U.S. patent application number 14/322049 was filed with the patent office on 2014-10-23 for methods of matching orders on an electronic trading system and an electronic trading system for matching orders.
The applicant listed for this patent is OMX Technology AB. Invention is credited to Ulf AHLENIUS, Sven ALLEBRAND, Daniel JENSEN, Johan L. OLSSON.
Application Number | 20140316971 14/322049 |
Document ID | / |
Family ID | 38292614 |
Filed Date | 2014-10-23 |
United States Patent
Application |
20140316971 |
Kind Code |
A1 |
OLSSON; Johan L. ; et
al. |
October 23, 2014 |
METHODS OF MATCHING ORDERS ON AN ELECTRONIC TRADING SYSTEM AND AN
ELECTRONIC TRADING SYSTEM FOR MATCHING ORDERS
Abstract
Electronic messages regarding a current order status of an order
book of an electronic exchange system are transmitted to users
including information concerning identities of parties having
placed orders stored in the order book. The current order status is
associated with a queue of orders stored in the order book. Each
stored order has associated properties and an associated queue
number. A higher queue number indicates a lower trading priority
than a lower queue number. An electronic order message is received
to trade selecting an order stored in the order book having a queue
number of two or higher than over a lower queue number order stored
in the order book. Both the selected order and the lower queue
number order have properties matching both the selected order and
the lower queue number order. The received message is identified as
including information that selects the order stored in the order
book having a queue number of two or higher. The received message
is matched with the selected order stored in the order book having
a queue number of two or higher. The lower queue number order
remains stored in the order book after the matching.
Inventors: |
OLSSON; Johan L.; (Lidingo,
SE) ; JENSEN; Daniel; (Stockholm, SE) ;
AHLENIUS; Ulf; (Bromma, SE) ; ALLEBRAND; Sven;
(Brooklyn, NY) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
OMX Technology AB |
Stockholm |
|
SE |
|
|
Family ID: |
38292614 |
Appl. No.: |
14/322049 |
Filed: |
July 2, 2014 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
|
|
11790075 |
Apr 23, 2007 |
8781944 |
|
|
14322049 |
|
|
|
|
60813721 |
Jun 15, 2006 |
|
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Current U.S.
Class: |
705/37 |
Current CPC
Class: |
G06Q 40/04 20130101;
G06Q 40/06 20130101 |
Class at
Publication: |
705/37 |
International
Class: |
G06Q 40/04 20120101
G06Q040/04 |
Claims
1. A method of matching orders on an electronic exchange system,
comprising of: transmitting to users, by electronic circuitry,
electronic messages regarding a current order status of an order
book of the electronic exchange system including information
concerning identities of parties having placed orders stored in the
order book, the current order status being associated with a queue
of orders stored in the order book, each stored order having
associated properties and an associated queue number, where a
higher queue number indicates a lower trading priority than a lower
queue number; receiving, by electronic circuitry, an electronic
order message to trade selecting an order stored in the order book
having a queue number of two or higher than over a lower queue
number order stored in the order book, where both the selected
order and the lower queue number order have properties matching
both the selected order and the lower queue number order; and
identifying that the received electronic order message includes
information that selects the order stored in the order book having
a queue number of two or higher; and matching, by electronic
circuitry, the received electronic order message with the selected
order stored in the order book having a queue number of two or
higher, wherein the lower queue number order remains stored in the
order book after the matching.
2. The method according to claim 1, wherein the matching the
received electronic order message with the selected order having a
queue number of two or higher includes a partial matching, and
wherein a remaining part of the partially matched order forms a new
order in the order book.
3. The method according to claim 1, wherein the properties matching
the selected order having a queue number of two or higher and the
lower queue number order are based on one or more of an submitter
name, an order number, a queue number, a price, or a volume.
4. The method according to claim 1, wherein the transmitted order
status further comprises identity information identifying each
submitter of each order in the queue, and wherein the order is
selected from the order book based in part on the identity of the
submitter.
5. An electronic trading system comprising: electronic matching
circuitry configured to match orders submitted by users; a memory
configured to store an order book associated with the electronic
matching circuitry with unmatched orders stored in one or more
queues, transmission circuitry configured to transmit to users
electronic messages regarding current order status of the order
book indicating identities of parties having placed orders stored
in the order book, the current order status being associated with a
queue of orders stored in the order book, each stored order having
associated properties and an associated queue number, where a
higher queue number indicates a lower trading priority than a lower
queue number, and receiving circuitry configured to identify that a
received order includes information that selects the order stored
in the order book having a queue number of two or higher over an
order stored in the order book having a lower queue number, where
both the selected order having a queue number of two or higher and
the order having a lower queue number have properties matching the
selected order, wherein the electronic matching circuitry is
configured to match an incoming designated order selecting the
order in the order book having a queue number of two or higher over
the order stored in the order book having a lower queue number
without matching the order with the lower queue number, and wherein
the order having a queue number of two or higher remains stored in
the order book after the matching.
