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Claims  |
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What is claimed is:
1. A matching system for trading instruments in which bids are
automatically matched against offers for given trading instruments for
automatically providing matching transactions in order to complete trades
for said given trading instruments, said system comprising a host computer
means comprising means for anonymously matching active bids and offers in
the system by trading instrument based on a variable matching criteria,
said matching criteria comprising a dynamically variable counterparty
credit limit between potential counterparties to a potential matching
transaction; a transaction originating keystation means for providing an
offer on said given trading instrument involved in said potential matching
transaction; and network means for interconnecting said host computer
means, said transaction originating keystation means and said counterparty
keystation means in said system for enabling data communications
therebetween, both said transaction originating keystation means and said
counterparty keystation means for said potential matching transaction each
having an associated counterparty credit limit, said system inhibiting
completion of said potential matching transaction between said transaction
originating keystation means and said counterparty keystation means when
said potential matching transaction has an associated value in excess of
said associated counterparty credit limit, each of said keystation means
comprising means for variably assigning a trading party credit limit for
said potential counterparty to said potential anonymous matching
transaction, said keystation trading party credit limit assigning means
comprising means for dynamically varying said assigned trading party
credit limit for said potential counterparty for providing dynamically
variable real time credit control between said potential counterparties to
said potential matching transaction, said associated counterparty credit
limit being based upon said assigned trading party credit limits for each
of said counterparties involved in said potential matching transaction,
said dynamically variable assigned trading party credit limits being
provided to said host computer means from said keystation means for
providing said associated counterparty credit limit, said host computer
means being dynamically responsive to said keystation provided dynamically
variable assigned trading party credit limits for dynamically varying said
variable matching criteria based thereon for providing said dynamically
real time credit control for said anonymous matching transactions between
said individual keystations.
2. A matching system in accordance with claim 1 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
3. A matching system in accordance with claim 2 wherein said counterparty
credit limit is a gross counterparty credit limit.
4. A matching system in accordance with claim 1 wherein said counterparty
credit limit is a gross counterparty credit limit.
5. A matching system in accordance with claim 1 wherein said matching
criteria further comprises real time prices of said bids and offers, said
real time prices being subject to said counterparty credit limit in real
time.
6. A matching system in accordance with claim 5 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
7. A matching system in accordance with claim 6 wherein said counterparty
credit limit is a gross counterparty credit limit.
8. A matching system in accordance with claim 5 wherein said counterparty
credit limit is a gross counterparty credit limit.
9. A matching system in accordance with claim 5 wherein said matching
criteria further comprises associated quantity value of said given trading
instrument bids and offers.
10. A matching system in accordance with claim 9 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
11. A matching system in accordance with claim 10 wherein said counterparty
credit limit is a gross counterparty credit limit.
12. A matching system in accordance with claim 9 wherein said counterparty
credit limit is a gross counterparty credit limit.
13. A matching system in accordance with claim 1 wherein said matching
criteria further comprises associated quantity value of given trading
instrument bids and offers.
14. A matching system in accordance with claim 13 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
15. A matching system in accordance with claim 14 wherein said counterparty
credit limit is a gross counterparty credit limit.
16. A matching system in accordance with claim 13 wherein said counterparty
credit limit is a gross counterparty credit limit.
17. A matching system in accordance with claim 1 wherein said counterparty
credit limit comprises the minimum of said trading party credit limits for
each of said counterparties involved in said potential matching
transaction.
18. A matching system in accordance with claim 1 wherein said keystation
credit limit varying means comprises means for dynamically resetting all
trading party credit limits assigned by said keystations means.
19. A matching system in accordance with claim 18 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
20. A matching system in accordance with claim 19 wherein said counterparty
credit limit is a gross counterparty credit limit.
21. A matching system in accordance with claim 1 wherein said host computer
means further comprises means for providing a credit limit alert when said
assigned trading credit limit goes below a predetermined value.
