.
[0040] 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.
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), is to be used in
interpreting the meaning of any claim or is to be used in limiting
the scope of any claim. An Abstract has been included in this
application merely because an Abstract 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] Though an embodiment may be disclosed as including several
features, other embodiments of the invention may include fewer than
all such features. Thus, for example, a claim may be directed to
less than the entire set of features in a disclosed embodiment, and
such claim would not include features beyond those features that
the claim expressly recites.
[0045] 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.
[0046] 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.
[0047] 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.
[0048] All disclosed embodiment are not necessarily covered by the
claims (even including all pending, amended, issued and canceled
claims). In addition, an embodiment may be (but need not
necessarily be) covered by several claims. Accordingly, where a
claim (regardless of whether pending, amended, issued or canceled)
is directed to a particular embodiment, such is not evidence that
the scope of other claims do not also cover that embodiment.
[0049] 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.
[0050] 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.
[0051] 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.
[0052] 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.
[0053] 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.
[0054] 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.
[0055] 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.
[0056] 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.
[0057] All embodiments are illustrative, and do not imply that the
invention or any embodiments were made or performed, as the case
may be.
V. COMPUTING
[0058] 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.
[0059] 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).
[0060] 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.
[0061] 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.
[0062] 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.
[0063] 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.quadrature.,
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.
[0064] 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.
[0065] 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.
[0066] 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.
[0067] 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.
[0068] 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.
[0069] 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.
[0070] 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).
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.
VII. 35 U.S.C. .sctn.112, PARAGRAPH 6
[0073] 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.
[0074] 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).
[0075] 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.
[0076] 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.
[0077] 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.
[0078] Where there is recited a means for performing a function
that 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.
[0079] Also included is 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.
VIII. DISCLAIMER
[0080] Numerous references to a particular embodiment do not
indicate a disclaimer or disavowal of additional, different
embodiments, and similarly references to the description of
embodiments which all include a particular feature do 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".
IX. INCORPORATION BY REFERENCE
[0081] 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 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, unless
without such incorporation by reference, no ordinary meaning would
have been ascertainable by a person of ordinary skill in the art.
Such person of ordinary skill in the art need not have been in any
way limited by any embodiments provided in the reference
[0082] 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.
X. PROSECUTION HISTORY
[0083] 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.
XI. EMBODIMENTS
[0084] Various embodiments relate to systems and/or methods for the
trading of one or more types of financial instruments (e.g. bonds,
bond futures contracts, interest rate swaps, other securities,
stock options, commodities, equities, currencies, derivatives of
any of the foregoing, etc.). U.S. patent application Ser. No.
12/014027 to Lutnick, filed Jan. 14, 2008, which is hereby
incorporated herein by reference, discusses some example systems
and methods related to such trading. The Chicago Mercantile
Exchange is an example exchange that operates to facilitate the
trading of such financial instruments.
[0085] FIG. 1 shows a diagram of an example trading system. The
trading of financial instruments typically involves two sides
(i.e., a buyer 101, and a seller 103) and a least one intermediary
(e.g., an exchange 105 such as the Chicago Mercantile Exchange,
broker 107, and so on). In the example of FIG. 1, a buyer 101 of a
first financial instrument may identify his desire to buy the first
financial instrument to a broker 107. The broker 107 may transmit
an order to buy the first financial instrument to the exchange
105.
[0086] The exchange 105 may include one or more computer systems
configured to facilitate the trading of financial instruments. In
some implementations, an exchange may include one or more computer
systems configured to receive indications of orders, determine if
any of the indicated orders match, and facilitate execution of at
least some of the matching orders. The exchange 105 may store
information related to the order to buy, may verify the
information, may authenticate the buyer 101, may authenticate the
broker 107, may publish information about the order to buy, and/or
may take any other desired actions. The exchange 105 may determine
if a matching sell order for the same financial instrument has been
submitted to the exchange 105. Orders may match if they are for
opposite sides of a trade for a same financial instrument, orders
may match if they are for opposite sides of a trade for a similar
financial instrument, orders may match if they are for a same
price, orders may match if they are for an overlapping price range,
orders may match if they use a same pricing method, orders may
match if they are for a similar quantity, orders may match if they
are for the same quantity, orders may match if they are for an
overlapping quantity range, and/or any other information may be
used to determine if orders match in various implementations.
[0087] If no such matching order has been submitted, the exchange
may store information identifying the buy order in case a matching
sell order is received in the future. In this example, a seller 103
may submit a sell order for the financial instrument at some future
time. The exchange 105 may then facilitate execution of a trade
that fulfills at least a portion of each of the buy and sell
orders. It should be recognized that the use of a broker 107 and
the sides of a trade are given as examples only and that other
embodiments may include other arrangements.
[0088] In some embodiments, a trade involving a quantity of
financial instruments may be facilitated at a price. In some
embodiments, the information submitted by the buyer and/or the
seller may identify the price and/or a price range in which the
buyer and/or the seller may be willing to trade. The trade may be
facilitated if the prices are the same or the price ranges overlap.
