US20150379638A1 - Trading system with individualized order books - Google Patents
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- US20150379638A1 US20150379638A1 US14/846,230 US201514846230A US2015379638A1 US 20150379638 A1 US20150379638 A1 US 20150379638A1 US 201514846230 A US201514846230 A US 201514846230A US 2015379638 A1 US2015379638 A1 US 2015379638A1
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q20/00—Payment architectures, schemes or protocols
- G06Q20/02—Payment architectures, schemes or protocols involving a neutral party, e.g. certification authority, notary or trusted third party [TTP]
- G06Q20/027—Payment architectures, schemes or protocols involving a neutral party, e.g. certification authority, notary or trusted third party [TTP] involving a payment switch or gateway
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q20/00—Payment architectures, schemes or protocols
- G06Q20/08—Payment architectures
- G06Q20/10—Payment architectures specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q20/00—Payment architectures, schemes or protocols
- G06Q20/38—Payment protocols; Details thereof
- G06Q20/381—Currency conversion
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/03—Credit; Loans; Processing thereof
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
Abstract
Systems and methods for electronic trading are disclosed. A trading system may store information indicative of limits on trading of items between trading entities, including an entity that is a non-credit extending entity. The computer system may then determine respective order books for at least two trading entities, where the order books include dealable bids and offers that have been individualized using stored trading limits. The stored trading limits may in some cases include different limits for different items (which may be different foreign currency pairs, in one embodiment). In other instances, trading limits may be indicative of a net position that a trading entity is permitted to take in an item. Bids and offers may be individualized based on different costs associated with different trading entities.
Description
- The present application is a continuation of U.S. application Ser. No. 13/280,953 filed Oct. 25, 2011, which is a continuation of Ser. No. 13/031,394 filed Feb. 21, 2011 (now U.S. Pat. No. 8,615,462), which is a divisional of U.S. application Ser. No. 11/711,698, filed Feb. 26, 2007 (now U.S. Pat. No. 7,895,118), which is a continuation of U.S. application Ser. No. 10/005,609, filed Nov. 7, 2001 (now U.S. Pat. No. 7,184,984), which claims priority to U.S. Provisional Appl. No. 60/288,310 filed May 2, 2001, and U.S. Provisional Appl. No. 60/249,796, filed Nov. 17, 2000; the disclosures of each of the above-referenced applications are incorporated by reference herein in their entireties.
- This application is also related to the following applications filed on Oct. 25, 2011: U.S. application Ser. No. 13/280,931 entitled “Trading Using Intermediate Entities” (Attorney docket number 6539-00123); U.S. application Ser. No. 13/280,971 entitled “Application Programming Interface for Trading System” (Attorney docket number 6539-00125); U.S. application Ser. No. 13/281,010 entitled “Aggregation of Trading Orders” (Attorney docket number 6539-00126); U.S. application Ser. No. 13/281,032 entitled “Automated Trading” (Attorney docket number 6539-00127); and U.S. application Ser. No. 13/281,044 entitled “Requests for Quotes from Indirect Credit Lines” (Attorney docket number 6539-00128).
- This invention pertains to the field of global electronic trading of commodities and financial instruments.
- Currently, hundreds of billions of dollars are exchanged among banks, governments, and institutions in the foreign exchange (fx) markets each day. The mechanisms used in these markets have lagged behind the Internet revolution, however. These market mechanisms, in addition to operating on aging private-network and telephone-based technologies, also restrict participation in these markets by entities that are not part of the interbank network. When an entity without access to the interbank network (e.g., an individual or hedge fund) currently wishes to make a currency trade, that entity is only able to execute the trade through the limited set of banks with whom it has established credit facilities, as banks are concerned with counterparty risk, especially with the large size of typical over-the-counter fx trades.
- Furthermore, because prices in the fx markets change rapidly, bids and offers quoted to clients over the telephone by their banks are “firm” only for a very limited amount of time. In order to get the best possible price, the client has to poll as many banks as it has credit lines with. While expensive private-networks such as Reuters provide bid/offer quotes from several dozen contributing banks, these quotes are merely indicative of the current bid and offer prices and thus are not firm bids or offers. Also, the quotes provided by these services have been shown to lag the market.
- Still other factors affect fx market efficiency. Banks have little incentive to continue to do business with a client who calls for quotes frequently but rarely makes the trade. Thus, clients may feel the need to “farm out” trades by executing suboptimal trades in order to keep in good standing with their banks.
- Instead of being concerned solely with market movements, an fx market participant must therefore contend with (1) obtaining timely quotes; (2) establishing credit lines in order to expand the number of banks with which to seek the best bid/offer prices; and (3) the politics of counterparty relationships.
- Wright, Ben, “Unlocking the C2C forex riddle”, euromoney.com, Jul. 25, 2001, U.K., provides a general discussion of some of the business aspects of the present invention.
- Morris, Jennifer, “Forex goes into future shock”, Euromoney, October 2001, gives a general description of several computerized foreign exchange platforms, including one described in the present patent application.
- Ahuja, R. K., Magnanti, T. L., and Orlin, J. B., Network Flows; Theory, Algorithms, and Applications,
Chapters 7 and 9 (Prentice-Hall, Inc. 1993), U.S.A., sets forth some algorithms that may be useful in implementing the present invention. - U.S. Pat. No. 5,375,055 discloses a relatively simple trading system that is capable of implementing only single-hop trades. On the other hand, the present invention can accommodate multi-hop trades. Further, in U.S. Pat. No. 5,375,055, the user is given information that suggests to him that he can take a trade when he may not have enough credit to take the whole trade. In the present invention, on the other hand, if only part of a trade can be executed, that information is-given to the user; the user knows that he has enough credit to execute at least the best bid and best offer that are displayed on his computer.
- An even simpler trading system is disclosed in
European patent application 0 411 748 A2 and in grantedEuropean patents 0 399 850 B1 and 0 407 026 B1, all three of which are assigned to Reuters Limited. These Reuters documents describe a system in which information concerning a potential trade is displayed even if the user can't execute it at all. In the present invention, such a potential trade would not be displayed at all. Furthermore, the only credit limits that can be accommodated in the Reuters system are volume limits for the purposes of limiting settlement risk. In the present invention, any agent may set credit limits in multiple ways so as to limit not only settlement risk (measured both by individual instrument volumes and by notional absolute values) but also exposure risk. Furthermore, the Reuters keystations require a human operator. In the present invention, on the other hand, an API (application programming interface) enables any participant to develop programs which partially or fully automate the trading process. - Methods, systems, and computer readable media for facilitating trading two items (L,Q) from the group of items comprising commodities and financial instruments. At least two agents (2) want to trade some instrument L at some price quoted in terms of another instrument Q. The exchange of L and Q is itself a financial instrument, which is referred to as a traded instrument. A trading channel (3) between the two agents (2) allows for the execution of trades. Associated with each channel (3) are trading limits configured by the two agents (2) in order to limit risk. A central computer (1) coupled to the two agents (2) is adapted to convey to each agent (2) current tradable prices and available volumes for the exchange of L for Q and for the exchange of Q for L, taking into account the channel (3) trading limits. The central computer (1) facilitates trades that occur across a single trading channel (3) and trades that require the utilization of multiple trading channels (3).
- The proposed system will enable entities such as corporations, hedge funds, and smaller dealers to make orders by price for currencies, other over-the-counter fx derivative products, and other financial instruments. The system permits the use of a special purpose “limit-order book” designed for over-the-counter transactions between specific parties. (As opposed to “market” orders, in which an entity wishing to buy or sell does so with the lowest offer or highest bid on the “book” at the moment, a “limit” order allows an entity to specify a price and quantity to be added to the “book”; this limit order remains on the book until it expires or until another entity decides to act on the limit order.) The system may help “turn the tables” in favor of clients by enabling their orders to be instantly displayed by price to parties subscribing to the system (including banks) Such a system thus has the effect of creating greater price transparency.