6. The electronic trading system of claim 5, wherein the electronic
matching circuitry is further configured to: select a particular
order in the order book, and compare one or more properties of the
designated order and the particular order, and attempting to match
the designated order with the particular order to a predetermined
degree of correlation between the designated order and the selected
order.
7. The electronic trading system according to claim 6, wherein
selection of a particular order is based on one or more of an order
submitter name, an order number, a queue number, a price, or a
volume.
Description
[0001] This is a continuation of application Ser. No. 11/790,075,
filed Apr. 23, 2007, which claims priority from U.S. Provisional
Application No. 60/813,721 filed 15 Jun. 2006, the entire content
of which is hereby incorporated by reference.
FIELD
[0002] The present invention relates to a method for matching
orders in an electronic trading system. The present invention also
relates to an electronic trading system.
BACKGROUND
[0003] Electronic trading systems have become more and more popular
over the years and have replaced earlier, manual, forms of trading.
Especially in the financial market has the electronic trading
systems become more important to provide a fair and properly
working market place for trading.
[0004] In the financial market it is known to have both open and
anonymous trading systems for trading in financial instruments.
[0005] The term "financial instrument" is in the present
application used in a broad sense and encompasses any tradable item
(stocks, bonds, securities, cash, foreign exchange, options, gas,
electricity, etc.) or group of items that is traded through
matching of counterparty orders (bid, offer). An order normally
includes a price and a volume of the item(s) or combination of
items. The price and the volume can be viewed as order
prerequisites that have to be met in order for a match (deal) to
take place.
[0006] In a non-anonymous trading system there is basically a queue
system for unmatched orders that ascertains that the order having
highest priority will have a trade whenever a matching order is
received in the system. Everyone using the system can view
information about who has entered which order as well as details
regarding price and volume. Some open trading systems provide
additional features such as privileges that enable user to "hide"
their full intentions (normally volume) and add this once a match
is found without loosing their place in the queue.
[0007] Although one main purpose of an anonymous trading system is
to establish a fair and equal marketplace where no user or party
knows the origin of any specific order (bid or offer) on the
system, there is sometimes a problem for parties who do not wish to
trade with specific counterparties. The most common reason for not
trusting other parties is creditability, but there may be other
reasons as well.
[0008] In U.S. Pat. No. 5,136,501 an anonymous trading system is
disclosed where the users may enter credit requirements for
counterparties via trader terminals. As long as the credit limit is
not exceeded, trading can go on as usual. If the credit is
exceeded, matchable orders from those parties will not be matched
by the system until the credit once again is below the credit
limit.
[0009] All orders thus retain their anonymity, while the parties
can ascertain that no deals (trades) will be made outside a
specified credit limit, thus reducing risks.
[0010] In US Patent Application 2003/0083973 an anonymous trading
system having credit limit is also disclosed. The trading system
can, when the credit is insufficient for fulfilling a complete
order, send a message to the parties where the parties are
identified and asked whether they wish to proceed with making the
deal (partially or in full) or not. This can be viewed as a right
to refuse a trade and will in this application be referred to as
trade refusal.
[0011] Even open trading systems have problems with the above
situation since the first order in the queue may be submitted by a
counter-part that a user cannot or will not trade with.
[0012] There is thus a need of a versatile and easy-to-use system
that allows the users of any trading system to reduce their risks
but also to define their acceptable market in an individual
manner.
SUMMARY
[0013] In accordance with the invention a method of matching orders
in an electronic trading system is achieved through the steps of
receiving an order to trade selecting an order from a queue in an
order book of the electronic trading system, the selected order
being number two or higher in the queue, and matching the received
order with the selected order. Here, a higher queue number of
course indicates a lower priority for the order. The order is
essentially based first on best price (sell or buy) and secondly on
time for entering the order (an earlier filed order has higher
priority, i.e. lower queue number, than an order filed later).
[0014] Basically, this means that a user may pick any viewable
order in the order book for trading.
[0015] In an advantageous embodiment of the method according to the
invention, the selection of an order from the order book is based
on information regarding the submitters of orders in the order
book. This allows the user to select a preferred counterpart for a
trade.
[0016] An electronic trading system comprising a matching unit and
an order book achieves the sought aim through the invention in that
the matching unit comprises an identifier for identifying an
incoming designated order indicating a selected order in the order
book, a comparator associated with the identifier for comparing the
designated order and the selected order and a controller associated
with the comparator for matching the designated order with the
selected order to a degree of correlation between the designated
order and the selected order. Indication of a selected order can be
based on one or more of submitter name, order number, queue number,
price and volume.