The trade may be performed at an identified price and/or according
to some pricing method. In some embodiments, such a pricing method
may include midpoint pricing, volume weighted average pricing,
pricing based on a most recently traded price on an exchange, and
so on. In some embodiments, the price and/or pricing method may be
determined through a negotiation between the buyer and the seller
and/or may be set by an exchange through which an exchange is
facilitated. Any other method may be used to determine the
price.
[0089] The quantity of the financial instruments that may be
exchanged may be identified by information submitted by the buyer
and/or the seller. In some instances the quantity may be the same
for both the buyer and the seller submitted information. If the
quantity is the same, in some implementations, the quantity
exchanged at the price may include the quantity identified by both
the buyer and the seller. In other implementations, the identified
quantities may be different for each of the buyer and the seller.
If the quantity is different, the quantity exchanged at the price
may be one of the two quantities and/or some other quantity. For
example, in one implementation, the quantity may be the lower of
the two quantities. In some implementations, a negotiation may take
place between the buyer and the seller to determine the
quantity.
[0090] In some embodiments, facilitating a trade may include one or
more actions that help to bring about execution of a trade.
Facilitating a trade may be referred to similarly to facilitating
execution of an order and similar terms. Facilitating execution may
include, for example, placing a plurality of orders on one of the
plurality of exchanges. Such placement may take place according to
a distribution as described below. Execution of a trade may include
an exchange of a financial instrument for some other thing (e.g.,
money, another financial instrument, credit, etc.). Some examples
of facilitation of a trade may include: forwarding information
about the trade to a clearing house, performing the execution of
the trade, transferring a financial instrument from one person to
another person, and so on.
[0091] In some embodiments, parties to a trade may negotiate about
one or more terms related to a trade. For example, parties may
negotiation about price of a trade, quantity of financial
instruments to be traded, a time for execution of the trade, a
method of execution of a trade, a provider of execution related
service for a trade, and so on. Negotiation may take place
electronically (e.g., through computer interfaces such as instant
messaging interfaces, email interfaces, and so on) in person, over
the telephone, and so on.
[0092] Information received about a desired trade may be referred
to as an order. An order may include, for example, any information
that identifies a desire for a trade of one or more financial
instruments. The order may be formatted according to a specific
format desired by a trading intermediary (e.g., an XML formatted
electronic message, a FIX message, etc.). An order may include a
buy order, a sell order, a short order, a swap order, a market
order, and/or any other type of order. An order may identify a time
period to stay valid (e.g., until end of trading for a day, for an
hour, fill immediately or cancel, and so on). An order may identify
a price, pricing method, and/or quantity.
[0093] One or more interfaces may be used in some embodiments to
interact with a trading intermediary (e.g., by a buyer and/or
seller to submit information about an order). For example, in one
embodiment, an interface may allow a person to enter information
about a desire to trade a financial instrument and submit the
information to an exchange. Information about such submitted
information may be displayed through the interface to the person.
It should be understood that in some embodiments people may submit
trade information (e.g., over the phone, into a computer, etc.)
and/or computers may submit such information (e.g., algorithmic
trading systems, order management systems, trading interfaces,
etc.).
[0094] It should be recognized that the above description
illustrates a trading example of some embodiments in which a single
seller and buyer interact through an intermediary. It should be
recognized that other embodiments are not so limited and that, as
described below, various embodiments, may include any number of
trading intermediaries, any umber of buyers, any number of sellers,
and/or any number of actions and/or apparatus.
[0095] In some embodiments, for example, an exchange may receive
indications to buy more of a quantity of financial instrument than
to sell (or the opposite). For example, buyers of a financial
instrument may submit orders totaling requests to buy 10,000 shares
to an exchange. The same exchange may have no sellers submit orders
to sell the financial instrument. In other embodiments, seller
orders may be submitted, but may be associated with prices that do
not match the buyer orders. If a first seller submits a sell order
that matches the buy orders, the exchange may use some distribution
method to distribute the quantity of financial instruments from the
seller order among the buyer order. If the quantity associated with
the sell order is equal to or greater than the quantity of the sum
of the buy orders, then all buy orders may be fulfilled. Otherwise,
some distribution method may be used to determine which orders are
fulfilled.
[0096] In various embodiments, an exchange may use any distribution
algorithm. In some embodiments, for example, a FIFO (first in first
out) algorithm may be used. In a FIFO algorithm, the first order
submitted is matched with the next incoming matching order. So, for
example, the sell order in the example above would be first matched
with which ever buy order was submitted to the exchange first. If
the sell order has a quantity greater than that first buy order,
then the second submitted buy order may also be matched, and so on
until the sell order is completely fulfilled.
[0097] Another example algorithm includes a pro-rata algorithm. In
a pro-rata algorithm, multiple pending orders for a side of a trade
may each be partially fulfilled when a matching order is submitted.
The orders may be matched in proportion to the quantity of the
financial instrument associated with the order for an equal amount,
and/or in any other way. For example, in a simple equal fill
pro-rata algorithm, each of the buy orders might receive an equal
number of financial instruments from the sell order until the buy
order is fulfilled. This may not fulfill any one of the buy orders
completely but may fulfill all of them partially.