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FIG. 1 is a block diagram illustrating a “type zero” trading system embodiment of the present invention. -
FIG. 2 is a block diagram illustrating a “type 1” trading system embodiment of the present invention. -
FIG. 3 is a block diagram illustrating a “type 2” trading system embodiment of the present invention. -
FIG. 4 is a block diagram illustrating a “type 2” back-to-back trade using the present invention. -
FIG. 5 is a block diagram illustrating an interlocking network oftype 1 andtype 2 atomic units. -
FIG. 6 is a schematic diagram illustrating trading limits for a traded instrument being traded between fouragents trading channels 3. -
FIG. 7 is a block diagram illustrating various ways thatagents 2 can be connected to enable them to use the present invention. -
FIG. 8 is a timeline illustrating an embodiment of the matching process used in the present invention. -
FIGS. 9A and 9B is a block diagram illustrating an embodiment of the border outpost process of the present invention. -
FIG. 10 is a deal fulfillment graph. -
FIG. 11 is a flow diagram illustrating the sequence of screen shots appearing on the computer of anagent 2 using the present invention. -
FIG. 12 illustrates a log-inscreen 21 of the computer of anagent 2. -
FIG. 13 illustrates a custom limit order book overview window 24 (multiple traded instruments). -
FIG. 14 illustrates a custom limit order book window 25 (single traded instrument). -
FIG. 15 illustrates a net exposure monitor 35. -
FIG. 16 illustrates abalance sheet window 36. -
FIG. 17 illustrates an open order overview andmanagement window 33. -
FIG. 18 illustrates a bidcreation dialog box 28. -
FIG. 19 illustrates an offercreation dialog box 29. -
FIG. 20 illustrates a buy (immediate execution bid)dialog box 30. -
FIG. 21 illustrates a sell (immediate execution offer)dialog box 31. -
FIG. 22 is a flow diagram illustrating the computation of a customlimit order book -
FIG. 23 is a flow diagram illustrating the computation of multi-hop flow limits for a single traded instrument among all accounts. -
FIG. 24 is a flow diagram illustrating computation of a directed graph of single-hop flow limits for a single traded instrument among all accounts. -
FIGS. 25A and 25B is a flow diagram illustrating computation of minimum and maximum excursions for a single account A and a single traded instrument. -
FIG. 26 is a flow diagram illustrating computation of a position limit for a lot instrument L. -
FIG. 27 is a flow diagram illustrating computation of a position limit for a quoted instrument Q. -
FIG. 28 is a flow diagram illustrating computation of a volume limit for a lot instrument L. -
FIG. 29 is a flow diagram illustrating computation of a volume limit for a quoted instrument Q. -
FIG. 30 is a flow diagram illustrating computation of a notional position limit. -
FIG. 31 is a flow diagram illustrating computation of a notional volume limit. -
FIG. 32 is a flow diagram illustrating computation of a traded instrument L:Q position limit. -
FIG. 33 is a flow diagram illustrating computation of a traded instrument L:Q volume limit. -
FIG. 34 is a flow diagram illustrating reporting bycomputer 1 of a single-hop trade. -
FIG. 35 is a flow diagram illustrating reporting bycomputer 1 of a multi-hop trade. - The present invention enables an arbitrary number of
agents 2 of arbitrary type (such as corporate treasuries, hedge funds, mutual funds and other collective investment schemes, banks and other financial institutions, and other institutions or persons) to trade commodities and financial instrument pairs directly amongst each other (thus facilitating client-to-client, or C2C trading) by making orders to their peers to buy and sell the traded instrument pairs over “credit atomic units” and “credit molecules”. - By way of example, the application highlighted most often herein is the spot foreign exchange (spot FX) market, but it must be understood that the present invention has applicability to trading in any type of over-the-counter commodity or financial instrument, including physical commodities, energy products (oil, gas, electricity), insurance and reinsurance products, debt instruments, other foreign exchange products (swaps), and compound instruments and other derivatives composed or derived from these instruments.
- A trade is the exchange of a lot of instrument L for a quoted instrument Q. The lot instrument L is traded in an integral multiple of a fixed quantity referred to as the lot size. The quoted instrument Q is traded in a quantity determined by the quantity of the lot instrument L and the price. The price is expressed as Q per L. In a spot FX trade, the lot instrument L and the quoted instrument Q are implicit contracts for delivery of a currency on the “spot” date (typically two business days after the trade date).
- In the present specification and claims, entities that wish to trade with each other are referred to as “agents” 2.
Agents 2 that extend credit toother agents 2 are referred to as credit-extendingagents 5.Agents 2 that do not extend credit toother agents 2 are referred to asclients 4 or non-credit-extendingagents 4. - Two
agents 2 may havedirect trading channels 3 between them, where thetrading channels 3 correspond to credit extended from one credit-extending agent 5 (typically a bank, financial institution, or any clearing entity) to theother agent 2.Trading channels 3 are typically secured via placement of collateral (margin) or other form of trust by anagent 2 with the credit-extendingagent 5. Typically,trading channels 3 amongst credit-extendingagents 5 and non-credit-extendingagents 4 already exist. In the spot FX market, thesetrading channels 3 are referred to as trading accounts. In the case that two credit-extendingagents 5 have atrading channel 3 between them, only oneagent 2 acts in a credit-extending capacity with regards to thattrading channel 3. - Credit-extending
agents 5 that allow thecentral computer 1 to utilize a portion of theirtrading channels 3 to allowother agents 2 to trade with each other are referred to as “credit-bridging agents” 5. In a preferred implementation of the present system, existing banks, financial institutions, and clearing entities are credit-bridgingagents 5 as well as credit-extendingagents 5; and existing trading customers of thoseinstitutions 5 areclients 4. - The proposed system allows two entities to trade with one over a currently unexhausted “credit path” connecting them via one or more credit-bridging entities. On the other hand, two entities cannot trade with one another at a given point in time over a credit path if that credit path is exhausted. For example, a first entity wishing to trade with a second entity via a third, credit-bridging entity may have used up all of its available credit with the third entity during some current predetermined time period, precluding a trade. Still further, the third entity may currently forbid any credit bridging between the first and second entities, again precluding a trade. One embodiment of the proposed system thus uses information regarding pre-existing credit relationships between entities and current values indicating whether credit-bridging entities are currently permitting or forbidding credit bridging between entities in order to facilitate trading amongst entities over indirect credit paths, including trades between non-credit-extending entities.
- In another embodiment, the proposed system facilitates trading by using a clearing facility to ensure that trades between entities (including non-credit-extending entities) are honored. The clearing facility may be independent of the proposed system. Still further, the proposed system may provide a choice of a plurality of clearing facilities.
- Compared with prior art systems, the present invention gives a relative advantage to
clients 4 compared to credit-extendingagents 5, by enabling one-way or two-way orders from anyagent 2 to be instantly displayed to all subscribingagents 2, enabling a trade to take place at a better price, with high likelihood, than the price available toclients 4 under prior art systems. The present invention brings togetherclients 4 who may be naturally on opposing sides of a trade, without conventional spreads historically charged to them 4 by credit-extendingagents 5 for their 5 service as middlemen. Of course, credit-extendingagents 5 also benefit on occasions when they are natural sellers or buyers. - Unlike prior art systems, the present invention arranges multi-hop deals to match orders between natural buyers and sellers who need not have a direct trading relationship. For the application to spot FX trading, a multi-hop deal can be realized through real or virtual back-to-back trades by one or more credit-bridging
agents 5. In terms of the underlying transfers of financial instruments, a multi-hop deal is similar to the existing practice of trade “give-ups” from one broker to another. - Unlike prior art systems, the present invention computes trading limits from not only cumulative volume but also from net position limits, where both volume and position limits may be set in terms of the traded instrument (instrument L for instrument Q), in terms of any underlying instruments to be exchanged (delivered) upon settlement (such as L individually, Q individually, or other instruments), or in terms of the notional valuations of such instruments. This allows all
agents 2, especially credit-bridgingagents 5, to control risk far more flexibly. Limiting traded or delivered instruments' cumulative volume helps to manage settlement risk. Limiting a traded instrument's net position (net L:Q position) helps to manage market risk. Limiting a delivered underlying instrument's net position (total net L, total net Q, or some other underlying instrument's position) helps manage market and credit risk by reflecting the ultimate effect of any trade on any account's future balance sheet. The cumulative volume limits allowed by prior art systems are able to address only settlement risk concerns. - The present invention has a natural symmetry; in the preferred implementation, not only are credit-bridging agents 5 (financial institutions) able to operate as market makers and post one-way (just a bid or ask) and two-way (both bid and ask) prices to
agents 2, butclients 4 may post one-way and two-way prices to credit-bridgingagents 5 andother clients 4 of any other credit extending orcredit bridging agent 5. This symmetry is not present in prior art trading systems. - When operating as market makers using the proposed system, both credit-extending entities and non-credit-extending entities are able to post bid and offer prices to the market in general (i.e., to any entity subscribing to the proposed system and having an unexhausted credit path to the market maker) or to other entities in particular (e.g., the set of one or more entities deemed to be acceptable by the market maker).
