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US 10,853,878 B2Granted
Pairs trading system and method
AssigneeNYSE Group, Inc.
InventorThomas F. Haller
Life of this patent
Estimating the term…
Abstract
A trading platform adapted for pairs trading of unrelated securities from one or more asset classes using a single order approach is provided.
Claims11
A computer-implemented method, said method comprising:
- in a computer system comprising a pairing module, a trading engine module, an order books module and at least one database, said database defining an order book associated with a unique identifier and storing data defining pre-defined pairs of unrelated securities corresponding to the unique identifier as single orders in said order book:
- displaying, on a display device of at least one trader computing device, in a searchable and selectable format, the pre-defined pairs of unrelated securities, the at least one trader computing device being among one or more remote trader computing devices;
- receiving, by the pairing module, from the display device, input comprising a request to pair a combination of a first proposed leg and a second proposed leg of unrelated securities associated with different asset classes, said combination absent from among the pre-defined pairs;
- assessing, by the pairing module, aspects of both the first proposed leg and the second proposed leg together with capabilities of the trading engine module to determine whether the trading engine module is configured to both match and execute the first proposed leg and the second proposed leg as a single transaction;
- creating, by the pairing module, a pair of said combination and assigning a new unique identifier to said combination when it is determined that the trading engine module is configured to both match and execute the first proposed leg and the second proposed leg as the single transaction;
- displaying, on at least one among the one or more remote trader computing devices, the created pair together with the pre-defined pairs in the searchable and selectable format;
- receiving, by the pairing module, order information associated with the created pair of said unrelated securities from among at least one of the one or more remote trader computing devices;
- and
- creating, by the trading engine module, a pairs trade order corresponding to the created pair of said unrelated securities including the new unique identifier, based on the received order information.
6 more elements
A computer system comprising:
- a memory component;
- at least one database defining an order book associated with a unique identifier, said database configured to store data defining pre-defined pairs of unrelated securities corresponding to the unique identifier as single orders in said order book;
- a processing component coupled to said memory component, wherein the processing component comprises a pairs trading platform, the pairs trading platform comprising a pairing module, a trading engine module, and an order book module, the pairs trading platform configured to:
- display, on a display device of at least one trader computing device, in a searchable and selectable format, the pre-defined pairs of unrelated securities, the at least one trader computing device being among one or more remote trader computing devices;
- receive, at the pairing module, from the display device, input comprising a request to pair a combination of a first proposed leg and a second proposed leg of unrelated securities associated with different asset classes, said combination absent from among the pre-defined pairs;
- assess, by the pairing module, aspects of both the first proposed leg and the second proposed leg together with capabilities of the trading engine module to determine whether the trading engine module is configured to both match and execute the first proposed leg and the second proposed leg as a single transaction;
- create, at the pairing module, a pair of said combination and assign a new unique identifier to said combination, when it is determined that the trading engine module is configured to both match and execute the first proposed leg and the second proposed leg as the single transaction;
- display, on at least one among the one or more remote trader computing devices, the created pair together with the pre-defined pairs in the searchable and selectable format;
- receive, by the pairing module, order information associated with the created pair of said unrelated securities from among at least one of the one or more remote trader computing devices;
- and
- create, by the trading engine module, a pairs trade order corresponding to the created pair of said unrelated securities including the new unique identifier, based on the received order information.
8 more elements
Dependencies are inferred from the claim text.