IP Library › Granted Patent US 7,536,342

Granted Patent B2

US 7,536,342 · App. 10/966,526 · Granted May 19, 2009

Systems and methods for providing enhanced volume-weighted average price trading

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Quick Facts

Patent No.: US 7,536,342
App. No.: 10/966,526
Granted: May 19, 2009
Kind: B2

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Abstract

Systems and methods for providing trading using an eVWAP price in an illiquid market are provided. In an illiquid market there may be little or no actual trades. During a trading period, the eVWAP price is therefore determined from not only trades, but also unmatched bids and offers. The eVWAP price is determined when new information becomes available or at a specified time interval. The final eVWAP price is determined when the sampling period ends. Once the final eVWAP price is determined, the value of the final eVWAP price is published for use as a price to settle a contract.

Claims (434)

1. A method comprising the steps of:

at least one programmed computer receiving, over a duration of a sampling period, market data for at least one financial instrument,

wherein the received market data comprises executed trades and unmatched orders for the at least one financial instrument, and

wherein the executed trades and the unmatched orders comprise respective sizes and prices;

over the duration of the sampling period, the at least one programmed computer iteratively recalculating for the at least one financial instrument an enhanced volume-weighted average price based at least in part on the received market data, wherein the iterative recalculating of the enhanced volume-weighted average price comprises the steps of:

at a point in time during the duration of the sampling period, calculating the enhanced volume-weighted average price based at least in part on at least one of the received executed trades and the received unmatched orders; and

at a subsequent point in time during the duration of the sampling period, calculating the enhanced volume-weighted average price based at least in part on:

a) the resulting enhanced volume-weighted average price calculated at the point in time, and

b) a price of another of the received unmatched orders,

wherein there is a difference between the price of the another unmatched order and the resulting enhanced volume-weighted average price calculated at the point in time, and

wherein an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time decreases as the difference increases; and

at an end of the sampling period, the at least one programmed computer communicating via a communications network to at least another programmed computer a last recalculated value for the enhanced volume-weighted average price.

2. The method of claim 1 , wherein at each iteration, the enhanced volume-weighted average price is recalculated as:

trade_flag

(

trade_price

trade_size

eVWAP

total_trade

⁢

_size

)

total_trade

⁢

_size

)

bidoffer_flag

(

eVWAP

bid_flag

(

bid_size

⁢

_flag

total_trade

⁢

_size

)

trade_size

⁢

_flag

bid_size

⁢

_ratio

bid_ratio

⁢

_flag

(

bid

eVWAP

)

(

bid_scaling

⁢

_factor



bid

eVWAP



)

bid_exponent

offer_flag

(

offer_size

⁢

_flag

total_trade

⁢

_size

)

trade_size

⁢

_flag

offer_size

⁢

_ratio

offer_ratio

⁢

_flag

(

offer

eVWAP

)

(

offer_scaling

⁢

_factor



offer

eVWAP



)

offer_exponent

)

3. The method of claim 1 , wherein iteratively recalculating the enhanced volume-weighted average price over the duration of the sampling period comprises recalculating the enhanced volume-weighted average price each time a specified time interval elapses during the duration of the sampling period.

4. The method of claim 1 , wherein receiving, over the duration of the sampling period, the market data comprises:

receiving at another point in time at least one of the unmatched orders; and

receiving at a further point in time, that is subsequent to the another point in time, a change in at least one of the price and the size of the unmatched order received at the another point in time.

5. The method of claim 1 , wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the step of calculating the enhanced volume-weighted average price based at least in part on at least one weight that is applied, in part, to the price of the another unmatched order, wherein the at least one weight reduces an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time.

6. The method of claim 1 , wherein the another unmatched order causes the resulting enhanced volume-weighted average price calculated at the point in time to adjust towards the price of the another unmatched order such that the resulting enhanced volume-weighted average price calculated at the subsequent point in time is closer to the price of the another unmatched order than the resulting enhanced volume-weighted average price calculated at the point in time.

7. The method of claim 6 ,

wherein the price of the another unmatched order is lower than the resulting enhanced volume-weighted average price calculated at the point in time; and

wherein the resulting enhanced volume-weighted average price calculated at the subsequent point in time is lower than the resulting enhanced volume-weighted average price calculated at the point in time.