- The ability of
agents 2 to post limit orders can coexist quite well with the existing interbank fx market. For example, the proposed system allows non-credit-extending agents to operate as market makers, while credit-extending agents that take those deals would be able to move this inventory through a variety of channels. The aggregate volume from many clients' fx flows provides an incentive for more credit-extending entities (e.g., banks) to subscribe to the proposed system. The addition of more subscriber credit-extending entities will likely make the bid and offer prices more competitive, which in turn attracts more non-credit-extending entities (e.g., clients). - The present invention uses a
central computer 1 to calculate trading limits, to prepare customlimit order books counterparties 2 involved in each trade. Thecentral computer 1 is a network of at least one physical computer acting in a closely coordinated fashion. - Every
agent 2 subscribing to a system employing the present invention can be thought of as anode 2 in an undirected graph (FIGS. 1-5 , 10). Theundirected edges 3 of such graphs indicate the existence of a trading channel 3 (account) between twonodes 2, typically an arrangement of trading privileges and limits based on the extension of credit from onenode 2 to another 2 and likely backed by collateral placed by onenode 2 with the other 2. Somenodes 5 in the graph, corresponding to credit-bridgingagents 5, allow credit to be bridged, whileother nodes 4 areclients 4 who permanently or temporarily forbid credit bridging. For the application to spot FX trading, a credit-bridgingagent 5 authorizes thecentral computer 1 to initiate back-to-back spot trades, where simultaneous trades in opposite directions at the same price are made between thecredit bridging agent 5 and two or moredifferent agents 2, such that the net position effect to thecredit bridging agent 5 is exactly zero. - For each trading channel (account 3), the
central computer 1 maintains a set of limits set by the credit-extendingagent 5 and a set of limits set by the non-credit-extendingagent 2. Either of these sets of limits may be empty. These limits specify maximums of cumulative volume of each traded instrument L:Q, maximum cumulative volume of an underlying instrument (e.g. L, Q, or other), maximum cumulative notional value (e.g. U.S. dollar equivalent), maximum positive or negative net position of each traded instrument L:Q, maximum positive or negative net position of the underlying instrument (e.g. L, Q, or other), and maximum absolute net position notional (e.g., U.S. dollar equivalent) value total. - For each trading channel (account) 3, the
central computer 1 maintains information sufficient to compute the current value of all the quantities upon which limits may be placed. The cumulative volume values are reset to zero with some period, typically one business day, at such a time as is agreeable to both agents. It is illustrative to note that the cumulative volume values always increase toward their limit with each trade, while the net position values may be decreased back to zero or near zero and may change in sign. - An
agent 2 may add, remove, or adjust any of the elements of the set of limits specified by thatagent 2 at any time. - Since trading is permitted or denied based on these limit-related values, the
central computer 1 provides a way for theagents 2 that are parties to an account to inform thecentral computer 1 of any external activity that would affect these values, such as odd-lot trades and trades made through existing trading devices, or to simply reset all limit-related values to a predefined state. - Based on the current values of all these limit-related quantities, the
central computer 1 computes for each traded instrument L:Q a directed graph (FIG. 6 ) of maximum excursions. In the directed graph for each traded instrument L:Q, each directededge 3 from anode 2 to anothernode 2 has a value that indicates, based on the current position, how many of the traded instrument L:Q may be bought by thefirst node 2 from thesecond node 2. There are typically directededges 3 in both directions between any pair ofnodes 2, since the instrument L:Q may be bought or sold. The trading limit values (maximum excursions) of these buying and sellingedges 3 between twonodes 2 vary from moment to moment as trades are made and/or credit limits are adjusted by eithernode 2. - For all traded instruments L:Q and for all
nodes 2 that trade L:Q and for allother nodes 2 that trade L:Q, thecentral computer 1 uses the directed graph of maximum excursions (FIG. 6 ) to compute the maximum flow from thefirst node 2 to thesecond node 2. Note that this means that each pair ofnodes 2 that trade L:Q will have the maximum flow between them 2 calculated in both directions. - The prior art systems could be simulated by the present invention by first eliminating the ability of any
node 2 to be a credit-bridgingagent 5 so that the “single-pair maximum flow” is merely the flow enabled by directededges 3 connecting the pair ofnodes 2 directly. Second, all trading limits by non-credit-extendingagents 4 would be disabled and only cumulative volume limits on underlying instruments would be allowed for credit-extendingagents 5, corresponding to limits only on settlement risk. - For purposes of illustrating the present invention, consider, for example, an agent A extending credit to agent B for the purposes of trading spot FX using the present invention, and between the U.S. dollar (USD), Euro (EUR), and Japanese Yen (JPY) in particular. Suppose agent B buys 1 lot of EUR:USD at 0.9250, then sells 1 lot of EUR:JPY at 110.25, with both trades having agent A as
counterparty 2. The first trade will upon settlement result in 1,000,000 EUR received by agent B and 925,000 USD paid by agent B, while the second trade will result in 1,000,000 EUR paid by agent B and 110,250,000 JPY received by agent B. From the perspective of agent B, the account stands+1M EUR toward the EUR:USD cumulative volume limit, +1M EUR toward the EUR:USD net position limit, +1M EUR toward the EUR:JPY cumulative volume limit, −1M EUR toward the EUR:JPY net position limit, +2M EUR toward the EUR cumulative volume limit, +925,000 USD toward the USD cumulative volume limit, +110,250,000 JPY toward the JPY cumulative volume limit, ZERO with respect to the EUR net position limit, −925,000 USD toward the USD net position limit, and +110,250,000 JPY toward the JPY net position limit. Further supposing that the instrument valuations in agent B's home currency of USD are 0.9200 EUR:USD and 0.009090 JPY:USD, then the account stands (2M×0.9200+925,000+110,250,000×0.009090=) 3,767,172.50 USD toward the notional USD cumulative volume limit (useful for limiting settlement risk), and (0×0.9200+925,000+110,250,000×0.009090=) 1,927,172.34 USD toward the absolute notional net position total. - Now suppose agent B buys 1 lot of USD:JPY at 121.50, which upon settlement will result in 1,000,000 USD received and 121,500,000 JPY paid. The net single-instrument positions are now 0 EUR, 75,000 USD, and −10,250,000 JPY. Rather than delivering JPY at settlement (which will entail carrying a JPY debit balance in the account), agent B will probably choose to arrange an odd-lot deal with agent A to buy 10,250,000 JPY at a rate of, for instance, 121.40 USD:JPY, at a cost of 84,431.63 USD, resulting in final account position values of 0 EUR, −9,431.63 USD, and 0 JPY. In other words, agent B has lost 9,431.63 USD in its account with agent A once all the settlements occur.
- Alternatively, agent B may choose to “roll forward” any EUR or JPY net position from the spot date to the next value date, or to any forward date by buying or selling an appropriate FX swap instrument from or to agent A.
- Odd-lot spot, odd-lot forward, odd-lot swap, and deals with a
specific counterparty 2 are not amenable to trading via the “limit-order book” matching system, but instead may be facilitated by thecentral computer 1 through a request-for-quote mechanism. Since thecentral computer 1 knows the net positions of all the accounts, it may further recommend such deals on a periodic basis, such as a particular time that bothagents 2 consider to be the end of the business day for the account in question. - For the application of the present invention to markets other than spot FX, triangular interactions between traded instrument pairs are not as much a concern. The limits set by credit-extending
agents 5 are handled the same way, where the limits on commodity holdings or currency payments are translated by thecentral computer 1 into excursion limits (how many lots anagent 2 may buy or sell) in real-time. - The present invention can be implemented in a combination of hardware, firmware, and/or software. The software can be written in any computer language, such as C, C++, Java, etc., or in a combination of computer languages. The hardware, firmware, and software provide three levels of content: a) trade screens, b) post-trade content for back offices and clearing units, and c) real-time credit management content. Through an API (application programming interface) 38,
agents 2 can securely monitor and change in real time the credit limits they have specified for eachtrading channel 3 in which they participate. (Note that the maximum flow across atrading channel 3 is the minimum of the trading limits specified by the twoagents 2 associated with thechannel 3, so a non-credit-extendingagent 4 can only further reduce the credit limits assigned by the credit-extendingagent 5.) - The link between the
agents 2 and thecentral computer 1 can be any telecommunications link—wired, wireless, Internet, private, etc.Computer 1 can be located anywhere in the world. It can be mirrored for purposes of data backup, to increase throughput, or for other reasons; in that case, there is a second central computer 1(2). The backup central computer 1(2) is a network of at least one physical computer operating in a closely coordinated fashion. Such a backup computer 1(2) is shown in.FIG. 7 , and insures that there will be no interruption of service with hardware, software, ornetwork - Since the present invention operates on a global scale, said operation has to satisfy local laws and regulations to enable the services of the present invention to be provided. The present invention is therefore designed to enable such accommodations to be made.
- The present invention supports purpose-specific “atomic units” enabling trading between specific types of
agents 2. The basic atomic units are “type 0”, “type 1”, and “type 2”, where a “type 0 unit” involves a single pair ofagents 2 where one extends credit to the other, a “type 1 unit” involves asingle client 4 trading with a collection of credit-extendingagents 5, and a “type 2 unit” involves a single credit-bridgingagent 5 enabling a collection of itsclients 4 to trade with itself 5 and with each other 4. -
FIG. 1 illustrates the simplest atomic unit,type 0. A first agent 2(1) and a second agent 2(2) wish to trade at any given time some number of round lots of instrument L in exchange for a quantity of another item Q, which we refer to as the quoted instrument or quoted currency. A trading channel 3 (account) between the twoagents 2 allows for the execution of the trades and settlement of the underlying instruments. Inherent in thetrading channel 3 are flow limits (trading limits) on the items L,Q being traded and limits on any underlying instruments exchanged upon settlement of the L,Q trade. Acentral computer 1, under control of the operator or owner of the system, is coupled to the twoagents 2. Thecomputer 1 is adapted to convey to eachagent 2 current bid orders and offer orders originating from the other participatingagent 2. The current set of tradable bid and offered prices and sizes is constrained by the trading channel's trading limits, and is preferably conveyed in the form of a customlimit order book agent 2, as will be more fully described below. The customlimit order book - Typically, but not necessarily, each
agent 2 is coupled to thecentral computer 1 when theagents 2 are trading. The identification of one of the twoagents 2 as the “credit-extendingagent 5” is necessary only for the creation of atrading channel 3, since eitheragent 2 may post orders (making the market) in the same way. -
FIG. 2 illustrates thetype 1 atomic unit: aclient agent 4 is looking to trade with several credit-extendingagents 5 with whom it 4 has a credit relationship. Note that because each credit-extendingagent 5 participates in only a single trading channel 3 (with which thecentral computer 1 is aware), there is no opportunity for the credit-extendingagents 5 to act as credit-bridgingagents 5. Thetype 1 scenario involves theclient 4 placing a one-way or a two-way order viacomputer 1.Computer 1 insures that everyinstitution 5 with which theclient 4 has a credit relationship sees the order instantaneously. Under natural parameters, the price of this trade will be better or equal to a “market” price thatclient 4 may be able to get. Theinstitutions 5 will be forced to compete by knowing that at any time any one of them may hit the posted price and thereby lock out the remaining institutions. Should a deal not be forthcoming,client 4 has the choice of refreshing its posted price to enable an efficient means of price discovery. If none of theinstitutions 5 wish to deal at the client's current price, they 5 may post their own counter-offers that then appear on the client's customlimit order book other institutions 5. Theclient 4 may then choose to modify or cancel its order to deal at the best price possible, while theinstitutions 5 benefit by seeing this client's 4 possible interest in buying or selling. - The
institutions 5 may also supply viacomputer 1 tradable bid and offered prices to theclient 4 that will not be seen by theother institutions 5. - The solid lines in.
