# US 8,751,362 B1 · Products and processes for generating a plurality of orders > Agents: this data is available as JSON from the patentgrep API and MCP server — see https://patentgrep.com/llms.txt - Number: US 8,751,362 B1 - Document ID: US8751362B1 - Status: Granted - Kind: B1 - Application number: 12/477,549 - Filed: 2009-06-03 - Granted: 2014-06-10 - Earliest claimed: 2008-05-01 - Assignees: Cfph, LLC - Applicants: Howard W. Lutnick; Lawrence Tint - Inventors: Howard W. Lutnick; Lawrence Tint - Web page: https://patentgrep.com/patent/US8751362B1 ## CPC - G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange - G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR ## Abstract A trading platform and trading method that permit calculation of a price is described. Other embodiments are also described. ## Claims ### Claim 1 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. ### Claim 2 (depends on 1) The method of claim 1, in which the predicted change in tracking error that would result from selling the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument, in which the predicted change in tracking error that would result from purchasing the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio purchased the predetermined quantity of the financial instrument, in which the act of calculating the market price comprises determining a first price between a best bid price and a best offer price for the financial instrument, and in which determining the first price for the financial instrument comprises: determining the best bid price and the best offer price from market data received from a data service; and setting the first price to a price between the best bid price and the best offer price. ### Claim 3 (depends on 2) The method of claim 2, in which the benchmark comprises an index. ### Claim 4 (depends on 2) The method of claim 2, in which the act of setting the first price to a price between the best bid price and the best offer price comprises setting the first price to an average of the best bid price and the best offer price. ### Claim 5 (depends on 1) The method of claim 1, in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. ### Claim 6 (depends on 5) The method of claim 5, in which the benchmark index comprises a stock index fund. ### Claim 7 (depends on 1) The method of claim 1, in which the predicted change in tracking error of the portfolio that would result from selling the predetermined quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument, and in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument. ### Claim 8 (depends on 1) The method of claim 1, further comprising: receiving a confirmation of an executed trade against one of the buy order and sell order. ### Claim 9 (depends on 1) The method of claim 1, in which the act of calculating a market price of the predetermined financial instrument comprises calculating a market price of the predetermined financial instrument by determining a midpoint between a best bid price and a best offer price for the financial instrument. ### Claim 10 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. ### Claim 11 (depends on 10) The method of claim 10, further comprising: receiving a confirmation of an executed trade against one of (1) one of the buy orders and (2) one of the sell orders. ### Claim 12 (depends on 10) The method of claim 10, in which the act of calculating a market price of the predetermined financial instrument comprises calculating a market price of the predetermined financial instrument by determining a midpoint between a best bid price and a best offer price for the financial instrument. ### Claim 13 (depends on 10) The method of claim 10, in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. ### Claim 14 (depends on 10) The method of claim 10, in which the predicted change in tracking error of the portfolio that would result from selling a particular quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the particular quantity of the financial instrument, and in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument. ### Claim 15 (depends on 14) The method of claim 14, in which the benchmark index comprises a stock index fund. ### Claim 16 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. ### Claim 17 (depends on 16) The storage medium of claim 16, in which the instructions are further configured to direct the at least one processor to: receive a confirmation of an executed trade against one of (1) one of the buy orders and (2) one of the sell orders. ### Claim 18 (depends on 16) The storage medium of claim 16, in which the predicted change in tracking error that would result from selling the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument, in which the predicted change in tracking error that would result from purchasing the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio purchased the predetermined quantity of the financial instrument, and in which the benchmark comprises an index. ### Claim 19 (depends on 16) The storage medium of claim 16, in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. ### Claim 20 (depends on 19) The storage medium of claim 19, in which the benchmark index comprises a stock index fund. ### Claim 21 (depends on 16) The storage medium of claim 16, in which the predicted change in tracking error of the portfolio that would result from selling the predetermined quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument, and in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument. ### Claim 22 (depends on 16) The storage medium of claim 16, in which the act of calculating a market price of the predetermined financial instrument comprises calculating a market price of the predetermined financial instrument by determining a midpoint between a best bid price and a best offer price for the financial instrument. ### Claim 23 (depends on 16) The storage medium of claim 16, in which the act of calculating a market price of the predetermined financial instrument comprises: computing an average of the best bid price and the best offer price. ### Claim 24 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. ### Claim 25 (depends on 24) The apparatus of claim 24, in which the predicted change in tracking error that would result from selling the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument, in which the predicted change in