22. A matching system in accordance with claim 21 wherein predetermined
value comprises 25% of the original value of said assigned trading party
credit limit.
23. A matching system in accordance with claim 21 wherein said keystation
credit limit varying means comprises means for dynamically resetting all
trading party credit limits assigned by said keystation means.
24. A matching system in accordance with claim 1 wherein said matching
criteria further comprises price and quantity, said means for anonymously
matching said bids and offers comprising means for determining the
quantity of permissible match at the lowest common counterparty credit
limit and the best bid/ask price for the largest available quantity for
automatically completing said potential matching transaction.
25. A matching system in accordance with claim 24 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
26. A matching system in accordance with claim 25 wherein said counterparty
credit limit is a gross counterparty credit limit.
27. A matching system in accordance with claim 24 wherein said host
computer means further comprises means for dynamically updating said
prices based on the best available bids in said system.
28. A matching system in accordance with claim 27 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
29. A matching system in accordance with claim 28 wherein said counterparty
credit limit is a gross counterparty credit limit.
30. A matching system in accordance with claim 1 wherein said host computer
means comprises means for processing said matching transactions for a
given trading instrument in time order entry to said matching system.
31. A matching system in accordance with claim 30 wherein said matching
criteria further comprises an order priority based on price, quantity type
and said time order entry.
32. A matching system in accordance with claim 31 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
33. A matching system in accordance with claim 32 wherein said counterparty
credit limit is a gross counterparty credit limit.
34. A matching system in accordance with claim 30 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
35. A matching system in accordance with claim 34 wherein said counterparty
credit limit is a gross counterparty credit limit.
36. A matching system in accordance with claim 1 wherein said given trading
instruments comprise foreign exchange currencies.
37. A matching system in accordance with claim 36 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
38. A matching system in accordance with claim 37 wherein said counterparty
credit limit is a gross counterparty credit limit.
39. A matching system in accordance with claim 36 wherein said matching
criteria further comprises real time prices of said bids and offers, said
real time prices being subject to said counterparty credit limit in real
time.
40. A matching system in accordance with claim 39 wherein said matching
criteria further comprises associated quantity value of said given trading
instrument bids and offers.
41. A matching system in accordance with claim 36 wherein said keystation
credit limit varying means comprises means for dynamically resetting all
trading party credit limits assigned by said keystation means.
42. A matching system in accordance with claim 36 wherein said host
computer means further comprises means for providing a credit limit alert
when said assigned trading credit limit goes below a predetermined value.
43. A matching system in accordance with claim 42 wherein said
predetermined value comprises 25% of the original value of said assigned
trading party credit limit.
44. A matching system in accordance with claim 36 wherein said matching
criteria further comprises price and quantity, said means for anonymously
matching said bids and offers comprising means for determining the
quantity of permissible match at the lowest common counterparty credit
limit and the best bid/ask price for the largest available quantity for
automatically completing said potential matching transactions.
45. A matching system in accordance with claim 44 wherein said host
computer means further comprises means for dynamically updating said
prices based on the best available bids in said system.
46. A matching system in accordance with claim 36 wherein said host
computer means comprises means for processing said matching transactions
for a given trading instrument in time order entry to said matching
system.
47. A matching system in accordance with claim 46 wherein said matching
criteria further comprises an order priority based on price, quantity type
and said time order entry.