FIG. 2 represent credit relationships betweenclient 4 and credit-extendingagents 5. The credit-extendingagents 5 may have credit relationships outside the scope of the present invention, but only those tradingchannels 3 whose credit limits are maintained by thecentral computer 1 are illustrated or discussed. The dashed lines in.FIG. 2 represent communication links between the agents (4,5) and thecentral computer 1. - As a sub-species of
type 1, there can bemultiple clients 4, as long as allsuch clients 4 have credit relationships with the same credit-extendingagents 5, and theclients 4 are not allowed to trade with each other. -
Computer 1 provides several post-trade capabilities to theclient 4 and to the financial institution's 5 trading desk as well as to its 5 back office and credit desk, all in real-time. - The clearing of the trade is done by conventional means. The operator of
computer 1, though it could, does not need to act as a clearing agent and does not need to hold as collateral or in trust any financial or other instruments. Theclient 4 can direct that all clearing is to be handled by a certain credit-extendingagent 5. The clearing procedures are dependent upon the instruments traded and any netting agreements or special commodity delivery procedures required for those instruments. - The
type 2 atomic unit is illustrated in.FIG. 3 .Type 2 enablesclient 4 toclient 4 dealing among theclients 4 of a particular credit-bridgingagent 5, as well as enablingclient 4 to credit-extendingagent 5 trading. As usual, the anonymous order-matching process is triggered whenever an order to buy is made at a price equal to or higher than the lowest outstanding offer to sell, or vice versa. If the match is between aclient 4 and the credit-bridgingagent 5, then a single deal is booked between those twoparties 2. However, if the match is between twoclients 4, then two back-to-back deals are booked, one between theseller client 4 and the credit-bridgingagent 5, and the other between thebuyer client 4 and the credit-bridgingagent 5. This is akin to creating virtual trading channels between theclients 4. Aclient 4 who has a credit relationship with the credit-bridgingagent 5 is able to post its one-way or two-way order viacomputer 1, which causes the order to be instantly displayed to allother clients 4 and to the credit-bridgingagent 5 itself if the existing credit limits between the postingclient 4, the credit-bridgingagent 5, and the receivingclient 4 would allow a portion of the order to be executed. - This “mini-exchange” has the liquidity of the natural supply and demand of the
entire client 5 base, combined with the market-making liquidity that the credit-bridgingagent 5 would be supplying to itsclients 4 ordinarily. It is certainly expected, and beneficial to the overall liquidity, that the credit-bridgingagent 5 will be able to realize arbitrage profits between the prices posted by itsclients 4 and the prices available to the credit-bridgingagent 5 through other sources of liquidity. In fact, there may be instances in some markets whereclients 4 are also able to arbitrage against other trading systems. - Again,
computer 1 provides several post-trade capabilities to theclient 4 and to the trading desk, the back office, and the credit desk of the credit-bridgingagent 5, all in real-time, as intype 1. - A pair of back-to-back trades is illustrated in.
FIG. 4 , showing that agents 4(2) and 4(4) are the ultimate buyer and seller of the deal, but they each deal only with the credit-bridgingagent 5 as theirimmediate counterparty 2. - As with all the various atomic units,
central computer 1 updates the current tradable information after each trade, and causes this information to be displayed on the computers associated with all of thesubscriber agents 2. - Again,
computer 1 provides several post-trade capabilities to theclients 4, as well as to the credit-bridging agent's 5 trading desk, its 5 back office, and its 5 credit desk, all in real-time. The credit-bridgingagent 5 acts as a clearing agent for this trade, and is able to monitor (e.g., using XML) the client-to-client exposure, in real time. - Thus is created a price-discovery mechanism for end-
users 2 with direct transparency betweenentities 2 wishing to take opposite sides in the market for a particular instrument. The present invention encompasses decentralized operation of an arbitrary number of separate, type-1 and type-2 atomic units. Efficient price discovery is provided to theend user 2 in a decentralized liquidity rich auction environment, leveraging existing relationships, and co-existing with and indeed benefiting from traditional trading methodologies. - Furthermore, an arbitrary number of
different type 0,type 1, andtype 2 atomic units may be interconnected, bottom-up, as illustrated in.FIG. 5 , to provide, at all times, a liquidity rich efficient price-discovery mechanism to the subscribingagents 2, enabling more andmore agents 2, across different atomic types, to conduct efficient direct auctions with each other directly. The various atomic units may be interconnected into a molecular credit-network. - In.
FIG. 5 , which may be considered to illustrate a “type 3” scenario, shaded circles represent credit-bridgingagents 5 and un-shaded circles representclients 4. - For purposes of simplicity,
central computer 1 is not shown on.FIG. 5 , but is in fact coupled to allnodes 2. Eachnode 2 has proprietary client software on a computer associated with saidnode 2, enabling saidnode 2 to communicate withcentral computer 1. Such software may take the form of a Web browser. The diameters of the arrow-headedlines 3 represent instrument excursion limits deduced from each trading channel's various types of credit limits. A “shortest weighted paths” algorithm or other minimum cost flow algorithm is used to calculate the minimal path between twoagents 2 subject to credit flows to enable a trade between theagents 2. Thetrading agents 2 may be arbitrarily removed from one another, both in geographic terms as well as by type of business activity in which they 2 are involved. - Each connected piece of.
FIG. 5 maintains full transparency of orders posted oncomputer 1 to allfinancial institutions 5 andclients 4 who are on anyunexhausted credit path 3 to theposting entity 2. Each of theentities 2 who are able to see the posted order are in effect competing, through the reverse auction, for that particular deal, enabling further efficient price-discovery to theposting entity 2. - Prior to each trade,
computer 1 internally computes the values that define one of these.FIG. 5 graphs for each pair of instruments being traded. From the graph,computer 1 creates a table of multi-hop trading limits showing the trading limits between each pair ofnodes 2. From the table of multi-hop trading limits,computer 1 prepares a customlimit order book node 2 for each traded instrument pair. After every trade,computer 1 recalculates the trading limits 3, thus leading to a new graph (FIG. 5 ) for that instrument pair. Recalculating the trading limits 3 for a given traded instrument pair can affect the topology (trading limits 3) of other graphs (FIG. 5 ) for other traded instrument pairs. This can occur, for example, when the trading limits are notional trading limits. - On.
FIG. 5 , if anagent 2 has imposed its own internal limits that are smaller than the trading limits that have been imposed by a credit-extendingagent 5 that is extending it 2 credit,computer 1 uses the smaller of the two limits when it creates.FIG. 5 . - Each
trading channel 3 represents an account between a credit-extending agent and aclient agent 4. In the preferred implementation of this invention, all credit-extending agents are credit-bridgingagents 5. Even when twoadjacent nodes 2 are fully qualified to be credit-extendingagents 5, one acts as the credit-extendingagent 5 in the transaction and the other acts as theclient agent 4 in the transaction. The accounts that exist between credit-extendingagents 5 andclient agents 4 comprise specified input credit limits, balance holdings, and collateral;computer 1 calculates trading limits from this information. - The operator of
computer 1 typically has, in its standard agreement with a subscribingagent 2, language stating that if theagent 2 has entered into a written subscription agreement with the operator ofcomputer 1 and saidagent 2 trades outside of thenetwork computer 1, thatagent 2 is obligated to notify the operator ofcomputer 1 about such outside trades, so thatcomputer 1 can recalculate the trading limits as necessary. -
FIG. 5 can be thought of as an n-hop credit network, where n is an arbitrary positive integer. In any transaction, the instrument flow can fan out from onesource node 2 and then collapse to thedestination node 2; the instrument flow does not have to stay together as it flows from thesource 2 to thedestination 2. See.FIG. 10 for an example of this phenomenon. In calculating the maximum capacity of thenetwork computer 1 uses a maximum flow algorithm such as one described inchapter 7 of the Ahuja reference cited previously. In determining the actual flow used to complete the trade,computer 1 uses a minimum cost flow algorithm such as one described inchapter 9 of said Ahuja reference, where the cost to be minimized is a function of the actual cost to execute the trade and other factors, such as projected settlement costs, flow balancing heuristics, and a randomizing component. - The
network FIG. 5 is a non-disjointed network. By that is meant that everynode 2 in thenetwork other node 2, and at least one of theagents 2 associated with eachtrading channel 3 is a credit-bridgingagent 5. Theindividual trading limits 3 thatcomputer 1 computes for eachagent 2 pair are dependent upon the topology of thenetwork Computer 1 essentially transforms thenetwork node 2 is connected to everyother node 2. A “virtually cliqued network” is one in which everynode 2 has a capability to trade with everyother node 2, but not necessarily directly. In order to preserve the desired feature of anonymity, eachnode 2 knows the identities of only itsimmediate trading partners 2, and does not necessarily know whom 2 it is actually trading with. - As a trading system that leverages the existing relationships in the market for the traded instrument, the present invention provides all market players 2 (typically banks, financial institutions, clearing entities, hedge funds, and any corporations or other entities) the ability to trade directly with each other through a custom
limit order book agents 2 may already be connected together with credit relationships, but prior art systems allow trading only between two parties that have an explicit credit arrangement. The present invention analyzes the credit-worthiness of apotentional counterparty 2 at a higher level, performing this analysis in real time, and providing eachparty 2 with alimit order book - For example, in.