[0098] Some implementations may include an exchange that uses an at
least partially pro-rata method. Such a method may include a
pro-rata method with business logic elements, a hybrid pro-rata and
FIFO method, and/or any other method that uses pro-rata
elements.
[0099] Some embodiments may include a business logic element in a
distribution method. A business logic element may make a method
work to the liking of an exchange operator or customers of an
exchange by taking into account various characteristics of an
order, a trader, and/or a situation in determining how to fill
pending orders. Such business logic elements may be part of a FIFO
or pro-rata method, thereby adjusting the method from a pure FIFO
or pro-rata algorithm to a hybrid method. For example, in some
embodiments, if an amount of an order that is less than a threshold
would be left unfulfilled using a pro-rata method, a business logic
element may adjust the pro-rata fill method so that the order is
fulfilled and the other orders are less fulfilled. As another
example, if an order in a FIFO algorithm is large, that order may
get priority over earlier submitted orders that are smaller, and so
on. Some example business logic elements may include, for example,
giving priority to large orders, filling small portions of an order
to complete an order, ignoring small orders if larger orders are
pending, favoring some customers over other customers (e.g., high
volume customers over low volume customers), fulfilling orders that
have been pending for some time over other orders, and so on.
[0100] In one example, an exchange uses a pro-rata method that
fulfills orders in proportion to a quantity associated with the
orders and does not leave orders for one financial instrument
pending. In such an exchange, two buy orders for a financial
instrument may be pending, the first order for 100 and the second
order for 200. If a sell order for the financial instrument
arrives, for 297 of the same financial instrument, the exchange may
initiate a trade as follows: the order for 100 may be filled to 99
and the order for 200 may be filled to 197. The additional one sale
may be given to the 100 order so that a partially fulfilled order
for 1 instrument is not left pending, leaving only a buy order for
3 of the financial instruments pending in the exchange.
[0101] It should be recognized that any fulfillment method may be
used in any embodiments and that although some embodiments may
focus on pro-rata algorithms, those embodiments are given as
non-limiting examples only.
[0102] It is recognized that in some embodiments, multiple
exchanges may be available for the placement of orders for a single
financial instrument. For example, the CMT and the ELX exchanges
may both allow trading of futures contracts, options contracts,
and/or any other type of financial instruments. Each exchange may
have a same or different method for fulfilling orders. It is
recognized that in some embodiments, orders may be submitted to
multiple exchange in a way that may increase an expected speed
and/or probability of fulfilling the orders. Such submission of
orders may take into account the method for fulfilling orders, may
estimate the methods for fulfilling orders, may take into account
historic fillings of orders, may take into account historic
submissions of orders, and/or may take into account any other
information. In some embodiments, such submission of orders may
take place through a market intermediary (e.g., a broker, using a
FIX messaging protocol, etc.). In some implementations, such a
market intermediary may include a computers system through which
orders may be submitted. Such a market intermediary may have access
to the one or more exchanges and may submit portions of an order to
the one or more exchanges in a way that may increase an expected
speed and/or probability of order fulfillment compared to a
submission of the complete order to either one of the multiple
exchanges.
[0103] FIG. 2 illustrates an example method 200 that may be
performed to submit an order to multiple exchanges in some
embodiments. Method 200 may be performed, for example, by a market
intermediary, such as a broker, a computer system coupled to
multiple exchanges, and so on. Method 200 may be performed by a
trading computer used by a trading institution, such as a hedge
fund and so on. It should be recognized that method 200 is given as
an example only and that other embodiments may include different
methods, different actions, additional actions, alternative
actions, and so on.
[0104] As indicated at block 201, method 200 may include receiving
an indication of an order. The order may be an order to buy and/or
sell one or more financial instruments. The indication may be
received from a person, a computer system, a market intermediary, a
broker, a principal to the trade, and/or any other entity. The
indication may be received over a communication network, over a
telephone, as one or more packets over an electronic network, as a
FIX message, and/or in any other way. The indication may include an
identification of a side of a trade for a financial instrument. The
indication may include a quantity and/or quantity range for the
trade. The indication may include a price, price range, pricing
method and/or any other information about a price for the
trade.
[0105] As indicated at block 203, method 200 may include receiving
information about how one or more exchanges of a plurality of
exchanges fulfill orders. One exchange may, for example, fulfill
orders according to a pro-rata method, another exchange, for
example, may fulfill orders according to a FIFO method, and so on.
The one or more exchanges may use any method for fulfilling orders
in any combination. The information may be received, for example,
from the exchange (e.g., as an electronic message from the exchange
that describes how the exchange fulfills orders, etc.), from a
regulatory agency (e.g., the SEC, FINRA, as a description of how an
exchange fulfills orders, etc.), from a publication about the
exchange (e.g., a website, a regulatory publication, an
advertisement, etc.), from a historical analysis of how trades have
been fulfilled in the passed, from a source of historic trading
information, and so on. In some embodiments, such a historical
analysis may be performed as part of a method (e.g., publically
disclosed information about fulfilled trades that have taken place
in the past may be analyzed to determine how those orders were
fulfilled). It should be recognized that the information may or may
not fully identify the method of fulfilling orders. For example, a
the information may identify some but not all business logic used
to determine how orders are fulfilled, may identify all the
business logic about how orders are fulfilled, may identify none of
the business logic of how the orders are fulfilled, and so on. The
information may include any information from which some or all of a
method of fulfilling orders may e determined (e.g., a description
of the method, order fulfillment history, etc.). It should also be
recognized that exchanges may change some or all of the methods of
fulfilling orders from time to time and some embodiments may
receive updated information (e.g., from time to time, continuously,
after a period after the change takes place, and so on) while
others may not.
