Method and apparatus for conducting a dynamic exchange
View Patent ↗In a combinatorial exchange, a set of rules can be input for processing of bids received in connection with the exchange. At least one bid can be received from each of a plurality of exchange participants and a desired exchange objective can be defined. A determination can be made as a function of a subset of the rules if an allocation of the bids exists that is optimal for the type of exchange being conducted. If the desired exchange objective is not satisfied, the step of determining an allocation is repeated utilizing a different subset of rules each time until the desired exchange objective is satisfied.
1. A computer-implemented method of conducting a combinatorial exchange wherein combinatorial bids allow exchange participants to bid on multiple items with a single bid, the method comprising:
(a) storing instructions in a computer storage, wherein said instructions, when executed by a processor, cause the processor to determine an allocation of bids in a combinatorial exchange;
(b) storing in the computer storage a set of rules for processing of bids received in connection with the exchange, wherein said set of rules is distinct of the instructions of step (a);
(c) storing in the computer storage from each of a plurality of exchange participants at least one bid of (1) a first bid type comprised of a quantity for each of one or more items and a single price for all the quantities of all of the items or (2) a second bid type comprised of a first item, a quantity or a range of quantities for said first item and a unit price for said first item;
(d) storing in the computer storage a desired exchange objective;
(e) determining via a processor operating under the control of the instructions of step (a) subject to a subset of the set of rules of step (b) and subject to the desired exchange objective if an allocation of the bids exists that is optimal for the type of exchange being conducted, wherein:
if said allocation exists, it includes a subset of the bids,
each first bid type included in said subset of the bids includes all of the items of the bid and at least part of the quantity of each item;
each second bid type included in said subset of the bids includes the quantity or a quantity within the range of quantities for the first item; and
(f) terminating the combinatorial exchange when the optimal allocation is determined to exist in step (e), otherwise repeat step (e) utilizing a different subset of the set of rules of step (b) for each iteration of step (e) until the optimal allocation is determined to exist.
2. The method of claim 1 , further including the steps of:
providing at least a portion of each bid of at least one allocation to each exchange participant of a first subset of the exchange participants; and
receiving from each exchange participant of a second subset of the exchange participants at least one of the following: a new bid, a new rule, an amendment to an existing rule or an amendment to an existing bid of said exchange participant.
3. The method of claim 2 , wherein the amendment to an existing bid includes one of the following:
an unconditional amendment;
the amendment conditioned upon the bid not being included in the immediately preceding allocation;
the amendment conditioned upon said amendment not worsening the bid taker's allocation value or the feasibility of the allocation;
the amendment improving the allocation value or volume of items traded;
unconditional deletion of the bid;
deletion of the bid conditioned upon said bid not being included in the allocation, and
deletion of the bid conditioned upon said deletion not worsening the bid taker's value or volume of items traded.
4. The method of claim 3 , wherein the amendment to an existing bid includes an amendment to at least one of the following:
a bid price or value;
a quantity of at least one item;
at least one item attribute;
at least one bid attribute;
a discount; and
a constraint.
5. The method of claim 3 , wherein;
each exchange participant is either a bidder or a bid taker; and
a price of a bid received from a bid taker acts as a reserved price for the entire quantity of each item of the bid.
6. The method of claim 1 , wherein:
the subset of the set of rules utilized in each iteration of step (e) either maintains, enlarges, or reduces a feasible allocation space over the feasible allocation space in the immediately preceding iteration of step (e); and
each feasible allocation space includes the set of all possible allocations where each rule of the subset of the set of rules utilized for determining each possible allocation of said set is satisfied.
7. The method of claim 1 , further including the step of notifying at least one exchange participant when an allocation moves away from the desired exchange objective.
8. The method of claim 7 , wherein:
step (f) includes amending the subset of the set of rules utilized to determine the allocation in the immediately preceding iteration of step (e) to obtain the different subset of the set of rules that is utilized for determining the allocation in the next iteration of step (e); and
amending the subset of the set of rules includes at least one of the following: (1) adding at least one rule to the subset of the set of rules, (2) deleting at least one rule from the subset of the set of rules or (3) amending at least one rule of the subset of the set of rules.
9. The method of claim 1 , further including the steps of:
designating at least one of the bids as a quote request; and
reporting to the exchange participant of the at least one bid designated as the quote request a proposed amendment to said bid which, if adopted, will cause said bid to be included in an allocation.