FIG. 6 we consider a small network of foreign exchange players: banks 5(B) and 5(C), which have a credit relationship with each other, and clients 4(A) and 4(D), who have margin placed with banks 5(B) and 5(C), respectively (we leave the margin currency and traded instrument unspecified). The specified input credit limits are specified as traded instrument L:Q credit limits (just one way of specifying input credit limits out of eight possible ways enumerated in the present patent application). Client 4(A)'s margin allows it to trade +/−10M with 5(B), 5(B)'s relationship allows it to trade +/−50M with 5(C), and 5(D)'s margin allows it to trade +/−5M with 5(C). This information is supplied tocomputer 1, which draws.FIG. 6 from said information. -
FIG. 6 illustrates asimplified type 3 network in which there are twoclient agents 4 and two credit-extendingagents 5 which are also credit-bridgingagents 5.FIG. 6 also illustrates the trading limits between each pair of coupledagents computer 1 for the simplified network ofFIG. 6 as follows: -
TABLE 1 A B C D A infinity 10M 10M 5M B 10M infinity 50M 5M C 10M 50M infinity 5M D 5M 5M 5M infinity -
Computer 1 then uses the information contained in Table 1 to create a customlimit order book limit order book limit order book - If client A posts a bid for 10M,
computer 1 causes the full bid to appear on the customlimit order books computer 1 causes a filtered bid for 5M to appear on the customlimit order book nodes 2, they 2 are not allowed to see each other's bids and offers at all on their customlimit order books - The
network FIG. 7 ). - It is also possible to locate part or all of the
network private fiber backbone 6, so that information bound for theInternet 7 can traverse most of the distance to its destination on the presumably higher speedprivate network 6. The slowerpublic Internet 7 is then used for just the last segment of travel. It is also possible to provideclients 2 with dedicated bandwidth throughprivate IP networks 6 in order to provide additional levels of quality and service. A singlededicated connection 6 may be backed up by anInternet connection 7, or multipleprivate connections 6 can be used to avoid thepublic network 7 entirely. - On.
FIG. 7 , the three illustratedagents 2 can be three separate companies, three computers within the same company, or a hybrid of the above. - The
network - human—Graphical User Interface (standalone or browser-based application) for trading, interactive queries, and account management;
- human/computer—HTTP reports interface (HTML, XML, PDF, or Excel) for queries only;
- computer—Application Programming Interface 38 (available in Java and COBRA with bridges to FIX, JMS, SOAP, and ebXML) for trading, queries, and account management.
- An agent's 2 software can be launched from the agent's 2 browser but run as a standalone application for better performance and stability.
- The computer of each
agent 2 can have associated therewith an application programming interface (API) 38. TheAPI 38 is a standard interface exposed by thecentral computer 1 that enables theuser 2 to write customized instructions enabling two-way communication betweencentral computer 1 and theuser 2. In the case where theuser 2 is acredit extending agent 5, theAPI 38 can be used to update the agent's backoffice information. Theagent 2 can program hisAPI 38 to make and cancel orders (bids and/or offers). Theagent 2 can use hisAPI 38 to receive and reformat customlimit order books agent 2 can use hisAPI 38 to set trading limits, with the understanding that the actual trading limits are the minimum of the trading limits specified by the twoagents API 38 can be programmed to estimate how much it would cost anagent 2 to liquidate his position in an instrument. TheAPI 38 can be programmed to estimate that agent's profit/loss amount for each instrument being traded; this information can be combined with the agent's customlimit order book FIGS. 12-21 ) can be achieved via theAPI 38. - Any and all features of the
API 38 can be programmed to operate automatically, including automatic bidding, offering, buying, and selling. Automatedprocesses accessing computer 1 viaapplication programming interface 38 or a bridge use the same cryptographic protocols as for ahuman agent 2 inputting instructions via his computer's GUI. Whether anAPI 38 or a GUI is used, an agent's private key for computerized access tocomputer 1 can be stored in the agent's computer, provided said computer has sufficient security safeguards. - As stated above, an entity using the proposed system may develop programs that partially or fully automate the trading process. Such programs may allow, for example, the automation of market-making, hedging, and forecasting strategies. Thus, such programs can automatically generate prices and post bids and offers in order to make a market, and can also automatically decide to hit bids/offers posted by other entities. Still further, such programs may allow a combination of computer and trader-driven decision making; for example, certain bids and/or offers may be hit automatically based on a computer forecast, while other bids and/or offers may be sent to graphical user interfaces, where action may be taken by traders.
- One method for automating such processes is through the use of extensible machine-to-machine communication protocols such as those based on XML. XML, or the eXtensible Markup Language, describes a class of languages each called an “application” of XML. With XML, the producer of documents is no longer restricted to telling client browsers what a document should look like, but can instead be very explicit about what data a document contains. Where HTML might include instructions to render text as bold red text preceded by a particular “bullet” symbol, XML data instead specifies that a number is a change in a stock price, ignoring the presentation details. By saying what the data is, rather than how it should look, XML enables a new class of interactions that more meaningfully manipulate and respond to data. Most importantly, those interactions can be automated, involving only machine-to-machine communications, and allowing XML agents to act on behalf of an end user. Machine-to-machine communication may also use other protocols, e.g., those involving the use of Document Type Definitions (DTDs) or schemas.
- Machine-to-machine communication may also be used by computer systems associated with trading entities to automatically query a large number of credit-extending entities (e.g., banks) simultaneously in order to request their rate (quote) for a desired currency. Such computer systems can then instantaneously and automatically choose the best price and place a corresponding order. This process could be performed, for example, using XML, where an XML document describes a query for a price to each bank, and each bank replies with its rate using a corresponding “chunk” of XML data.
- Privacy, authentication, and non-repudiation are achieved in the present invention via the use of cryptography in a variety of different forms. The cryptographic techniques can comprise symmetric key and/or asymmetric key (public key) cryptography. All data streams are encrypted, e.g., by using SSL (Secure Socket Layer) connections or a combination of SSL encryption with additional authentication and encryption. Authentication can be required between
computer 1 and anagent 2 at any and all times thesedevices - Each
agent 2 may store its private key on a tamper-resistant hardware device such as a smartcard, protected by a password. The combination of a physical token (the card) with a logical token (the password) ensures two levels of security. The hardware token may contain a small CPU that allows it to perform the necessary cryptographic operations internally, so that the agent's private key never leaves the smartcard. In a preferred embodiment,computer 1 handles bulk encryption/decryption using symmetric key cryptography after the slower public key cryptography has been used to exchange a session key betweenagent 2 andcomputer 1. - While trading in the present invention is peer-to-peer, order matching for any particular instrument is done at a
centralized location 1 to maintain transactional integrity.FIG. 8 illustrates the order matching process. Instep 8, the first agent 2(1) places a bid via its software tocomputer 1, which accepts the bid atstep 9.Computer 1 then calculates changes to the customlimit order books steps step 12, the second agent 2(2) takes the bid.Step 12 occurs right beforestep 13, in which a third agent 2(3) (not illustrated) posts a new offer (bid or offer) for the traded instrument L:Q. At step 14,computer 1 makes the match between the first agent 2(1) and the second agent 2(2). - Reporting of the trade is described below in conjunction with
FIGS. 34 and 35 . - A
network different agents 2 tocomputer 1. Assuming anetwork central computer 1 were located in New York, the maximum average round-trip communication time between thecentral computer 1 and a computer in any of the major financial centers is less than 300 milliseconds. - We want to ensure that all
agents 2 have a level playing field in accessingcomputer 1, regardless of where theseagents 2 are situated around the world. Determining the latency for eachagent 2 and then introducing an individual delay on an agent-by-agent basis to try to equalize time-of-arrival atcomputer 1 would be very difficult (due to short term fluctuations innetwork malicious agent 2 could also falsify itsnetwork computer 1. - In order to compensate for the various time lags in sending messages between
agents 2 andcomputer 1 on a global basis, the present invention transmits information as rapidly as possible while flagging the order of messages to compensate for latency. The flagging is done by means of border outpost computers 16 (FIG. 9 ). - For
agents 2 remote fromcomputer 1, aborder outpost computer 16 is inserted into thenetwork private backbone 6 that connects tocomputer 1. Eachborder outpost computer 16 comprises aCPU 18, a trustedtime source 17, and an input/output port 19.Time source 17, which may comprise a GPS clock accurate to a millionth of a second, is used to generate a digital time stamp that is added to each data packet before it is forwarded tocomputer 1. The GPS clocks 17 of all theborder outpost computers 16 are synchronized with each other to a high degree of accuracy (typically one microsecond). The time stamp may be placed onto the packet without theborder outpost computer 16 having to understand the packet or have access to its contents. At thecomputer 1 site, the time stamp is stripped off before the packet is processed, and then reassociated with the data after it is decrypted and parsed into a command.Computer 1 then sorts the messages into a queue by time order. After a fixed time delay, the message that is at the front of the queue is serviced bycomputer 1. The fixed time delay is chosen so that with a high degree of certainty a message from the remotest agent's 2 computer will arrive atcomputer 1 within the fixed time delay. The purpose of the fixed time delay is to allow all messages that might be the first-originated message to have a chance to arrive atcomputer 1 before execution of any messages takes place. The time stamp may be encrypted using either a symmetric or assymetric cipher, to prevent its modification or falsification. -
