System and method for automated trading
The present invention relates to systems and methods for automated trading. More particularly, the present invention relates to a system and method for processing trade orders essentially instantaneously and filling trade orders with improvement over the National Best Bid and Offer (NBBO) by internalizing certain customer trade orders.
1. A computer-implemented method comprising:
receiving a trade order at an order router comprising a processor;
receiving a quote at the order router that is generated from an algorithm engine that does not have access to the trade order;
receiving quotes at the order router from a National Best Bid and Offer (NBBO) feed;
the order router analyzing the quotes received from the algorithm engine and from NBBO feed;
the order router selecting a marketplace for the trade order based on comparing the analyzed quotes to the trade order; and
the order router transmitting the trade order to the selected marketplace to be filled.
2. The method of claim 1 , wherein the step of selecting further comprises the step of selecting the marketplace based on whether the trade order can be filled with improvement from the NBBO quote.
3. The method of claim 2 , wherein the step of selecting further comprises the step of selecting the marketplace based on whether the improvement from the NBBO quote is one or more of size improvement and speed improvement.
4. The method of claim 3 , wherein the selected marketplace is a reporting facility or a marketplace that can be used as a reporting facility.
5. The method of claim 3 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO quote.
6. The method of claim 5 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO.
7. The method of claim 2 , wherein the selected marketplace is a reporting facility or a marketplace that can be used as a reporting facility.
8. The method of claim 2 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO quote.
9. The method of claim 2 , wherein the algorithm engine is programmed to selectively generate quotes that provide a predetermined improvement from the NBBO quote.
10. The method of claim 2 , wherein the algorithm engine is programmed to selectively generate quotes that provide non-predetermined improvement from the NBBO quote.
11. A computer-implemented method comprising:
receiving a trade order at an order router comprising a processor;
receiving at the order router a quote from an algorithm engine that is generated without having access to the trade order;
receiving at the order router a quote from a National Best Bid and Offer (NBBO) feed;
the order router analyzing the quotes received from the algorithm engine and the NBBO feed;
the order router determining whether the trade order can be filled with improvement from the NBBO quote based on comparing the algorithm engine and NBBO quotes to the trade order; and
the order router transmitting the trade order to one of (a) a marketplace where the trade order can be filled with improvement from the NBBO quote and (b) a marketplace where the trade order can be filled at the NBBO quote.
12. The method of claim 11 , wherein the improvement is one or more of size improvement and speed improvement.
13. The method of claim 12 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO quote.
14. The method of claim 11 , wherein the marketplace where the trade order can be filled with improvement from the NBBO quote is a reporting facility or a marketplace that can be used as a reporting facility.
15. The method of claim 11 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO quote.
16. The method of claim 11 , wherein the algorithm engine is programmed to selectively generate quotes that provide a predetermined improvement from the NBBO quote.
17. The method of claim 11 , wherein the algorithm engine is programmed to selectively generate quotes that provide non-predetermined improvement from the NBBO quote.
18. A computer-implemented system for processing a trade order comprising:
an order router comprising a processor;
a National Best Bid and Offer (NBBO) feed; and
an algorithm engine,
wherein the order router is configured to:
a) receive trade orders;
b) receive quotes from the algorithm engine that are generated without access to the trade orders;
c) receive quotes from the NBBO feed;
d) analyze quotes received from the algorithm engine and the NBBO feed;
e) determine whether the trade order can be filled with improvement from the NBBO quotes by comparing the trade order to the NBBO and algorithm engine quotes; and
f) transmit the trade order to one of i) a marketplace where the trade order can be filled with improvement from the NBBO quote or ii) a marketplace where the trade order can be filled at the NBBO quote.
19. The system of claim 18 , wherein the order router is configured to analyze whether the improvement is one or more of size improvement-and speed improvement.
20. The system of claim 18 , wherein the marketplace where the trade order can be filled with improvement from the NBBO quote is a reporting facility or a marketplace that can be used as a reporting facility.
21. The system of claim 20 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO.
22. The system of claim 18 , wherein the algorithm engine is programmed to quote a predetermined improvement from the NBBO quotes.
23. The system of claim 18 , wherein the algorithm engine is configured to receive market data comprising data from market data feeds, and wherein the algorithm engine is programmed with information comprising proprietary trading strategies of a broker-dealer and characteristics of marketplaces that could affect price, size, and speed with which the trade order can be filled.
24. The system of claim 18 , wherein the algorithm engine is programmed to selectively generate quotes that provide a predetermined improvement from the NBBO quotes.
25. The system of claim 18 , wherein the algorithm engine is programmed to selectively generate quotes that provide non-predetermined improvement from the NBBO quotes.
26. An order router comprising a processor that is configured to:
a) receive and analyze trade orders, quotes from an algorithm engine that does not have knowledge of the trade orders, and quotes from a National Best Bid and Offer (NBBO) feed;
b) determine whether the trade orders can be filled with improvement from the NBBO quotes based on comparing the trade order to the quotes from the algorithm engine and the NBBO feed; and
c) transmit the trade orders to one of i) a marketplace where the trade order can be filled with improvement from the NBBO or ii) a marketplace where the trade order can be filled at the NBBO.
27. The order router of claim 26 , wherein the order router is further configured to:
transmit the orders to a reporting facility or a marketplace that can be used as a reporting facility if the trade orders can be filled with improvement from the NBBO quotes.
28. The method of claim 26 , wherein the algorithm engine is programmed to selectively generate quotes that provide a predetermined improvement from the NBBO quotes.
29. The method of claim 26 , wherein the algorithm engine is programmed to selectively generate quotes that provide non-predetermined improvement from the NBBO quotes.