48. A matching system for trading instruments in which bids are
automatically matched against offers for given trading instruments for
automatically providing matching transactions in order to complete trades
for said given trading instruments, said system comprising a host computer
means comprising means for anonymously matching active bids and offers in
the system by trading instrument based on a variable matching criteria,
said matching criteria comprising a counterparty credit limit between
counterparties to a potential matching transaction; a transaction
originating keystation means for providing an offer on said given trading
instrument involved in said potential matching transaction; and network
means for interconnecting said host computer means, said transaction
originating keystation means and said counterparty keystation means in
said system for enabling data communications therebetween, both said
transaction originating keystation means and said counterparty keystation
means for said potential matching transaction each having an associated
counterparty credit limit, said system inhibiting completion of said
potential matching transaction between said transaction originating
keystation means and said counterparty keystation means when said
potential matching transaction has an associated value in excess of said
counterparty credit limit, said host computer means comprising means for
processing said matching transactions for a given trading instrument in
time order entry to said matching system, said matching criteria further
comprising an order priority based on price, quantity type and said time
order entry, said quantity type comprising a primary quantity type and a
more quantity type, said more quantity type being a hidden value of
additional quantity beyond said primary quantity a keystation is willing
to trade of said given trading instrument.
49. A matching system in accordance with claim 48 wherein said primary
quantity type has a higher order priority than said more quantity type.
50. A matching system in accordance with claim 48 wherein said counterparty
credit limit is an anonymous credit limit to said counterparties.
51. A matching system for trading instruments in which bids are
automatically matched against offers for given trading instruments for
automatically providing matching transactions in order to complete trades
for said given trading instruments, said system comprising a host computer
means comprising means for anonymously matching active bids and offers in
the system by trading instrument based on a variable matching criteria,
said matching criteria comprising a dynamically variable counterparty
credit limit between counterparties to a potential matching transaction; a
transaction originating keystation means for providing an offer on said
given trading instrument involved in said potential matching transaction;
and network means for interconnecting said host computer means, said
transaction originating keystation means and said counterparty keystation
means in said system for enabling data communications therebetween, both
said transaction originating keystation means and said counterparty
keystation means for said potential matching transaction each having an
associated counterparty credit limit, said system inhibiting completion of
said potential matching transaction between said transaction originating
keystation means and said counterparty keystation means when said
potential matching transaction has an associated value in excess of said
counterparty credit limit, said given trading instruments comprising
foreign exchange currencies, said host computer means comprising means for
processing said matching transactions for a given trading instrument in
time order entry to said matching system, said matching criteria further
comprising an order priority based on price, quantity type and said time
order entry, said quantity type comprising a primary quantity type and a
more quantity type, said more quantity type being a hidden value of
additional quantity beyond said primary quantity a keystation is willing
to trade of said given trading instrument.
52. A matching system in accordance with claim 51 wherein said host
computer means further comprises means for dynamically updating said
prices based on the best available bids in said system.
53. A matching system for trading instruments in which bids are
automatically matched against offers for given trading instruments for
automatically providing matching transactions in order to complete trades
for said given trading instruments, said system comprising a host computer
means comprising means for anonymously matching active bids and offers in
the system by trading instrument based on a variable matching criteria,
said matching criteria comprising a dynamically variable counterparty
credit limit between counterparties to a potential matching transaction; a
transaction originating keystation means for providing an offer on said
given trading instrument involved in said potential matching transaction;
and network means for interconnecting said host computer means, said
transaction originating keystation means and said counterparty keystation
means in said system for enabling data communications therebetween, both
said transaction originating keystation means and said counterparty
keystation means for said potential matching transaction each having an
associated counterparty credit limit, said system inhibiting completion of
said potential matching transaction between said transaction originating
keystation means and said counterparty keystation means when said
potential matching transaction has an associated value in excess of said
counterparty credit limit, each of said keystation means comprising means
for assigning a trading party credit limit, said associated counterparty
credit limit being based upon said assigned trading party credit limits
for each of said counterparties involved in said potential matching
transaction, said host computer means further comprising means for
providing a credit limit alert to an associated keystation when said
assigned trading credit limit of said associated keystation goes below a
predetermined value, said keystation means further comprising means for
dynamically varying said assigned trading party credit limit as a result
of said credit limit alert to said associated keystation.
54. A matching system in accordance with claim 53 wherein said counterparty
credit limit comprises the minimum of said trading party credit limits for
each of said counterparties involved in said potential matching
transaction.
