Granted Patent B2

US 7,747,509 · App. 11/183,123 · Granted Jun 29, 2010

Assignee: New York Stock Exchange

Abstract

Claims (206)

1. A method implemented at least partially in a programmed computer for managing security trading sweeps comprising:

automatically determining price of a best bid;

automatically determining a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

automatically and incrementally decreasing the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

automatically setting a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

2. A method implemented at least partially in a programmed computer for managing security trading sweeps comprising:

automatically determining price of a best offer;

automatically determining a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

automatically and incrementally increasing the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

automatically setting an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

3. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to buy the security with a price that is greater than the sweep liquidity replenishment price for the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the limit order at the published best offer price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically locking the book.

4. A method according to claim 3 , wherein a portion of the limit order is equal to the size associated with the published best offer price for the security.

5. A method according to claim 3 , further comprising changing a published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

6. A method according to claim 3 , further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted size at the sweep liquidity replenishment price for the security.

7. A method according to claim 3 , further comprising:

changing the published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions;

executing a manual trade for the security; and

changing the quote from slow to fast.

8. A method according to claim 5 , further comprising:

receiving a cancel of the limit order; and

automatically changing the published quote for the security from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

9. A method according to claim 8 , wherein the predetermined number of seconds is five seconds.

10. A method according to claim 3 , further comprising:

assigning priority to the limit order for at least one trade.

11. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to sell the security with a price that is less than the sweep liquidity replenishment price for the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the limit order at the published best bid price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically locking the book.

12. A method according to claim 11 , wherein a portion of the limit order is equal to the size associated with the published best bid price for the security.

13. A method according to claim 11 , further comprising changing a published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

14. A method according to claim 11 , further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted size at the sweep liquidity replenishment price for the security.

15. A method according to claim 11 , further comprising:

changing the published quote for the security from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions;

executing a manual trade for the security; and

changing the quote from slow to fast.

16. A method according to claim 13 , further comprising:

receiving a cancel of the limit order; and

automatically changing the published quote for the security from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

17. A method according to claim 16 , wherein the predetermined number of seconds is five seconds.

18. A method according to claim 11 , further comprising:

assigning priority to the limit order for at least one trade.

19. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to buy the security with a price that is equal to the sweep liquidity replenishment price for the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the limit order at the published best offer price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

20. A method according to claim 19 , wherein a portion of the limit order is equal to the size associated with the published best offer price for the security.

21. A method according to claim 19 , wherein sweeping the limit order completely fills the limit order.

22. A method according to claim 19 , wherein sweeping the limit order partially fills the limit order leaving unexecuted size.

23. A method according to claim 19 , further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted limit order size at the sweep liquidity replenishment price for the security.

24. A method according to claim 19 , further comprising:

calculating a remaining unexecuted size of the limit order;

quoting the remaining unexecuted limit order size at the limit order price; and

changing the quote from slow to fast.

25. A method according to claim 19 , further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

26. A method according to claim 25 , wherein the predetermined number of seconds is five seconds.

27. A method according to claim 25 , wherein the predetermined number of seconds is ten seconds.

28. A method according to claim 19 , further comprising:

receiving a locking order;

completing a manual trade; and

changing the quote from slow to fast.

29. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to sell the security with a price that is equal to the sweep liquidity replenishment price for the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the limit order at the published best bid price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

30. A method according to claim 29 , wherein a portion of the limit order is equal to the size associated with the published best bid price for the security.

31. A method according to claim 29 , wherein sweeping the limit order completely fills the limit order.

32. A method according to claim 29 , wherein sweeping the limit order partially fills the limit order leaving unexecuted size.

33. A method according to claim 29 , further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted limit order size at the sweep liquidity replenishment price for the security.

34. A method according to claim 29 , further comprising:

calculating a remaining unexecuted size of the limit order;

quoting the remaining unexecuted limit order size at the limit order price; and

changing the quote from slow to fast.

35. A method according to claim 29 , further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

36. A method according to claim 35 , wherein the predetermined number of seconds is five seconds.

37. A method according to claim 35 , wherein the predetermined number of seconds is ten seconds.

38. A method according to claim 29 , further comprising:

receiving a locking order;

completing a manual trade; and

changing the quote from slow to fast.

39. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to buy the security with a price that is greater than the sweep liquidity replenishment price for the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the limit order at the published best offer price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

40. A method according to claim 39 , wherein a portion of the limit order is equal to the size associated with the published best offer price for the security.

41. A method according to claim 39 , wherein sweeping the limit order partially fills the order leaving unexecuted size.

42. A method according to claim 39 , further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted order size at the sweep liquidity replenishment price for the security.

43. A method according to claim 39 , further comprising:

calculating a remaining unexecuted size of the order;

quoting the remaining unexecuted order size at the limit order price; and

changing the quote from slow to fast.

