System and method for providing price validation for market makers in over the counter markets

A system for providing price validation for market makers in over the counter (OTC) markets, comprising:

• a price integration layer that accepts raw rates from price engines in a plurality of market makers and aggregates the raw rates provided by the plurality of market makers, wherein the raw rates are bid and offer prices provided by the plurality of market makers;
• a price validation module that accepts the aggregated rates from the price integration layer, calculates a bid base rate and an offer base rate based on the aggregated rates, validates a new bid or offer source rate by comparing the new bid or offer source rate provided by a first market maker with the corresponding bid or offer base rate, and adds the validated new bid or offer source rate to a group of one or more validated rates, wherein the new bid or offer source rate is valid when a unilateral difference between the new bid or offer source rate and the corresponding bid or offer base rate is less than or equal to a first configurable tolerance, and wherein the unilateral difference is an amount that the new bid source rate is greater than the bid base rate or an amount that the new offer source rate is less than the offer base rate;
• a matching engine that accepts the validated rates and matches the validated rates with orders from customers;
• and
• a network connecting the price validation module with the price engines.

A computer readable medium providing instructions for providing price validation for market makers in over the counter (OTC) markets, the instructions being executed on a computer and comprising:

• accepting raw rates from price engines in a plurality of market makers, wherein the raw rates are bid and offer prices provided by the plurality of market makers;
• aggregating the raw rates provided by the plurality of market makers;
• inputting the raw rates to a price validation module;
• calculating a bid base rate and an offer base rate based on the raw rates provided by the plurality of market makers;
• validating a new bid or offer source rate by comparing the new bid or offer source rate provided by a first market maker with the corresponding bid or offer base rate, wherein the new bid or offer source rate is valid when a unilateral difference between the new bid or offer source rate and the corresponding bid or offer base rate is less than or equal to a first configurable tolerance, and wherein the unilateral difference is an amount that the new bid source rate is greater than the bid base rate or an amount that the new offer source rate is less than the offer base rate;
• adding the validated new source bid or offer rate to a group of one or more validated rates;
• and
• inputting the validated rates into a matching engine, wherein the matching engine matches the validated rates with orders from customers.