55. A matching system in accordance with claim 53 wherein said keystation
means for dynamically varying said assigned trading party credit limit
comprises means for dynamically resetting all trading party credit limits
assigned by said keystation means.
56. A matching system in accordance with claim 53 wherein said
predetermined value comprises 25% of the original value of said assigned
trading party trading limit.
57. A matching system for trading instruments in which bids are
automatically matched against offers for given trading instruments for
automatically providing matching transactions in order to complete trades
for said given trading instruments, said system comprising a host computer
means comprising means for anonymously matching active bids and offers in
the system by trading instrument based on a variable matching criteria,
said matching criteria comprising a counterparty credit limit between
counterparties to a potential matching transaction; a transaction
originating keystation means for providing an offer on said given trading
instrument involved in said potential matching transaction; and network
means for interconnecting said host computer means, said transaction
originating keystation means and said counterparty keystation means in
said system for enabling data communications therebetween, both said
transaction originating keystation means and said counterparty keystation
means for said potential matching transaction each having an associated
counterparty credit limit, said system inhibiting completion of said
potential matching transaction between said transaction originating
keystation means and said counterparty keystation means when said
potential matching transaction has an associated value in excess of said
counterparty credit limit, said matching criteria further comprising an
order priority based on quantity type, said quantity types comprising a
primary quantity type and a more quantity type, said more quantity type
being a hidden value of additional quantity beyond said primary quantity a
keystation is willing to trade of said given trading instrument. |
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Claims |
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Description |
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CROSS-REFERENCE TO RELATED APPLICATIONS
This application is related to the commonly owned co-pending U.S. Patent
Applications entitled "Distributed Matching System", filed May 25, 1989,
and naming, David L. Silverman, Alfred M. Scholldorf and Norman Keller as
joint inventors thereof; and "Distributed Matching System Method", also
filed May 25, 1989 and naming David L. Silverman, Alfred M. Scholldorf and
Norman Keller as joint-inventors thereof; the contents of each of which is
specifically incorporated by reference herein in their entirety.
TECHNICAL FIELD
The present invention relates to matching systems for effectuating trades
of trading instruments through automatic matching in which buyers and
sellers who are willing to trade with one another based on specified
criteria, such as price, quantity and credit, may automatically trade when
matching events occur satisfying these criteria, and more particularly to
such matching systems in which real time prices are subject to real time
credit in determining the quantity of permissible match.
BACKGROUND ART
Information retrieval systems for financial information, such as stock
market type of information and money market information, normally employ a
transfer of data in a high-performance, real-time information retrieval
network in which update rates, retrieval rates and subscriber and/or user
population are generally very high. An example of such a system is REUTERS
DEALING SERVICE which is used in the foreign exchange or money market.
Such systems, while providing rapid video conversation capability, are not
anonymous systems nor do they provide for automated anonymous trading such
as is possible in a matching system. Of course, conversational dealing
systems have their place in the market and serve particular needs where
appropriate. However, anonymous matching systems are also often desired
and, by their very nature, do not normally employ a conversation
capability since the parties to the transactions are unknown until the
transaction has been completed. Examples of satisfactory prior art video
conversational systems for use in connection with trading of financial
information are disclosed in commonly owned U.S. Pat. Nos. 4,531,184;
4,525,779 and 4,404,551, by way of example. Prior art examples of matching
systems used in connection with the trading of trading instruments are
disclosed in U.S. Pat. No. 4,412,287, which discloses as an automated
stock exchange in which a computer matches buy and sell orders for a
variety of stocks; U.S. Pat. No. 3,573,747, which discloses an anonymous
trading system for selling fungible properties between subscribers to the
system; U.S. Pat. No. 3,581,072, which discloses the use of a special
purpose digital computer for matching orders and establishing market
prices in an auction market for fungible goods; and U.S. Pat. No.
