U.S. patent application number 16/907855 was filed with the patent office on 2020-10-08 for apparatus and methods for processing composite trading orders.
The applicant listed for this patent is BGC PARTNERS, INC.. Invention is credited to Matthew W. Claus, James R. Driscoll, Gregory P. Manning, Joseph C. Noviello.
Application Number | 20200320627 16/907855 |
Document ID | / |
Family ID | 1000004915074 |
Filed Date | 2020-10-08 |
United States Patent
Application |
20200320627 |
Kind Code |
A1 |
Claus; Matthew W. ; et
al. |
October 8, 2020 |
APPARATUS AND METHODS FOR PROCESSING COMPOSITE TRADING ORDERS
Abstract
A system for processing a composite trading order comprises a
memory operable to store market data received from one or more
market centers. The system further comprises a processor operable
to generate a composite value based at least in part on the market
data. The processor is further operable to receive a composite
trading order associated with at least a portion of the composite
value. The processor is further operable to generate a plurality of
constituent trading orders that, when filled, combine to satisfy
the composite trading order.
Inventors: |
Claus; Matthew W.; (Summit,
NJ) ; Driscoll; James R.; (New York, NY) ;
Manning; Gregory P.; (New York, NY) ; Noviello;
Joseph C.; (Summit, NJ) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
BGC PARTNERS, INC. |
New York |
NY |
US |
|
|
Family ID: |
1000004915074 |
Appl. No.: |
16/907855 |
Filed: |
June 22, 2020 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
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12953818 |
Nov 24, 2010 |
10692142 |
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16907855 |
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12687372 |
Jan 14, 2010 |
7873565 |
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12953818 |
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11399019 |
Apr 5, 2006 |
7711644 |
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12687372 |
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60753095 |
Dec 20, 2005 |
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Current U.S.
Class: |
1/1 |
Current CPC
Class: |
G06Q 20/042 20130101;
G06Q 40/04 20130101; G06Q 40/00 20130101 |
International
Class: |
G06Q 40/04 20060101
G06Q040/04; G06Q 20/04 20060101 G06Q020/04; G06Q 40/00 20060101
G06Q040/00 |
Claims
1. (canceled)
2. A method comprising: controlling, by at least one processor:
determining that a plurality of different trading products being
electronically traded among a plurality of computers via a
communication network are related to but different from a first
trading product, in which a quantity of the first trading product
is determined to be substantially equivalent to a quantity of each
of the plurality of different trading products; receiving, over the
communication network, from a remote computing device of at least
one market center, market data related to the first trading product
and the plurality of different trading products; determining, based
at least in part on the market data, a composite value for the
first trading product and the plurality of different trading
products; generating, based on the composite value, at least one
constituent trading order that is configured to satisfy at least a
portion of a composite trading order determined from the composite
value; and transmitting, over the communication network, on behalf
of a trader, the at least one constituent trading order to the at
least one market center.
3. The method of claim 2, in which the first trading product is of
a first type and at least one of the plurality of different trading
products is of a second type that is different from the first
type.
4. The method of claim 3, in which the first type is a 5-year
treasury note and the second type is a 10-year treasury note.
5. The method of claim 2, further comprising: controlling, by the
at least one processor, determining a relationship between the
first trading product and at least one of the plurality of
different trading products.
6. The method of claim 5, in which the determining the relationship
between the first trading product and the at least one of the
plurality of different trading products further comprises:
determining that the first trading product and the at least one of
the plurality of different trading products are issued by a same
entity.
7. The method of claim 5, in which the determining the relationship
between the first trading product and at least one of the plurality
of different trading products further comprises: determining that
the first trading product and the at least one of the plurality of
different trading products share a similar performance trend.
8. The method of claim 2, in which the determining the composite
value further comprises: determining a liquidity for each of the
plurality of different trading products; and generating the
composite value based at least in part on the liquidity of each of
the plurality of different trading products.
9. The method of claim 2, in which the determining the composite
value further comprises: determining a relationship among each of
the plurality of different trading products; and generating the
composite value based at least in part on the relationship among
each of the plurality of different trading products.
10. The method of claim 2, further comprising: controlling, by the
at least one processor, displaying the composite value.
11. The method of claim 2, further comprising: controlling, by the
at least one processor, receiving, via a single input, a request to
submit the composite trading order based on the composite
value.
12. The method of claim 2, further comprising: controlling, by the
at least one processor, monitoring whether the at least one
constituent trading order completely satisfies the composite
trading order.
13. The method of claim 2, further comprising: controlling, by the
at least one processor: determining that a remaining portion of the
composite trading order is not satisfied by the at least one
constituent trading order; receiving, over the communication
network, updated market data from the at least one market center;
determining, based at least in part on the updated market data, at
least one additional constituent trading order that is configured
to be substantially equivalent to the remaining portion of the
composite trading order; and transmitting, over the communication
network, on behalf of the trader, the at least one additional
constituent trading order to the at least one market center.
14. An apparatus comprising: at least one processor configured to
control: determining that a plurality of different trading products
being electronically traded among a plurality of computers via a
communication network are related to but different from a first
trading product, in which a quantity of the first trading product
is determined to be substantially equivalent to a quantity of each
of the plurality of different trading products; receiving, over the
communication network, from a remote computing device of at least
one market center, market data related to the first trading product
and the plurality of different trading products; determining, based
at least in part on the market data, a composite value for the
first trading product and the plurality of different trading
products; generating, based on the composite value, at least one
constituent trading order that is configured to satisfy at least a
portion of a composite trading order determined from the composite
value; and transmitting, over the communication network, on behalf
of a trader, the at least one constituent trading order to the at
least one market center.
15. The apparatus of claim 14, in which the first trading product
is of a first type and at least one of the plurality of different
trading products is of a second type that is different from the
first type.
16. The apparatus of claim 15, in which the first type is a 5-year
treasury note and the second type is a 10-year treasury note.
17. The apparatus of claim 14, in which the at least one processor
is configured to control: determining a relationship between the
first trading product and at least one of the plurality of
different trading products.
18. The apparatus of claim 17, in which the at least one processor
is configured to control: determining that the first trading
product and the at least one of the plurality of different trading
products share a similar performance trend.
19. The apparatus of claim 14, in which the at least one processor
is configured to control: determining a liquidity for each of the
plurality of different trading products; and generating the
composite value based at least in part on the liquidity of each of
the plurality of different trading products.
20. The apparatus of claim 14, in which the at least one processor
is configured to control: determining a relationship among each of
the plurality of different trading products; and generating the
composite value based at least in part on the relationship among
each of the plurality of different trading products.
21. A non-transitory storage medium configured to store
instructions which, when executed by at least one processor,
control: determining that a plurality of different trading products
being electronically traded among a plurality of computers via a
communication network are related to but different from a first
trading product, in which a quantity of the first trading product
is determined to be substantially equivalent to a quantity of each
of the plurality of different trading products; receiving, over the
communication network, from a remote computing device of at least
one market center, market data related to the first trading product
and the plurality of different trading products; determining, based
at least in part on the market data, a composite value for the
first trading product and the plurality of different trading
products; generating, based on the composite value, at least one
constituent trading order that is configured to satisfy at least a
portion of a composite trading order determined from the composite
value; and transmitting, over the communication network, on behalf
of a trader, the at least one constituent trading order to the at
least one market center.
