Granted Patent B2

US 7,680,722 · App. 10/376,600 · Granted Mar 16, 2010

Abstract

Claims (52)

1. A computer-implemented method of trading a security, comprising the steps of:

receiving by a computer from a customer a client request to trade a specified number of shares of a specified security;

forming by the computer an initial order to trade said security, said initial order having a peg order price being correlated to a current quote for said security;

sending said initial order to a trading medium where shares of said security are traded;

while said initial order remains open, periodically checking at a predetermined time interval said current quote to determine whether said peg order price needs to be adjusted, said predetermined time interval being varied according to a randomization process;

upon determination of a need for adjustment, calculating by the computer a new peg order price correlated to a current quote for said security, said new peg order price being modified from said current quote according to predetermined trading criteria for said security, wherein said predetermined trading criteria comprises a consideration of the direction of a previous peg order price correction; and

sending an adjusted order having said new peg order price to said trading medium to replace said open order.

2. A computer-implemented method as set forth in claim 1 , wherein said step of forming by the computer an initial order further comprises the step of calculating a size of said initial order based on historical trading data for said security.

3. A computer-implemented method as set forth in claim 1 , wherein determination of a need for price adjustment comprises the step of determining whether a difference between the open order price and the current quote exceeds a predetermined threshold value.

4. A computer-implemented method as set forth in claim 1 , wherein determination of a need for price adjustment comprises the step of determining whether depth ahead of said open order is greater than or equal to a predefined threshold size.

5. A computer-implemented method as set forth in claim 1 , wherein said predetermined trading criteria comprises a consideration of same-side depth for said security when a previous peg order price correction was in a passive direction.

6. A computer-implemented method as set forth in claim 1 , wherein the step of calculating by the computer a new peg order price comprises the step of adjusting said peg order price when an existing open order is alone at the inside market.

7. A computer-implemented method of trading a security, comprising the steps of:

receiving by a computer from a customer a client request to trade a specified number of shares of a specified security;

forming by the computer an initial order to trade said security, said initial order having a peg order price being correlated to a current quote for said security;

sending said initial order to a trading medium where shares of said security are traded;

while said initial order remains open, periodically checking at a predetermined time interval said current quote to determine whether said peg order price needs to be adjusted, said predetermined time interval being varied according to a randomization process;

upon determination of a need for adjustment, calculating by the computer a new peg order price correlated to a current quote for said security, said new peg order price being modified from said current quote according to predetermined trading criteria for said security, wherein the step of calculating by the computer a new peg order price comprises the step of adjusting said peg order price to a more passive price than the current same-side quote relating to said order, when a previous peg order price adjustment was in a favorable direction and the size of the current same-side quote exceeds a predetermined value; and

sending an adjusted order having said new peg order price to said trading medium to replace said open order.

8. A computer-implemented method of trading a security, comprising the steps of:

receiving by a computer from a customer a client request to trade a specified number of shares of a specified security;

forming by the computer an initial order to trade said security, said initial order having a peg order price being correlated to a current quote for said security;

sending said initial order to a trading medium where shares of said security are traded;

while said initial order remains open, periodically checking at a predetermined time interval said current quote to determine whether said peg order price needs to be adjusted, said predetermined time interval being varied according to a randomization process;

upon determination of a need for adjustment, calculating by the computer a new peg order price correlated to a current quote for said security, said new peg order price being modified from said current quote according to predetermined trading criteria for said security;

sending an adjusted order having said new peg order price to said trading medium to replace said open order; and

determining whether an existing open peg order has a size less than a predefined proportion of said specified number of shares, canceling said existing open peg order if its size is determined to be less than said predefined proportion, and calculating a new peg size and peg order price in accordance with said current quote and size of said current quote on said exchange, and sending a new order having said new peg size and peg order price to said trading medium.

9. A computer-implemented method of, comprising the steps of:

receiving by a computer from a customer a request to trade a specified number of shares of a specified security;

calculating by a computer a discretion range for said specified security based on historical trading data for said specified security;

determining whether the spread between current bid and ask quotes for said specified security is less than or equal to said calculated discretion range;

calculating by a computer a size of an order to be lamer than the opposite side size for said specified security, where the amount of excess order size is determined by historical data, the difference between said calculated discretion range and the spread, and predefined parameter values; and

sending to a trading medium the order for said specified security at a marketable price when it is determined that said spread is less than or equal to said calculated discretion range.

10. A computer-implemented method as set forth in claim 9 , further comprising the steps of:

receiving from said customer an indication of a level of urgency for completing said trade; and

dynamically adjusting said calculated discretion range in accordance with said indicated level of urgency.

11. A computer-implemented method as set forth in claim 10 , wherein said indication of urgency is a specified time horizon within which said trade must be completed.

12. A computer-implemented method as set forth in claim 9 , wherein a price of said order may be set to be more aggressive than the marketable price for said specified security.

13. A computer-implemented method as set forth in claim 9 , wherein subsequent orders are delayed from prior orders by a predetermined delay time subjected to a randomization process before being sent.

14. A computer-implemented method of trading a security, comprising the steps of:

receiving by a computer from a customer a request to trade a specified number of shares of a specified security;

forming by the computer an initial order to trade said security, said initial order having a peg order price being correlated to a current quote for said security;

sending said initial order to a trading medium where shares of said security are traded;

while said initial order remains open, periodically checking at a predetermined time interval said current quote to determine whether said peg order price needs to be adjusted, said predetermined time interval being varied according to a randomization process;

upon determination of a need for adjustment, calculating by the computer a new peg order price correlated to a current quote for said security, said new peg order price being modified from said current quote according to predetermined trading criteria for said security, wherein the step of calculating by the computer a new peg order price comprises the step of adjusting said peg order price to a more passive price than the current same-side quote relating to said order, when a previous peg order price adjustment was in a favorable direction and the size of the current same-side quote exceeds a predetermined value;

sending an adjusted order having said new peg order price to said trading medium to replace said open order;

calculating by the computer a discretion range for said specified security based on historical trading data for said specified security;

determining whether the spread between current bid and ask quotes for said specified security is less than or equal to said calculated discretion range; and

sending to a trading medium an order for said specified security having at a marketable price when it is determined that said spread is less than or equal to said calculated discretion range.

15. A computer-implemented method as set forth in claim 14 , further comprising the steps of:

receiving from said customer a limit price for said security; and

dynamically adjusting said calculated discretion price in accordance with said received limit price.

Assignments (8)