4,674,044, which discloses an automated securities trading system.
However, none of these prior art matching systems implements or suggests
the use of credit controls to determine the quantity of permissible match
at the lowest common credit limit and the best bid/ask price for the
largest available quantity to automatically complete a match at trade in
which real time prices are subject to real time credit, such as a gross
counterparty credit limit between potential parties to a matching
transaction. Moreover no prior art matching systems are known to
applicants in which an anonymous "more quantity" bid may be employed for
additional orders at the same price. In addition, no prior art matching
systems are known to applicants in which directed messages are employed
between the keystations in the system and the central system to update the
local entry order data bases and broadcast messages are employed to update
the keystation book which is a restricted subset of the host or central
system book. Furthermore, none of these prior art system employ summary
books at the local keystations as subsets of the host or central system
book.
In the system of the present invention, as opposed to the prior art known
to applicants, the central system maintains a data base consisting of all
of the trading instruments available for trade, credit information with
respect to potential counterparties which may be dynamically varied by the
keystations, and the bids and offers that are present throughout the
system, while the client sites or keystations, which are subject to gross
counterparty credit limits in determining permissible matches, maintain
copies of only the best bids and offers and use those to generate a
display. Thus, the client sites have some restricted subset of the total
depth of the system book located at the central data base. By transmitting
only subsets of the total system book from the host, the amount of network
overhead that is required is significantly reduced, which reduction is
further enhanced by the use of only summary information in the keystation
books. Moreover, this enables the central data base maintaining a full set
of information for every entry including identification of the parties
which identification is not to be provided for the subset books at the
keystations in an anonymous trading system, and the assigned counterparty
credit limit for all potential counterparties in the system, with these
counterparty credit limits not being provided to the keystations and,
thus, the gross counterparty credit limits are kept anonymous in the
system. The only time that the keystation is made aware of the parties
involved in the transaction is after the transaction has been completed,
but they are preferably never made aware of the counterparty credit limits
assigned to them. In this regard, if the anonymous gross counterparty
credit limit is exceeded by the potential transaction the transaction will
not be completed. Thus, in the system of the present invention, the host
may anonymously inhibit the occurrence of trades even though the price and
quantity would otherwise match. The various credit limits are individually
set by the keystations, with the anonymous gross counterparty credit limit
being the minimum of the two credit limits between counterparties to a
potential matching transaction. The individual keystations may reset all
credit limits or dynamically vary individual credit limits with such
variations sometimes enabling previously inhibited trades to then go
foward because the new resulting anonymous gross counterparty credit limit
then may no longer be exceeded.
Apart from the above gross counterparty credit control of the trading
environment, the host may also dynamically vary the display depth of the
book distributed to the local keystation, so that at given times or given
days different aspects of the trading environment can be displayed. In
this regard, although dynamic control of the content of a local receiver
data base from a transmitted data base in an information retrieval
communication network has been previously employed by applicants'
assignee, such as disclosed in U.S. Pat. Nos. 4,745,559 and 4,750,135,
these systems are, nevertheless, different from the type of system control
employed in the system of the present invention in which real time prices
are subject to real time credit control or in which restricted subsets of
the host book are maintained as summary books at the keystation local data
bases. Thus, the system of the present invention for providing a
distributed matching system varying real time credit control over the
matching process overcomes the disadvantages of the prior art.
DISCLOSURE OF THE INVENTION
A matching system for trading instruments is provided in which bids are
automatically matched against offers for given trading instruments for
automatically providing matching transactions in order to complete trades
for the given trading instruments such as foreign exchange currencies, in
which real time prices are subject to real time credit controls to
anonymously block or inhibit the completion of potential matching
transactions which do not satisfy an anonymous gross counterparty credit
limit. Each of the keystations or client sites in the system assigns
trading party credit limits to the other client sites in the system with
which it is desired to trade, with these trading party credit limits being
maintained anonymously by the host computer and being used by the host
computer to anonymously determine gross counterparty credit limits for
each potential matching transaction. The gross counterparty credit limit
for a given potential matching transaction is the minimum of the trading
party credit limits for each of the counterparties involved in the
potential matching transaction.