Description
RELATED APPLICATION
[0001] This application claims priority under 35 U.S.C. .sctn. 119
of provisional application Ser. No. 60/753,095, filed Dec. 20,
2005.
TECHNICAL FIELD OF THE INVENTION
[0002] The present invention relates generally to electronic
trading and more specifically to a system and method for generating
and displaying composite values and receiving and executing
composite trading orders.
BACKGROUND OF THE INVENTION
[0003] In recent years, electronic trading systems have gained
widespread acceptance for trading of a wide variety of items, such
as goods, services, financial instruments, and commodities. For
example, electronic trading systems have been created which
facilitate the trading of financial instruments and commodities
such as stocks, fixed income securities including notes and bonds,
currencies, futures contracts, oil, and gold.
[0004] Many of these electronic trading systems allow traders to
submit trading orders for particular trading products to market
centers. Using trading orders, traders typically deal in one
trading product and in one market center at a time. However,
financial markets and trading strategies have evolved so that
traders find it more beneficial to trade subject to strategies that
may call for trades that deal in more than one trading product and
more than one market center. Sometimes, there may be insufficient
liquidity in the market centers to fill a particular trading order
for a particular trading product or group of trading products, and
the information that must be processed to identify optimal trading
opportunities may be so extensive as to delay or inhibit the
execution of the trading strategy. Such situations may prevent a
trader from executing the desired trading order or series of
trading orders. In addition, such situations may cause a trader to
be left with an unfilled or partially filled trading order. That
trader may subsequently attempt to identify alternative trading
products and/or market centers where there is sufficient liquidity.
To identify alternative trading products and/or market centers, a
trader may be required to track multiple different trading products
and market centers and the relationships among those trading
products and market centers. Such a process may be time consuming
and cause a trader to miss opportunities for making beneficial
trades.
SUMMARY OF THE INVENTION
[0005] In accordance with the present invention, the disadvantages
and problems associated with prior electronic trading systems have
been substantially reduced or eliminated.
[0006] A system for processing a composite trading order comprises
a memory operable to store market data received from one or more
market centers. The system further comprises a processor operable
to generate a composite value based at least in part on the market
data. The processor is further operable to receive a composite
trading order associated with at least a portion of the composite
value. The processor is further operable to generate a plurality of
constituent trading orders that, when filled, combine to satisfy
the composite trading order.
[0007] Various embodiments of the present invention may benefit
from numerous advantages. It should be noted that one or more
embodiments may benefit from some, none, or all of the advantages
discussed below. One advantage of the present invention is the
display of a single composite value representing multiple trading
products in various market centers. A trader may use the composite
value to submit, in a single action, a composite trading order
based on related trading products according to the specifications
and preferences input by the trader. Using the composite trading
order, the present invention may automatically generate multiple
constituent trading orders in order to aggress, substantially
simultaneously, across liquidity pools of related trading products.
Accordingly, the system may save a trader the time and calculations
involved in separately preparing and inputting trading orders for
related trading products. As another advantage, because the
constituent trading orders are derived from and allocated according
to specifications and preferences that underlie the composite
trading order, the system will substantially simultaneously
identify the liquidity pools and appropriate weightings among
trading products and market centers such that there is likely to be
sufficient liquidity in the market centers to quickly fill the
constituent trading orders. It is therefore advantageous to present
a single composite value that represents the financial impact of a
chosen trading strategy across all related trading products and
market centers, and to permit the trader to deal on the composite
value with a single action such as a composite order wherein the
trading system allocates constituent trading orders among trading
products and market centers subject to known mathematical
relationships amongst them, and within limits and tolerances
specified by the user.
[0008] Other advantages will be readily apparent to one having
ordinary skill in the art from the following figures, descriptions,
and claims.
BRIEF DESCRIPTION OF THE DRAWINGS
[0009] For a more complete understanding of the present invention
and its advantages, reference is now made to the following
description, taken in conjunction with the accompanying drawings,
in which:
[0010] FIG. 1 illustrates one embodiment of a trading system in
accordance with the present invention;
[0011] FIG. 2 illustrates an alternative architecture for the
trading system according to certain embodiments of the present
invention;
[0012] FIG. 3 illustrates a flow of operation among various
components of the system illustrated in FIG. 1;
[0013] FIG. 4a illustrates market data according to certain
embodiments of the present invention;
[0014] FIG. 4b illustrates trading information according to certain
embodiments of the present invention;
[0015] FIG. 4c illustrates a trader profile according to certain
embodiments of the present invention; and
[0016] FIG. 5 illustrates a flowchart of an exemplary method for
processing composite trading orders.
DETAILED DESCRIPTION OF EXAMPLE EMBODIMENTS OF THE INVENTION
[0017] FIG. 1 illustrates one embodiment of a trading system 10
comprising a trading platform 12 coupled to clients 14 and market
centers 18 via networks 16. Generally, trading system 10 is
operable to receive and execute trading orders 20 from traders 24.
Using at least market data 40, system 10 is operable to generate
and display a composite value 48 representing relationships among
and the liquidity of multiple trading products. With a single
input, a particular trader 24 may use composite value 48 to submit
a composite trading order 42. Composite trading order 42 may be
configured according to trader preferences 50 and may be based on
any suitable number and combination of trading products. It should
be noted that in certain cases composite trading order 42 may be
automatically configured to take the form of a particular trading
order 20 for a single trading product. However, if there is
insufficient liquidity in market centers 18 to fill a particular
trading order 20, then composite trading order 42 may automatically
aggress, substantially simultaneously, related trading products in
multiple market centers 18. Thus, composite trading orders 42 may
facilitate trading despite the insufficiency of a particular
liquidity pool to fill a particular trading order 20 for a
particular trading product. By facilitating such trading, system 10
may increase liquidity in the marketplace.
[0018] Notably, the use of composite trading orders 42 may benefit
trader 24. With a single input, trader 24 may use composite trading
order 42 to aggress across liquidity pools of multiple trading
products. Upon receiving a single input from trader 24, system 10
may generate multiple constituent trading orders 46 based on the
related trading products underlying composite trading order 42.
Constituent trading orders 46 may be transmitted substantially
simultaneously to any number and combination of market centers 18
for execution. Thus, system 10 may save trader 24 the time and
effort involved in preparing and submitting to different market
centers 18 multiple trading orders 20 for related trading
products.
[0019] Each individual constituent trading order 46 can be
understood as an individual trading order 20, such as an order to
buy or sell a particular quantity of a particular trading product.
Trading order 20 may be associated with a target price (e.g.,
target bid price and/or target offer price) for the trading
product. The trading product that forms the basis of a given
trading order 20 may comprise any type of goods, services,
financial instruments, commodities, equities, stocks, fixed income
securities, interest rate derivatives, currencies, futures
contracts, debentures, options, securities, derivative trading
instruments, and any other suitable product or combination of
products.
[0020] System 10 is generally operable to identify relationships
between trading products. Trading products may be related in a
number of ways. For example, the historical performance of a
ten-year note issued by entity X may be correlated to that of a
five-year note issued by entity X. Although they are different
trading products, the ten-year note and the five-year note share
the same issuing entity and are correlated in their performance
trends. Thus, a trader 24 who is interested in trading ten-year
notes issued by entity X may also be interested in trading
five-year notes issued by entity X. In addition, a weighted
composite of five-year, three-year, and two-year notes issued by
entity X may be substantially the same in performance and cost as a
number of ten-year notes for purposes of a given trade or series of
trades. As another example of related trading products, currency
futures contracts for different expiration dates and different
currencies may have similar performance trends. Although fixed
income securities, foreign exchange, and financial and currency
futures contracts are described herein, it will be understood that
there may be any number, combinations, and types of related trading
products.