FIG. 10 is a deal fulfillment (flow) graph, illustrating the flow in the lot instrument. The lot instrument L is the portion of the traded instrument that has to be traded in a round lot, typically a multiple of a million. The quoted instrument Q is that portion of the instrument being traded that is expressed as the lot instrument times a price. In this example, agent 4(2) buys 10M Euros using U.S. dollars at an exchange rate of 0.9250 from agent 4(1). Since the Euro is the lot currency in this example, it has to be specified in a round lot (multiple of 1 million Euros). F(L), the lot size (volume), is 10 million and F(Q), the quoted volume, is 9,250,000. In this example, there are three intermediaries (middlemen): agents 5(1), 5(2), and 5(3). Only credit-bridgingagents 5 can be middlemen. For purposes of simplification, we show on.FIG. 10 the flow of just the lot instrument L. There is also a counterflow in the quoted instrument Q, which can be derived from the lot flow and the traded price. For example, on theedge 3 between node 5(1) and 4(2,) 2M represents the flow of 2 million Euros from agent 5(1) to agent 4(2), as well as the counterflow of 1,850,000 U.S. dollars from agent 4(2) to agent 5(1). -
FIG. 11 , a simplified focus change diagram, illustrates the sequence of screen shots appearing on the display of a computer of anagent 2 who is coupled tocentral computer 1.Agent 2 first encounters a log-indialog box 21, then amenu bar 22 where he can select from an accountmanagement dialog box 23, anet exposure screen 35, abalance sheet 36, or his customlimit order book book overview screen 24,agent 2 can navigate to one of N order book detail screens 25, or to anactivity dialog screen 27, which can take the form of abid dialog box 28, anoffer dialog box 29, abuy dialog box 30, asell dialog box 31, or amarket order screen 32. As shown in.FIG. 11 , various of these screens can segue into a bid/offer canceldialog box 33 or aconfirmation dialog box 34. -
FIGS. 12-21 illustrate most of the above screens. The login screen is shown (FIG. 12 ), followed by two shots of the main desktop (FIGS. 13 and 14 ) showing the custom limit orderbook overview window 24 and the custom limit orderbook detail window 25. The remaining screen shots (FIGS. 15-21 ) are of dialog boxes that can be activated from either theoverview window 24 ordetail order windows 25. -
FIG. 12 illustrates log-indialog box 21.Field 41 allowsagent 2 to type in his name, thus identifying the account and trader.Field 42 is an optional challenge field, provided for security purposes. An appropriate response from theagent 2 to meet the challenge might include presentation of a password, key, or digital certificate via a hardware token.Field 43 is whereagent 2 enters his password.Field 44 is whereagent 2 enters the address ofcentral computer 1. In the case of an Internet connection, the URL ofcomputer 1 is specified here. The data exchange betweenagent 2 andcentral computer 1 is encrypted, e.g., by a SSL (Secure Socket Layer) connection.Field 45 is a scrolling message log showing status and notification of errors during the log-in process. -
FIG. 13 illustrates the main custom limit order book screen.Field 51 specifies the current account.Field 52 is a summary of the custom limit order book for each permissioned traded instrument. In this sample, where the instruments are pairs of currencies, the traded instruments are identified by icons representing the flags of the countries issuing the currencies. There are fivefields 52 illustrated, representing five permissioned instruments. Thesecond field 52 from the top (Great Britain pounds for U.S. dollars) is exploded, indicating the traded instrument currently activated byagent 2. -
Field 53 displays the top (best) orders from the point of view of theagent 2.Field 54 displays the best bid price for anyagent 2 coupled to thenetwork Field 55 displays the last two digits (“84”) of the best available bid price.Field 56 displays the size at the best bid price.Field 57displays agent 2's available liquidity for additional selling.Field 58 providesagent 2 with a mouse-clickable area (the big figure) enabling theagent 2 to jump to the buy or selldialog screen Field 59 is a mouse-clickable numeric keypad allowing theagent 2 to create and cancel orders.Field 60 gives balance sheet values showing live valuations at market price and the profit that was banked byagent 2 for a certain period of time, such as the current day.Field 61 is a pop-up console allowing for the display of application messages, connection failure/retry messages, and broadcast messages fromcentral computer 1.Field 62 displays the time since theagent 2 has logged in tocomputer 1.Field 63 displays the best available offer; in this case, four digits of the available offer are used to warnagent 2 that his best available offer is far from the overall best, due to a credit bottleneck.Field 64 shows this agent's orders in red.Field 65 shows this agent's current net position in the instrument being traded.Field 66 shows a summary of this agent's offers.Field 67 is a mouse-clickable area (tab 9) enabling theagent 2 to quickly cancel the top offer. -
FIG. 14 illustrates a custom limit orderbook depth window 25. There are N of thesewindows 25 for each instrument, where N is any preselected positive integer. Typically, N is equal to five. TheN windows 25 display the N best bids and offers in order of price, and within price, in order of date and time, with the oldest presented first.Field 71 shows bid and offer information, with the last two digits of the bid and offer (“99” and “02”, respectively) displayed in large numerals for readability.Field 72 shows visible (to that agent 2) bids and offers truncated by current credit availability, individually or aggregated by price (configurable). Bids and offers from this agent's account are shown in pink.Field 73 is a mouse-clickablefield allowing agent 2 to navigate to screen 33 (FIG. 17 ).Field 74 is a set of four mouse-clickableareas enabling agent 2 to open buy, sell, bid, and offer dialog boxes (30, 31, 28, and 29, respectively), with price and size information pre-loaded from the current market. -
FIG. 15 illustrates net exposure monitor 35. Eachentry 81 gives the current exposure for each account, broken down by traded instrument. Field 82 (“min” and “max”) shows asymmetric net position limits on a per-instrument basis. Field 83 (“current”) shows a real-time update of net position.Field 84 shows a graphical representation of net position. -
FIG. 16 illustratesbalance sheet window 36.Field 91 shows payables and receivables, valued using the current market price. Total net position and net position for eachcounterparty 2 are given.Field 91 is organized as a tree hierarchy, and allows navigation to individual balance sheet transfers.Field 94 shows underlying flows; they have been sent to the agent's computer in an encrypted form, and are decrypted at the agent's computer. The decryption can be done automatically, as long as theagent 2 is logged in to thenetwork field 94, one line represents each trade thisagent 2 has made, or each trade for which thisagent 2 was anintermediary 5. All values are live. This currency-basedbalance sheet 36 is capable of handling triangular instrument swaps. -
FIG. 17 illustrates the open order overview andmanagement window 33.Field 101 shows orders (bids and offers) currently placed by that agent summarized by traded instrument.Field 102 shows individual orders.Field 103 is a mouse-clickable area enabling theagent 2 to remove the order from the agent's customlimit order book screen 33, an update procedure can be implemented in which the first offer is not cancelled until a new offer is posted. This is sometimes referred to as OCO (one cancels the other). In any event, it is never possible for anagent 2 to cancel an order after it has been taken by acounterparty 2. -
FIG. 18 illustrates bidcreation dialog box 28.Field 111 is a group of icons, typically in various colors to provide visual context to reduce errors. Note that the word “Bid” is highlighted.Field 112 comprises three mouse-clickable areas allowing for quick up or down adjustment of price and direct entry of price, respectively, with initial value taken from the current market.Field 113 comprises three mouse-clickable areas allowing for quick up or down adjustment of size, and direct entry of size, with initial value configurable based upon the desires of theparticular agent 2.Field 114 is a mouse-clickable area allowing theagent 2 to submit the bid, and has an optional confirmation dialog box associated therewith. Anagent 2 can post his bid for just a short period of time and then withdraw it. He 2 can post multiple bids at multiple prices. When acounterparty 2 takes part or all of his bid,computer 1 recalculates the trading limits.Agent 2 can make his bid limited to “only if it is available now” or as an offer to buy. -
FIG. 19 illustrates offercreation dialog box 29.Field 121 comprises a set of icons, typically colored to 16—provide visual context to reduce errors. Note that the word “Offer” is highlighted.Field 122 comprises three mouse-clickableareas allowing agent 2 to quickly achieve up or down adjustment of price and direct entry of price, with initial value taken from the current market.Field 123 comprises three mouse-clickable areas providing a quick means foragent 2 to achieve up or down adjustment of size and direct entry of size, with initial value configurable on a peruser 2 basis.Field 124 is a mouse-clickablearea allowing agent 2 to post the offer, and has an optional confirmation dialog box associated therewith. -
FIG. 20 illustrates buy (immediate execution bid)dialog box 30.Field 131 comprises a set of icons, typically colored to provide visual context to reduce errors. Note that the word “Buy” is highlighted.Field 132 comprises three mouse-clickable areas, providing a quick means for up or down adjustment of price and direct entry of price, with initial value taken from the current market.Field 133 is a mouse-clickable button allowing for a partial execution of a trade. This allowsagent 2 to buy either as much of the size as possible, or nothing if he cannot buy the entire size.Field 134 comprises three mouse-clickable areas providing a quick means for up or down adjustment of size and direct entry of size, with initial value configurable on a peruser 2 basis.Field 135 is a mouse-clickablearea allowing agent 2 to execute the buy, and has an optional confirmation dialog box associated therewith. -
FIG. 21 illustrates sell (immediate execution offer)dialog box 31.Field 141 is a set of icons, typically colored to provide visual context to reduce errors. Note that the word “Sell” is highlighted.Field 142 comprises three mouse-clickable areas providing a quick means foragent 2 to achieve up or down adjustment of price and direct entry of price, with initial value taken from the current market.Field 143 is a mouse-clickable area allowing partial execution. This allowsagent 2 the choice of the sell being either to fill as much of the size as possible, or to not sell if he 2 cannot sell the entire size.Field 144 comprises three mouse-clickable areas providing for a quick means for up or down adjustment of size and direct entry of size, with initial value configurable on a peruser 2 basis.Field 145 is a mouse-clickable area allowing the sell to be executed, and has an optional confirmation dialog box associated therewith. -