The host computer anonymously matches active bids and offers in the system
based on a variable matching criteria which includes the gross
counterparty credit limit between counterparties to a potential matching
transaction, price, and available quantity. The system comprises the host
computer, a transaction originating keystation for providing a bid on a
given trading instrument to the system for providing the potential
matching transaction, a counterparty keystation for providing an offer on
the given trading instrument involved in the potential matching
transaction, and a network for interconnecting the host computer, the
transaction originating keystation, and the counterparty keystation for
enabling data communications therebetween. Both the transaction
originating keystation and the counterparty keystation for the potential
matching transaction each have an associated counterparty credit limit,
with the system blocking or inhibiting completion of the potential
matching transaction between the transaction originating keystation and
the counterparty keystation when the potential matching transaction has an
associated value in excess of the counterparty credit limit. The
individual keystations or client sites may individually vary the assigned
trading party credit limits which will, in turn, cause the host computer
to change the anonymous gross counterparty credit limits in response
thereto, or may reset all trading credit party limits which will, in turn,
again cause the host computer to change or vary the anonymous gross
counterparty credit limits in response thereto. In this regard, the host
computer may provide a credit limit alert to the assigning keystation when
the assigned trading party credit limit for another keystation goes below
a predetermined value, such as 25% of the original value of the assigned
trading party credit limit.
The host computer in anonymously matching the active bids and offers in the
system, determines the quantity of permissible match at the lowest common
counterparty credit limit and the best bid ask price for the largest
available quantity for automatically completing the potential matching
transaction. Preferably, the host computer, which dynamically updates the
prices based on the best available bids in the system, processes the
matching transactions for a given trading instrument in time order entry
to the matching system, with the matching criteria further comprising an
order priority based on price, quantity type and time order entry. With
respect to quantity type, it may be a primary quantity type or a more
quantity type, with the primary quantity type being disclosed to the other
keystations in the system while the more quantity type is maintained as a
hidden value of the additional quantity beyond the disclosed primary
quantity at which a given keystation is willing to trade for a given
trading instrument. Preferably, the primary quantity type has a higher
order priority than the more quantity type in the system.
Both the transaction originating keystation and the counterparty
keystation, which, of course, can comprise more than one counterparty for
a given transaction, for the potential matching transaction each have an
associated local data base keystation book comprising a subset of the host
book. The content of each of the keystation books has an associated
display depth range which is controllable by the host computer and is
updatable by transaction update broadcast messages received from the host
computer through the network, although the keystation books do not contain
counterparty credit limits or gross counterparty credit limits which are
kept anonymous by the host. The network is preferably transparent to the
transactions communicated via the network. The transaction originating
keystations and the counterparty keystation or keystations comprise means
responsive to the received transaction update broadcast messages for
updating the associated keystation books and further comprise means for
providing directed messages to the host computer corresponding to the bid
and the offer, respectively. The directed messages, which may include the
assigning, changing or resetting of trading party credit limits by the
keystations, are processed and used to update the host book. The host
computer comprises means for conditionally providing the transaction
broadcast update messages to the keystations in the system in response to
the presence of an update condition. The update condition comprises
updating of the host book and the received bid or offer having a relative
value compared with other bids or offers within the host book ,which is
within the keystation book display depth range of relative values. The
subset keystations books preferably comprise accumulated summaries of
corresponding bids and offers in the host book, with the summaries
comprising an accumulation of common price bids and an accumulation of