[0106] As indicated at block 205, method 200 may include receiving
information about a rate of order fulfillment at one or more of the
plurality of exchanges. The information may, for example, include a
history of order fulfillment (e.g., a speed at which orders have
been fulfilled in the past, a speed at which orders have been
fulfilled in similar circumstances, and so on). An expected rate of
order fulfillment may be determined from such historic information.
A third party may identify an expected rate of order fulfillment.
The rate of order fulfillment may identify an expected time before
a next order having an opposite side of the order may arrive, an
expected amount of orders per time period that may arrive, and/or
any other information related to speed of incoming orders or from
which such information can be derived.
[0107] As indicated at block 207, method 200 may include receiving
information about pending orders in one or more of a plurality of
exchanges. The pending orders may include orders for a same side of
a trade for the financial instrument and/or information about
orders for the opposite side of a trade for the financial
instrument. Such information may be received, for example, from
published information provided by the exchanges (e.g., a book of
trades available), third party information providers, estimated
based on historic information and/or received from any other source
and/or determined in any other way.
[0108] As indicated at block 209, method 200 may include
determining a distribution of orders for the plurality of exchanges
to fulfill the order (i.e., from block 201). In some
implementations, the distribution of orders may be determined to
provide an expected speed of fulfilling the order that is greater
than if the order were submitted in full to one of the plurality of
exchanges and/or a greater probability of fulfilling the order in a
time period that if the order were submitted in full to one of the
plurality of exchanges. In some embodiments, the distribution may
be based on the methods of fulfilling orders for some or all of the
plurality of exchanges, the orders pending on some or all of the
plurality of exchanges, the rate of order fulfillment for one or
all of the plurality of exchanges, and/or any other
information.
[0109] In one example embodiment, two exchanges may fulfill orders
in a pro-rata fashion and a distribution of orders may be
determined one time for the received order. As discussed later,
some embodiments may determine new distributions based on changing
conditions of an exchange; however, such new distributions may not
be determined in all embodiments.
[0110] In this example embodiment, a first exchange may have an
expected rate of orders being fulfilled equal to V1 and a second
exchange may have an expected rate of orders being fulfilled of V2.
The first exchange may have pending orders on the same side of the
trade as the order for a quantity of instruments equal to X1 and
orders on the opposite side for a quantity of instruments equal to
Y1. The second exchange may have orders pending on the same side of
the order for a quantity of instruments equal to X2 and on the
opposite side of the trade for a quantity of instruments equal to
Y2.
[0111] In one implementation, a distribution may be determined by
determining a first amount to distribute based pending orders. For
example, the exchange with a lower value of (X-Y)/V may be
determined. For the exchange with that lower value, a portion of
the order equal to O may be assigned so that the expectation of
filling the pending orders plus the addition of O to the exchanges
are equal. Assuming exchange 1 has the lower value, O may be
determined by
O = V 1 * ( ( X 2 - Y 2 ) V 2 ) - ( X 1 - Y 1 ) . ##EQU00001##
[0112] In some implementations, if the value of O is greater than
the size of the order, then the entire order may be placed in that
exchange. In some implementations, if the value of O is less than
the amount of the order, the remaining portion of the order may be
distributed among the exchanges according to the expected rate of
order fulfillment at each exchange. For example, each exchange may
have an amount placed according to
PX = ( T - O ) * ( VX V 1 + V 2 ) ##EQU00002##
where T is the size of the order, PX is the portion in exchange X,
and VX is the rate of order fulfillment in exchange X. As described
below, in some implementations, this may result in fractional
numbers, so some embodiments may include rounding to whole numbers
and/or lots to facilitate transmission of orders to some
exchanges.
[0113] It should be recognized that the above example determination
is a non-limiting example implementation only. Other embodiments
may include any other method of determining a distribution. Other
embodiments may not include all the elements of the determination
of the distribution (e.g., may or may not round, may or may not
perform an initial determination based on the pending orders, and
so on).
[0114] As mention above, and described below, some embodiments of
method 200 may determine new distributions as the amount of orders
pending on an exchange change and/or other circumstances related to
one or more exchange change. Such embodiments may use a same or
different algorithm as described above to determine a
distribution.
[0115] For a second example of determining a distribution, two
exchanges may use a pro-rata method of fulfilling orders. An
expected trade volume on a first exchange may be V1 and an expected
trade volume on a second exchange may be V2. Accordingly, an
expected probability that the next trade will occur on the first
exchange may be V1/(V1+V2), and the expected probability that the
next trade will occur on the second exchange may be V2/(V1+V2). In
one implementation, the first exchange has orders pending on the
same side of the order that have a total size X1 and the second
exchange has orders pending on the same side of the order that have
a total size of X2. In this example, neither side has orders
pending on the opposite side of the order. Some embodiments may
determine a distribution so that the expected amount of the order
fulfilled by the next trade may be greater than if the order were
placed fully on only one exchange.