FIG. 22 is a flow diagram illustrating the method steps by whichcomputer 1 computes a customlimit order book single agent 2 for a single traded instrument. Evenintermediate agents 5 get a customlimit order book FIG. 22 , source S is thatnode 2 for which this custom limit order book is being prepared; and sink T is thatnode 2 that has posted the bid. For the right hand side ofFIG. 22 , source S is thatnode 2 that posted the offer; and sink T is thatnode 2 for which this custom limit order book is being prepared. “Source” and “sink” are standard network terminologies; see, e.g., the Ahuja reference previously cited. These concepts are used internally bycomputer 1, but are not disclosed to allagents 2 for reasons of preserving the desired anonymity. For example, theactual poster 2 of the offer does not appear on the screen of thecounterparty 2. - The method starts at
step 151. Instep 152,computer 1 asks whether there have been any trades made since the last multi-hop credit computation. This is meant to avoid unnecessary computation. If the answer to the question is “yes”, then step 153 is executed. Atstep 153, multi-hop credit limits are computed, as illustrated in.FIG. 23 . If the answer to the question raised instep 152 is “no”,step 154 is executed. Atstep 154, the bid side of the book is cleared, i.e., variable B becomes the null set; the offer side of the book is cleared, i.e., variable A becomes the null set; and the credit used (U as a function of S and T) is cleared. In this context, “used” applies only for this particular customlimit order book particular agent 2. Step 155 is then executed, where it is asked whether enough bids have been found. “Enough” is a pre-established limit, e.g., five, and corresponds to N as discussed above in conjunction with custom limit orderbook detail window 25. N may be infinity, in which case the method always proceeds fromstep 155 to step 156. If enough bids have been found, the method proceeds to step 161. If enough bids have not been found, the method proceeds to step 156, where it is asked whether there are more unprocessed bids, i.e., if the number of bids that have been processed is less that the pre-established limit. If the answer is “no”,step 161 is executed; otherwise, the method proceeds to step 157, where the highest priced oldest unprocessed bid is fetched. The hierarchy is according to highest bid. If there is a tie as to two or more highest bids, then the bids are ordered by time. It is forced that there not be a time-tie at this point; time collisions have already been resolved by locking using sequence numbers. - Step 158 is then executed. X is defined as the flow limit (trading limit) between S and T minus the credit U between S and T that has already been used up. Y is then set to be the minimum of X and the bid size. In other words, Y is what we have to work with. Step 159 is executed, where it is asked whether Y is greater than 0. If not, the method cycles back to
step 155. If “yes”,step 160 is executed. Instep 160, the set of bids B is augmented by the current bid we are working with fromstep 157. Also instep 160, the credit used U is augmented by Y. - At
step 161, it is asked whether enough offers have been found. Again, “enough” is a pre-established limit e.g., five, corresponding to N as before. If the answer to this is “yes”, the method stops atstep 167. If the answer is “no”,step 162 is executed. Atstep 162, it is asked whether there are more unprocessed offers. If not, the method ends atstep 167. If “yes”,step 163 is executed, where the lowest priced, oldest unprocessed offer is fetched. Then, step 164—is executed, where X is set to be the trading limit between S and T minus the unused credit U. Y is then set to be the minimum of X and the offer size. Step 165 is then executed. Atstep 165, it is asked whether Y is greater than 0. If not, control is passed back tostep 161. If “yes”,step 166 is executed, where the current offer price being worked on frombox 163 is added to the set of offers A; and the credit used U is augmented by Y. Control then passes back to step 161. -
FIG. 23 illustrates howcomputer 1 calculates multi-hop trading limits for each pair ofagents 2 for a single traded instrument L:Q, i.e., howcomputer 1 performsstep 153 on.FIG. 22 . This is akin to compiling a table like Table 1 shown above. This procedure starts atstep 171. Atstep 172, a directed graph is computed for the traded instrument L:Q, in which the arrow corresponds to the direction of flow of the lot instrument L. Individual trading limits are introduced at this point. Step 172 is the subject ofFIG. 24 . Atstep 173, anarbitrary network node 2 is selected to be the first node worked upon by the process and is given the designation source S. Atstep 174, sink T is also set to be saidfirst network node 2. Atstep 175, it is asked whether S is equal to T. If so (which, of course, is the case initially), the procedure moves to step 176, where the maximum flow limit between S and T is set to be infinity. This is simply another way of saying that anagent 2 is allowed to have an infinite flow with himself 2. Then, atstep 182, it is asked whether T is the last network node that needs to be processed. If “yes”, control is passed to step 184; if “no”, control is passed to step 183, where T is advanced to the next network node; and control is passed back tostep 175. “Next” can be anything, because the order of processing is of no import. - If S is found not to be equal to T at
step 175, control is passed to step 177, which disablesedges 3 where theedge origin 2 is not acredit bridge 5 and theedge origin 2 is not equal toS. An edge 3 may be disabled internally by adjusting its maximum capacity to 0 or by removing it from the set ofedges 3 that comprise the graph. The “edge origin” is thatnode 2 from which the lot instrument L flows.Steps agents 2 who have not agreed in advance to be intermediaries, i.e., “credit bridges”. An intermediary (credit bridge) is anagent 5 that allows twoother agents 2 to do back-to-back trades through theintermediary agent 5. Step 178 disablesedges 3 where theedge destination 2 is not acredit bridge 5 and theedge destination 2 is not equal to T. An “edge destination” is anode 2 that receives the flow of the lot instrument L. - At
step 179, the maximal flow from S to T is computed using a maximal flow algorithm such as one of the algorithms disclosed inChapter 7 of the Ahuja reference previously cited. Atstep 180, the multi-hop credit limit between S and T, LIM(S,T), is set to be equal to the maximum flow obtained fromstep 179. Atstep 181, theedges 3 that were disabled insteps step 186. If “no”, the process moves to step 185, where S is advanced to the next network node. Again, “next” is arbitrary and simply refers to any otherunprocessed node 2. Afterstep 185, the method re-executes steps 174. -
FIG. 24 illustrates howcomputer 1 calculates a directed graph for the traded instrument L:Q, i.e., howcomputer 1 performs step 172 ofFIG. 23 . This is akin to producing a graph such as that shown in.FIG. 5 , with arrows as in.FIG. 10 . The operation commences atstep 191. Atstep 192, theedge 3 set G is nulled out. Atstep 193,computer 1 searches its records for any account A that it has not yet processed. The order of selection of unprocessed accounts is irrelevant. Account A is any pre-existing trading (credit) relationship between twoneighboring agents 2 that has been previously conveyed to the operator ofcomputer 1 in writing in conjunction with theseagents 2 subscribing to the trading system operated by the operator ofcomputer 1. - Step 194 asks whether there is any such unprocessed account A. If “not”, this process stops at
step 198. If there is an unprocessed account A, the process executesstep 195, where the minimum and maximum excursions for account A are calculated. Step 195 is the subject of.FIG. 25 . These minimum and maximum excursions are defined in terms of the lot instrument L, and are calculated from one or more of eight possible ways of specifying input credit limits. The maximum and minimum excursions are excursions from current position. The input credit limits are specified as part of each account A. Instep 196, the set of edges G is augmented with anedge 3 from A'slender 2 to A'sborrower 2, with the capacity of theedge 3 being set to the maximum excursion. L is the lot instrument and Q is the quoted instrument. Instep 197, the set of edges G is augmented with anedge 3 from A'sborrower 2 to A'slender 2, with the capacity of theedge 3 being set to the negative of the minimum excursion. The process thenre-executes step 193. -
FIG. 25 shows howcomputer 1 calculates the minimum and maximum excursions for a single account A and a single traded instrument L:Q, i.e., howcomputer 1 executes step 195 of.FIG. 25 . This computation takes into account up to eight different ways a guaranteeingagent 5 may specify input credit limits in an account A. The operation commences atstep 201. Atstep 202, the maximum excursion is set to be infinity and the minimum excursion is set to be minus infinity, because at this point there are no trading limits. - Step 203 asks whether position limits have been defined for the lot instrument. If yes, step 204 is executed. At
step 204, the lot instrument position limits' effects on the maximum and minimum excursions are calculated. This is the subject of.FIG. 26 . Atstep 205, it is asked whether volume limits have been specified for the lot instrument. If so,step 206 is executed. Atstep 206, the lot limit volume limits' effects on the maximum and minimum excursions are calculated. This is the subject of.FIG. 28 . Atstep 207, it is asked whether position limits have been specified for the quoted instrument. If so,step 208 is executed. Atstep 208, the quoted instrument position limits' effects on the maximum and minimum excursions are calculated. This is the subject ofFIG. 27 . Atstep 209, it is asked whether volume limits have been specified for the quoted instrument. If so,step 210 is executed. Atstep 210, the quoted instrument volume limits' effects on the maximum and minimum excursions are calculated. This is the subject ofFIG. 29 . Atstep 211, it is asked whether notional position limits have been 6 specified. If so,step 212 is executed. Atstep 212, the notional position limits' effects on the maximum and minimum excursions are calculated. This is the subject of.FIG. 30 . Atstep 213, it is asked whether notional volume limits have been specified. If so,step 214 is executed. Atstep 214, the notional volume limits' effects on the maximum and minimum excursions are calculated. This is the subject ofFIG. 31 . Atstep 215, it is asked whether position limits have been specified for the traded instrument L:Q. If so,step 216 is executed. Atstep 216, the traded instrument L:Q position limits' effects on the maximum and minimum excursions are calculated. This is the subject of.FIG. 32 . Atstep 217, it is asked whether volume limits have been specified for the traded instrument L:Q. If so,step 218 is executed. Atstep 218, the traded instrument L:Q volume limits' effects on the maximum and minimum excursions are calculated. This is the subject ofFIG. 33 . - Then step 219 is executed, where the maximum excursion is set to be equal to the maximum of 0 and the current value of the maximum excursion. This is done because we don't want to have a negative maximum excursion. At
step 220, the minimum excursion is set to be the minimum of 0 and the current value of the minimum excursion. This is done because we do not want to have a positive minimum excursion. Then, the method ends atstep 221. - It is important to note that the order of taking into account the effects of the eight types of specified input credit limits is irrelevant, because each of the eight can only constrict an excursion more, not expand it. Therefore, the ultimate limit is the most restrictive one. All of the eight trading limits described herein are recalculated after each trade affecting that limit.
