Method and system for identifying high probability trade matches
Methods and Systems for routing an indication of interest message are provided in which one or more external trade messaging systems are monitored to discover and collect information related to a trading posture of a plurality of trading counterparties. The information related to the trading posture of the plurality of trading counterparties is stored in a database and accessed, upon receipt of an indication of interest message to intelligently route the indication of interest message to at least one of the plurality of trading counterparties based at least in part on the information regarding the trading posture of the plurality of trading counterparties stored in the database.
1. A messaging system for automated message routing, the messaging system comprising:
a processor programmed to:
receive, from a first sending user, an indication of interest (IOI) message to be routed to a plurality of other users that are to be automatically identified by the messaging system, the IOI message identifying an instrument for a transaction;
receive, from the first sending user, an identification of a first other user, from among the plurality of users, to which to route the IOI message;
mine, responsive to the received IOI message, an IOI data stack comprising activity information of the plurality of other users with respect to the instrument;
determine, based on the mined IOI data stack, a respective trading posture of each of the plurality of other users with respect to the instrument;
identify a subset of the plurality of other users to which the IOI message is to be automatically routed based on the respective trading posture of each of the plurality of other users;
receive, from a second other user via a graphical user interface (GUI) associated with the second other user, a request for IOI messages related to the instrument;
determine, responsive to the request for IOI messages related to the instrument, that the second other user is among the identified subset of the plurality of other users;
route at least the IOI message to the second other user via the GUI responsive to the determination that the second other user is among the identified subset of the plurality of other users;
receive, from the first other user via a GUI associated with the first other user, a second request for IOI messages related to the instrument;
determine that the first other user is not among the identified subset of the plurality of other users; and
block the IOI message from being transmitted via the GUI to the first other user even though the IOI message was directed by the first sending user to be routed to the first other user.
2. The messaging system of claim 1 , wherein the processor is further programmed to:
update the IOI data stack with information indicating a posture of the first sending user with respect to the instrument based on the IOI message.
3. The messaging system of claim 1 , wherein for each other user of the plurality of other users, the processor is further programmed to:
determine an activity ratio indicative of the trading posture;
compare the activity ratio to a threshold value;
determine whether the other user is a counterparty to the transaction based on the comparison; and
add the other user to the subset based on the determination of whether the other user is a counterparty to the transaction.
4. The messaging system of claim 3 , wherein for each other user of the plurality of other users, to determine the activity ratio, the processor is further programmed to:
determine a baseline activity and an average daily volume of trades of the other user, wherein the activity ratio is based on a ratio of the baseline activity and the average daily volume.
5. The messaging system of claim 4 , wherein for each other user of the plurality of other users, the baseline activity is based on historical activity of completed transactions by the other user for the instrument and the processor is further programmed to:
determine an age of each completed transaction in the historical activity of the other user; and
weight each completed transaction based on the age, wherein the baseline activity is based on each of the weighted completed transactions such that more recent completed transactions are weighted higher than more distant completed transactions.
6. The messaging system of claim 5 , wherein for each other user of the plurality of other users, the processor is further programmed to:
access a current order for the instrument submitted by the other user; and
add, to the baseline activity, the current order.
7. The messaging system of claim 6 , wherein for each other user of the plurality of other users, and wherein to weight each completed transaction, the processor is further programmed to:
determine a size of the completed transaction or the current order in the baseline activity, wherein the size of the completed transaction or the current order is weighted.
8. The messaging system of claim 5 , wherein for each other user of the plurality of other users, the processor is further programmed to:
access a current order for the instrument submitted by the other user;
determine that the current order is designed to game the messaging system; and
block the current order from being added to the baseline activity based on the determination that the current order is designed to game the messaging system.
9. A computer readable medium storing computer-readable instructions that when executed by a processor, program the processor to:
receive, from a first sending user, an indication of interest (IOD message to be routed to a plurality of other users that are to be automatically identified by the messaging system, the MI message identifying an instrument for a transaction;
receive, from the first sending user, an identification of a first other user, from among the plurality of users, to which to route the MI message;
mine, responsive to the received IOI message, an IOI data stack comprising activity information of the plurality of other users with respect to the instrument;
determine, based on the mined IOI data stack, a respective trading posture of each of the plurality of other users with respect to the instrument;
identify a subset of the plurality of other users to which the IOI message is to be automatically routed based on the respective trading posture of each of the plurality of other users;
receive, from a second other user via a graphical user interface (GUI) associated with the second other user, a request for IOI messages related to the instrument;
determine, responsive to the request for IOI messages related to the instrument, that the second other user is among the identified subset of the plurality of other users;
route at least the IOI message to the second other user via the GUI responsive to the determination that the second other user is among the identified subset of the plurality of other users receive, from the first other user via a GUI associated with the first other user, a second request for IOI messages related to the instrument;
determine that the first other user is not among the identified subset of the plurality of other users; and
block the IOI message from being transmitted via the GUI to the first other user even though the IOI message was directed by the first sending user to be routed to the first other user.