[0017] In accordance with the invention an alternative method of
matching orders in an electronic trading system is also achieved
through the steps of receiving an order to trade selecting an order
from a queue in an order book of the electronic trading system
based on a given name of a supplier of the selected order. Here,
the given name of course implies that the system is a non-anonymous
trading system.
BRIEF DESCRIPTION OF THE DRAWINGS
[0018] FIG. 1 is a schematic drawing of an embodiment of an
electronic trading system according to the invention; and
[0019] FIGS. 2 and 3 shows a schematic rendering of an order book
appearance exemplifying the method according to the invention.
DETAILED DESCRIPTION OF EXAMPLE EMBODIMENTS
[0020] FIG. 1 discloses a general depicting of an electronic
trading market place 101. The electronic trading market place 101
includes a number of user terminals, here represented by a first
terminal 102, a second terminal 103, a third terminal 104 and a
fourth terminal 105.
[0021] It may be noted that the term "terminal" here indicates any
device through witch a person may enter commands and receive
information (PC, laptop, palm-held devices, mobile phones, etc).
Likewise, "trading computers" include any programmable device.
[0022] The terminals can communicate with an electronic trading
system 106 via a communication link 107. The communication link 107
may consist of any means or combination of means of creating a
signal flow, i.e. communication wires, optic fibres, Internet,
Ethernet, LAN, etc.
[0023] The electronic trading system 106 is now described with
reference to functional blocks rather then physical components
since it can be made up of essentially any combination of hardware
and software for performing the functions.
[0024] Thus, the electronic trading system 106 comprises a
communication unit 108, a matching unit 109, an order book 110 and
an information dissemination unit 111.
[0025] The communication unit 108 basically handles communication
streams to and from the electronic trading system 106, which may
include any necessary signal treatment.
[0026] The matching unit 109 is a key component to the entire
trading system 106 as it carries out the procedures involved in the
trading. One of the main functions for the matching unit 109 is to
find matches between orders. The matching unit 109 will be
described in more detail below.
[0027] The order book 110 is essentially a memory for storing
information about all orders that have not found a match yet. The
order book may contain separate listings for different instruments
that are being traded on the electronic trading system.
[0028] The information dissemination unit 111 deals with collecting
and distributing (broadcasting) relevant trading information (made
trades, contents of order book 110, etc.).
[0029] Any matching orders found by the matching unit 109 are
formed into a trade and forwarded to a deal capture unit 112 for
finalising the trade.
[0030] In accordance with the present invention the electronic
trading system 106 is capable of allowing users (via the terminals
102, 103, 104, 105) to select a low-ranking order to trade with
from the order book 110.
[0031] In order to provide for this, the matching unit 109
comprises an identifier 113 for checking whether an incoming order
is associated with a specific trade requirement designating a
specific order in the order book 110. If there is a specific order
designation, the matching unit 109 will, through a comparator 114
and controller 115, check whether the specific order exists and
whether it can be matched against the incoming order.
[0032] FIG. 2 and FIG. 3 further describe this process.
[0033] FIG. 2 shows, in principle, an order book status for an open
market (i.e. all users can see who has placed which order). The
order book status gives information about bids (left half of the
order book) and offers (right half of the order book). The bid half
of the order book provides (from left) order number, user, size of
order (bid size) and bidding price (buy-price). The offer half of
the order book similarly provides (from right) order number, user,
size of order (offer size) and offer price (sell-price).
[0034] In the order book status there are four orders shown to
exemplify how the orders may be depicted. Order No 0001 is a bid
for a volume of 100 at a price 2.3 from user A. The meaning of this
differs depending on which kind of instrument that is being traded.
For instance, in a repo market it may designate that user A wishes
to borrow 100 million US$ overnight at an interest of 2.3%.
[0035] The other orders present in the order book are all offers.
Order No 0002 is an offer from user B to sell (or lend in case of a
repo market) 200 at 2.31, order No 0003 is an offer from user C to
sell (or lend in case of a repo market) 300 at 2.33, and order No
0004 is an offer from user D to sell (or lend in case of a repo
market) 200 at 2.34.
[0036] Based on this status in the order book, user E wishes to buy
(borrow) 200 at best possible price (interest). However, user E is
unable to trade with either of user B and user C due to limits in
credibility. The best available offer is from user D, who offers
200 at 2.34.
[0037] In a prior art trading system this would mean that user E
has no option of getting the loan on this market. In accordance
with the present invention, however, user E may send in an order
for 200 at 2.34 and designate order 0004 as requested trade
counterpart.
[0038] This is indicated in FIG. 3, where the designated order from
user E is given order No 0005. The designation of user D's offer is
indicated by the arrow (the designation of order 0004 need not be
visible in or to the order book--it is sufficient that the matching
unit has that information).
[0039] It is further not necessary that the order that is directed
to a specific (non-prioritised) order in the order book matches
that order completely. Partial matches can also occur, whereby the
remaining parts form a new order (retaining priority).
* * * * *