[0021] System 10 is operable to use current market data to
determine a quantity of a particular trading product that may be
equivalent to a quantity of a related trading product. For example,
system 10 may calculate how many five-year notes are equivalent to
a number of ten-year notes. Such a calculation may be based on any
suitable number and combination of factors such as, for example,
the coupons, frequencies, face values, prices, and maturity dates
of five-year and ten-year notes. Using current market data, system
10 may determine the relationships among trading products at any
given time.
[0022] System 10 is further operable to determine the liquidity
associated with particular trading products. The liquidity
associated with a trading product refers to the volume of trading
product available for trade in market centers 18. The available
volume of trading product in market centers 18 may be referred to
as a liquidity pool 70. At any given time, system 10 may determine
the available volume of a particular trading product in market
centers 18.
[0023] Using at least market data 40, system 10 may generate a
composite value 48. Composite value 48 may be a single value that
encompasses the relationships among and the liquidity of multiple
trading products in multiple market centers 18. In particular,
composite value 48 may represent a quantity, size, or any other
measurement of one or more related products that are available for
trade in various market centers 18 at any given time. In this
respect, composite value 48 comprises an aggregate value that may
be aggressed by a single order. Composite value 48 may be based on
any suitable mathematical calculations and/or models for
determining relationships among trading products. As an example,
composite value 48 may be configured to represent a quantity of
"10-year equivalent" fixed income securities available for trade in
market centers 18. The quantity of 10-year equivalent securities
may encompass the total number of available 10-year notes as well
as a weighted quantity of 2-year notes, 3-year notes, 5-year notes,
and/or any other suitable number and combination of related trading
products. The weighted quantity of related trading products (e.g.,
2-year notes, 3-year notes, 5-year notes, etc.) may be incorporated
into composite value 48 because that weighted quantity may be
considered substantially equivalent (e.g., in performance, yield,
price sensitivity to movements in a yield curve, and/or any other
suitable number and combination of characteristics) to 10-year
notes.
[0024] System 10 may display composite value 48 to trader 24, who
may use composite value 48 to submit, in one action, a composite
trading order 42. System 10 may process composite trading order 42
to aggress, substantially simultaneously, the different liquidity
pools 70 of the related trading products underlying composite value
48. In particular, system 10 may process composite trading order 42
based on current market data 40 using known or proprietary
mathematical computations and/or models that are associated with
the types of trading products forming composite value 48. For
example, certain market data 40 and mathematical computations
and/or models may be used to process composite trading orders 42
associated with fixed income securities whereas different market
data 40 and mathematical computations and/or models may be used to
process composite trading orders 42 associated with currencies and
futures contracts on currencies. Additionally, certain market data
40 and mathematical computations and/or models may be used to
process composite trading orders 42 associated with fixed income
securities, bond and note futures, bond and note options,
currencies, futures on currencies, options on currencies, and/or
any suitable number and combination of trading products underlying
a single composite trading order 42. In each case, if trader 24
submits composite trading order 42, system 10 may generate and
simultaneously execute constituent trading orders 46 corresponding
to composite trading order 42. Constituent trading orders 46 are
therefore understood as a collection of any number of trading
orders for trading products that underlie composite value 48.
[0025] The foregoing example illustrates a composite trading value
48 representing a weighted quantity based on equivalents to 10-year
notes. It should be understood, however, that composite trading
value 48 may be configured to represent a weighted quantity based
on equivalents to any suitable number and combination of trading
products.
[0026] System 10 may comprise one or more clients 14. Clients 14
comprise any suitable local or remote end-user devices that may be
used by traders 24 to access one or more elements of trading system
10, such as trading platform 12. For example, client 14 may
comprise a computer, workstation, telephone, an Internet browser,
an electronic notebook, a Personal Digital Assistant (PDA), a
pager, or any other suitable device (wireless or otherwise),
component, or element capable of receiving, processing, storing,
and/or communicating information with other components of system
10. Client 14 may also comprise any suitable interface for trader
24 such as a display, microphone, keyboard, and/or any other
appropriate terminal equipment according to particular
configurations and arrangements. It will be understood that there
may be any number of clients 14 coupled to trading platform 12.
[0027] Although clients 14 are described herein as being used by
traders 24, it should be understood that the term "trader" is meant
to broadly apply to any user of trading system 10, whether that
user is an agent acting on behalf of a principal, a principal, an
individual, a legal entity (such as a corporation), or any machine
or mechanism that is capable of placing and/or responding to
trading orders 20 in system 10.
[0028] Network 16 is a communication platform operable to exchange
data or information between clients 14 and trading platform 12
and/or market centers 18. In some embodiments, network 16 may
represent an Internet architecture that enables clients 14 to
communicate with platform 12 and/or market centers 18. In other
embodiments, network 16 may be a plain old telephone system (POTS),
which traders 24 could use to perform the same operations or
functions. In some embodiments, network 16 may be any packet data
network (PDN) offering a communications interface or exchange
between any two nodes in system 10. Network 16 may further comprise
any combination of the above examples and any local area network
(LAN), metropolitan area network (MAN), wide area network (WAN),
wireless local area network (WLAN), virtual private network (VPN),
intranet, or any other appropriate architecture or system that
facilitates communications between clients 14 and platform 12
and/or market centers 18.
[0029] Market centers 18 comprise all manner of order execution
venues including exchanges, Electronic Communication Networks
(ECNs), Alternative Trading Systems (ATSs), market makers, or any
other suitable market participants. Each market center 18 maintains
a bid and offer price in a given trading product by standing ready,
willing, and able to buy or sell at publicly quoted prices, also
referred to as market center prices. A particular market center 18
may facilitate trading of multiple trading products, such as, for
example, stocks, fixed income securities, futures contracts,
currencies, precious metals, and so forth. Market centers 18 may
output market data 40 associated with trading products. Market data
40 refers to current and/or historical market information such as,
for example, trading conditions, trading volumes, best bid/offer
prices, yield spreads, trends, and so forth.
[0030] Trading platform 12 is a trading architecture that
facilitates the routing, matching, and otherwise processing of
trading orders 20 and/or composite trading orders 42. Platform 12
may comprise a management center or a headquartering office for any
person, business, or entity that seeks to manage the trading of
orders 20. Accordingly, platform 12 may include any suitable
combination of hardware, software, personnel, devices, components,
elements, or objects that may be utilized or implemented to achieve
the operations and functions of an administrative body or a
supervising entity that manages or administers a trading
environment. Trading platform 12 may comprise memory 34 and
processor 32.
[0031] Memory 34 comprises any suitable arrangement of random
access memory (RAM), read only memory (ROM), magnetic computer
disk, CD-ROM, or other magnetic or optical storage media, or any
other volatile or non-volatile memory devices that stores one or
more files, lists, tables, or other arrangements of information. In
particular, memory 34 may store trader profiles 36, ruleset 38, and
logic 39.