8. The method of claim 6 , wherein the price of the another unmatched order is higher than the resulting enhanced volume-weighted average price calculated at the point in time; and

wherein the resulting enhanced volume-weighted average price calculated at the subsequent point in time is higher than the resulting enhanced volume-weighted average price calculated at the point in time.

9. The method of claim 6 , wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the steps of:

determining a first value by subtracting the resulting enhanced volume-weighted average price calculated at the point in time from the price of the another unmatched order, the first value having one of a negative sign and a positive sign;

determining a second value based at least in part on the first value, the second value having the same sign as the first value; and

adding the second value to the resulting enhanced volume-weighted average price calculated at the point in time.

10. The method of claim 1 ,

wherein the method further comprises the step of: based at least in part on a bid-offer spread for the at least one financial instrument, determining a starting value for the enhanced volume-weighted average price; and

wherein calculating, at the point in time, the enhanced volume-weighted average price further comprises calculating the enhanced volume-weighted average price based at least in part on the starting value.

11. The method of claim 1 , wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the step of calculating the enhanced volume-weighted average price based at least in part on a cumulative value that comprises the size of at least one of the received executed trades, wherein an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time decreases as a size of the cumulative value increases.

12. The method of claim 1 , wherein iteratively recalculating the enhanced volume-weighted average price over the duration of the sampling period further comprises the steps of:

at another point in time, calculating the enhanced volume-weighted average price based at least in part on the price of a further one of the received unmatched orders and not on the size of the further unmatched order; and

at a further point in time, that is subsequent to the another point in time, calculating the enhanced volume-weighted average price based at least in part on the price and the size of a still further one of the received unmatched orders.

13. The method of claim 1 , further comprising the step of:

filtering out from the received market data the unmatched orders having prices that are not within a predetermined price range such that the filtered out unmatched orders are not used in recalculating the enhanced volume-weighted average price over the duration of the sampling period.

14. The method of claim 1 , wherein iteratively recalculating the enhanced volume-weighted average price over the duration of the sampling period comprises recalculating the enhanced volume-weighted average price as the market data is received over the duration of the sampling period.

15. The method of claim 1 , wherein the received unmatched orders comprise at least one of bids and offers for the at least one financial instrument.

16. The method of claim 1 , wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the steps of:

determining a second value based at least in part on the first value, the second value having the same sign as the first value; and

adding the second value to the resulting enhanced volume-weighted average price calculated at the point in time.

17. The method of claim 16 ,

wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the step of determining a third value based at least in part on the difference between the price of the another unmatched order and the resulting enhanced volume-weighted average price calculated at the point in time; and

wherein determining the second value comprises the step of dividing, in part, the first value by the third value.

18. The method of claim 17 ,

wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the step of determining a fourth value by dividing the first value by a cumulative value that comprises the size of at least one of the received executed trades; and

wherein determining the second value comprises the step of dividing, in part, the fourth value by the third value.

19. The method of claim 18 ,

wherein calculating the enhanced volume-weighted average price at the subsequent point in time further comprises the step of determining a fifth value by multiplying the fourth value by the size of the another unmatched order; and

wherein determining the second value comprises the step of dividing, in part, the fifth value by the third value.

20. The method of claim 1 ,

wherein the method further comprises the step of: based at least in part on a last traded price for the at least one financial instrument, determining a starting value for the enhanced volume-weighted average price; and

21. The method of claim 1 ,

wherein the method further comprises the steps of:

determining at a start of the sampling period that:

there is an outstanding unmatched bid for the at least one financial instrument,

there is no outstanding unmatched offer for the at least one financial instrument, and

there is a last traded price for the at least one financial instrument;

determining that the last traded price is lower than a price of the outstanding unmatched bid; and

based at least in part on determining that the last traded price is lower than the price of the outstanding unmatched bid, setting a starting value for the enhanced volume-weighted average price to be the price of the outstanding unmatched bid; and

22. The method of claim 1 ,

wherein the method further comprises the steps of:

determining at a start of the sampling period that:

there is an outstanding unmatched offer for the at least one financial instrument,

there is no outstanding unmatched bid for the at least one financial instrument, and

there is a last traded price for the at least one financial instrument;

determining that the last traded price is higher than a price of the outstanding unmatched offer; and

based at least in part on determining that the last traded price is higher than the price of the outstanding unmatched offer, setting a starting value for the enhanced volume-weighted average price to be the price of the outstanding unmatched offer; and

