Central pricing system and method
View Patent ↗A system and method for providing responses to pricing inquiries that bypasses the trading desk is disclosed that includes a CPS database configured to receive and store pricing data from at least one data source and a CPS console configured to receive a pricing inquiry, estimate a price for the issue, and automatically generate and distribute the estimated price. A Pricing Analyst (PA) manages the receipt and processing of the pricing inquiry and can modify the estimation parameters through the CPS console. Processing of the inquiry by the CPS console relieves traders at the trading desk of the job of responding to pricing inquiries during the trading day.
1. A computer-implemented system for pricing securities and commodities, comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
determining that a beginning-of-day price for said issue is available but no intraday prices for said issue for a current day are available;
accessing an average percentage change in option adjusted spread that is based on at least one other issue which has sector, quality, and maturity duration in common with said issue;
determining an estimated intraday price for said issue based on said beginning-of-day price for said issue and said average percentage change in option adjusted spread for said at least one other issue; and
applying said estimated current price as the current price for said issue when intraday prices are not available.
2. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
determining that a beginning-of-day price for said issue is available but no intraday prices for said issue for a current day are available;
accessing an average percentage change in option adjusted spread that is based on at least one other issue which has sector, quality, and maturity duration in common with said issue;
determining an estimated intraday price for said issue based on said beginning-of-day price for said issue and said average percentage change in option adjusted spread for said at least one other issue; and
applying said estimated current price as the current price for said issue when intraday prices are not available.
3. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
determining that a beginning-of-day price for said issue is available but no intraday prices for said issue for a current day are available;
accessing option adjusted spread deltas for at least three other issues which have issuer in common with said issue but which have maturity durations different from said issue;
determining an average variance of option adjusted spread delta based on said option adjusted spread deltas for said at least three other issues;
determining an estimated current price for said issue based on said beginning-of-day price for said issue and said average variance of option adjusted spread delta; and
applying said estimated current price as the current price for said issue when intraday prices are not available.
4. A computer-implemented system for pricing securities and commodities, comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
determining that a beginning-of-day price for said issue is available but no intraday prices for said issue for a current day are available;
accessing option adjusted spread deltas for at least three other issues which have issuer in common with said issue but which have maturity durations different from said issue;
determining an average variance of option adjusted spread delta based on said option adjusted spread deltas for said at least three other issues;
determining an estimated current price for said issue based on said beginning-of-day price for said issue and said average variance of option adjusted spread delta; and
applying said estimated current price as the current price for said issue when intraday prices are not available.
5. A computer-implemented system for pricing securities and commodities comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price,
applying at least one validation rule to said best intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue,
wherein the processor forwards an inquiry to a trading desk when the best intraday price cannot be validated by the estimator.
6. A computer-implemented system for pricing securities and commodities comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price,
applying at least one validation rule to said best intraday price;
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue;
estimating a current price for one or more issues that have no intraday price data, based on the best intraday price for said issue, to produce a second estimated price for said one or more issues that have no intraday price data; and
validating the second estimated price using data stored in the database.
7. A computer-implemented system for pricing securities and commodities comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
selecting a single intraday price for each data source among said at least two data sources based on a most recent bid-side price of the day,
from among said single intraday prices, selecting one as a best intraday price;
applying at least one validation rule to said best intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
8. A computer-implemented system for pricing securities and commodities comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price based on at least one of: age of said single intraday prices, and a priority hierarchy of said at least two data sources;
applying at least one validation rule to said best intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
9. A computer-implemented system for pricing securities and commodities comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
determining a blended intraday price based on intraday prices from data sources other than the data source providing said best intraday price;
applying at least one validation rule to said best intraday price, wherein said validation rule is satisfied if a difference between said best intraday price and said blended intraday price is less than or equal to a threshold; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
10. A computer-implemented system for pricing securities and commodities comprising:
a processor that receives a pricing inquiry for an issue;
a database configured to receive and store intraday prices for said issue, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
an estimator that estimates a current price for the issue based on said intraday prices by:
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
determining an average intraday price based on said intraday prices for said issue;
applying at least one validation rule to said best intraday price, wherein said validation rule is satisfied if said best intraday price is within a preset number of standard deviations from said average intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
11. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
applying at least one validation rule to said best intraday;
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue; and
forwarding an inquiry to a trading desk when the best intraday price cannot be validated.
12. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
applying at least one validation rule to said best intraday;
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue;
estimating a current price for one or more issues that have no intraday price data, based on the best intraday price for said issue, to produce a second estimated price for said one or more issues that have no intraday price data; and
validating the second estimated price using data stored in the database.
13. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
selecting a most recent bid-side price of the day as a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
applying at least one validation rule to said best intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
14. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price based on at least one of: age of said single intraday prices, and a priority hierarchy of said at least two data sources;
applying at least one validation rule to said best intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
15. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
determining a blended intraday price based on intraday prices from data sources other than the data source providing said best intraday price;
applying at least one validation rule to said best intraday price, wherein said validation rule is satisfied if a difference between said best intraday price and said blended intraday price is less than or equal to a threshold; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.
16. A computer-implemented method for providing a response to a pricing inquiry, the method comprising:
receiving a price inquiry for an issue;
accessing intraday prices for said issue from a database, wherein said intraday prices are provided for said issue for a current day by at least two data sources;
selecting a single intraday price for each data source among said at least two data sources,
from among said single intraday prices, selecting one as a best intraday price;
determining an average intraday price based on said intraday prices for said issue;
applying at least one validation rule to said best intraday price, wherein said validation rule is satisfied if said best intraday price is within a preset number of standard deviations from said average intraday price; and
in response to determining that said at least one validation rule is satisfied, providing said best intraday price as said current price of said issue.