10. The method of claim 9 , further including the steps of:
receiving from the exchange participant of the at least one bid the amendment proposed thereto; and
determining an allocation in step (e) subject to the amendment to the at least one bid whereupon said allocation includes the at least one bid.
11. A computer readable medium having stored thereon instructions which, when executed by a processor, cause the processor to perform the steps of:
(a) store in a computer storage a set of rules for processing of bids received in connection with a combinatorial exchange where combinatorial bids allow exchange participants to bid on multiple items with a single bid, wherein said set of rules is distinct of the instructions;
(b) store in the computer storage at least one bid received from each of a plurality of exchange participants, wherein each bid is comprised of: (1) at least one item, (2) an initial quantity of each item, and (3) a unit price for each item or a price for all the item(s) and their quantities;
(c) store in the computer storage a desired exchange objective;
(d) determine under the control of the instructions subject to a subset of the set of rules of step (a) and the desired exchange objective if an allocation of the bids exists that is optimal for the type of exchange being conducted, wherein if said allocation exists, it includes a subset of the bids stored in step (b) each bid of said subset includes all of the items of the bid and at least part of the initial quantity of each item; and
(e) terminate the combinatorial exchange when the optimal allocation is determined to exist in step (d), otherwise repeat step (d) utilizing a different subset of the set of rules of step (a) for each iteration of step (d) until the optimal allocation is determined to exist.
12. The computer readable medium of claim 11 , wherein the instructions further cause the processor to:
provide at least a portion of each bid of at least one allocation to each exchange participant of a first subset of the exchange participants; and
receive from each exchange participant of a second subset of the exchange participants at least one of the following: a new bid, a new rule, an amendment to an existing rule or an amendment to an existing bid of said exchange participant.
13. The computer readable medium of claim 12 , wherein the amendment to an existing bid includes one of the following:
an unconditional amendment;
the amendment conditioned upon the bid not being included in the immediately preceding allocation;
the amendment conditioned upon said amendment not worsening the bid taker's allocation value or the feasibility of the allocation;
the amendment improving the allocation value or volume of items traded;
unconditional deletion of the bid;
deletion of the bid conditioned upon said bid not being included in the allocation, and
deletion of the bid conditioned upon said deletion not worsening the bid taker's value or volume of items traded.
14. The computer readable medium of claim 13 , wherein the amendment to an existing bid includes an amendment to at least one of the following:
a bid price or value;
a quantity of at least one item;
at least one item attribute;
at least one bid attribute;
a discount; and
a constraint.
15. The computer readable medium of claim 13 , wherein:
each exchange participant either a bidder or a bid taker; and
a price of a bid received from a bid taker acts as a reserved price for the entire quantity of each item of the bid.
16. The computer readable medium of claim 11 , wherein:
the subset of the set of rules utilized in each iteration of step (d) either maintains, enlarges, or reduces a feasible allocation space over the feasible allocation space in the immediately preceding iteration of step (d); and
each feasible allocation space includes the set of all possible allocations where each rule of the subset of the set of rules utilized for determining each possible allocation of said set is satisfied.
17. The computer readable medium of claim 11 , wherein the instructions further cause the processor to notify at least one exchange participant when an allocation moves away from the desired exchange objective.
18. The computer readable medium of claim 17 , wherein:
step (e) includes amending the subset of the set of rules utilized to determine the allocation in the immediately preceding iteration of step (d) to obtain the different subset of the set of rules that is utilized for determining the allocation in the next iteration of step (d); and
amending the subset of the set of rules includes at least one of the following: (1) adding at least one rule to the subset of the set of rules, (2) deleting at least one rule from the subset of the set of rules and (3) amending at least one rule of the subset of the set of rules.
19. The computer readable medium of claim 11 , wherein the instructions further cause the processor to:
designate at least one of the bids as a quote request; and
report to the exchange participant of the at least one bid designated as the quote request a proposed amendment to said bid which, if adopted, will cause said bid to be included in an allocation.
20. The computer readable medium of claim 19 , wherein the instructions further cause the processor to:
receive from the exchange participant of the at least one bid the amendment proposed thereto; and
determine an allocation in step (d) subject to the amendment to the at least one bid whereupon said allocation includes the at least one bid.