TRADING AT A PRICE WITHIN A SPREAD MARKET
A system and method is provided to allow traders to submit midprice orders to trade at a price within a spread of a market, preferably at the midpoint of a spread market, while maintaining anonymity of the midprice order. A midprice order is anonymous because other traders do not know whether the submitted midprice orders are orders to buy or orders to sell. A midprice order may remain active until it is traded with a contra midprice order or until a parameter associated with the order is breached, thereby resulting in cancellation of the midprice order.
1 - 40 . (canceled)
41 . An apparatus comprising:
at least one processor; and
at least one memory having instructions stored thereon which, when executed by the at least one processor, direct the at least one processor to:
receive from a first user of an electronic trading system a first order to buy or sell an item conditioned on an execution price of the first order being between a best bid price and a best offer price for the item, in which the first order comprises a buy/sell orientation defining whether the first order is a bid to purchase the item or an offer to sell the item;
communicate information about the first order to a plurality of market participants without disclosing the buy/sell orientation of the order to the plurality of market participants, such that the plurality of market participants are not made aware whether the order is an order to buy the item or an order to sell the item;
receive from a second user of the electronic trading system a second order to buy or sell the item conditioned on an execution price of the second order being between a best bid price and a best offer price for the item, in which the second order to buy or sell the item comprises a buy/sell orientation that is contra to the buy/sell orientation of the first order;
match at least a portion of the first order with at least a portion of the second order; and
cause a trade to be executed for at least a portion of the first order against at least a portion of the second order at a price between a best bid price and a best offer price for the item.
42 . The apparatus of claim 41 ,
in which the first order comprises a request to execute the first order at a price determined according to a formula,
in which the second order comprises a request to execute the second order at a price determined according to the formula, and
in which the formula is determined before the first order is received.
43 . The apparatus of claim 41 ,
in which the first order is conditioned on an execution price of the first order being midway between a best bid price and a best offer price for the item, and
in which the second order is conditioned on an execution price of the second order being midway between a best bid price and a best offer price for the item.
44 . The apparatus of claim 41 , in which the act of communicating information about the first order comprises communicating to the plurality of market participants information indicating that a bid or offer for the item has been received and further indicating that the received bid or offer is conditioned on an execution price of the bid or offer being at a price midway between a best bid and a best offer.
45 . The apparatus of claim 41 , in which the act of communicating information about the first order comprises communicating to the plurality of market participants information indicating that a bid or offer for the item has been received and further indicating that the received bid or offer is conditioned on an execution price of the bid or offer being at a price that is midway between a best bid at a time of execution and a best offer at a time of execution.
46 . The apparatus of claim 41 , in which the instructions, when executed by the at least one processor, further direct the at least one processor to:
before the act of receiving the first order, communicate a plurality of orders for a trading product to a plurality of market participants such that a buy/sell orientation of the plurality of orders is disclosed in such a way that the plurality of market participants are made aware of whether each of the plurality of orders is an order to buy the item or an order to sell the item.
47 . The apparatus of claim 41 ,
in which the act of communicating information about the first order comprises communicating to the plurality of market participants information indicating that a bid or offer for the item has been received and further indicating that the received bid or offer is conditioned on an execution price of the bid or offer being at a price midway between a best bid and a best offer,
in which the plurality of orders comprises a best bid having a highest bid price and a best offer having a lowest offer price, and
in which the act of causing a trade to be executed comprises:
determining an execution price based on the highest bid and the lowest offer; and
causing a trade to be executed for at least a portion of the first order against at least a portion of the second order at the determined execution price.
48 . The apparatus of claim 41 , in which the act of causing a trade to be executed comprises:
determining an execution price based on a highest-priced bid currently available in the electronic trading system and a lowest-priced offer currently available in the electronic trading system; and
causing a trade to be executed for at least a portion of the first order against at least a portion of the second order at the determined execution price.
49 . The apparatus of claim 44 , in which the act of causing a trade to be executed comprises:
calculating a weighted average price based at least on a current best bid price and a current best offer price for the item, and at least one of a buy side weight and a sell side weight, in which the calculated weighted average price is not equal to the average of the best bid price and the best offer price, and wherein the buy side weight is based on a number of buy side orders and the sell side weight is based on a number of sell side orders; and
causing a trade to be executed for at least a portion of the first order against at least a portion of the second order at the calculated weighted average price.
50 . The apparatus of claim 49 , wherein the buy side weight comprises a number of and respective sizes of buy side orders at the best bid price and the sell side weight comprises a number of and respective sizes of sell side orders at the best offer price.
51 . The apparatus of claim 41 , further comprising:
receiving (1) a third order for the item conditioned on a price of the item when the third order is executed being within a spread market and (2) at least one parameter that defines a range of market prices;
determining that the spread market has moved beyond the range of market prices; and
cancelling the third order responsive to determining that the spread market has moved beyond the range of market prices.
