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US 7,548,876 B2Granted
Systems and methods for providing volume-weighted average price auction trading
AssigneeeSpeed, Inc.
InventorsHoward W. Lutnick, Timothy D. Jones
Life of this patent
Estimating the term…
Abstract
Systems and methods for providing traders with an opportunity to trade on the VWAP price are provided. After a trader enters a VWAP auction session, the trader has a predetermined about of time (i.e., the length of the VWAP auction period) to place bids and/or offers on an item. When the VWAP auction period ends, the electronic trading application matches the VWAP orders. The VWAP orders that are not matched are cancelled. The electronic trading application collects trading information (e.g., price, size, etc.) corresponding to the received orders. The collected information is processed to determine the VWAP price. The VWAP price is presented to the trader and the matched VWAP orders are filled based on the determined VWAP price.
Claims51
A method comprising:
- receiving by a computing server having an electronic trading application thereon a plurality of VWAP orders for an item from a plurality of workstations in use by respective traders,
- wherein the VWAP orders are received as part of an auction wherein the VWAP orders are to be matched and then filled based at least in part at a VWAP price that is determined as part of the auction;
- wherein each VWAP order comprises or defines a price and comprises a size;
- wherein at least one of the plurality of VWAP orders comprises a bid to buy the item at the VWAP price offset by a price increment;
- wherein at least another of the plurality of VWAP orders comprises an offer to sell the item at the VWAP price offset by the price increment;
- and
- wherein the computing server and the plurality of workstations are communicatively coupled via a communications network;
- matching at least in part by the computing server the plurality of VWAP orders, wherein matching the plurality of VWAP orders includes matching the bid with the offer at a price that includes the VWAP price offset by the price increment;
- collecting by the computing server sizes and prices at which the VWAP orders are matched, wherein at least one of the collected prices includes the price at which the bid and the offer are matched;
- collecting by the computing server a plurality of trade prices and trade sizes of the item,
- wherein external orders comprise the trade prices and the trade sizes;
- and
- wherein the external orders are not the VWAP orders;
- determining by the computing server the VWAP price based at least in part on:
- (i) the collected trade prices and trade sizes, and
- (ii) the collected sizes and prices at which the VWAP orders are matched;
- and
- filling by the computing server the matched VWAP orders based at least in part on the determined VWAP price.
15 more elements
An apparatus comprising:
- at least one processor;
- and
- a memory, wherein the memory stores instructions which, when executed by the at least one processor, direct the at least one processor to:
- receive a plurality of VWAP orders for an item from a plurality of workstations in use by respective traders,
- wherein the VWAP orders are received as part of an auction wherein the VWAP orders are to be matched and then filled based at least in part at a VWAP price that is determined as part of the auction;
- wherein each VWAP order comprises or defines a price and comprises a size;
- wherein at least one of the plurality of VWAP orders comprises a bid to buy the item at the VWAP price offset by a price increment;
- wherein at least another of the plurality of VWAP orders comprises an offer to sell the item at the VWAP price offset by the price increment;
- and
- wherein the apparatus is operable to communicate with the plurality of workstations via a communication network;
- match at least in part the plurality of VWAP orders, wherein to match the plurality of VWAP orders includes to match the bid with the offer at a price that includes the VWAP price offset by the price increment;
- collect sizes and prices at which the VWAP orders are matched, wherein at least one of the collected prices includes the price at which the bid and the offer are matched;
- collect a plurality of trade prices and trade sizes of the item,
- wherein external orders comprise the trade prices and the trade sizes;
- and
- wherein the external orders are not the VWAP orders;
- determine the VWAP price based at least in part on:
- (i) the collected trade prices and trade sizes, and
- (ii) the collected sizes and prices at which the VWAP orders are matched;
- and
- fill the matched VWAP orders based at least in part on the determined VWAP price.
18 more elements
A method comprising:
- receiving by a computing server having an electronic trading application thereon a plurality of VWAP orders for an item from a plurality of workstations in use by respective traders,
- wherein the VWAP orders are received as part of an auction wherein the VWAP orders are to be matched and then filled based at least in part at a VWAP price that is determined as part of the auction;
- wherein each VWAP order comprises or defines a price and comprises a size;
- wherein at least one of the plurality of VWAP orders comprises a bid to buy the item at the VWAP price offset by a price increment;
- wherein at least another of the plurality of VWAP orders comprises an offer to sell the item at the VWAP price offset by the price increment;
- and
- wherein the computing server and the plurality of workstations are communicatively coupled via a communications network;
- matching at least in part by the computing server the plurality of VWAP orders, wherein matching the plurality of VWAP orders includes matching the bid with the offer at a price that includes the VWAP price offset by the price increment;
- collecting by the computing server sizes and prices at which the VWAP orders are matched, wherein at least one of the collected prices includes the price at which the bid and the offer are matched;
- collecting by the computing server a plurality of trade prices and trade sizes of the item,
- wherein external orders comprise the trade prices and the trade sizes;
- and
- wherein the external orders are not the VWAP orders;
- determining the VWAP price based at least in part on:
- (i) the collected trade prices and trades sizes;
- and
- (ii) the collected sizes and prices at which the VWAP orders are matched;
- and
- communicating by the computing server the determined VWAP price to at least one trader via the workstation in use by that trader.
16 more elements
An apparatus comprising:
- at least one processor;
- and
- a memory, wherein the memory stores instructions which, when executed by the at least one processor, direct the at least one processor to:
- receive a plurality of VWAP orders for an item from a plurality of workstations in use by respective traders,
- wherein the VWAP orders are received as part of an auction wherein the VWAP orders are to be matched and then filled based at least in part at a VWAP price that is determined as part of the auction;
- wherein each VWAP order comprises or defines a price and comprises a size;
- wherein at least one of the plurality of VWAP orders comprises a bid to buy the item at the VWAP price offset by a price increment;
- wherein at least another of the plurality of VWAP orders comprises an offer to sell the item at the VWAP price offset by the price increment;
- and
- wherein the apparatus is operable to communicate with the plurality of workstations via a communication network;
- match at least in part the plurality of VWAP orders, wherein to match the plurality of VWAP orders includes to match the bid with the offer at a price that includes the VWAP price offset by the price increment;
- collect sizes and prices at which the VWAP orders are matched, wherein at least one of the collected prices includes the price at which the bid and the offer are matched;
- collect a plurality of trade prices and trade sizes of the item,
- wherein external orders comprise the trade prices and the trade sizes;
- and
- wherein the external orders are not the VWAP orders;
- determining the VWAP price based at least in part on:
- (i) the collected trade prices and trades sizes, and
- (ii) the collected sizes and prices at which the VWAP orders are matched;
- and
- communicate the determined VWAP price to at least one trader via the workstation in use by that trader.
18 more elements
Dependencies are inferred from the claim text.