[0032] Trader profiles 36 comprise information regarding the
trading preferences 50 of traders 24. Each trader profile 36 in
memory 34 may be associated with a particular trader 24. Trading
preferences 50 may comprise ratios, price ranges, quantity ranges,
thresholds, yield spreads, limits, conditions, and/or any other
suitable criteria that trader 24 may deem relevant to a trading
decision. Trading preferences 50 may relate to any aspect of
trading orders 20 and/or composite trading orders 42 such as, for
example, size, price, yield spreads, and so forth. According to
certain embodiments, preference 50 of a particular trader 24 may be
an algorithm, mathematical model, formula, function, and/or table
customized, selected, and/or submitted by that trader 24 to system
10. Such a preference 50 may be used by processor 32 to generate
composite value 48 to display to trader 24 associated with that
preference 50. Preferences 50 may be default preferences (e.g.,
industry accepted formulas, values, models, etc.) or customized
preferences (e.g., user specific formulas, values, models, etc.).
Thus, different traders 24 may use different preferences 50 (e.g.,
parameters, thresholds, criteria, functions, models, etc.) such
that processor 32 may generate composite value 48 according to the
strategies, goals, plans, and/or trading tendencies of each trader
24. Moreover, traders 24 may have the same or different preferences
50 depending on the types of trading products being contemplated
for the transaction.
[0033] Memory 34 may also store ruleset 38. Ruleset 38 may comprise
data, algorithms, rules, tables, and/or functions for generating
composite value 48 and processing composite trading orders 42. In
particular, ruleset 38 may be usable to identify relationships
among different trading products. Ruleset 38 may comprise
relationship data 62 and rules 64. Relationship data 62 may
comprise historical data for comparing the performance of various
trading products. Rules 64 may comprise rules, formulas,
algorithms, functions, and/or logic for weighing different trading
products in generating composite value 48.
[0034] In addition to storing ruleset 38, memory 34 may store logic
39. Logic 39 may be any software, logic, or code stored on a
computer-readable medium. When executed by processor 32, logic 39
may be operable to direct processor 32 to perform the functions and
operations described herein.
[0035] Although FIG. 1 illustrates memory 34 as internal to trading
platform 12, it should be understood that memory 34 may be internal
or external to components of system 10, depending on particular
implementations. Also, memory 34 illustrated in FIG. 1 may be
separate or integral to other memory devices to achieve any
suitable arrangement of memory devices for use in system 10.
[0036] Processor 32 may be communicatively coupled to memory 34.
Processor 32 is generally operable to process market data 40 from
market centers 18 to determine the liquidity associated with
trading products in market centers 18. Processor 32 is further
operable to generate composite value 48 and to process composite
trading orders 42. Processor 32 comprises any suitable combination
of hardware and software implemented in one or more modules to
provide the described function or operation. Processor 32 may
execute program instructions stored in memory 34 and comprise
processing components to execute the program instructions.
[0037] It should be noted that the internal structure of trading
platform 12, and the interfaces, processors, and memory devices
associated therewith, are malleable and can be readily changed,
modified, rearranged, or reconfigured in order to achieve its
intended operations. It should be further understood that the
internal structure of system 10, and the clients 14, market centers
18, trading platform 12, processors, and memory devices associated
therewith, are malleable and can be changed, modified, or
reconfigured in order to achieve the intended operations of system
10.
[0038] In operation, trading platform 12 may receive market data 40
from market centers 18. Using at least market data 40, processor 32
may generate composite value 48. Composite value 48 may be based on
the liquidity of various trading products in market centers 18, on
current and/or historical data associated with the various trading
products, on trading preferences 50 of a particular trader 24,
and/or on any number and suitable combination of mathematical
computations and/or models. In some embodiments, composite value 48
may represent a weighted quantity of related trading products that
are available for trade in various market centers 18 at any given
time. Trading platform 12 may transmit composite value 48 to client
14.
[0039] Client 14 may display composite value 48 to trader 24.
Composite value 48 may be displayed by client 14 according to
various contextual positions and/or highlighting conventions
operable to aid trader 24 in the recognition of a looming trading
opportunity pursuant to preferences 50, trading strategies, and/or
any suitable criteria. In a single action, trader 24 may input into
client 14 composite trading order 42. Composite trading order 42
may be a quantity based on composite value 48. Client 14 may
transmit composite trading order 42 to trading platform 12. Using
market data 40, preferences 50, and/or ruleset 38, processor 32 may
generate constituent trading orders 46 for one or more trading
products underlying composite trading order 42. Trading platform 12
may substantially simultaneously transmit constituent trading
orders 46 to market centers 18 for execution.
[0040] System 10 is thereby operable to display to trader 24 a
single composite value 48 representing multiple trading products in
multiple market centers 18. Using composite value 48, trader 24
may, in a single action, submit composite trading order 42 to
aggress across liquidity pools 70 of multiple trading products.
Upon receiving composite trading order 42, system 10 may generate
multiple constituent trading orders 46 based on the related trading
products underlying composite trading order 42. Constituent trading
orders 46 may be transmitted substantially simultaneously to any
number and combination of market centers 18 for execution. Thus,
system 10 may save trader 24 the time and effort involved in
preparing and submitting to different market centers 18 multiple
individual trading orders 20 for related trading products. Because
trading information associated with multiple trading products is
presented as a single composite value 48, it may not be necessary
for trader 24 to separately track different trading products
underlying composite value 48 and their relationships and to
subsequently trade on these separate trading products at various
different times or with various different trading orders 20.
Notably, because composite value 48 is based on relationships among
multiple trading products in various market centers 18, trader 24
may aggress across multiple liquidity pools 70 with constituent
trading orders 46 that collectively may be filled quickly and
efficiently.
[0041] In FIG. 1, the generating of composite trading value 48 is
performed by processor 32 in trading platform 12. According to
certain embodiments, however, the functionality of generating
composite trading value 48 may be performed by clients 14.
[0042] FIG. 2 illustrates an alternative architecture of trading
system 10 according to certain embodiments of the present
invention. In some embodiments, trading system 10 comprises clients
14, trading platform 12, and market centers 18. Some or all of the
components of trading system 10 may be communicatively coupled via
networks 16. Trading system 10 may be operable to perform the same
functions and operations described above with respect to FIG.
1.
[0043] Trading system 10 may comprise market centers 18. Market
centers 18 may be operable to receive trading orders 20 and/or
constituent trading orders 46 from trading platform 12 and/or
clients 14. Market centers 18 may be further operable to transmit
to trading platform 12 and/or clients 14 market data 40.
[0044] Trading platform 12 may be communicatively coupled to market
centers 18. In some embodiments, trading platform 12 may be
operable to receive trading orders 20 and/or constituent trading
orders 46 from clients 14. Trading platform 12 may be further
operable to route trading orders 20 and/or constituent trading
orders 46 to any suitable number and combination of market centers
18. Trading platform 12 may receive market data 40 from market
centers 18 and may transmit market data 40 to clients 14.
[0045] Trading platform 12 may be operable to communicate with one
or more clients 14. According to certain embodiments, some clients
14a may be communicatively coupled to trading platform 12. Other
clients 14b may be communicatively coupled to market centers 18.
Clients 14b may receive market data 40 from and may transmit
trading orders 20 and/or constituent trading orders 46 to market
centers 18 without the use of trading platform 12.
[0046] In certain embodiments, the functionality of generating
composite value 48 may be performed by clients 14 rather than
trading platform 12. In some embodiments, a particular client 14
may comprise processor 32, memory 34, and user interface 52.