52 . The apparatus of claim 51 , further comprising:
after cancelling the third order, determining that the spread market has moved within the range of market prices; and
reactivating the third order responsive to determining that the spread market has moved within the range of market prices.
53 . The apparatus of claim 41 , further comprising:
receiving a third order for the item conditioned on a price of the item when the third order is executed being within the spread market and at least one parameter that defines a threshold price; and
cancelling the third order based on a determination that a weighted average price for the spread market exceeds the defined threshold price.
54 . The apparatus of claim 41 , in which the second order is entered into the electronic trading system by the second user at a trading interface by selecting a middle-price button that is separate from any buttons used to select orders that are not conditioned on an execution price being between a best bid price and a best offer price.
55 . The apparatus of claim 41 , in which the act of causing a trade to be executed for at least a portion of the first order against the second order comprises causing a trade to be executed for a portion of the first order against a total quantity of the second order at a calculated execution price, further comprising:
queuing an untraded portion of the first order for use in subsequent trading, wherein the untraded portion of the first order is conditioned on an execution price being between a best bid price and a best offer price for the item.
56 . The apparatus of claim 41 , in which the act of communicating the first order to the plurality of market participants comprises causing a signifying mark to be displayed to the plurality of market participants, the signifying mark indicating to the plurality of market participants that at least one order for the item is available in the electronic trading system for execution at a midprice between a best bid price and best offer price.
57 . A method comprising:
receiving, by at least one processor in communication with at least one memory, from a first user of an electronic trading system a first order to buy or sell an item conditioned on an execution price of the first order being between a best bid price and a best offer price for the item, in which the first order to buy or sell the item comprises a buy/sell orientation defining whether the first order is a bid to purchase the item or an offer to sell the item;
communicating, by the at least one processor, information about the first order to a plurality of market participants without disclosing the buy/sell orientation of the order to the plurality of market participants, such that the plurality of market participants are not made aware whether the order is an order to buy the item or an order to sell the item;
receiving, by the at least one processor, from a second user of the electronic trading system a second order to buy or sell the item conditioned on execution price of the second order being between a best bid price and a best offer price for the item, in which the second order to buy or sell the item comprises a buy/sell orientation that is contra to the buy/sell orientation of the first order;
matching, by the at least one processor, at least a portion of the first order with at least a portion of the second order; and
causing to be executed, by the at least one processor, a trade for at least a portion of the first order against at least a portion of the second order at a price between a best bid price and a best offer price for the item.
58 . The method of claim 57 ,
in which the first order comprises a request to execute the first order at a price determined according to a formula,
in which the second order comprises a request to execute the second order at a price determined according to the formula, and
in which the formula is determined before the first order is received.
59 . The method of claim 57 ,
in which the act of causing a trade to be executed comprises:
calculating a weighted average price based at least on a current best bid price and a current best offer price for the item, and at least one of a buy side weight and a sell side weight, in which the calculated weighted average price is not equal to the average of the best bid price and the best offer price, and wherein the buy side weight is based on a number of buy side orders and the sell side weight is based on a number of sell side orders; and
causing a trade to be executed for at least a portion of the first order against at least a portion of the second order at the calculated weighted average price;
wherein the buy side weight comprises a number of and respective sizes of buy side orders at the best bid price and the sell side weight comprises a number of and respective sizes of sell side orders at the best offer price,
further comprising:
receiving (1) a third order for the item conditioned on a price of the item when the third order is executed being within a spread market and (2) at least one parameter that defines a range of market prices;
determining that the spread market has moved beyond the range of market prices;
cancelling the third order responsive to determining that the spread market has moved beyond the range of market prices;
after cancelling the third order, determining that the spread market has moved within the range of market prices; and
reactivating the third order responsive to determining that the spread market has moved within the range of market prices.
60 . A non-transitory machine-readable medium having instructions stored thereon which, when executed by at least one processor, direct the at least one processor to:
receive from a first user of an electronic trading system a first order to buy or sell an item conditioned on an execution price of the first order being between a best bid price and a best offer price for the item, in which the first order comprises a buy/sell orientation defining whether the first order is a bid to purchase the item or an offer to sell the item;
communicate information about the first order to a plurality of market participants without disclosing the buy/sell orientation of the order to the plurality of market participants, such that the plurality of market participants are not made aware whether the order is an order to buy the item or an order to sell the item;
receive from a second user of the electronic trading system a second order to buy or sell the item conditioned on an execution price of the second order being between a best bid price and a best offer price for the item, in which the second order to buy or sell the item comprises a buy/sell orientation that is contra to the buy/sell orientation of the first order;
match at least a portion of the first order with at least a portion of the second order; and
cause a trade to be executed for at least a portion of the first order against at least a portion of the second order at a price between a best bid price and a best offer price for the item.