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 computer implemented method comprising:
receiving, by a processor over a period of time ending at a benchmark fixing time, a plurality of orders for an instrument, each of the plurality of received orders being from a respective trading entity of the plurality of trading entities, each of which is assigned a credit limit, assigned no later than a first predetermined time before the period of time ending at the benchmark fixing time, for use during the period of time and only valid until the benchmark fixing time, wherein each of the plurality of received orders specifies a quantity, but not a price, the lack thereof indicative of a direction to use a benchmark price set at the benchmark fixing time;
matching, by the processor only as a function of the assigned credit limits, each of the plurality of received orders, as they are received, with another previously received uncanceled and unmatched order of the plurality of received orders, causing the matching to be distributed over the period of time, the processing power required by the processor being reduced thereby;
setting, by the processor 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 computer implemented method of claim 1 , further comprising:
receiving, by the processor, 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.
3. The computer implemented method of claim 1 , wherein the credit limit assigned to a trading entity is reflective of a willingness to act as or through a prime broker.
4. The computer implemented method of claim 1 , wherein the respective trading entity is notified of unused credit at a second predetermined time after the benchmark fixing time.
5. The computer implemented method of claim 1 , wherein credit in any of the assigned credit limit is renewed automatically for future auctions on a request from a trading entity.
6. The computer implemented method of claim 1 , wherein trading entities wishing to participate provide credit limits to be assigned to various counterparties within the system.
7. The computer implemented method of claim 6 , wherein each of the trading entities provides credit limits they are willing to lend to counterparties.
8. A system comprising:
an order receiver operative to receive, over a period of time ending at a benchmark fixing time, a plurality of orders for an instrument, each of the plurality of received orders being from a respective trading entity of the plurality of trading entities, each of which is assigned a credit limit, assigned no later than a first predetermined time before the period of time ending at the benchmark fixing time, for use during the period of time and only valid until the benchmark fixing time, wherein each of the plurality of received orders specifies a quantity, but not a price, the lack thereof indicative of a direction to use a benchmark price set at the benchmark fixing time;
a match engine operative to match, only as a function of the assigned credit limits, each of the plurality of received orders, as they are received, with another previously received uncanceled and unmatched order of the plurality of received orders, causing the matching to be distributed over the period of time, the processing power required by the processor being reduced thereby; 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.
9. The system of claim 8 wherein the order receiver is 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.
10. The system of claim 8 , wherein the credit limit assigned to a trading entity is reflective of a willingness to act as or through a prime broker.
11. The system of claim 8 , wherein the respective trading entity is notified of unused credit at a second predetermined time after the benchmark fixing time.
12. The system of claim 8 , wherein credit in the credit limit is renewed automatically for future auctions on a request from a trading entity.
13. The system of claim 8 , wherein trading entities wishing to participate provide credit limits to be assigned to various counterparties within the system.
14. The system of claim 13 , wherein each of the trading entities provides credit limits they are willing to lend to counterparties.
15. 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:
receive, over a period of time ending at a benchmark fixing time, a plurality of orders for an instrument, each of the plurality of received orders being from a respective trading entity of the plurality of trading entities, each of which is assigned a credit limit, assigned no later than a first predetermined time before the period of time ending at the benchmark fixing time, for use during the period of time and only valid until the benchmark fixing time, wherein each of the plurality of received orders specifies a quantity, but not a price, the lack thereof indicative of a direction to use a benchmark price set at the benchmark fixing time;
match, only as a function of the assigned credit limits, each of the plurality of received orders, as they are received, with another previously received uncanceled and unmatched order of the plurality of received orders, causing the matching to be distributed over the period of time, the processing power required by the processor being reduced thereby;
set the benchmark price for the instrument at or after the benchmark fixing time; and
execute the matched orders at the set benchmark price.
16. The system of claim 15 , wherein the computer executable instructions are further executable by the processor to cause the processor to 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 when the instructions to cancel are received prior to the benchmark fixing time.