System and Method for Tracking Priority Interests in a Financial Trading System
An electronic trading platform can perform automated trading of one or more types of financial instruments (e.g., equities or options). Interests (e.g., quotes, set of quotes, bids and offers) of market participants are analyzed to determine if they qualify as a “Priority Interest” when an initiating interest is matched with resting interest on the contraside. If one or more interests qualify as a Priority Interest, the corresponding participant who submitted the corresponding interest may remain eligible for allocation in a Market Maker allocation tier. Allocation as a Market Maker with Priority Interest includes, but is not limited to, in combination or individually: (1) allocation ahead of or preference over other equal-priced interest, (2) Market Maker standard fees for trades corresponding to the interest, and/or (3) trades resulting from Priority Interest may count towards a Market Maker's volume requirement(s) in its appointed classes.
1 . A computerized trading platform, comprising:
a computer processor;
digital computer memory including computer code stored therein, the computer code controlling the computer processor to perform the steps of:
storing, in a shared memory, respective resting interests from plural respective market participants;
receiving from an initiating market participant, by executing a match engine by the computer processor which accesses the shared memory, an initiating contraside interest to the respective resting interests;
determining, by the match engine, what portion of the initiating contraside interest matches the respective resting interests; and
determining, by the match engine, how to allocate the matching interest among at least one of the plural respective market participants by:
determining, by the match engine, if any of the matching interest qualifies as a Priority Interest;
processing, by the match engine, the interest that qualifies as a Priority Interest utilizing at least one allocation rule before the interest that does not qualify as a Priority Interest; and
processing, by the match engine, the interest that does not qualify as a Priority Interest utilizing the at least one allocation rule if any interest remains after processing the interest that qualifies as a Priority Interest.
2 . The computerized trading platform as claimed in claim 1 , wherein the interest qualifies as a Priority Interest if the interest indicates that a difference between a bid and ask of the at least one of the plural respective market participants satisfies a specified threshold.
3 . The computerized trading platform as claimed in claim 2 , wherein the market participant comprises a Market Maker.
4 . The computerized trading platform as claimed in claim 3 , wherein the bid and ask of the Market Maker are a bid and an ask utilizing at least one of a standard quote and an eQuote.
5 . The computerized trading platform as claimed in claim 1 , wherein the processing the interest that qualifies as a Priority Interest further comprises utilizing a Priority Interest allocation rule.
6 . The computerized trading platform as claimed in claim 1 , wherein the processing the interest that qualifies as a Priority Interest further comprises utilizing a Priority Interest fee rule.
7 . The computerized trading platform as claimed in claim 1 , wherein the processing the interest that qualifies as a Priority Interest further comprises a utilizing Priority Interest volume rule.
8 . The computerized trading platform as claimed in claim 1 , wherein the interest qualifies as a Priority Interest if the interest indicates that a difference between a bid and ask of the at least one of the plural respective market participants satisfies a specified threshold and at least one interest of the at least one of the plural respective market participants satisfies a second Priority Interest test.
9 . The computerized trading platform as claimed in claim 8 , wherein the second Priority Interest test comprises a Best Bid Offer test.
10 . The computerized trading platform as claimed in claim 8 , wherein the second Priority Interest test comprises a size test.
11 . The computerized trading platform as claimed in claim 8 , wherein the second Priority Interest test comprises a current market performance test.
12 . The computerized trading platform as claimed in claim 8 , wherein the second Priority Interest test comprises a historic market performance test.
13 . A computer-implemented method of trading performed by computer processor controlled by computer code stored in a digital memory, the method comprising the steps of:
storing, in a shared memory, respective resting interests from plural respective market participants;
receiving from an initiating market participant, by executing a match engine by the computer processor which accesses the shared memory, an initiating contraside interest to the respective resting interests;
determining, by the match engine, what portion of the initiating contraside interest matches the respective resting interests; and
determining, by the match engine, how to allocate the matching interest among at least one of the plural respective market participants by:
determining, by the match engine, if any of the matching interest qualifies as a Priority Interest;
processing, by the match engine, the interest that qualifies as a Priority Interest utilizing at least one allocation rule before the interest that does not qualify as a Priority Interest; and
processing, by the match engine, the interest that does not qualify as a Priority Interest utilizing the at least one allocation rule if any interest remains after processing the interest that qualifies as a Priority Interest.
14 . The method as claimed in claim 13 , wherein the interest qualifies as a Priority Interest if the interest indicates that a difference between a bid and ask of the at least one of the plural respective market participants satisfies a specified threshold.
15 . The method as claimed in claim 13 , wherein the interest qualifies as a Priority Interest if the interest indicates that a difference between a bid and ask of the at least one of the plural respective market participants satisfies a specified threshold and at least one interest of the at least one of the plural respective market participants satisfies a second Priority Interest test.