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US 8,527,391 B2Granted
Quote inactivation system and method for an automated exchange for trading derivative securities
AssigneeInternational Securities Exchange, LLC
InventorsRobert J. Siverson, Greg J. Maynard
Life of this patent
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Abstract
An automated system and method for trading option instruments on an automated exchange comprising a participant system for communicating with an automated exchange system. The disclosed system and method allows a market professional such as a market maker to inactivate the quotes in instruments for a related product while the market maker's quoting engine continues to update the quotes. Also disclosed is a system and method for reducing load on a exchange network in recalculating a best bid and offer price. Disclosed herein is a system and method for maintaining control over professional quotes for the purchase and sale of option instruments for a product in an exchange system.
Claims10
A system for trading financial instruments on an automated exchange comprising:
- a participant computer system for communicating with an automated exchange system including;
- a processor;
- a memory, the memory including
- program memory for a quote engine that electronically generates a plurality of quotes for the purchase and sale of an instrument,
- program memory for a program, that, when the processor executes program instructions, generates a quote handling instruction for the plurality of quotes for the instrument, wherein the quote handling instruction includes
- instructing the exchange system to make the quotes inactive for a transaction thereon, wherein the quotes remain on the exchange system while inactive, and
- instructing the exchange system to reactivate the quotes for a transaction thereon;
- and
- an interface operatively connected to a network and adapted to transmit the quotes to the exchange system, and transmit the quote handling instruction to the exchange system;
- and
- the automated exchange for trading a financial instrument, the automated exchange including:
- a server having a processor;
- an interface operatively connected to the network and adapted to receive the plurality of quotes for the purchase or sale of the instrument, and the quote handling instruction;
- and
- a memory, the memory including
- program memory for a program that, when the processor executes program instructions,
- makes the received quotes unavailable for a transaction thereon if the received quote handling instruction instructs the exchange system to make the quotes inactive, wherein the quotes remain on the exchange system while inactive;
- makes the received quotes available for a transaction thereon if the received quote handling instruction instructs the exchange system to reactivate the quotes;
- executes an update of quotes on the exchange for a best bid and offer calculation;
- calculates the best bid and offer as a function of the update;
- and
- operates a timer configured to interpose a plurality of delays over a plurality of successive predetermined time periods upon the execution of a quote handling instruction,
- wherein the quotes subject to the quote handling instruction do not trigger the update of the best bid and offer during a first time period, wherein the matching engine updates the best bid and offer triggered by quotes other than the quotes subject to the quote handling instruction during the first time period, and wherein a predetermined portion of the quotes subject to the quote handling instruction trigger the best bid and offer update after a subsequent time period of the plurality of time periods expires.
20 more elements
An automated exchange for trading a financial instrument, including:
- a server having a processor,
- an interface operatively connected to a network and adapted to receive a plurality of quotes for the purchase or sale of an instrument and a quote handling instruction;
- and
- a memory, the memory including
- program memory for a program that, when the processor executes program instructions,
- makes the received quotes unavailable for a trade thereon if the received quote handling instruction instructs the exchange system to make the quotes inactive for a transaction thereon, wherein the quotes remain on the exchange system while inactive;
- and
- makes the received quote available for a trade thereon if the received quote handling instruction instructs the exchange system to reactivate the quotes for a transaction thereon, the memory further including,
- program memory for a matching engine that, when the processor executes program instructions, executes an update of quotes on the exchange for a best bid and offer calculation;
- program memory for a program that, when the processor executes program instructions, calculates the best bid and offer as a function of the update;
- and
- a timer configured to interpose a plurality of delays over a plurality of successive predetermined time periods upon the receipt of a quote handling instruction,
- wherein the quotes subject to the quote handling instruction do not trigger the update of the best bid and offer during a first time period, wherein the matching engine updates the best bid and offer triggered by quotes other than the quotes subject to the quote handling instruction during the first time period, and wherein a predetermined portion of the quotes subject to the quote handling instruction trigger the best bid and offer update after a subsequent time period of the plurality of time periods expires.
10 more elements
Dependencies are inferred from the claim text.