Generally, client 14 may use market data 40 to determine the
liquidity of trading products in market centers 18. Using market
data 40, ruleset 38, and/or preferences 50, client 14 may generate
composite value 48 based at least in part on one or more trading
products.
[0047] Client 14 may comprise user interface 52. Generally, user
interface 52 may receive inputs from trader 24 and may provide
trader 24 with an efficient and user friendly presentation of
trading information. User interface 52 may represent any number and
combination of suitable input and/or output devices such as, for
example, a display, microphone, keyboard, and/or any other
appropriate terminal equipment according to particular
configurations and arrangements.
[0048] User interface 52 may be communicatively coupled to
processor 32. Processor 32 may be operable to perform the same
functions and operations described above with respect to FIG. 1.
Processor 32 may be communicatively coupled to memory 34. Memory 34
may be operable to perform the same functions and operations
described above with respect to FIG. 1. For example, memory 34 may
store one or more trader profiles 36 associated with one or more
traders 24. Each trader profile 36 may store one or more
preferences 50 associated with one or more traders 24. In some
embodiments, memory 34 of a particular client 14 may comprise
trader profiles 36 for those traders 24 that are associated with
that client 14.
[0049] In addition to storing trader profiles 36, memory 34 may
store ruleset 38 and logic 39. Ruleset 38 and logic 39 are operable
to perform the same functions and operations described above with
respect to FIG. 1.
[0050] In operation, client 14 may receive market data 40 from
market centers 18 and/or trading platform 12. Using at least market
data 40, processor 32 may generate composite value 48. Composite
value 48 may be based on the liquidity of various trading products
in market centers 18, on current and/or historical data associated
with the various trading products, on trading preferences 50 of a
particular trader 24, and/or on any number and suitable combination
of mathematical computations and/or models. In some embodiments,
composite value 48 may represent a weighted quantity of related
trading products that are available for trade in various market
centers 18 at any given time.
[0051] Client 14 may display composite value 48 to trader 24. In a
single action, trader 24 may input into client 14 composite trading
order 42. Composite trading order 42 may be a quantity equal to all
or a portion of the available liquidity of composite value 48. Upon
receiving composite trading order 42, processor 32 may generate
constituent trading orders 46 for one or more trading products
underlying composite trading order 42. The characteristics of
constituent trading orders 46 may be determined based on market
data 40, preferences 50, ruleset 38, and/or any suitable trading
information. Client 14 may substantially simultaneously transmit
constituent trading orders 46 to market centers 18 for execution.
Alternatively, client 14 may transmit constituent trading orders 46
to trading platform 12, which may forward constituent trading
orders 46 to market centers 18 for execution.
[0052] In some embodiments, composite value 48 may be configured as
an equivalent quantity of a particular trading product. As an
example, composite value 48 may be configured to represent a
quantity of "10-year equivalent" fixed income securities available
for trade in market centers 18. The quantity of 10-year equivalent
securities may encompass the total number of available 10-year
notes as well as a weighted quantity of 2-year notes, 3-year notes,
5-year notes, and any other suitable number and combination of
related trading products. Although this example is based on fixed
income securities of certain maturities, it will be understood that
composite value 48 may be based on any number and combination of
trading products. The number and combinations of trading products
represented by composite value 48 may be configured based at least
in part on preferences 50 of a particular trader 24. For example, a
particular trader 24 may prefer that composite value 48 be
expressed as a weighted quantity of trading products equivalent to
one or more currencies, fixed income securities of pre-configured
maturities, equities, options, futures contracts and/or options
contracts, interest rate derivatives, or any other suitable trading
product. Thus, it should be understood that, based on preferences
50 of a particular trader 24, composite value 48 may be configured
to represent liquidity of and relationships among any number and
combination of trading products.
[0053] Trader 24 may submit preferences 50 for determining
constituent trading orders 46. As an example, trader 24 may submit
preferences 50 that comprise criteria for determing the nearest,
least expensive, simplest, or most direct means for filling
composite trading order 42. It should be understood that
preferences 50 may specify any number of factors, thresholds,
criteria, models, and/or functions for determining the market
centers, relative make-up, sizes, and trading products associated
with constituent trading orders 46.
[0054] FIG. 3 illustrates a flow of operation among various
components of system 10 illustrated in FIG. 1. Trading platform 12
may receive market data 40 from market centers 18. Market data 40
may comprise trading information for trading products traded in
market centers 18. For each trading product, market data 40 may
comprise information such as, for example, trade volumes, numbers
of outstanding trading orders, best bid/offer prices, quantities,
trends, and so forth.
[0055] Using at least market data 40, processor 32 may determine
composite value 48. In particular, processor 32 may use market data
40 to determine the size of liquidity pools 70 associated with
trading products in market centers 18. Processor 32 may also use
relationship data 62 and rules 64 to identify relationships among
various trading products in market centers 18. Relationship data 62
may comprise data for comparing the current and/or historical
performances, prices, yield spreads, and other characteristics of
different trading products. Rules 64 may comprise appropriate
mathematical formulas and/or computation models for particular
types of trading products. In addition to ruleset 38 and market
data 40, processor 32 may use preferences 50 stored in trader
profile 36 to determine composite value 48.
[0056] According to certain embodiments, composite value 48 may be
expressed as a quantity of equivalent units of a particular trading
product. For example, composite value 48 may be expressed as a
number (or face value dollar amount) of "ten-year equivalent" fixed
income securities. In other embodiments, composite value 48 may be
expressed as a price per unit of composite trading order 42.
Composite value 48 may be based on preferences 50, market data 40,
relationship data 62, and/or characteristics of the constituent
trading products such as, for example, best bid/offer prices,
quantity, and so forth. In this regard, composite value 48 may be
used by trader 24 to submit composite trading order 42 that is
based on one or more trading products but may be equivalent (e.g.,
in value, size, price, spread, and/or any other suitable
characteristic) with a particular trading order 20 for a single
trading product, though more typically would be equivalent to a
group of constituent trading orders 46, each of which acts as a
trading order 20, but which collectively comprise composite trading
order 42.
[0057] Notably, trading preferences 50 may comprise ratios, price
ranges, quantity ranges, thresholds, yield spreads, limits,
conditions, and/or any other suitable criteria that trader 24 may
deem relevant to a trading decision. Trading preferences 50 may
relate to any aspect of trading orders 20 and/or composite trading
orders 42 such as, for example, instrument, market center, size,
price, maturity, yield spreads, and so forth. According to certain
embodiments, preference 50 of a particular trader 24 may be an
algorithm, mathematical model, formula, function, and/or table
customized, selected, and/or submitted by that trader 24 to system
10. Such a preference 50 may be used by processor 32 to generate
composite value 48 to display to trader 24 associated with that
preference 50.
[0058] Processor 32 may transmit composite value 48 to client 14,
which may display composite value 48 to trader 24. In a single
action, trader 24 may input into client 14 composite trading order
42. Composite trading order 42 may be a quantity based on composite
value 48. Client 14 may transmit composite trading order 42 to
trading platform 12. Using market data 40, preferences 50, and/or
ruleset 38, processor 32 may generate constituent trading orders 46
for one or more trading products underlying composite trading order
42. Trading platform 12 may substantially simultaneously transmit
constituent trading orders 46 to market centers 18 for
execution.