23. An apparatus comprising:

at least one processor; and

at least one memory device electronically coupled to the at least one processor, in which the at least one memory device stores instructions which, when executed by the at least one processor, direct the at least one processor to at least:

receive, over a duration of a sampling period, market data for at least one financial instrument,

wherein the received market data comprises executed trades and unmatched orders for the at least one financial instrument, and

wherein the executed trades and the unmatched orders comprise respective sizes and prices;

over the duration of the sampling period, iteratively recalculate for the at least one financial instrument an enhanced volume-weighted average price based at least in part on the received market data, wherein to iteratively recalculate the enhanced volume-weighted average price comprises to:

at a point in time during the duration of the sampling period, calculate the enhanced volume-weighted average price based at least in part on at least one of the received executed trades and the received unmatched orders; and

at a subsequent point in time during the duration of the sampling period, calculate the enhanced volume-weighted average price based at least in part on:

a) the resulting enhanced volume-weighted average price calculated at the point in time, and

b) a price of another of the received unmatched orders,

wherein there is a difference between the price of the another unmatched order and the resulting enhanced volume-weighted average price calculated at the point in time, and

wherein an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time decreases as the difference increases; and

at an end of the sampling period, communicate via a communications network to at least one computing device a last recalculated value for the enhanced volume-weighted average price.

24. The apparatus of claim 23 , wherein at each iteration, the enhanced volume-weighted average price is recalculated as:

trade_flag

(

trade_price

trade_size

eVWAP

total_trade

⁢

_size

)

total_trade

⁢

_size

)

bidoffer_flag

(

eVWAP

bid_flag

(

bid_size

⁢

_flag

total_trade

⁢

_size

)

trade_ratio

⁢

_flag

bid_size

⁢

_ratio

bid_ratio

⁢

_flag

(

bid

eVWAP

)

(

bid_scaling

⁢

_factor



bid

eVWAP



)

bid_exponent

offer_flag

(

offer_size

⁢

_flag

total_trade

⁢

_size

)

trade_ratio

⁢

_flag

offer_size

⁢

_ratio

offer_ratio

⁢

_flag

(

offer

eVWAP

)

(

offer_scaling

⁢

_factor



offer

eVWAP



)

offer_exponent

)

25. The apparatus of claim 23 , wherein to iteratively recalculate the enhanced volume-weighted average price over the duration of the sampling period comprises to recalculate the enhanced volume-weighted average price each time a specified time interval elapses during the duration of the sampling period.

26. The apparatus of claim 23 , wherein to receive, over the duration of the sampling period, the market data comprises to:

receive at another point in time at least one of the unmatched orders; and

receive at a further point in, that is subsequent to the another point in time, a change in at least one of the price and the size of the unmatched order received at the another point in time.

27. The apparatus of claim 23 , wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to calculate the enhanced volume-weighted average price based at least in part on at least one weight that is applied, in part, to the price of the another unmatched order, wherein the at least one weight reduces an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time.

28. The apparatus of claim 23 , wherein the another unmatched order causes the resulting enhanced volume-weighted average price calculated at the point in time to adjust towards the price of the another unmatched order such that the resulting enhanced volume-weighted average price calculated at the subsequent point in time is closer to the price of the another unmatched order than the resulting enhanced volume-weighted average price calculated at the point in time.

29. The apparatus of claim 28 ,

wherein the price of the another unmatched order is lower than the resulting enhanced volume-weighted average price calculated at the point in time; and

30. The apparatus of claim 28 , wherein the price of the another unmatched order is higher than the resulting enhanced volume-weighted average price calculated at the point in time; and

31. The apparatus of claim 28 , wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to:

determine a first value by subtracting the resulting enhanced volume-weighted average price calculated at the point in time from the price of the another unmatched order, the first value having one of a negative sign and a positive sign;

determine a second value based at least in part on the first value, the second value having the same sign as the first value; and

add the second value to the resulting enhanced volume-weighted average price calculated at the point in time.

32. The apparatus of claim 23 ,

wherein the instructions, when executed by the at least one processor, further direct the at least one processor to at least: based at least in part on a bid-offer spread for the at least one financial instrument, determine a starting value for the enhanced volume-weighted average price; and

wherein to calculate, at the point in time, the enhanced volume-weighted average price further comprises to calculate the enhanced volume-weighted average price based at least in part on the starting value.