[0116] In one implementation, the order may have a total size equal
to T. If the next trade on either exchange has a total size of N,
then an expected portion fulfilled for the first exchange may be
N*[P1/(X1+P1)] if N<=(X1+P1) and P1 if N>(X1+P1), where P1 is
the portion of the order distributed to the first exchange.
[0117] In other implementations, a determination may be made
regarding the size of N relative to X1+P1 and different strategies
for determining the distribution may be used depending on the
comparison. In some implementations, a determination of a
distribution may assume that N<=X1+P1. Some implementations may
not know what the size of the next trade will be. The expected
total amount allocated from the next trade with size N may be
determined by
{[V1/(V1+V2)]*N*[P1/(X1+P1)]}+[V2/(V1+V2)]*N*[P2/(X2+P2)]} when
N<=X1+P1. Some embodiments may determine a distribution based,
at least in part on the expected size of an order that is expected
to be received by at least one exchange (i.e., N).
[0118] In some implementations, a determination of a distribution
may be determined by maximizing the expected distribution for the
next trade. For example, in the implementation described above, a
maximum expected allocation may be determined by
N/(V1+V2)*MAX(P1){[V1*P1/(S1+P1)]+V2*[(T-P1)/(S2+T-P1)]. In some
implementations, the choice of P1 to maximize this equation may be
independent of N (in some implementations this may be subject to
the assumption that N<=X1+P1). Various method of maximizing this
value will be readily understood in the art. For example, various
mathematical programs, functions, and/or estimates may be used to
determine a maximum value of P1.
[0119] In some embodiments, if N is expected to be large (e.g.,
larger than X1+P1), a distribution may be differently determined
than if N is expected to be small. To determine the size of N, a
distribution of trade sizes on the one or more exchanges may be
analyzed. Such information may be obtained, for example, in block
205. For example, an average size of a trade on an exchange may be
used to estimate the next size of the trade N. If the size of the
trade is expected to be large, then, for example, a distribution
may increase an amount distributed to the exchange that is expected
to receive the large trade.
[0120] As mentioned above, a determination of a distribution may
include fractional numbers or odd lots that may not be acceptable
to some exchanges (e.g., some exchanges may only accept whole
numbered orders and/or orders with a multiple of 10, 100, etc.).
Accordingly, some implementations may round portions of the order
in a determined distribution so that they may be acceptable to such
exchanges. Such rounding may be performed to maintain an increase
in speed or chance of fulfillment. For example, if a distribution
determines that a portion with a quantity of 1.1 should be placed
in a first exchange and a portion with a quantity of 2.9 should be
placed in a second exchange, and both exchanges only accept whole
number valued orders, a determination may be made as to whether the
expected speed of the orders placed in a 1-3 ratio would be faster
or slower than a placement of the orders in a 2-2 ratio and the
faster of the two may be selected as the distribution. It should be
recognized that any method of determining a rounded order value may
be used and that the given example is only a non-limiting example
implementation.
[0121] It should be recognized that the above examples includes two
exchanges that use pro-rata fulfilling methods and that other
embodiments may include any number of exchanges with any methods
used for fulfilling orders, including a mixed set of FIFO and
pro-rate with or without business logic elements.
[0122] For example, in an implementation in which an exchange uses
a business logic element to give very large orders preference to
very small orders, a distribution may be determined to avoid
placing very small orders in the exchange if a very large order is
already pending in the exchange. As another example, if many small
orders are pending in an exchange, a distribution may be determined
to place a very large order in the exchange that will be fulfilled
before the small orders. Such a determination may be made, for
example, by performing a determination as described above with X1
and/or X2 set to 0 if only very small orders are pending. If the
result of the calculation would place a large enough portion in the
exchange so that the business logic of the exchange would fill the
order before the very small orders, then the distribution may be
determined to include that larger portion. If the portion
determined in such a way is not large enough, then the distribution
may be calculated with X1 and X2 set to their actual values. Some
implementations may determine a distribution based at least in part
on a chance that an order pending on one of the exchanges may not
be fulfilled by a matching order because a quantity associated with
the order is small. Other business logic elements may have other
affects on the distribution.
[0123] In some implementations, one or more of the exchanges may
use a FIFO fulfillment method. In such a method, if an order is
changed, a priority for the order may be decreased, so making
distribution changes after an initial order is placed may in some
circumstances result in a slower fulfillment rate. Accordingly, in
such implementations, an initial distribution to the FIFO exchange
may be determined and such a distribution may not be changed or may
not be changed as frequently as a distribution among pro-rata
exchanges might be. For example, in an implementation with 3
exchanges in which 2 use a pro rata fulfillment method and 1 uses a
FIFO fulfillment method, an initial distribution may be determined
for the 3 exchanges and updated distributions may be determined for
the two pro rata exchanges. The portion determined to be placed on
the FIFO exchange may not be changed. The portion may not be
changed unless a threshold time passes, unless the order reaches a
level of priority, unless a number of other orders are placed on
the FIFO exchange after the order, unless the orders in the
pro-rata exchanges are fulfilled to a threshold level, and/or
unless some other circumstances occur. It should be recognized that
a FIFO exchange may be dealt with in many ways and that the
previous implementations are given as non-limiting examples
only.