common price offers. Preferably, the bids and offers comprise logical
data. Tokens are used in the system for transmission of the data with
respect to users and other information. The keystation book, as was
previously mentioned, comprises displayable data having a defined
keystation book display depth range, such as the best bid or offer, the
next best bid or offer, and so forth, and bids and offers which fall
outside that display depth range are not displayed. Thus, the keystation
books each comprise a restricted subset of the total depth of the host
book with respect to the best bids and offers present in the host book
data base. These bids and offers contained in the keystation books are
anonymous prior to the completion to the matching transaction. In this
regard, preferably a display depth of one for the keystation books would
prevent looking into the host book at the keystation. In the system of the
present invention, the broadcast messages from the host or central system
are broadcast to all of the keystations in the matching system and are
used to update the keystation books whereas the directed messages which
are sent from the central system or host are directed back only to the
keystations involved in the actual matching transaction. These directed
messages are used to update the local entry data base or order book at the
local keystations involved in the transaction so as to indicate what has
happened to the offer or bid at that particular keystation made in
connection with the matching transaction. Thus, by employing the
distributed matching system of the present invention, real time prices are
subject to real time credit controls which may be dynamically varied, to
control potential matches which would otherwise occur based on price and
quantity, and controllable subsets of a distributable system trading book
may be selectively provided to the various trading keystations in the
matching system from the host or central system in order to controllably
mask the available trading market and efficiently transmit only the
required matching information to those keystations which require it.
BRIEF DESCRIPTION OF DRAWINGS
FIG. 1 is an overall system functional block diagram of the distributed
matching system of the present invention;
FIG. 2 is a functional block diagram of the system of FIG. 1 illustrating
the flow of information in connection with the entry of a bid and the
entry of an offer in the distributed matching system of FIG. 1;
FIG. 3 is a functional block diagram similar to FIG. 2 of the flow of
information in the distributed matching system of the present invention in
connection with a hit bid or trade;
FIG. 4 is an illustrative diagram of a logical model of a book market,
pre-posting, at the host or central system of the present invention and
illustrates the central system book in accordance with the present
invention;
FIG. 5 is an illustrative diagram similar to FIG. 4 illustrating a typical
keystation book as a subset of the central system book illustrated in FIG.
4;
FIG. 6 is a functional block diagram illustrating the flow of information
in the system of the present invention in connection with a typical
matching transaction;
FIGS. 7-12 are illustrative diagrams of a typical IXM update broadcast
message structure in accordance with the system of the present invention;
FIG. 13 is an illustrative diagram similar to FIG. 4, illustrating a book
market entry position, at market, based on the example of FIG. 4;
FIG. 14 is an illustrative diagram similar to FIG. 4 of book market entry
position, with the creation of a new sub-book based on the book
illustration of FIG. 4;
FIG. 15 is an illustration similar to FIG. 4 of an auction market entry
position, market equal, based on the book of FIG. 4;
FIG. 16 is an illustrative diagram similar to FIG. 15 of the auction market
entry position, with the market bettered, based on the book of FIG. 4;
FIG. 17 is an illustration of a logical model of the book market, similar
to FIG. 4, after posting;
FIG. 18 is an illustrative diagram similar to FIG. 4 of the logical model
of the book market of FIG. 4 after trade;
FIG. 19 is an illustrative diagram showing typical order types which may be
implemented with the system of the present invention; and
FIG. 20 is an illustrative diagram of a typical credit limit display of
assigned trading party credit limits at given client site in accordance
with the system of the present invention.
BEST MODE FOR CARRYING OUT THE INVENTION
Referring now to to drawings in detail and initially to FIG. 1 thereof, the
system of the present invention is a distributed anonymous matching system
for use in trading various trading instruments, such as different foreign
exchange currencies. In the system of the present invention as described
herein, the trading is effectuated through anonymous matching as opposed
to through the conversation video system described in U.S. Pat. Nos.
