US 7,627,520 B2Granted

System and method for calculating optimal rates in a multi-source price engine in over the counter markets

AssigneeCurrenex, Inc.

InventorsKelly James Fletcher Wilson, Cary David Rosenwald, Sean Michael Gilman, Richard Hartheimer

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Abstract

A system and method calculate an optimal rates in a multi-source price engine in over the counter (OTC) markets. The system and method integrate rates from multiple liquidity sources to generate an output rate that can be transacted upon. Specifically, the system and method calculate a best bid/offer rate from input rates provided by multiple liquidity sources and apply a target spread and minimum profit to the best bid/offer rate to generate an optimal output rate. The optimal output rate may be a function of many factors, including market conditions, customer credit, and the preferences of the market maker or broker.

Claims31

Dependent claims

A computer implemented method for calculating optimal rates in a multi-source price engine in over the counter (OTC) markets, the method being executed by a computer system, the method comprising:

accepting, at the computer system, rates provided by a plurality of market makers;
inputting, at the computer system, the rates as base rates, wherein each base rate includes a base bid rate and a base offer rate;
calculating, by the computer system, a best bid/offer rate from the base rates by selecting a highest bid rate from the base bid rate inputted for each of the base rates at an instant and selecting a lowest offer rate from the base offer rate inputted for each of the base rates at an instant;
calculating a best bid/offer spread as a difference between the lowest offer rate and the highest bid rate;
retrieving from a database, by the computer system, a target spread;
calculating, by the computer system, a target best bid/offer rate by applying the target spread to the best bid/offer rate, wherein a difference between a target best offer rate and a target best bid rate is equal to the target spread, wherein the step of calculating by the computer system, the target best bid/offer rate includes:
comparing, by the computer system, the target spread with the best bid/offer spread;
when the best bid/offer spread is less than the target spread, creating, by the computer system, the target best bid/offer rate by automatically adjusting the best bid/offer rate so that the difference is equal to the target spread;
and
generating, by the computer system, output rates based on the target best bid/offer rate so that each output rate is equal to the target best bid/offer rate or has an output spread greater than the target spread.

7 more elements

A system for calculating optimal rates in a multi-source price engine in over the counter (OTC) markets, comprising:

a processor of a computer system configured to accept rates from price engines in a plurality of market makers and configured to input the rates as base rates,
wherein each base rate includes a base bid rate and a base offer rate, wherein the processor is configured to:
calculate a best bid/offer rate from the base rates by selecting a highest bid rate from the base bid rate inputted for each of the base rates at an instant and selecting a lowest offer rate from the base offer rate inputted for each of the base rates at an instant;
calculate a best bid/offer spread as a difference between the lowest offer rate and the highest bid rate;
retrieve from a database a target spread;
calculate a target best bid/offer rate by applying the target spread to the best bid/offer rate, wherein a difference between a target best offer rate and a target best bid rate is equal to the target spread, wherein the processor calculates the target best bid/offer rate by comparing the target spread with the best bid/offer spread and when the best bid/offer spread is less than the target spread, the processor creates the target best bid/offer rate by automatically adjusting the best bid/offer rate so that the difference is equal to the target spread;
and
generate output rates based on the target best bid/offer rate so that each output rate is equal to the target best bid/offer rate or has an output spread greater than the target spread;
and
a network connecting the computer system with the price engines.

7 more elements

A computer readable medium having executable instructions which when executed cause a computer to perform steps comprising:

accepting rates provided by a plurality of market makers;
inputting the rates as base rates, wherein each base rate includes a base bid rate and a base offer rate;
calculating a best bid/offer rate from the base rates by selecting a highest bid rate from the base bid rate inputted for each of the base rates at an instant and selecting a lowest offer rate from the base offer rate inputted for each of the base rates at an instant;
calculating a best bid/offer spread as a difference between the lowest offer rate and the highest bid rate;
retrieving from a database a target spread;
calculating a target best bid/offer rate by applying the target spread to the best bid/offer rate, wherein a difference between a target best offer rate and a target best bid rate is equal to the target spread, wherein calculating the target best bid/offer rate includes:
comparing the target spread with the best bid/offer spread;
when the best bid/offer spread is less than the target spread, creating the target best bid/offer rate by automatically adjusting the best bid/offer rate so that the difference is equal to the target spread;
and
generating output rates based on the target best bid/offer rate so that each output rate is equal to the target best bid/offer rate or has an output spread greater than the target spread.

7 more elements

Dependencies are inferred from the claim text.