tracking error that would result from purchasing the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio purchased the predetermined quantity of the financial instrument, in which the act of calculating the market price comprises determining a first price between a best bid price and a best offer price for the financial instrument, and in which determining the first price for the financial instrument comprises: determining the best bid price and the best offer price from market data received from a data service; and setting the first price to a price between the best bid price and the best offer price. ### Claim 26 (depends on 25) The apparatus of claim 25, in which the benchmark comprises an index. ### Claim 27 (depends on 25) The apparatus of claim 25, in which the act of setting the first price to a price between the best bid price and the best offer price comprises setting the first price to an average of the best bid price and the best offer price. ### Claim 28 (depends on 24) The apparatus of claim 24, in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. ### Claim 29 (depends on 28) The apparatus of claim 28, in which the benchmark index comprises a stock index fund. ### Claim 30 (depends on 24) The apparatus of claim 24, in which the predicted change in tracking error of the portfolio that would result from selling the predetermined quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument, and in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument. ### Claim 31 (depends on 24) The apparatus of claim 24, in which the instructions, when executed by the at least one processor, further direct the at least one processor to: receive a confirmation of an executed trade against one of the buy order and sell order. ### Claim 32 (depends on 24) The apparatus of claim 24, in which the act of calculating a market price of the predetermined financial instrument comprises calculating a market price of the predetermined financial instrument by determining a midpoint between a best bid price and a best offer price for the financial instrument. ### Claim 33 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. ### Claim 34 (depends on 33) The apparatus of claim 33, in which the instructions, when executed by the at least one processor, further direct the at least one processor to: receive a confirmation of an executed trade against one of (1) one of the buy orders and (2) one of the sell orders. ### Claim 35 (depends on 33) The apparatus of claim 33, in which the act of calculating a market price of the predetermined financial instrument comprises calculating a market price of the predetermined financial instrument by determining a midpoint between a best bid price and a best offer price for the financial instrument. ### Claim 36 (depends on 33) The apparatus of claim 33, in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. ### Claim 37 (depends on 33) The apparatus of claim 33, in which the predicted change in tracking error of the portfolio that would result from selling a particular quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the particular quantity of the financial instrument, and in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument. ### Claim 38 (depends on 37) The apparatus of claim 37, in which the benchmark index comprises a stock index fund. ### Claim 39 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. ### Claim 40 (depends on 39) The storage medium of claim 39, in which the predicted change in tracking error that would result from selling the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio sold the predetermined quantity of the financial instrument, in which the predicted change in tracking error that would result from purchasing the predetermined quantity of the financial instrument comprises a measure of how much the portfolio would deviate from a benchmark if the portfolio purchased the predetermined quantity of the financial instrument, in which the act of calculating the market price comprises determining a first price between a best bid price and a best offer price for the financial instrument, and in which determining the first price for the financial instrument comprises: determining the best bid price and the best offer price from market data received from a data service; and setting the first price to a price between the best bid price and the best offer price. ### Claim 41 (depends on 40) The storage medium of claim 40, in which the benchmark comprises an index. ### Claim 42 (depends on 40) The storage medium of claim 40, in which the act of setting the first price to a price between the best bid price and the best offer price comprises setting the first price to an average of the best bid price and the best offer price. ### Claim 43 (depends on 39) The storage medium of claim 39, in which the portfolio is designed to engage in trading activity such that a financial performance of the portfolio stays within a predetermined deviation metric of a financial performance of a benchmark index over a predetermined period of time. ### Claim 44 (depends on 43) The storage medium of claim 43, in which the benchmark index comprises a stock index fund. ### Claim 45 (depends on 39) The storage medium of claim 39, in which the predicted change in tracking error of the portfolio that would result from selling the predetermined quantity of the financial instrument is greater than the predicted change in tracking error of the portfolio that would result from purchasing the predetermined quantity of the financial instrument, and in which an absolute value of a difference between the sale reservation price and a best offer price for the financial instrument is greater than an absolute value of a difference between the buy reservation price and a best bid price for the financial instrument. ### Claim 46 (depends on 39) The storage medium of claim 39, in which the instructions are further configured to direct the at least one processor to: receive a confirmation of an executed trade against one of the buy order and sell order. ### Claim 47 (depends on 39) The storage medium of claim 39, in which the act of calculating a market price of the predetermined financial instrument comprises calculating a market price of the predetermined financial instrument by determining a midpoint between a best bid price and a best offer price for the financial instrument.