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Block trading system and method providing price improvement to aggressive orders

An order and price technology, used in data processing applications, finance, instruments, etc.

Inactive Publication Date: 2007-12-05
PIPELINE FINANCIAL GROUP
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0014] In short, the challenge is to prevent an electronically executable order at an aggressive limit price from actually being executed at such an aggressive price when the counterparty is in fact willing to be aggressive as well.

Method used

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  • Block trading system and method providing price improvement to aggressive orders
  • Block trading system and method providing price improvement to aggressive orders
  • Block trading system and method providing price improvement to aggressive orders

Examples

Experimental program
Comparison scheme
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Embodiment Construction

[0048] The following is a detailed description of preferred and alternative embodiments of the invention.

[0049] key features. The following is a preferred list of features of the invention:

[0050] 1. Secret bulk matching. Orders are routed to a matching engine that matches orders with price time priority and reports locked trades for clearing. The matching engine can be hosted remotely.

[0051] 2. Bulk quantity. All orders are preferably entered in multiples of the block quantity allocated for each security. By encouraging users to use the same order quantity, the amount of the block security prevents gaming and alleviates the "buyer's remorse" problem or fear of the wrong side after the fill is complete.

[0052] 3. ACTIVE SYMBOL notification. In an alternative embodiment, the system also notifies the user when it is determined that both parties to the security transaction are interested in the block trade. This focuses attention on order entry in a timely manner...

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PUM

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Abstract

The present invention comprises systems and methods for facilitation of electronic securities trading. A preferred system embodiment comprises a trade facilitation computer system comprising a facilitator module, a :financial information exchange server, a transactional database, and an analytics sever operative to calculate reference prices for securities. A preferred method embodiment comprises the steps of receiving market data for a security; calculating a reference price for the security; receiving a first order comprising a first price limit aid a first quantity limit; receiving a second order contra to the first order and comprising a second price limit and a second quantity limit; and executing a trade comprising the first order and the second order at a price whose difference from the reference price is minimized, wherein the trade complies with the first and second price and first and second quantity limits.

Description

[0001] Cross Reference Related Applications [0002] This application is a continuation-in-part of U.S. Patent Application Serial No. 10 / 603,100, filed June 24, 2003, which is a continuation-in-part of U.S. Patent Application Serial No. 09 / 870,845, filed May 31, 2001 Continuation, U.S. Patent Application No. 09 / 870,845 is a continuation-in-part of U.S. Patent Application No. 09 / 750,768, filed December 29, 2000, U.S. Patent Application No. 09 / 750,768, filed June 1, 2000 Part continuation of Application No. 09 / 585,049. Each of the applications listed above is hereby incorporated by reference in its entirety. technical field [0003] The present invention relates to a method of managing information to allow block trade interest to be concentrated on a private matching ledger and to conduct block trades over a computer network such as the Internet. Background technique [0004] In public securities markets, market mechanisms and trading psychology create barriers to the dissem...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/00
CPCG06Q40/04
Inventor 亨里·沃尔布罗克弗雷德·J·费德斯皮尔约翰·E·洛佩斯
Owner PIPELINE FINANCIAL GROUP