33. The apparatus of claim 23 , wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to calculate the enhanced volume-weighted average price based at least in part on a cumulative value that comprises the size of at least one of the received executed trades, wherein an effect of the another unmatched order to adjust the resulting enhanced volume-weighted average price calculated at the subsequent point in time decreases as a size of the cumulative value increases.

34. The apparatus of claim 23 , wherein to iteratively recalculate the enhanced volume-weighted average price over the duration of the sampling period further comprises to:

at another point in time, calculate the enhanced volume-weighted average price based at least in part on the price of a further one of the received unmatched orders and not on the size of the further unmatched order; and

at a further point in time, that is subsequent to the another point in time, calculate the enhanced volume-weighted average price based at least in part on the price and the size of a still further one of the received unmatched orders.

35. The apparatus of claim 23 , wherein the instructions, when executed by the at least one processor, further direct the at least one processor to at least:

filter out from the received market data the unmatched orders having prices that are not within a predetermined price range such that the filtered out unmatched orders are not used to recalculate the enhanced volume-weighted average price over the duration of the sampling period.

36. The apparatus of claim 23 , wherein to iteratively recalculate the enhanced volume-weighted average price over the duration of the sampling period comprises to recalculate the enhanced volume-weighted average price as the market data is received over the duration of the sampling period.

37. The apparatus of claim 23 , wherein the received unmatched orders comprise at least one of bids and offers for the at least one financial instrument.

38. The apparatus of claim 23 , wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to:

determine a second value based at least in part on the first value, the second value having the same sign as the first value; and

add the second value to the resulting enhanced volume-weighted average price calculated at the point in time.

39. The apparatus of claim 38 ,

wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to determine a third value based at least in part on the difference between the price of the another unmatched order and the resulting enhanced volume-weighted average price calculated at the point in time; and

wherein to determine the second value comprises to divide, in part, the first value by the third value.

40. The apparatus of claim 39 ,

wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to determine a fourth value by dividing the first value by a cumulative value that comprises the size of at least one of the received executed trades; and

wherein to determine the second value comprises to divide, in part, the fourth value by the third value.

41. The apparatus of claim 40

wherein to calculate the enhanced volume-weighted average price at the subsequent point in time further comprises to determine a fifth value by multiplying the fourth value by the size of the another unmatched order; and

wherein to determine the second value comprises to divide, in part, the fifth value by the third value.

42. The apparatus of claim 23 ,

wherein the instructions, when executed by the at least one processor, further direct the at least one processor to at least: based at least in part on a last traded price for the at least one financial instrument, determine a starting value for the enhanced volume-weighted average price; and

43. The apparatus of claim 23 ,

wherein the instructions, when executed by the at least one processor, further direct the at least one processor to at least:

determine at a start of the sampling period that:

there is an outstanding unmatched bid for the at east one financial instrument,

there is no outstanding unmatched offer for the at least one financial instrument, and

there is a last traded price for the at least one financial instrument;

determine that the last traded price is lower than a price of the outstanding unmatched bid; and

based at least in part on determining that the last traded price is lower than the price of the outstanding unmatched bid, set a starting value for the enhanced volume-weighted average price to be the price of the outstanding unmatched bid; and

44. The apparatus of claim 23 ,

wherein the instructions, when executed by the at least one processor, further direct the at least one processor to at least:

determine at a start of the sampling period that:

there is an outstanding unmatched offer for the at least one financial instrument,

there is no outstanding unmatched bid for the at least one financial instrument, and

there is a last traded price for the at least one financial instrument;

determine that the last traded price is higher than a price of the outstanding unmatched offer; and

based at least in part on determining that the last traded price is higher than the price of the outstanding unmatched offer, set a starting value for the enhanced volume-weighted average price to be the price of the outstanding unmatched offer; and

wherein to calculating, at the point in time, the enhanced volume-weighted average price further comprises to calculate the enhanced volume-weighted average price based at least in part on the starting value.

Assignments (2)

MERGER Recorded Apr 15, 2008

From: BGC PARTNERS, LLC; ESPEED, INC.

To: BGC PARTNERS, INC.

Reel/Frame 020806/0396 →

ASSIGNMENT OF ASSIGNOR'S INTEREST Recorded Nov 17, 2004

From: JOKISCH, MR. PHILIPP T; SWEETING, MR. MICHAEL

To: ESPEED, INC.

Reel/Frame 015368/0980 →