Automated trading system
A computer trading system includes a quote screening function configured to accept quotes specifying a quote amount in a price where the quote amount is greater than a minimum quote amount to produce screen quote messages and to reject quotes specifying a quote amount less than the minimum quote amount. A market view generator generates market views from those quotes which specify an amount greater than or equal to the minimum quote amount. An order screening function only-accepts orders specifying an amount less than a maximum transaction amount submitted in response to the market views to produce screened order messages. A transaction processor receives screened quote messages and screened order messages and matches appropriate messages with each other. The minimum quote amount is substantially equal to or greater than the maximum transaction amount whereby a screened order message can be matched entirely with one screened quote message.
1. A computer trading system for trading instruments, the system comprising:
one or more quote screening computers configured to receive quotes specifying a quote amount and a quote price, accept the quotes where the quote amount is greater than or equal to a minimum quote amount to produce screened quote messages identifying accepted quotes, and reject the quotes where the quote amount is less than the minimum quote amount;
one or more market view computers configured to generate at least one market view based on the screened quote messages;
one or more order screening computers configured to only accept orders specifying an order amount less than a maximum transaction amount in response to the at least one market view, and to produce screened order messages identifying accepted orders, the minimum quote amount being equal to or greater than the maximum transaction amount; and
one or more transaction computers configured to receive the screened quote messages and the screened order messages and to match compatible quotes and orders identified by the screened quote and order messages.
2. The computer trading system according to claim 1 , wherein the one or more market view computers:
modify each screened quote message when a screened order message is matched therewith by decrementing the amount specified in each screened quote message; and
remove any modified screened quote message whose amount is less than the minimum quote amount from any market view in which it was contained.
3. The computer trading system according to claim 1 , wherein the one or more order screening computers are further configured to segment a received order specifying an order amount greater than the maximum transaction amount into at least first and second reduced value orders, each reduced value order specifying an order amount which is less than the maximum transaction amount.
4. The computer trading system according to claim 3 , wherein the one or more transaction computers are configured to match the first reduced value order with a compatible screened quote message.
5. The computer trading system according to claim 3 , wherein the one or more transaction computers are configured to match the second reduced value order with a compatible screened quote message.
6. The computer trading system according to claim 1 , wherein the one or more transaction computers are further configured to:
store the screened quote messages in a quote available store;
decrement the quote amount specified in a given screened quote message in the quote available store each time a screened order message is matched therewith; and
remove the given screened quote message from the quote available store when the quote amount specified in that given screened quote message falls below the minimum quote amount.
7. The computer trading system according to claim 6 , wherein the one or more transaction computers are configured to match order messages only with those quote messages stored in the quote available store.
8. The computer trading system according to claim 1 , wherein the one or more quote screening computers are implemented, at least in part, on each of a plurality of trader terminals such that the quotes specifying a quote amount less than the minimum quote amount are not transmitted to the trading system.
9. The computer trading system according to claim 7 , wherein the trading system is configured such that screened quote messages specifying an amount less than the minimum quote amount are removed from the quote available store.