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US 8,751,362 B1Granted
Products and processes for generating a plurality of orders
AssigneeCfph, LLC
InventorsHoward W. Lutnick, Lawrence Tint
Life of this patent
Estimating the term…
Abstract
A trading platform and trading method that permit calculation of a price is described. Other embodiments are also described.
Claims47
A method for permitting a market maker to generate a buy order and a sell order, the method comprising:
- calculating, by at least one processor, a market price of a predetermined financial instrument based on at least one price for the financial instrument;
- determining, by the at least one processor, a sale reservation price increment for a sale of a predetermined quantity of the financial instrument,
- wherein the sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from selling the predetermined quantity of the financial instrument;
- calculating, by the at least one processor, a sale reservation price by adding the sale reservation price increment to the market price;
- determining, by the at least one processor, a buy reservation price increment for a purchase of the predetermined quantity of the financial instrument,
- wherein the buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument;
- calculating, by the at least one processor, a buy reservation price by adding the buy reservation price increment to the market price;
- generating, by the at least one processor, a sell order for the financial instrument at the sale reservation price for the predetermined quantity;
- generating, by the at least one processor, a buy order for the financial instrument at the buy reservation price for the predetermined quantity;
- and
- posting, by the at least one processor, the buy order and the sell order to an electronic marketplace.
8 more elements
A method for permitting a market maker to generate a plurality of buy orders and sell orders, the method comprising:
- calculating, by at least one processor, a market price of a predetermined financial instrument based on at least one price for the financial instrument;
- determining, by at least one processor, for each of a plurality of quantities, a sale reservation price increment for a sale of the respective quantity of the financial instrument,
- wherein each sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from selling the respective quantity of the financial instrument;
- calculating, by the at least one processor, for each of a plurality of quantities, a respective sale reservation price by adding the sale reservation price increment for the respective quantity to the market price;
- determining, by the at least one processor, for each of the plurality of quantities, a buy reservation price increment for a purchase of the respective quantity of the financial instrument,
- wherein each buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from purchasing the respective quantity of the financial instrument;
- calculating, by the at least one processor, for each of the plurality of quantities, a respective buy reservation price by adding the buy reservation price increment for the respective quantity to the market price;
- generating, by the at least one processor, for each of the plurality of quantities, a sell order for the financial instrument at the respective sale reservation price for the respective quantity;
- generating, by the at least one processor, for each of the plurality of quantities, a buy order for the financial instrument at the respective buy reservation price for the respective quantity;
- and
- posting, by the at least one processor, the buy orders and the sell orders to an electronic marketplace.
8 more elements
A non-transitory computer-readable storage medium having instructions stored thereon which are configured to direct at least one processor to perform the following actions:
- calculate a market price of a predetermined financial instrument by determining a first price between a best bid price and a best offer price for the financial instrument;
- determine, for each of a plurality of quantities, a sale reservation price increment for a sale of the respective quantity of the financial instrument,
- wherein each sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from selling the respective quantity of the financial instrument;
- calculate, for each of a plurality of quantities, a respective sale reservation price by adding the sale reservation price increment for the respective quantity to the market price;
- determine, for each of the plurality of quantities, a buy reservation price increment for a purchase of the respective quantity of the financial instrument,
- wherein each buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from purchase the respective quantity of the financial instrument;
- calculating, for each of the plurality of quantities, a respective buy reservation price by adding the buy reservation price increment for the respective quantity to the market price;
- generate, for each of the plurality of quantities, a sell order for the financial instrument at the respective sale reservation price for the respective quantity;
- generate, for each of the plurality of quantities, a buy order for the financial instrument at the respective buy reservation price for the respective quantity;
- and
- post the buy orders and the sell orders to an electronic marketplace.
8 more elements
An apparatus for permitting a market maker to generate a buy order and a sell order, comprising:
- at least one processor;
- and
- a memory operatively coupled to the at least one processor that stores instructions which, when executed by the at least one processor, direct the at least one processor to:
- calculate a market price of a predetermined financial instrument based on at least one price for the financial instrument;
- determine a sale reservation price increment for a sale of a predetermined quantity of the financial instrument,
- wherein the sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from selling the predetermined quantity of the financial instrument;
- calculate a sale reservation price by adding the sale reservation price increment to the market price;
- determine a buy reservation price increment for a purchase of the predetermined quantity of the financial instrument,
- wherein the buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument;
- calculate a buy reservation price by adding the buy reservation price increment to the market price;
- generate a sell order for the financial instrument at the sale reservation price for the predetermined quantity;
- generate a buy order for the financial instrument at the buy reservation price for the predetermined quantity;
- and
- post the buy order and the sell order to an electronic marketplace.
11 more elements
An apparatus for permitting a market maker to generate a plurality of buy orders and sell orders, comprising:
- at least one processor;
- at least one memory having instructions stored thereon which, when executed by the at least one processor, direct the at least one processor to:
- calculate a market price of a predetermined financial instrument based on at least one price for the financial instrument;
- determine, for each of a plurality of quantities, a sale reservation price increment for a sale of the respective quantity of the financial instrument,
- wherein each sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from selling the respective quantity of the financial instrument;
- calculate, for each of a plurality of quantities, a respective sale reservation price by adding the sale reservation price increment for the respective quantity to the market price;
- determine, for each of the plurality of quantities, a buy reservation price increment for a purchase of the respective quantity of the financial instrument,
- wherein each buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from purchasing the respective quantity of the financial instrument;
- calculate, for each of the plurality of quantities, a respective buy reservation price by adding the buy reservation price increment for the respective quantity to the market price;
- generate, for each of the plurality of quantities, a sell order for the financial instrument at the respective sale reservation price for the respective quantity;
- generate, for each of the plurality of quantities, a buy order for the financial instrument at the respective buy reservation price for the respective quantity;
- and
- post the buy orders and the sell orders to an electronic marketplace.
10 more elements
A non-transitory computer-readable storage medium having instructions stored thereon which are configured to direct at least one processor to perform the following actions:
- calculate a market price of a predetermined financial instrument based on at least one price for the financial instrument;
- determine a sale reservation price increment for a sale of a predetermined quantity of the financial instrument,
- wherein the sale reservation price increment is calculated based on a predicted change in tracking error of a portfolio that would result from selling the predetermined quantity of the financial instrument;
- calculate a sale reservation price by adding the sale reservation price increment to the market price;
- determine a buy reservation price increment for a purchase of the predetermined quantity of the financial instrument,
- wherein the buy reservation price increment is calculated based on a predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument;
- calculate a buy reservation price by adding the buy reservation price increment to the market price;
- generate a sell order for the financial instrument at the sale reservation price for the predetermined quantity;
- generate a buy order for the financial instrument at the buy reservation price for the predetermined quantity;
- and
- post the buy order and the sell order to an electronic marketplace.
8 more elements
Dependencies are inferred from the claim text.