Anonymous trading system
An anonymous computerized trading system matches orders by conducting auctions at specified times. As well as entering orders, participants assign credit limits for the duration of the auction, thus minimizing the time for which credit is allocated to the system.
1. A method for reducing the processing power required to trade an instrument on a computerized trading system, the method comprising:
storing data in the computerized trading system which identifies a benchmark fixing time at which a benchmark price for the instrument is set;
storing data in the computerized trading system that assigns a credit limit to each of a plurality of participating trading entities;
receiving, by the computerized trading system, a plurality of orders for the instrument, each of the plurality of received orders being from a respective trading entity of the plurality of participating trading entities, wherein each of the plurality of received orders includes a quantity, but not a price, indicating that the trading entity from which the order was received is willing to trade the instrument at the benchmark price;
receiving, by the computerized trading system, instructions to cancel at least one of the plurality of received orders and canceling the at least one of the plurality of received orders only when the instructions to cancel are received prior to the benchmark fixing time;
matching, by the computerized trading system, each of the plurality of received orders as it is received, with another previously received uncanceled and unmatched order of the plurality of received orders, causing the matching to be distributed over a period of time ending at the benchmark fixing time, wherein the matching is performed as a function of the credit limits of each of the plurality of trading entities;
setting, by the computerized trading system at or after the benchmark fixing time, the benchmark price for the instrument; and
executing the matched orders at the set benchmark price.
2. The method of claim 1 , wherein the credit limits are only valid until the benchmark fixing time.
3. The method of claim 1 , wherein at least one credit limit for a trading entity is reflective of a willingness to act as or through a prime broker.
4. The method of claim 1 , wherein the credit limits are assigned no later than a first predetermined time before the period of time ending at the benchmark fixing time.
5. The method of claim 4 , wherein the respective trading entity is notified of unused credit at a second predetermined time after the benchmark fixing time.
6. The method of claim 1 , wherein credit in the credit limit is renewed automatically for future auctions on a request from a trading entity.
7. The method of claim 1 , wherein trading entities wishing to participate must notify the computerized trading system of credit limits for various counterparties within the system.
8. The method of claim 7 , wherein the trading entities also must notify the computerized trading system of credit limits the respective trading entity is willing to lend to counterparties trading on the computerized trading system.
9. The method of claim 1 , wherein trading entities may cancel orders at any time up to a cut-off time prior to the benchmark fixing time.
10. A computerized trading system for reducing the processing power required to trade an instrument, the system comprising:
a memory operative to store data that identifies a benchmark fixing time at which a benchmark price for the instrument is set and data that assigns a credit limit to each of a plurality of participating trading entities;
an order receiver operative to receive a plurality of orders for the instrument, each of the plurality of received orders being from a respective trading entity of the plurality of participating trading entities, wherein each of the plurality of received orders includes a quantity, but not a price, indicating that the trading entity from which the order was received is willing to trade the instrument at the benchmark price;
the order receiver further operative to receive instructions to cancel at least one of the plurality of received orders and cancel the at least one of the plurality of received orders only when the instructions to cancel are received prior to the benchmark fixing time;
a match engine operative to match each of the plurality of received orders as it is received, with another previously received uncanceled and unmatched order of the plurality of received orders which causes the match process to be distributed over a period of time ending at the benchmark fixing time, wherein the matching is performed as a function of the credit limits of each of the plurality of trading entities; and
an order processer operative to set the benchmark price at or after the benchmark fixing time and execute the matched orders at the set benchmark price.
11. The computerized trading system of claim 10 , wherein the credit limits are only valid until the benchmark fixing time.
12. The computerized trading system of claim 10 , wherein at least one credit limit for a trading entity is reflective of a willingness to act as or through a prime broker.
13. The computerized trading system of claim 10 , wherein the credit limits are assigned no later than a first predetermined time before the period of time ending at the benchmark fixing time.
14. The computerized trading system of claim 13 , wherein the respective trading entity is notified of unused credit at a second predetermined time after the benchmark fixing time.
15. The computerized trading system of claim 10 , wherein credit in the credit limit is renewed automatically for future auctions on a request from a trading entity.
16. The computerized trading system of claim 10 , wherein trading entities wishing to participate must notify the computerized trading system of credit limits for various counterparties within the system.
17. The computerized trading system of claim 16 , wherein the trading entities also must notify the computerized trading system of credit limits the respective trading entity is willing to lend to counterparties trading on the computerized trading system.
18. The computerized trading system of claim 10 , wherein trading entities may cancel orders at any time up to a cut-off time prior to the benchmark fixing time.
19. A system comprising a processor and a memory coupled therewith, the memory storing computer executable instructions that when executed by the processor cause the processor to:
store data that identifies a benchmark fixing time at which a benchmark price for the instrument is set;
store data that assigns a credit limit to each of a plurality of participating trading entities;
receive a plurality of orders for the instrument, each of the plurality of received orders being from a respective trading entity of the plurality of participating trading entities, wherein each of the plurality of received orders includes a quantity, but not a price, indicating that the trading entity from which the order was received is willing to trade the instrument at the benchmark price;
receive instructions to cancel at least one of the plurality of received orders and canceling the at least one of the plurality of received orders only if when the instructions to cancel were are received prior to the benchmark fixing time;
match each of the plurality of received orders as it is received, with another previously received uncanceled and unmatched order of the plurality of received orders, causing the matching to be distributed over a period of time ending at the benchmark fixing time, wherein the matching is performed as a function of the credit limits of each of the plurality of trading entities;
set the benchmark price for the instrument at or after the benchmark fixing time; and
execute the matched orders at the set benchmark price.
20. The system of claim 19 , wherein the credit limits are only valid until the benchmark fixing time.