4,531,184; 4,525,779; and 4,404,551, commonly owned by applicants'
assignee herein. Thus, the distributed matching system of the present
invention may be thought of as a computerized exchange in which its
central role is to identify a buyer and a seller who are willing to trade
with one another based on specified criteria, such as price, quantity and
credit, with, as will be described in greater detail hereinafter, real
time prices preferably being subject to real time credit. Thus,
preferably, credit controls are used to determine the quantity of
permissible match at the lowest common credit limit and the best bid/ask
price for the largest available quantity to automatically complete a
matched trade in the anonymous trading system of the present invention.
When such a matching event occurs, preferably the buyer and seller are
informed of the trade and sufficient information is then provided to them
to complete the physical clearing of the transaction. In order to support
this central function, the matching system requires various support
functions one of which is preferably the maintenance of summary market
information on the participant's workstation or keystation displays at the
various client sites. Preferably in the system of the present invention,
at all times the system will display the best inside price for every
instrument traded on the system. The best inside price is preferably
defined to be the highest value bid and the lowest value offer in the
system. Preferably the prices are displayed together with the quantity bid
or offered at the specified price so that the trader at the keystation can
observe the market activity.
By observing the market activity, the trader can decide whether to enter a
bid, or enter an offer into the market in an effort to complete a matching
transaction. Preferably, the anonymous matching system of the present
invention essentially maintains a book of bids and offers in the central
system 20 or host computer. A user or keystation at a client site, such as
client site 26a or 26b illustrated in FIG. 1, by way of example, interacts
with the book by submitting bid, offer, hit, or take transactions. The
order entry function is preferably conventionally achieved through data
entry using a conventional keyboard, pointing device such as a mouse or
any other conventional data entry tool. The central system 20 validates
the transaction request, processes the bid, offer, hit or take according
to the rules of the market, and attempts to find matches between this new
entry and the other bids and offers posted in the system book, subject to
gross counterparty credit limits, as will be described in greater detail
hereinafter, between the potential counterparties to a potential matching
transaction. If a match is found, and satisfies all criteria, including
not exceeding the gross counterparty credit limit, then the trade is
automatically executed, the participants to the trade are informed, all
databases and trader screens are updated as to the quantities traded and
the quantities remaining and, if desired, a clearing agency may be
informed as to the details of the trade so that payments and exchanges may
be completed. If, on the other hand, a match cannot be found, or the gross
counterparty credit limit is exceeded by the potential match which would
otherwise match based on price and quantity per se, then the system
preferably either disposes of the entry for hit or take or keeps the entry
for bid or offer for later processing. Preferably in all cases
transactions are processed to completion according to certain rules to be
described in greater detail hereinafter and the various client sites 26a,
26b preferably receive real-time updates of the new status of the trading
instruments. Thus, as shown and preferred in FIG. 1, the client site
systems 26a and 26b only two of which are shown by way of example in FIG.
1, submit transactions, such as represented by reference numeral 30, as
well as assigned trading party credit limits, to the central system 20 via
the communication network 22. As will be explained in greater detail
hereinafter with reference to FIG. 6, the submission of a transaction 30
from a client site 26a or 26b to the central system 20 will preferably
result in one or more messages, represented by reference numeral 32, going
directly back as a directed message to the client site 26a in this
example, which initiated the transaction message. Another effect of the
transaction message 30 being sent to the central system 20 is that for
certain sorts of transactions, a broadcast message 34 is generated by the
central system 20 which is then delivered to all client sites 26a, 26b
attached to the central system 20. Thus, the directed response or the
directed message 32 only goes back to the particular client site 26a and,
more particularly, the particular keystation, 24a by way of example, at
that client site 26a which initiated the transaction message whereas the
broadcast message 34 goes to all client sites 26a, 26b and all of the
various keystations associated at those client sites 26a, 26b. With
respect to the assigned trading party credit limits, it is these limits
which are used by the central system 20 to determine the anonymous gross
counterparty credit limits which are used to control the completion of
matching transactions. By way of example, in FIG. 1 a typical client site
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