[0059] Processor 32 may generate constituent trading orders 46
based on the constituent trading products underlying composite
trading order 42. In particular, processor 32 may determine a
quantity and/or price associated with each constituent trading
order 46. This determination may be based on preferences 50, market
data 40, rules 64, composite trading order 42, relationship data
62, and/or any other suitable information.
[0060] To determine the appropriate quantities of the constituent,
related trading products underlying composite trading order 42,
processor 32 may use any suitable information and any number and
combination of mathematical functions and models. For example, to
calculate how many two-year, three-year, and five-year notes are
equivalent to a number of ten-year notes, processor 32 may use the
coupons, frequencies, face values, prices, and maturity dates of
two-year, three-year, five-year and ten-year notes as well as any
number and combination of other suitable factors for weighing
related trading products. In some instances, processor 32 may
determine that the relative quantities of the related, constituent
trading products underlying composite trading order 42 are such
that composite trading order 42 may be filled by means of a single
constituent trading order 46 for a single trading product. In other
instances, processor 32 may determine that the relative quantities
of the related, constituent trading products underlying composite
trading order 42 are such that composite trading order 42 may
preferably be filled by two or more constituent trading orders 46
for different trading products.
[0061] In some embodiments, processor 32 may seek the most closely
correlated fulfillment of composite trading order 42 using
preferences 50 of trader 24 stored in trader profile 36.
Preferences 50 of trader 24 define some or all of the parameters,
criteria, limits, and/or conditions deemed relevant by trader 24 in
making trading decisions. For example, trader 24 may prefer that
the yield spreads associated with certain trading products
underlying composite trading order 42 be less than or greater than
a configurable threshold. As another example, trader 24 may prefer
that trading product X never be more than 50% of any composite
trading order 42. Although preferences 50 are illustrated above as
percentages and yield spreads, it should be understood that
preferences 50 may be based on any characteristic, relationship, or
value of any trading product.
[0062] Upon generating constituent trading orders 46, processor 32
may transmit constituent trading orders 46 to the appropriate
liquidity pools 70 in market centers 18 for execution. Constituent
trading orders 46 may be generated and executed substantially
simultaneously. Thus, by using a composite trading order 42 to
simultaneously generate and process constituent trading 'orders 46,
system 10 in some embodiments enables trader 24 to simultaneously
aggress across liquidity pools 70 of related trading products. In
addition, because system 10 displays composite trading order 42
associated with a single composite value 48, it is not necessary in
some embodiments for trader 24 to separately track the constituent
trading products and their relationships and or to aggress on them
individually through separate transactions.
[0063] An example illustrates certain embodiments of the present
invention. Trading platform 12 receives market data 40 from market
centers 18. Using at least market data 40, processor 32 generates
composite value 48. Based on preferences 50 of trader 24, composite
value 48 is configured as a weighted quantity of trading products
related to Euros. Thus, based on preferences 50, market data 40,
and ruleset 38, composite value 48 represents a volume of Euro
equivalents that are available for trade in market centers 18.
Trading platform 12 transmits composite value 48 to client 14,
which displays composite value 48 to trader 24.
[0064] At a particular time, composite value 48 equals 20,000,000
Euro equivalents. At this point, trader 24 decides to submit
composite trading order 42 for 10,000,000 of the 20,000,000 Euro
equivalents displayed as composite value 48. Accordingly, trader 24
inputs the quantity "10,000,000" into client 14 as composite
trading order 42. Trading platform 12 routes composite trading
order 42 to processor 32.
[0065] In this example, market center 18 comprises liquidity pool
70a that is associated with Euros. Based on market data 40,
processor 32 determines that only 8,000,000 Euros are available to
satisfy composite trading order 42 in liquidity pool 70a.
Accordingly, processor 32 determines that liquidity pool 70a is
insufficient to fill composite trading order 42 in its
entirety.
[0066] However, composite value 48 may be based on liquidity pools
70 of other trading products related to Euros. In particular, in
generating composite value 48, processor 32 may have determined
that six-month futures contracts for Euros (issued on a particular
date) are related to the trading product of Euros (e.g., currency
futures related to the particular currency). Processor 32 may have
determined that the two trading products--Euros and six-month
futures on Euros--have similar performance histories. Accordingly,
because composite value 48 is based in part on six-month futures
contracts for Euros, processor 32 may generate at least one
constituent trading order 46 for six-month futures contracts for
Euros. In the present example, processor 32 uses composite trading
order 42 to generate constituent trading orders 46 wherein the
constituent trading products are Euros and six-month futures on
Euros. The collective value of the two constituent trading orders
46 may be substantially equivalent to 10,000,000 Euros. In this
example, based at least in part on exchange rates, hedge ratios,
and/or other market data 40, the 10,000,000 Euro equivalents may be
8,000,000 Euros and 2,200,000 six-month futures on Euros. Thus,
processor 32 may generate constituent trading orders 46 that are
substantially equivalent to composite trading order 42 in
value.
[0067] In the present example, trader 24 has only one preference
50--that no composite trading order 42 be based on a currency
futures contract of more than six months. In this example, the only
futures contract underlying composite trading order 42 is a
six-month futures contract. Thus, composite trading order 42
satisfies preference 50 associated with trader 24. Processor 32 has
generated two constituent trading orders 46. One constituent
trading order 46a is for 8,000,000 Euros. The other constituent
trading order 46b is for 2,200,000 six-month futures on Euros. The
prices, quantities, and other characteristics associated with
constituent trading orders 46 may be based on market data 40,
ruleset 38, preferences 50, and/or any other suitable information.
Processor 32 may simultaneously transmit constituent trading orders
46 to market centers 18 for execution. Constituent trading order
46a may be transmitted to liquidity pool 70a associated with Euros.
Constituent trading order 46b may be transmitted to liquidity pool
70b associated with six-month futures contracts on Euros. Inasmuch
as composite value 48 was derived from the aggregated available
Euro equivalent value across both liquidity pools 70a and 70b, and
inasmuch as aggressing composite value 48 through composite trading
order 42 led to the generation of constituent trading orders 46a
and 46b based on the conditions in liquidity pools 70a and 70b, it
is likely that both constituent trading orders 46a and 46b will be
filled promptly and efficiently. In the event that composite
trading order 42 could not be filled through the transmission of
constituent trading orders 46 to a single market center 18,
additional constituent trading orders 46 may be transmitted to
multiple market centers 18 in fulfillment of composite trading
order 42.
[0068] Although the foregoing example illustrates composite trading
order 42 based on a currency and futures contracts, it should be
understood that composite trading order 42 may be based on any
suitable number and combination of trading products. For example,
system 10 may generate composite value 48 to facilitate trading of
various cash and futures products that are weighted according to
any suitable characteristics, such as, for example, basis,
maturity, price, and so forth. In particular, composite value 48
may be based on a weighted quantity of cash notes and bonds of
differing maturities as well as on various futures contracts
associated with the cash notes and bonds. Various trading products
underlying composite value 48 may be weighted according to any
number and combination of factors such as, for example, yield,
basis (e.g., difference between cash price and futures price of a
given commodity), and quantity. Such factors may be stored in
ruleset 38, received as preferences 50 of trader 24, derived from
market data 40, and/or obtained from any other suitable source.