[0124] In some implementations, an exchange may operate using a
hybrid of a pro-rata and a FIFO fulfillment method. In some
implementations, a distribution may be determined according to one
or more examples above or any other ways to account for the various
hybrid methods that may be performed by the exchange.
[0125] As indicated at block 209, method 200 may include
transmitting orders for trades to at least one of the plurality of
exchanges based on the determined distribution. Transmitting such
information may include transmitting information related to an
order that fulfills a determined portion of the order (i.e., from
block 201) to one or more of the plurality of exchanges over a
communication network. Such transmission may be made using the FIX
protocol, for example. Such transmission may be made directly to
the exchanges and/or to one or more intermediaries.
[0126] In some embodiments, method 200 may end at block 211, as
indicated in FIG. 2 by a solid line. In other embodiment, method
200 may loop to block 205 as indicated by a dashed line. At block
205, information about orders pending on one or more of the
plurality of exchanges may be received. In some implementations,
for example, an indication of a change to a sum of quantities
associated with orders pending on at least one exchange of the
plurality of exchanges may be received. Received indications, for
example, may indicate that some or all of one or more orders have
been fulfilled, other orders have been fulfilled, new orders have
been placed, orders have been removed, and so on. Method 200 may
then continue to block 207 again and a new distribution may be
determined. Method 200 may continue to block 209 and a new set of
orders may be placed according to that new distribution. Method 200
may continue looping in such a fashion until, for example, the
order has been fulfilled, only a small amount of the order remains
unfulfilled (e.g., some percentage, some absolute number, some
amount relative to the liquidity of the financial instrument,
etc.), and so on. In some embodiments, method 200 may also or
instead receive information about a change to a method an exchange
uses to fulfill orders, a change to a rate of order fulfillment,
and/or a change to any other situation. Such information may be
used to determine a new distribution.
[0127] It should be recognized that method 200 is given as an
example only, and that other embodiments may include other methods.
It should be recognized that the present application discloses some
example embodiments that are non-limiting to the scope of the
claims and that other embodiments not described herein are also
contemplated.
[0128] FIG. 3 illustrates an example of a system 301 that may
perform a method similar to method 200. System 301 may include one
or more computer systems, processors, blades, and/or any other
devices. System 301 may be coupled to a plurality of exchanges 303
that may include one or more computer systems. System 301 may be
coupled to a plurality of order sources 305 that may include, for
example, a broker, a computer system, a trader or other person, a
telephone, and/or any other source of order information. System 301
may be coupled to the plurality of order sources 305 through one or
more communication networks 307. System 301 may be coupled to
exchanges 303 through one or more communication networks 309.
Communication networks 307 and 309 may be the same or different
communication networks (e.g., private networks, the Internet,
etc.).
[0129] It should be recognized that FIG. 3 illustrates an example
configuration only and that other embodiments may include any other
configuration.
[0130] In one example implementation, an intermediary may be
connected to three exchanges. The intermediary may receive
information identifying that the first exchange uses a hybrid
pro-rata and FIFO fulfillment method in which orders that have been
pending for longer than an hour are given preference over orders
that have not been pending for that time period but that orders
within the one hour time period are fulfilled in a pro-rata
fashion, that the second exchange uses a pro-rata fulfillment
method that favors orders over 10 before orders under 10, and that
the third exchange uses a FIFO fulfillment method.
[0131] In this example, the intermediary may receive an indication
of an order to buy 100 shares of a stock. The intermediary may
receive an indication that 2 orders are pending on the first
exchange, one order for 10 shares has been pending for 5 minutes
and one order for 20 shares has been pending for 2 hours. The
intermediary may receive an indication that 2 orders are pending in
the second exchange, one order for 20 shares and one order for 5
shares. The intermediary may receive an indication that one order
is pending in the third exchange for 10 shares.
[0132] In this example, the intermediary may receive an indication
that the expected fulfillment rate of the first exchange is 10
shares per time period, that in the second exchange the expected
fulfillment rate is 10 shares per time period as well, and in the
third exchange the expected fulfillment rate is 20 shares per time
period. The intermediary may also receive indications that the size
of the expected orders incoming on the exchanges is expected to be
relatively small compared to the size of orders on the exchanges
now pending and expected to be placed on the exchanges related to
the order for 100 shares.
[0133] The intermediary may determine an initial distribution of
orders among the exchanges taking into account the pending orders,
the market fulfillment strategies, and/or order fulfillment rates
to improve an expected speed of fulfillment.
[0134] In determining an initial distribution, exchange 1 may be
determined to not receive any portion unless the expected incoming
next order for exchange 1 is greater than 20 shares because
otherwise no portion of the order may be used to fulfill the order.
For exchange 2, no portion of the order may be placed on exchange 2
unless the expected next order is greater than 10 because otherwise
no portion of the order may be filled.