10. The computer readable medium of claim 9 , wherein for each other user of the plurality of other users, to determine the activity ratio, the instructions when executed by a processor program the processor to:
determine a baseline activity and an average daily volume of trades of the other user, wherein the activity ratio is based on a ratio of the baseline activity and the average daily volume.
11. The computer readable medium of claim 10 , wherein for each other user of the plurality of other users, the baseline activity is based on historical activity of completed transactions by the other user for the instrument and the instructions when executed by a processor program the processor to:
determine an age of each completed transaction in the historical activity of the other user; and
weight each completed transaction based on the age, wherein the baseline activity is based on each of the weighted completed transactions such that more recent completed transactions are weighted higher than more distant completed transactions.
12. The computer readable medium of claim 10 , wherein for each other user of the plurality of other users, the instructions when executed by a processor program the processor to:
access a current order for the instrument submitted by the other user; and
add, to the baseline activity, the current order.
13. A method of automated message routing in a messaging system, the method comprising:
receiving, by a processor of the messaging system, from a first sending user, an indication of interest (IOI) message to be routed to a plurality of other users that are to be automatically identified by the messaging system, the IOI message identifying an instrument for a transaction;
receiving, by the processor, from the first sending user, an identification of a first other user, from among the plurality of users, to which to route the IOI message;
mining, by the processor, responsive to the received IOI message, an IOI data stack comprising activity information of the plurality of other users with respect to the instrument;
determining, by the processor, based on the mined IOI data stack, a respective trading posture of each of the plurality of other users with respect to the instrument;
identifying, by the processor, a subset of the plurality of other users to which the IOI message is to be automatically routed based on the respective trading posture of each of the plurality of other users;
receiving, by the processor, from a second other user via a graphical user interface (GUI) associated with the second other user, a request for IOI messages related to the instrument;
determining, by the processor, responsive to the request for IOI messages related to the instrument, that the second other user is among the identified subset of the plurality of other users;
routing, by the processor, at least the IOI message to the second other user via the GUI responsive to the determination that the second other user is among the identified subset of the plurality of other users;
receiving, by the processor, from the first other user via a GUI associated with the first other user, a second request for IOI messages related to the instrument;
determining, by the processor, that the first other user is not among the identified subset of the plurality of other users; and
blocking, by the processor, the IOI message from being transmitted via the GUI to the first other user even though the IOI message was directed by the first sending user to be routed to the first other user.
14. Method of claim 13 , further comprising:
updating the IOI data stack with information indicating a posture of the first sending user with respect to the instrument based on the IOI message.
15. The method of claim 13 , further comprising, for each other user of the plurality of other users:
determining an activity ratio indicative of the trading posture;
comparing the activity ratio to a threshold value;
determining whether the other user is a counterparty to the transaction based on the comparison; and
adding the other user to the subset based on the determination of whether the other user is a counterparty to the transaction.
16. The method of claim 15 , wherein determining the activity ratio, for each other user of the plurality of other users, further comprises:
determining a baseline activity and an average daily volume of trades of the other user, wherein the activity ratio is based on a ratio of the baseline activity and the average daily volume.
17. The method of claim 16 , wherein, for each other user of the plurality of other users, the baseline activity is based on historical activity of completed transactions by the other user for the instrument, the method further comprising:
determining an age of each completed transaction in the historical activity of the other user; and
weighting each completed transaction based on the age, wherein the baseline activity is based on each of the weighted completed transactions such that more recent completed transactions are weighted higher than more distant completed transactions.
18. The method of claim 17 , further comprising, for each other user of the plurality of other users:
accessing a current order for the instrument submitted by the other user; and
adding, to the baseline activity, the current order.
19. The method of claim 18 , wherein for each other user of the plurality of other users, to weight each completed transaction, the method further comprises:
determining a size of the completed transaction or the current order in the baseline activity, wherein the size of the completed transaction or the current order is weighted.
20. The method of claim 17 , further comprising, for each other user of the plurality of other users:
accessing a current order for the instrument submitted by the other user;
determining that the current order is designed to game the messaging system; and
blocking the current order from being added to the baseline activity based on the determination that the current order is designed to game the messaging system.