[0069] In a particular example, trader 24 uses preferences 50 to
configure composite value 48 to be based on 10-year notes, 10-year
futures, and 5-year futures available in market centers 18. At a
given time, there may be $10,000,000 face value 10-year notes,
5,000 10-year futures contracts, and 3,000 5-year futures contracts
available for trade in market centers 18. Using ruleset 38, market
data 40 (e.g., basis information, hedge ratios, price, etc.), and
preferences 50 submitted by trader 24, processor 32 may determine
that 5,000 10-year futures contracts are substantially equivalent
to $409,500,000 face value 10-year notes and that 3,000 5-year
futures contracts are substantially equivalent to $143,678,000 face
value 10-year notes. Thus, composite value 48 in this example may
be expressed as $563,178,000 10-year equivalent securities. Using
composite value 48, trader 24 may in a single action submit
composite trading order 42 to aggress, substantially
simultaneously, across multiple liquidity pools associated with
10-year notes, 10-year futures, and 5-year futures. Although the
foregoing example illustrates composite value 48 as based on cash
fixed income securities and futures on fixed income securities, it
will be understood that composite value 48 may be based on any
number, type, and combination of trading products.
[0070] As additional examples, composite trading order 42 may be
based on fixed income securities of a certain maturity, on fixed
income securities of differing maturities, on cash fixed income
securities and futures contracts for cash fixed income securities,
on an equity and/or on an underlying option associated with that
equity, on baskets of equities as they relate to equity indices, on
listed equity options, and on liquidity pools 70 of any number and
combination of trading products in any number and combination of
market centers 18. Thus, it should be understood that composite
trading order 42 may trigger the creation of any number of
constituent trading orders 46 based on any suitable number, type,
and combination of trading products such as, for example, goods,
services, commodities, stocks, fixed income securities, interest
rate derivatives, equities, options, currencies, precious metals,
futures contracts, and so forth, pursuant to conditions,
preferences, and tolerances specified by the user through the
application of preferences 50, relationship data 62, rules 64,
and/or any number and combination of suitable mathematical
computations and/or models.
[0071] It will be understood that processor 32 uses market data 40,
relationship data 62, rules 64, and/or any number and combination
of suitable mathematical computations and/or models to determine
the appropriate quantities of the constituent, related trading
products underlying composite trading order 42. For example, to
calculate how many bond futures are equivalent to a number of cash
fixed income securities, processor 32 may use hedge ratios,
coupons, frequencies, face values, prices, and maturity dates
associated with the related trading products as well as any number
and combination of other suitable factors for weighing related
trading products.
[0072] Although the foregoing example illustrates liquidity pools
70 as being located in the same market center 18, it should be
understood that liquidity pools 70a and 70b may be located in
separate market centers 18. It should be further understood that a
given liquidity pool 70 may be located in one market center 18 or
spread among market centers 18.
[0073] Although the foregoing example illustrates two constituent
trading products underlying composite trading order 42, it should
be understood that composite trading order 42 and/or composite
value 48 may be based on any number and combination of trading
products.
[0074] FIG. 4a illustrates an example of market data 40 according
to one embodiment of the present invention. In the present example,
market data 40 relates to notes and bonds of differing maturities
that are available for trade in market centers 18. Processor 32 is
operable to determine composite value 48 based at least in part on
market data 40. Composite value 48 may be based on market data 40,
preferences 50, relationship data 62, rules 64, and/or any number
and combination of suitable mathematical computations and/or
models.
[0075] FIG. 4b illustrates an example of composite trading order 42
and constituent trading orders 46 according to one embodiment of
the present invention. Trader 24 may use composite value 48 to
submit composite trading order 42 for all or a portion of composite
value 48. In the present example, trader 24 submits composite
trading order 42 for $10,000,000 face value ten-year equivalent
securities. Upon receiving composite trading order 42, processor 32
generates one or more constituent trading orders 46 based on
trading products underlying composite value 48. In generating
constituent trading orders 46, processor 32 relies in part on
preferences 50 associated with trader 24. FIG. 4c illustrates an
example of trader profile 36 according to certain embodiments of
the present invention. Based on trader profile 36 in the present
example, processor 32 determines that trader 24 prefers to use
two-year and five-year notes prior to using three-year notes in
generating constituent trading orders 46. Accordingly, using market
data 40, ruleset 38, and/or preferences 50, processor 32 generates
three constituent trading orders 46 with a collective value of
$10,000,000 face value ten-year equivalent securities. In the
present example, constituent trading orders 46 comprise constituent
trading order 46a for $6,000,000 face value ten-year notes,
constituent trading order 46b for $3,000,000 face value two-year
notes, and constituent trading order 46c for $1,500,000 face value
five-year notes. Processor 32 determines that this combination of
trading products is substantially equivalent to $10,000,000 face
value ten-year notes. Accordingly, processor 32 transmits
constituent trading orders 46 to market centers 18 for
execution.
[0076] In the foregoing example, processor 32 identifies two-year,
three-year, five-year, and ten-year notes as being related trading
products for the purpose of generating composite value 48. It will
be understood, however, that processor 32 may identify any other
related trading products such as, for example, futures contracts on
fixed income securities, interest rate derivatives, equities,
and/or any other trading product, according to ruleset 38 and/or
preferences 50 of a particular trader 24 as configured into system
10.
[0077] In the foregoing example, trader profile 36 associated with
trader 24 comprises preference 50 based on an order of priority
among notes and bonds of differing maturities. It will be
understood, however, that trader profile 36 may comprise any number
of preferences 50. It will also be understood that preferences 50
may be based on price ranges, yield spreads, ratios, and any other
suitable characteristic and combination of characteristics
associated with market data 40 and/or composite trading order
42.
[0078] In some embodiments, system 10 may be configured to generate
composite value 48 and/or composite trading order 42 in response to
any suitable number and combination of conditions. For example, in
one embodiment, system 10 may be configured to generate composite
trading order 42 in response to receiving a traditional trading
order 20 for a particular quantity of a particular trading product
if processor 32 determines, using at least market data 40, that
trading order 20 may not be filled, for example because there is
insufficient liquidity in one or more market centers 18 to
completely or partially fill trading order 20 for the specified
trading product. In this circumstance, processor 32 may then
generate, based at least on preferences 50, a particular composite
trading order 42 that is substantially equivalent to trading order
20. Composite trading order 42 may be based on one or more trading
products that are related to the particular trading product
underlying trading order 20. Processor 32 may generate composite
trading order 42 based on market data 40, preferences 50, ruleset
38, composite value 48, and/or any suitable number and combination
of mathematical calculations and/or models. Using composite trading
order 42, processor 32 may generate one or more constituent trading
orders 46 for one or more trading products underlying composite
trading order 42. In some embodiments, processor 32 may
automatically transmit constituent trading orders 46 to one or
market centers for execution. In other embodiments, client 14 may
first display composite trading order 42 and a message indicating
that there is insufficient liquidity to fill trading order 20
solely with the specified trading product. Trader 24 may then
decide to proceed with composite trading order 42, and using client
14, trader 24 may in a single action submit composite trading order
42 to aggress, substantially simultaneously, across multiple
liquidity pools associated with the trading products underlying
composite trading order 42. Although the foregoing example
illustrates a condition based on receipt of a traditional trading
order 20, it should be understood that system 10 may be configured
with any number and combination of suitable conditions for
generating composite value 48 and/or composite trading order
42.