[0135] In one example the expected next order is 25 for exchange 1
and 25 for exchange 2 and 50 for exchange 3. In one implementation,
the initial determined distribution may indicate, for example, that
an order for 10 shares should be placed in the first exchange, an
order for 20 shares should be placed in the second exchange and an
order for 70 shares should be placed in the third exchange. Such a
determination may, for example, take into account that no order
fulfillment may take place in the first exchange until the order
for 20 shares that has been pending for more than one hour is
fulfilled and that similarly no order fulfillment may take place in
the third exchange until the pending order for 10 is fulfilled, but
that order fulfillment may take place in the second exchange if an
order is placed that is greater than 10 before the order that s for
only 5 shares. An example calculation may be as follows:
X1/V1=X3+O3/V3; X1=30, V1=10, X3=10, V3=20; so O3=50;
X1/V1=X2+O2/V2; X2=20 if we expect the portion assigned to exchange
2 to be 10 or 25 if we expect it to be less than 10; V2=10; so
O2=10, meeting the requirement that the portion equal at least 10.
P1 may then equal (100-O2-O3)* [V1/(V1+V2+V3)]=10, P2 may then
equal (100-O2-O3)*[V2/(V1+V2+V3)]+O2=20, and P3 may then equal
(100-O2-O3)*[V3/(V1+V2+V3)]+O3=70.
[0136] If a change occurs in the pending orders of one or more of
the exchange, the distribution may be adjusted. For example, if the
order for 20 pending on the first exchange is fulfilled and no new
orders are placed on the third exchange, the distribution may be
adjust to 25 in the first exchange, 15 in the second exchange and
60 in the third exchange. If, however, an order had been placed in
the third exchange so that a change to the order pending in the
third exchange might result in a loss of priority in the third
exchange, a change to the distribution, in some implementations,
would instead not make a change to the third exchange but still
might make a change to the other two exchanges, resulting a
distribution of 20, 10, 70. In some implementations, a decision
about whether to make a change to the third exchange may be made
based on the size of the new order in the third exchange, a size of
a change to the distribution on the third exchange, an expectation
of a size of an order that will be placed next on the third
exchange, and/or any other criteria that might affect the speed of
fulfilling orders on the third exchange.
[0137] It should be recognized that this specific example is given
as a non-limiting illustration only. Other embodiments may include
any number of exchanges using any fulfillment methods, may include
any method of determining distributions, any sizes of orders, may
make any or no assumptions, and/or any other elements and/or
actions.
XII. OTHER EMBODIMENTS
[0138] The following should be interested as embodiments, not as
claims.
[0139] A. A method comprising: [0140] receiving an indication of a
first order, in which the first order includes an instrument to be
traded, a quantity of the instrument to be traded, and a side of a
trade for the instrument; [0141] receiving an indication of a rate
at which orders for the side of the trade for the financial
instrument are expected to be fulfilled by at least one first
exchange of a plurality of exchanges; [0142] receiving an
indication of at least one quantity, in which each quantity of the
at least one quantity includes sum of quantities associated with
second orders pending on at least one second exchange of the
plurality of exchanges, in which the second orders include the
instrument and the side of trades for the instrument; [0143]
receiving an indication of a method used by at least one third
exchange of the plurality of exchanges to fulfill orders pending on
the exchange when matching orders received by the exchange; [0144]
based at least in part on the rate, the at least one quantity, and
the method, determining an distribution for the first order among
the plurality of exchanges; and [0145] facilitating execution of
the order on the plurality of exchanges according to the
distribution.
[0146] A.1. The method of claim A, in which the first exchange,
second exchange, and third exchange are the same exchange.
[0147] A.2. The method of claim A, in which facilitating execution
includes placing a plurality of orders, in which each of the
plurality of orders is placed on one of the plurality of exchanges
in accordance with the second distribution.
[0148] A.3. The method of claim A, in which at least one of the
plurality of exchanges fulfills orders in at least a partially
pro-rata fashion.
[0149] A.3.1. The method of claim A.3, in which the at least one of
the plurality of exchanges fulfills orders in a hybrid pro-rata and
FIFO fashion.
[0150] A.3.2. The method of claim A.3, in which at least one other
of the plurality of exchanges fulfills orders in a FIFO
fashion.
[0151] A.3.3. The method of claim A.3, in which the at least one of
the plurality of exchanges fulfills orders in a pro-rata fashion
that includes business logic elements.
[0152] A.4. The method of claim A, in which determining the
distribution includes determining the distribution based at least
in part on an expected size of a third order expected to be
received by at least one of the plurality of exchanges, in which
the third order includes the instrument and the opposite side of a
trade for the instrument.
[0153] A.5. The method of claim A, in which the indication of the
method of fulfilling orders includes at least one of an indication
of a history of orders fulfilled on the at least one exchange, and
a description of the method of fulfilling orders.
[0154] A.6. The method of claim A, in which the indication of the
rate includes a history of orders fulfilled on the at least one
exchange.
