Granted Patent B2

US 12,277,602 · App. 18/082,167 · Granted Apr 15, 2025

Inventors: Paul D. Adcock (Burr Ridge, IL); Michael A. Cormack (Vancouver, CA); Amy Farnstrom (Oakland, CA); Robert A. Hill (LaGrange, IL)

Assignee: NYSE Group, Inc.

G06Q40/04G06Q30/06G06Q40/00G06Q40/06

Abstract

Claims (87)

1. A system comprising:

a processor operatively coupled to a memory storing code, which when executed by the processor, causes the processor to generate one or more processing engines configured to perform the following steps:

receive quotation data disseminated from one or more away market center systems;

filter the received quotation data to store the received quotation data in a first book, the first book configured to store away market quote data;

filter contra-side order data to store the contra-side order data in a second book;

retrieve the contra-side order data that is stored in the second book, the second book configured to store active nonmarketable order data, the first book separate from the second book and from one or more additional books configured to store market maker quote data;

monitor changes in the away market quote data stored in the first book;

determine, responsive to the monitoring, that an away market quote stored in the first book has moved relative to a price of a contra-side order in the second book;

synchronize price fluctuations in the first book and the second book by automatically repricing a portion of the contra-side order based on an extent to which said away market quote has moved relative to the price of the contra-side order; and

in response to the repricing of the contra-side order, initiate an order execution process on said repriced contra-side order comprising:

temporarily create a single consolidated list including data from both the first book and the second book, while maintaining an integrity of the first book and the second book;

rank the data from both the first book and the second book within the single consolidated list; and

automatically control one or more of execution of the repriced contra-side order within the system and routing of the repriced contra-side order to the one or more away market center systems for execution based on the ranked data in the single consolidated list.

2. The system of claim 1 , wherein the creating of the single consolidated list further comprises:

temporarily combining the retrieved contra-side order data in the second book with the received quotation data in the first book into the single consolidated list,

wherein said rank within the single consolidated list dictates a sequence of execution.

3. The system of claim 2 , wherein the one or more processing engines are further configured to:

execute a transaction involving the portion of the contra-side order responsive to the repriced contra-side order being ranked within the single consolidated list;

cancel a remaining portion of said repriced contra-side order; and

delete said single consolidated list after the transaction is executed.

4. The system of claim 1 , wherein the away market quote is associated with a specified option series maintained on the system, and wherein the contra-side order comprises an automatically repriceable order that is also associated with said specified option series.

5. The system of claim 1 , wherein the contra-side order comprises one or more of a stand-your-ground inside limit order, a sweep limit order, an intermarket sweep limit order, and a reprice-and-ship inside limit order.

6. The system of claim 5 , wherein the one or more processing engines are further configured to:

initiate at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and

attempt to execute a transaction involving the stand-your-ground inside limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process, and any remaining portion of the stand-your-ground inside limit order is posted to the second book at its repriced price.

7. The system of claim 5 , wherein the one or more processing engines are further configured to:

initiate at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and

attempt to execute a transaction involving the intermarket sweep limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process, and any remaining portion of the intermarket sweep limit order is posted to the second book at its repriced price.

8. The system of claim 5 , wherein the one or more processing engines are further configured to:

initiate a lead market maker guarantee entitlement process, wherein the one or more processing engines determine that the away market quote has moved into the price of the contra-side order; and

attempt to execute a transaction involving the reprice-and-ship inside limit order via the lead market maker guarantee entitlement process and then routes to the away market quote that moved into its display price.

9. The system of claim 5 , wherein the one or more processing engines are further configured to:

initiate at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process; and

attempt to execute a transaction involving the sweep limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process, and any remaining portion of the sweep limit order is posted to the second book at its repriced price.

10. The system of claim 1 , wherein:

if the one or more processing engines determine that the away market quote has moved away from the price of the contra-side order, the reprice comprises a price that is more aggressive than the price of the contra-side order, and

if the one or more processing engines determine that the away market quote has moved into the price of the contra-side order, the one or more processing engines determine whether the contra-side order needs to be priced less aggressively, and upon determining that the contra-side order does need to be priced less aggressively, reprice said contra-side order to have a less aggressive price.

11. The system of claim 1 , wherein:

the first book comprises an away market best bid and offer book;

the second book comprises an order book; and

the one or more additional books comprise a market maker quote book configured to store orders associated with a respective options series.

