Method for market making
AssigneeThe Olsen Group
InventorsUlrich A. Müller, Richard B. Olsen
Life of this patent
Estimating the term…
Abstract
A preferred embodiment of the subject invention automates the market making process for currency trading. When a quote request for a currency is received from a client (preferably over a computer network such as the Internet), software of a preferred embodiment calculates a real-time bid and ask price for the currency. The subject invention is applicable to any asset for which market making is appropriate, and is not restricted to currency exchange.
Claims36
A method performed by a computer of market making in an asset trading system, comprising the steps of:
- (a) receiving asset price data for a first asset;
- (b) receiving current system position information for the first asset;
- (c) receiving quote request information for the first asset;
- (d) calculating target position information for the first asset for each of one or more trading models;
- and
- (e) calculating with the computer a bid/ask quote in response to said received quote request information, said calculation of a bid/ask quote using a hedging method and being based on said asset price data, said quote request information, said current system position information, and said target position information.
A computer-readable medium, having computer code executable by a computer for:
- (a) receiving asset price data for a first asset;
- (b) receiving current system position information for the first asset;
- (c) receiving quote request information for the first asset;
- (d) calculating target position information for the first asset for each of one or more trading models;
- and
- (e) calculating a bid/ask quote in response to said received quote request information, said calculation of a bid/ask quote using a hedging method and being based on said asset price data, said quote request information, said current system position information, and said target position information.
Dependencies are inferred from the claim text.