Price improvement in electronic trading system
AssigneeEBS Group Limited
InventorEdward R. Howorka
Life of this patent
Estimating the term…
Abstract
Price improvement in credit screened trading systems is achieved by entering a maximum price improvement (MPI) amount with a maker quote. The system prepares separate quote queues for each trading floor including only quotes where bilateral credit exists. Quotes are arranged using Price, MPI, time priority. When a quote is dealt, a dealable price improvement is calculated as the amount of the MPI required to improve the dealt quote's position in the queue.
Claims20
A method of determining a dealable price improvement (DPI) of a dealable quote in a credit-screened electronic trading system comprising a computer network including one or more computers, the electronic trading system being in communication with individual trader workstations grouped into trading floors, a dealable quote comprising a quote submitted by a maker trading floor that can be dealt by a taker trading floor based on the taker trading floor's credit with the maker trading floor, the method comprising:
- at least one computer of the one or more computers of the system receiving quotes input into the system from maker traders in a maker trading floor, each of the received quotes including an indication of a maximum quote price improvement;
- at least one computer of the one or more computers of the system forming a credit-screened queue of dealable quotes, for each taker trading floor trading on the trading system via the computer network, that has been credit-screened from among the quotes that have been received by the system from maker traders, the queue of dealable quotes formed for each taker trading floor being ordered in the queue on a price, maximum price improvement, and quote submission time priority;
- and
- at least one computer of the one or more computers of the system calculating, for each taker trading floor trading on the trading system via the computer network, the DPI for at least the quote at the top of the queue of dealable quotes, the DPI comprising an amount of the maximum price improvement required to price improve the quote with respect to other quotes in the queue of dealable quotes at the same price, DPI being no greater than the maximum price improvement included in the quote when the quote was submitted by the maker trader.
A method of determining a deal price of a dealable quote in a credit-screened electronic trading system comprising a computer network including one or more computers, the electronic trading system being in communication with individual trader workstations grouped into trading floors, a dealable quote comprising a quote submitted by a maker trading floor that can be dealt by a taker trading floor based on the taker trading floor's credit with the maker trading floor, the method comprising:
- at least one computer of the one or more computers of the system receiving quotes input into the system from maker traders in a maker trading floor, each of the received quotes including a quote price and an indication of a maximum quote price improvement;
- at least one computer of the one or more computers of the system forming a credit-screened queue of dealable quotes, for each taker trading floor trading on the trading system via the computer network, that has been credit-screened from among the quotes that have been received by the system from maker traders, the queue of dealable quotes formed for each taker trading floor being ordered in the queue on a price, maximum price improvement, and quote submission time priority;
- at least one computer of the one or more computers of the system calculating, for each taker trading floor trading on the trading system via the computer network, a dealable price improvement (DPI) for at least the quote at the top of the queue of dealable quotes, the DPI comprising an amount of the maximum price improvement required to price improve the quote with respect to other quotes in the queue of dealable quotes at the same price, the DPI being no greater than the maximum price improvement included in the quote when the quote was submitted by the maker trader;
- and
- at least one computer of the one or more computers of the system adding the DPI to the quote price to determine the deal price.
Dependencies are inferred from the claim text.