12. A method, the method comprising:

providing a system comprising a processor operatively coupled to a memory storing code, which when executed by the processor, generate one or more processing engines that perform the steps of:

receiving quotation data disseminated from one or more away market center systems;

filtering the received quotation data and storing the received quotation data in a first book, the first book configured to store away market quote data;

filtering contra-side order data and storing the contra-side order data in a second book;

retrieving the contra-side order data that is stored in the second book, the second book configured to store active nonmarketable order data, the first book separate from the second book and one or more additional books configured to store market maker quote data;

monitoring changes in the away market quote data stored in the first book;

determining, responsive to the monitoring, that an away market quote stored in the first book has moved relative to a price of a contra-side order in the second book;

synchronizing price fluctuations in the first book and the second book by automatically repricing a portion of the contra-side order based on an extent to which said away market quote has moved relative to the price of the contra-side order; and

in response to the repricing of the contra-side order, initiating an order execution process on said repriced contra-side order comprising:

temporarily creating a single consolidated list including data from both the first book and the second book, while maintaining an integrity of the first book and the second book;

ranking the data from both the first book and the second book within the single consolidated list; and

automatically controlling one or more of execution of the repriced contra-side order within the system and routing of the contra-side order to the one or more away market center systems for execution based on the ranked data in the single consolidated list.

13. The method of claim 12 , the creating of the single consolidated list further comprising:

temporarily combining the retrieved contra-side order data in the second book with the received quotation data in the first book into the single consolidated list,

wherein said ranking within the single consolidated list dictates a sequence of execution.

14. The method of claim 13 , further comprising:

executing a transaction involving the portion of the contra-side order responsive to the repriced contra-side order being ranked within the single consolidated list;

cancelling a remaining portion of said repriced contra-side order; and

deleting said single consolidated list after the transaction is executed.

15. The method of claim 12 , wherein the away market quote is associated with a specified option series maintained on the system, and wherein the contra-side order comprises an automatically repriceable order that is also associated with said specified option series.

16. The method of claim 12 , wherein the contra-side order comprises one or more of a stand-your-ground inside limit order, a sweep limit order, an intermarket sweep limit order, and a reprice-and-ship inside limit order.

17. The method of claim 16 , further comprising:

initiating, by the one or more processing engines, at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process;

executing, by the one or more processing engines, a transaction involving the stand-your-ground inside limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process; and

posting, by the one or more processing engines, any remaining portion of the stand-your-ground inside limit order to the second book at its repriced price.

18. The method of claim 16 , further comprising:

initiating, by the one or more processing engines, at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process;

executing, by the one or more processing engines, a transaction involving the intermarket sweep limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process; and

posting, by the one or more processing engines, any remaining portion of the intermarket sweep limit order to the second book at its repriced price.

19. The method of claim 16 , further comprising:

initiating, by the one or more processing engines, a lead market maker guarantee entitlement process;

determining, by the one or more processing engines, that the away market quote has moved into the price of the contra-side order;

executing, by the one or more processing engines, a transaction involving the reprice-and-ship inside limit order via the lead market maker guarantee entitlement process; and

routing, by the one or more processing engines, the reprice-and-ship inside limit order to the away market quote that moved into its display price.

20. The method of claim 16 , further comprising:

initiating, by the one or more processing engines, at least one of a lead market maker guarantee entitlement process, a display order process, a working order process, and a routing process;

executing, by the one or more processing engines, a transaction involving the sweep limit order via at least one of the lead market maker guarantee entitlement process, the display order process, the working order process, and the routing process; and

posting, by the one or more processing engines, any remaining portion of the sweep limit order to the second book at its repriced price.

21. The method of claim 12 , wherein:

if it is determined, by the one or more processing engines, that the away market quote has moved away from the price of the contra-side order, the repricing comprises a price that is more aggressive than the price of the contra-side order, and

if it is determined, by the one or more processing engines, that the away market quote has moved into the price of the contra-side order, the method further comprises determining whether the contra-side order needs to be priced less aggressively, and upon determining that the contra-side order does need to be priced less aggressively, repricing said contra-side order to have a less aggressive price.

22. The method of claim 12 , wherein:

the first book comprises an away market best bid and offer book;

the second book comprises an order book; and

the one or more additional books comprise a market maker quote book configured to store orders associated with a respective options series.

Assignments (2)

Continuity (12)

References Cited (236)