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US 8,015,098 B2Granted
Sell-side benchmarking of security trading
AssigneeThe NASDAQ OMX Group, Inc.
InventorsClaude Courbois, Jeffrey F. Kimsey
Life of this patent
Estimating the term…
Abstract
A benchmark price reflective of trading in a financial instrument for benchmarking sell-side traders performance is provided by calculating based on received trades a buy volume weighted average price and a sell volume weighted average price for every contra-side party trading in a selected security during a period of time. Ineligible contra-parties are filter out from the determined buy and sell volume weighted average prices and the remaining contra-parties are ranked based on the determined volume weighted average prices from best price to worst to produce ranked, buy volume weighted average prices and ranked sell volume weighted average prices.
Claims32
A method executed in a computer system, the method comprising:
- receiving reports of trades in securities, each of the trades including contra-side party information for each side of each trade;
- for a plurality of contra-side parties, calculating, by one or more computers, based on the received reports of trades, a buy volume weighted average price associated with a particular party buying a selected security during a selected period of time and a sell volume weighted average price associated with the particular party selling the selected security during the selected period of time;
- filtering out, by the one or more computers, ineligible contra-parties to the calculated volume weighted average buy and sell prices to generate a set of remaining contra-parties;
- and
- generating, by the one or more computers, a first ranking comprising ranked buy volume weighted average prices for the remaining, contra-parties by ranking the remaining contra-parties based on the calculated buy volume weighted average prices from best price to worst price;
- and
- generating, by the one or more computers, a second ranking that is separate from the first ranking, the second ranking comprising ranked sell volume weighted average prices for the remaining, contra-parties by ranking the remaining contra-parties based on the calculated sell volume weighted average prices from best price to worst price.
4 more elements
A non-transitory computer readable medium comprising instructions for causing a computer to:
- for a plurality of contra-side parties, calculate, based on received trades, a buy volume weighted average price associated with a particular party buying a selected security during a period of time and a sell volume weighted average price associated with the particular party selling the selected security during the period of time;
- filter out calculated buy and sell volume weighted average prices for ineligible contra-parties to generate a set of remaining contra-parties;
- generate a first ranking comprising ranked buy volume average prices for the remaining contra-parties based on the calculated volume weighted average prices from best price to worst price to produce a ranked, buy volume weighted average price;
- and
- generate a second ranking that is separate from the first ranking, the second ranking comprising ranked sell volume weighted average prices for the remaining contra-parties based on the calculated volume weighted average prices from best price to worst to produce a ranked, sell volume weighted average price.
2 more elements
A computer system comprising:
- a processor:
- a memory;
- and
- a computer readable medium storing a computer program product, the computer program product for determining a benchmarking price reflective of trading in a financial instrument, the computer program product comprises instructions for causing the computer system to:
- for a plurality of contra-side parties, calculate, based on received trades, a buy volume weighted average price associated with a particular party buying a selected security during a period of time and a sell volume weighted average price associated with the particular party selling the selected security during the period of time;
- filter out calculated buy and sell volume weighted average prices for ineligible contra-parties to generate a set of remaining contra-parties;
- generate a first ranking comprising ranked buy volume average prices for the remaining contra-parties based on the calculated volume weighted average prices from best price to worst price to produce a ranked, buy volume weighted average price;
- and
- generate a second ranking that is separate from the first ranking, the second ranking comprising ranked sell volume weighted average prices for the remaining contra-parties based on the calculated volume weighted average prices from best price to worst to produce a ranked, sell volume weighted average price.
6 more elements
A non-transitory computer readable medium comprising instructions for causing a computer to:
- for a plurality of contra-side parties, calculate, based on received, filtered trades, a buy volume weighted average price associated with a particular party buying a selected security during a period of time and a sell volume weighted average price associated with the particular party selling the selected security during the period of time, with the filtered trades excluding trades that occurred at closing, during a firm internal cross of orders from two of the firm's customers and print-back trades;
- filter out the calculated buy and sell volume weighted average prices for ineligible contra-parties with ineligible contra-parties being parties that do not provide trading services or that only bought or sold a relatively small amount of shares during the period to generate a set of remaining contra-parties;
- generate a first ranking comprising ranked buy volume average prices for the remaining contra-parties based on the calculated volume weighted average prices from best price to worst to produce a ranked, buy volume weighted average price;
- and
- generate a second ranking that is separate from the first ranking, the second ranking comprising ranked sell volume weighted average prices for the remaining contra-parties based on the calculated volume weighted average prices from best price to worst to produce a ranked, sell volume weighted average price.
2 more elements
A method executed in a computer system, the method comprising:
- processing, in a computer, at an end of a pre-determined time interval, information about trades that occurred during the pre-determined time interval for a particular security, each of the trades including contra-side party information for each side of the trade,
- filtering out ineligible trades that occurred during the pre-determined time interval
- for a plurality of contra-side parties, calculating, by one or more computers, based on the filtered trades, a buy volume weighted average price associated with a particular party buying a selected security during a selected period of time and a sell volume weighted average price associated with the particular party selling the selected security during the selected period of time;
- filtering out ineligible contra-parties to the calculated volume weighted average buy and sell prices to generate a set of remaining contra-parties;
- and
- generating, by the one or more computers, ranked buy volume weighted average prices for the remaining contra-parties by ranking the remaining contra-parties based on the calculated buy volume weighted average prices from best price to worst price;
- and
- generating, by the one or more computers, ranked sell volume weighted average prices for the remaining contra-parties by ranking the remaining contra-parties based on the calculated sell volume weighted average prices from best price to worst price.
5 more elements
Dependencies are inferred from the claim text.