44. A method according to claim 39 , further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

45. A method according to claim 44 , wherein the predetermined number of seconds is ten seconds.

46. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a limit order to sell the security with a price that is less than the sweep liquidity replenishment price for the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the limit order at the published best bid price for the security;

automatically sweeping the limit order at the sweep liquidity replenishment price for the security against limit orders for the security on a book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

47. A method according to claim 46 , wherein a portion of the limit order is equal to the size associated with the published best bid price for the security.

48. A method according to claim 46 , wherein sweeping the limit order partially fills the order leaving unexecuted size.

49. A method according to claim 46 , further comprising:

calculating a remaining unexecuted size of the limit order; and

quoting the remaining unexecuted order size at the sweep liquidity replenishment price for the security.

50. A method according to claim 46 , further comprising:

calculating a remaining unexecuted size of the order;

quoting the remaining unexecuted order size at the limit order price; and

changing the quote from slow to fast.

51. A method according to claim 46 , further comprising:

automatically changing the quote from slow to fast a predetermined number of seconds after changing the quote from fast to slow.

52. A method according to claim 51 , wherein the predetermined number of seconds is ten seconds.

53. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a market order to buy the security;

automatically determining a published best offer price for the security, and size associated with the published best offer price for the security;

automatically executing a portion of the market order at the published best offer price for the security;

automatically sweeping the market order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

54. A method according to claim 53 , further comprising:

calculating a remaining unexecuted size of the market order; and

quoting the remaining unexecuted market order size at the sweep liquidity replenishment price for the security.

55. A method according to claim 53 , wherein a portion of the market order is equal to the size associated with the published best offer price for the security.

56. A method according to claim 53 , wherein sweeping the market order partially fills the market order leaving unexecuted size.

57. A method according to claim 53 , further comprising:

completing a manual trade; and

changing the quote from slow to fast.

58. A method implemented at least partially in a programmed computer for executing a securities order comprising:

automatically determining a sweep liquidity replenishment price for a security;

automatically receiving a market order to sell the security;

automatically determining a published best bid price for the security, and size associated with the published best bid price for the security;

automatically executing a portion of the market order at the published best bid price for the security;

automatically sweeping the market order at the sweep liquidity replenishment price for the security against orders for the security on a limit order book; and

automatically changing a quote from fast to slow, wherein a fast quote indicates a hybrid market with both automated and auction market executions, and a slow quote indicates only auction market executions.

59. A method according to claim 58 , further comprising:

calculating a remaining unexecuted size of the market order; and

quoting the remaining unexecuted market order size at the sweep liquidity replenishment price for the security.

60. A method according to claim 58 , wherein a portion of the market order is equal to the size associated with the published best bid price for the security.

61. A method according to claim 58 , wherein sweeping the market order partially fills the market order leaving unexecuted size.

62. A method according to claim 58 , further comprising:

completing a manual trade; and

changing the quote from slow to fast.

63. A system implemented at least partially in a programmed computer for managing security trading sweeps, comprising:

means for automatically determining price of a best bid;

means for automatically determining a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

means for automatically and incrementally decreasing the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

means for automatically setting a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

64. A computer-readable medium having computer executable software code stored thereon, the code for managing security trading sweeps, the code comprising:

code to determine price of a best bid;

code to determine a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

code to incrementally decrease the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

65. A programmed computer for managing security trading sweeps, comprising:

a memory having at least one region for storing computer executable program code; and

a processor for executing the program code stored in the memory; wherein the program code comprises:

code to determine price of a best bid;

code to determine a proposed bid sweep liquidity replenishment price by subtracting five cents from the price of the best bid;

code to incrementally decrease the proposed bid sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed bid sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set a bid sweep liquidity replenishment price equal to the proposed bid sweep liquidity replenishment price.

66. A system implemented at least partially in a programmed computer for managing security trading sweeps, comprising:

means for automatically determining price of a best offer;

means for automatically determining a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

means for automatically and incrementally increasing the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

means for automatically setting an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

67. A computer-readable medium having computer executable software code stored thereon, the code for managing security trading sweeps, the code comprising:

code to determine price of a best offer;

code to determine a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

code to incrementally increase the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

68. A programmed computer for managing security trading sweeps, comprising:

a memory having at least one region for storing computer executable program code; and

a processor for executing the program code stored in the memory; wherein the program code comprises:

code to determine price of a best offer;

code to determine a proposed offer sweep liquidity replenishment price by adding five cents to the price of the best offer;

code to incrementally increase the proposed offer sweep liquidity replenishment price by 0, 1, 2, 3 or 4 cents until the proposed offer sweep liquidity replenishment price is divisible by 5 without any remainder; and

code to set an offer sweep liquidity replenishment price equal to the proposed offer sweep liquidity replenishment price.

Assignments (5)

Continuity (9)