[0155] A.7. The method of claim A, in which determining the
distribution includes determining the distribution based at least
in part on a chance that at least one second order pending on the
at least one of the plurality of exchanges will not be fulfilled by
a third order received by the at least one of the plurality of
exchanges because a quantity associated with the at least one
second order is small.
[0156] A.8. The method of claim A, in which at least one of the
plurality of exchanges includes a computer system configured to
receive indications of orders, determine if any of the indicated
orders match, and facilitate execution of at least some of the
matching orders.
[0157] A.9. The method of claim A, in which the distribution
includes a determination of a portion of the quantity associated
with the first order to be placed as an order on each of the
plurality of exchanges.
[0158] A.10. At least one machine readable medium having stored
thereon a plurality of instructions configured to cause a processor
to perform the method of claim A.
[0159] A.11. An apparatus comprising: [0160] one or more
processors; [0161] one or more machine readable medium having
stored thereon a plurality of instructions that when executed by
the one or more processors cause the one or more processors to
perform the method of claim A.
[0162] A.12. A method comprising: submitting an order to the
apparatus of claim A.11.
[0163] B. A method comprising: [0164] determining a first
distribution for a first order among a plurality of exchanges, in
which the first order includes an instrument to be traded, a
quantity of the instrument to be traded, and a side of trades for
the instrument; [0165] receiving an indication of a change to a sum
of quantities associated with second orders pending on at least one
exchange of the plurality of exchanges, in which the second orders
include the instrument and the side of trades for the instrument,
and [0166] determining a second distribution for the first order
among the plurality of exchanges based at least in part on the
indication; and [0167] facilitating execution of the order through
at least one of the plurality of exchanges based on the second
distribution.
[0168] B.1. The method of claim B, in which the indication of the
change of the sum of quantities associated with the second orders
includes an indication of an execution of a trade that fulfills at
least a portion of at least one of the second orders.
[0169] B.1.1. The method of claim B.1, in which the indication of
the change includes an indication of an execution of a trade that
fulfills at least a portion of the first order.
[0170] B.2. The method of claim B, in which facilitating execution
includes placing a plurality of orders, in which each of the
plurality of orders is placed on one of the plurality of exchanges
in accordance with the second distribution.
[0171] B.3. The method of claim B, in which at least one of the
plurality of exchanges fulfills orders in at least a partially
pro-rata fashion.
[0172] B.3.1. The method of claim B.3, in which the at least one of
the plurality of exchanges fulfills orders in a hybrid pro-rata and
FIFO fashion.
[0173] B.3.2. The method of claim B.3, in which at least one other
of the plurality of exchanges fulfills orders in a FIFO
fashion.
[0174] B.3.3. The method of claim B.3, in which the at least one of
the plurality of exchanges fulfills orders in a pro-rata fashion
that includes business logic elements.
[0175] B.4. The method of claim B, in which determining the second
distribution includes determining the second distribution based at
least in part on an expected size of a third order expected to be
received by at least one of the plurality of exchanges, in which
the third order includes the instrument and the opposite side of a
trade for the instrument.
[0176] B.5. The method of claim B, in which determining the second
distribution includes determining the second distribution based on
an expected rate of order fulfillment of at least one of the
plurality of exchanges.
[0177] B.5.1. The method of claim B.5., further comprising
receiving an indication of the at least one rate.
[0178] B.5.1.1. The method of claim B.5.1, further comprising:
[0179] receiving an indication of a change to the at least one
rate; and [0180] determining a third distribution for the first
order among the plurality of exchanges based at least in part on
the change to the at least one rate; and [0181] facilitating
execution of the order through at least one of the plurality of
exchanges based on the third distribution.
[0182] B.6. The method of claim B, in which determining the second
distribution includes determining the second distribution based on
a method of fulfilling orders performed by at least one of the
plurality of exchanges.
[0183] B.6.1. The method of claim B.6, further comprising receiving
an indication of the method of fulfilling orders.
[0184] B.6.1.1. The method of claim B.6.1, in which the indication
of the method of fulfilling orders includes at least one of an
indication of a history of orders fulfilled on the at least one
exchange, and a description of the method of fulfilling orders.
[0185] B.7. The method of claim B, in which determining the second
distribution includes determining the second distribution based at
least in part on a chance that at least one second order pending on
the at least one of the plurality of exchanges will not be
fulfilled by a third order received by the at least one of the
plurality of exchanges because a quantity associated with the at
least one second order is small.
[0186] B.8. The method of claim B, in which the at least one of the
plurality of exchanges includes a computer system configured to
receive indications of orders, determine if any of the indicated
orders match, and facilitate execution of at least some of the
matching orders.
[0187] B.9. The method of claim B, in which the distribution
includes a determination of a portion of the quantity associated
with the first order to be placed as an order on each of the
plurality of exchanges.
[0188] B.10. At least one machine readable medium having stored
thereon a plurality of instructions configured to cause a processor
to perform the method of claim B.
[0189] B.11. An apparatus comprising: [0190] one or more
processors; [0191] one or more machine readable medium having
stored thereon a plurality of instructions that when executed by
the one or more processors cause the one or more processors to
perform the method of claim B.
[0192] B.12. A method comprising: submitting an order to the
apparatus of claim B.11.
* * * * *