[0079] In some embodiments, system 10 may be configured to monitor
whether constituent trading orders 46 are filled successfully in
one or more market centers 18. System 10 may consider constituent
trading order 46 "not filled successfully" if it is not filled
completely, not filled within a configurable time period, and/or
not filled according to any suitable criteria. The criteria
defining whether constituent trading order 46 is filled
successfully may be configured by trader 24 as customized
preferences 50, may be based on industry standards, may be
configured as default settings in system 10, and/or may be based on
any suitable factors. When processor 32 determines that a
particular constituent trading order 46 is not filled successfully,
processor 32 may generate one or more new constituent trading
orders 46. The new constituent trading order(s) 46 may be
configured to be substantially equivalent to all of the unfilled
portion of the preceding constituent trading order 46. A new
constituent trading order 46 may be for the same or for different
trading product(s) than was (were) associated with the preceding
constituent trading order 46. A new constituent trading order 46
may be transmitted to the same or to different market center(s) 18
than was (were) associated with the preceding constituent trading
order 46. Processor 46 may generate any number of new constituent
trading orders 46 to be substantially equivalent to a preceding
constituent trading order 46. In some embodiments, the
above-mentioned functions and operations may be referred to as
"multipass" processing of constituent trading orders 46.
[0080] Notably, in some embodiments of multipass processing, the
new constituent trading orders 46 may be based at least in part on
current market data 40. In particular, a new constituent trading
order 46 may be based on different market data 40 than was used to
generate the preceding constituent trading order 46. Because a new
constituent trading order may be based on current market data 40, a
new constituent trading order 46 may be more likely to be
successfully filled than a preceding constituent trading order
46.
[0081] In some embodiments, processor 32 may continue the multipass
processing of constituent trading orders 46 until the associated
composite trading order 42 is filled completely. In other
embodiments, there may be limits on the number of iterations
involved in multipass processing of constituent trading orders 46.
For example, processor 32 may monitor and generate new constituent
trading orders 46 for a certain period of time after receiving
composite trading order 42, for a certain number of iterations, or
according to any number and combination of limits. The limit(s)
associated with multipass processing of constituent trading orders
46 may be defined by trader 24 as customized preferences 50, may be
based on industry standards, may be configured as default settings
in system 10, and/or may be based on any suitable criteria.
[0082] The present invention offers several advantages. It should
be noted that one or more embodiments may benefit from some, none,
or all of the advantages discussed below. One advantage of the
present invention is that it displays to trader 24 a single
composite value 48 representing multiple trading products in
various market centers 18. Accordingly, trader 24 is no longer
required to separately track different trading products and their
relationships.
[0083] As another advantage, system 10 automatically generates
constituent trading orders 46 in order to substantially
simultaneously aggress across liquidity pools 70 of related trading
products. According to certain embodiments, because constituent
trading orders 46 are based on composite trading order 42, there is
typically sufficient liquidity in market centers 18 to quickly fill
constituent trading orders 46. Because constituent trading orders
46 may be filled quickly, the sizes and existence of constituent
trading orders 46 may not become known to other traders 24 before
constituent trading orders 46 are filled. As a result, before
constituent trading orders 46 are filled, other traders 24 may not
be able to adversely affect the prices and/or availability of
trading products associated with constituent trading orders 46
prior to any particular leg of a multi-leg transaction being
executed.
[0084] According to certain embodiments, trader 24 may configure
processor 32 and memory 34 to hold one or more composite trading
orders 42 until composite value 48 reaches a particular limit
and/or threshold. When composite value 48 satisfies the
pre-configured limit and/or threshold, processor 32 may use current
market data 40 to generate constituent trading orders 46 based on
composite trading order 42. Processor 32 may then use constituent
trading orders 46 to aggress across liquidity pools 70 of related
trading products. By configuring processor 32 and memory 34 to hold
composite trading order 42, and not submitting them to market
centers 18 to be queued, the limits and/or intent of trader 24 are
not disclosed to other market participants. When the limits and/or
thresholds associated with composite trading order 42 occur,
processor 32 may submit constituent trading orders 46 to market
centers 18 as fresh trading orders 20. Thus, system 10 may prevent
other market participants from knowing of composite trading orders
42 waiting to aggress various liquidity pools 70.
[0085] As another advantage, client 14 displays to trader 24 a
single composite value 48. Trader 24 may aggress composite value 48
by means of a single input such as, for example, a keystroke, voice
command, mouse click, or any other suitable input. Upon detecting
the input indicating a composite trading order 42, processor 32 may
generate any suitable number and combination of constituent trading
orders 46 based at least in part upon composite trading order 42.
Processor 32 may substantially simultaneously transmit constituent
trading orders 46 to market centers 18 for execution. Thus, with a
single input, trader 24 may effect the submission and execution of
multiple constituent trading orders 46 for related trading
products. Accordingly, system 10 may save trader 24 the time
involved in separately preparing and inputting trading orders 20
for related trading products.
[0086] FIG. 5 illustrates a flow chart for processing a composite
trading order 42 according to one embodiment of the present
invention. The method begins at step 402 where trading platform 12
receives market data from market centers 18. Market data 40
comprises information regarding current market conditions such as,
for example, trading volumes, numbers of outstanding trading orders
20, quantities, best bid/offer prices, trends, and so forth. At
step 404, processor 32 generates composite value 48. Composite
value 48 may be a single value that encompasses the relationships
among and the liquidity of multiple trading products in multiple
market centers 18. In particular, composite value 48 may represent
a weighted quantity of related trading products that are available
for trade in various market centers 18. The related trading
products underlying composite value 48 may correlate in their
performance trends, may be based on the same type of financial
instrument, or may be otherwise related according to any suitable
number and combination of characteristics. Composite value 48 may
be based on market data 40, preferences 50 in trader profile 36,
ruleset 38, and/or any suitable mathematical calculations and/or
models for determining relationships among trading products.
Processor 32 may update composite value 48 as market data 40 is
received from market centers 18.
[0087] At step 406, client 14 displays composite value 48 to trader
24. At step 408, client 14 receives composite trading order 42 from
a trader 24. Composite trading order 42 may be input into client 14
using a single input such as, for example, a keystroke, voice
command, mouse click, or any other suitable input mechanism.
Composite trading order 42 may be a quantity equal to all or a
portion of composite value 48.
[0088] At step 410, processor 32 may generate one or more
constituent trading orders 46 associated with one or more trading
products underlying composite value 48. To determine the relative
size and weights of constituent trading orders 46, processor 32 may
use market data 40, ruleset 38, preferences 50, and/or any number
and combination of suitable mathematical calculations and/or
models. In certain situations, ruleset 38, preferences 50, and/or
any number and combination of suitable mathematical calculations
and/or models may indicate that composite trading order 42 may be
substantially equivalent to a single trading order 20 for a
particular trading product. More typically, composite trading order
42 would be substantially equivalent to a group of constituent
trading orders 46, each of which acts as a single trading order 20,
but which collectively comprise composite trading order 42.
[0089] At step 412, processor 32 may, substantially simultaneously,
transmit constituent trading orders 46 to market centers 18 for
execution. Thus, system 10 may enable trader 24 to aggress multiple
liquidity pools 70 of related trading products in a single
action.
[0090] Although the present invention has been described in several
embodiments, a myriad of changes and modifications may be suggested
to one skilled in the art, and it is intended that the present
invention encompass such changes and modifications as fall within
the scope of the present appended claims.
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