US 7,689,500 B2Granted

System and method for facilitating trading in an electronic market

AssigneeLIFFE Administration and Management

InventorStephen Cottrell

Life of this patent

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Abstract

A method and system for facilitating trading of financial instruments in a market are provided. The system comprises a server and an interface. The interface is configured to enable buy orders and sell orders to be entered. Each order has a price, a volume, and an entry time and relates to a respective futures contract. The server is configured to match received buy orders having a first price to received sell orders having the first price. The match is effected by ensuring that the prices match, and then using the volume and entry time for each buy order and each sell order to assign a volume weight and a time weight, and then using the volume weights and the time weights to determine each match. The server uses the matches to complete respective trades. The volume and time weights may be adjusted based on market conditions.

Claims14

Dependent claims

A system for facilitating trading of futures contracts in a market, the system comprising:

a server at which futures contracts are traded;
and
an interface in communication with the server, the interface being configured to receive entry of at least one of a buy order and a sell order, each buy order and each sell order having a price, a volume, and an entry time and relating to a respective futures contract;
wherein the server is configured to receive a plurality of buy orders and sell orders from the interface, and to match buy orders relating to a first futures contract and having a first price to sell orders relating to the first futures contract and having the first price by, for each buy order and each sell order, using the volume and entry time to assign a volume weight and a time weight, and using the volume weights and the time weights to determine each match;
and
wherein the server is further configured to use each determined match to complete a respective trade, and
wherein the server is further configured to determine each match according to a first algorithm which is expressible as
f
n
=
w
v
(
v
n
∑
r
=
1
N
⁢
v
r
)
+
w
t
(
(
N
+
C
)
-
n
∑
r
=
1
N
⁢
r
)
w
v
+
w
t
wherein each buy or sell order relating to the first futures contract is assigned a value of n based on a time order of receipt;
N=a total number of buy or sell orders relating to the first futures contract;
vn=a volume of the nth buy or sell order;
r=a whole number greater than or equal to 1 and less than or equal to N;
vr=a volume of the rth buy or sell order;
C=a time offset;
wv=the assigned volume weight;
wt=the assigned time weight;
and fn=a resultant pro-rata factor for the nth buy or sell order.

54 more elements

A method of trading of futures contracts in a market, the method comprising the steps of:

receiving from a plurality of users entry of buy orders and sell orders, each buy order and each sell order having a price, a volume, and an entry time and relating to a respective futures contract;
using a computer to assign a volume weight and a time weight to each buy order relating to a first futures contract and having a first price based on its respective volume and entry time;
using a computer to assign a volume weight and a time weight to each sell order relating to the first futures contract and having the first price based on its respective volume and entry time;
using a computer to match buy orders having the first price to sell orders having the first price using the assigned respective volume weights and time weights;
and
using the matched buy orders and sell orders to complete at least one trade,
wherein the step of using a computer to match buy orders to sell orders further comprises using the assigned respective volume weights and time weights according to a first algorithm which is expressible as
f
n
=
w
v
(
v
n
∑
r
=
1
N
⁢
v
r
)
+
w
t
(
(
N
+
C
)
-
n
∑
r
=
1
N
⁢
r
)
w
v
+
w
t
wherein each buy or sell order relating to the first futures contract is assigned a value of n based on a time order of receipt;
N=a total number of buy or sell orders relating to the first futures contract;
vn=a volume of the nth buy or sell order;
r=a whole number greater than or equal to 1 and less than or equal to N;
vr=a volume of the rth buy or sell order;
C=a time offset;
wv=the assigned volume weight;
wt=the assigned time weight;
and fn=a resultant pro-rata factor for the nth buy or sell order.

54 more elements

Dependencies are inferred from the claim text.

Facts

Application: 11/537,733Filed 2 Oct 2006
Published: US 2008/0091586 A117 Apr 2008
Granted: 30 Mar 2010
Term ends: Not estimatedThe source records don’t support an estimate.

Classification4 codes

G06Q 40/06
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: asset management; Financial planning or analysis
G06Q 40/00
Finance
G06Q 40/04
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: trading; Exchange, e.g. stocks, commodities, derivatives or currency…
G06Q
Information and communication technology [ict] specially adapted for administrative, commercial, financial, managerial