- As used herein, a “trading limit” is something calculated by
computer 1, and a “credit limit” is something specified by a guaranteeingagent 5. - Conventional mathematical shortcuts can be used to speed the calculations without necessarily having to repeat all the method steps in all but the first time a particular method is executed. All of the steps of
FIG. 25 get executed the first time a method shown in.FIGS. 26 through 33 is executed. -
FIG. 26 shows howcomputer 1 calculates the position limit for the lot instrument, i.e., howcomputer 1 performs step 204 ofFIG. 25 . A position limit is a net limit in the instrument being traded. The method starts atstep 231. Atstep 232,computer 1 retrieves the specified input maximum position credit limit for instrument L, PMAX(L), and the specified input minimum position credit limit for instrument L, PMIN(L). Normally, PMIN(L) is the negative of PMAX(L), but that doesn't necessarily have to be true. Also instep 232, the net position, POS, is zeroed out. - In
step 233,computer 1 looks for another unsettled flow of instrument L in account A. “Another” is arbitrary. Atstep 234, it is asked whether such another unsettled flow exists. If not, control passes to step 238. If the answer is “yes”,step 235 is executed, wherein it is asked whether the flow is to account A'sborrower 2. A “flow” is a transfer of a single instrument along asingle edge 3. This is the same as asking whether the flow is to other than a guaranteeingagent 5, because the lender is the guaranteeingagent 5. If the answer is yes, step 236 is executed, during which POS is augmented by the flow amount, and control passes back to step 233. This inner loop 233-236 constitutes calculation of the net position, and is performed for each Q matching that L. - If the answer to the question posed in
step 235 is “no”,step 237 is executed, wherein POS is decremented by the flow amount, and control is passed back tostep 233. Atstep 238, X is set to be equal to PMAX(L) minus POS, and Y is set equal to PMIN(L) minus POS. X is the maximum excursion from this flowchart and Y is the minimum excursion from this flowchart. Atstep 239, the maximum excursion for the traded instrument L:Q is set to be equal to the minimum of the current value of this maximum excursion and X; and the minimum excursion for the traded instrument L:Q is set to be equal to the maximum of the minimum of the current value of the minimum excursion and Y. In other words, the set of maximum and minimum excursions is updated based upon the results of this flowchart. The method ends atstep 240. -
FIG. 27 illustrates howcomputer 1 calculates the position limit for the quoted instrument, i.e., howcomputer 1 performs step 208 of.FIG. 25 . Other than the fact that Q is substituted for L, the method described in.FIG. 27 is identical to that described in., with one exception: in step 259 (analogous to step 239 ofFIG. 26 ), we convert from the quoted instrument to the lot instrument, because we want everything expressed in terms of the lot instrument once we get to the higher level flowchart (FIG. 25 ). Therefore, instep 259, X and Y are each multiplied by a “fixed rate Q:L” (exchange rate). This exchange rate is fixed for a certain period of time, e.g., one hour or one day, and may be different for different accounts at the same moment in time. -
FIG. 28 illustrates howcomputer 1 calculates the volume limit for the lot instrument, i.e., howcomputer 1 performs step 206 ofFIG. 25 . A volume limit is a gross limit in the instrument being traded. The method starts atstep 271. Instep 272,computer 1 retrieves the specified input maximum permissible volume credit limit for instrument L, VMAX(L); and clears a variable field VOL representing total volume. Instep 273,computer 1 looks for another unsettled flow of instrument L in account A. “Another” is arbitrary. Atstep 274, it is asked whether such another unsettled flow has been found. If “yes”, atstep 275, VOL is augmented with the flow amount. It doesn't matter whether the flow is in or out to aparticular node 2; it counts towards the volume limit the same in each case. - Control is then passed back to
step 273. If the answer posed instep 274 is “no”,step 276 is executed, wherein X is set equal to VMAX(L) minus VOL, and Y is set equal to minus X, because of the definition of “volume”. Again, X and Y are the partial limits as calculated by this particular flowchart. Then instep 277, the maximum excursion is set equal to the minimum of the previous value of the maximum excursion and X; in the minimum excursion is set equal to the maximum of the previous value of the minimum-excursion and minus X. In other words, the overall excursions are updated based upon the results of this flowchart. The method then ends atstep 278. -
FIG. 29 illustrates howcomputer 1 calculates the volume limit for the quoted instrument, i.e., howcomputer 1 performs step 210 of.FIG. 25 . Other than the fact that Q is substituted for L, the method steps ofFIG. 29 are identical to those ofFIG. 28 , with one exception: in step 287 (analogous to step 277 of.FIG. 28 ), X and minus X are each multiplied by “fixed rate Q:L” for the same reason that this factor was introduced in.FIG. 27 . -
FIG. 30 illustrates howcomputer 1 calculates the notional position limit, i.e., howcomputer 1 performs step 212 ofFIG. 25 . The notional position limit protects the guaranteeingagent 5 against rate excursions aggregated over the positions in all of the instruments. “Notional” means we are changing the notation; the concept implies that there is a conversion from one instrument to another, and that the conversion is done at a certain rate that has been agreed upon. The rate is set periodically, e.g., daily. This conversion from one instrument to another is used to convert all values into a single currency for the purpose of aggregation into a single value. - The method commences at
step 291. Atstep 292,computer 1 retrieves the maximum notional position credit limit PMAXN, where N is the notional instrument, i.e, the instrument in which the limit is presented. Instep 292, the notional position, NPOS, is also zeroed out. Instep 293,computer 1 looks for another instrument C with flows in account A. C is an index designating the instrument for which we are executing the loop 293-301. The order of selecting the instruments is immaterial. Step 294 asks whether such another instrument C has been found. - If not, control passes to step 302. If the answer is yes, step 295 is executed, wherein the instrument position, POS(C), is zeroed out. At
step 296,computer 1 looks for another unsettled flow of instrument C in account A. - Step 297 asks whether such another unsettled flow has been found. If not, control passes to step 301. If the answer is “yes”,
step 298 is executed, where it is asked whether the flow is to account A'sborrower 2. If “yes”, POS(C) is augmented with the flow amount atstep 299. If not, POS(C) is decremented by the flow amount atstep 300. In either case, control is returned to step 296. Note that the inner loop 296-300 is analogous to the loops in.FIGS. 26 and 27 . Atstep 301, NPOS is augmented by the absolute value of POS(C) multiplied by “fixed rate C:N”, which converts to the notional instrument. The absolute value of POS(C) is used, because a negative position presents the same risk to the guaranteeingagent 5 as a positive position. - Before we describe
step 302, let us define A and B, as those terms are used instep 302. Note that “A” instep 302 is not the same as “account A”. A is the position of L, POS(L), multiplied by “fixed rate L:N”, which converts this position to the notional instrument. B is the position of Q, POS(Q), multiplied by “fixed rate Q:N”, which converts this to the notional instrument. The positions of L and Q are as calculated in the above loop 294-301; if L and Q were not subject to these notional limits, then A and B would be 0. - In
step 302,computer 1 finds the minimum and maximum roots of F(X), where F(X) is defined instep 302. The term “root” is that of conventional mathematical literature, i.e., a value of X that makes F(X) equal to 0. Let us define E to be equal to the absolute value of A plus B, plus NPOS, minus the absolute value of A, minus the absolute value of B, minus PMAXN. If E is greater than 0, then there are no roots. In that eventuality, we set the maximum excursion of the traded instrument L:Q, MAXEXC(L,Q), and the minimum excursion of the traded instrument L:Q, MINEXC(L,Q), to be equal to 0. If E is less than or equal to 0, the maximum root is the maximum of minus A and B, minus E/2; and the minimum root is the minimum of minus A and B, plus E/2. Now we are ready to go tostep 303. - At
step 303, the maximum excursion of the traded instrument L:Q. is set equal to the minimum of the previous version of the maximum excursion of the traded instrument L:Q and the maximum root multiplied by “fixed rate N:L”, which converts it to the lot instrument. Similarly, the minimum excursion of the traded instrument L:Q is set equal to the maximum of the previous version of the minimum excursion of the traded instrument L:Q and the minimum root multiplied by the same conversion factor, “fixed rate N:L”. The method terminates atstep 304. -
FIG. 31 illustrates howcomputer 1 calculates the notional volume limit, i.e., howcomputer 1 performs step 214 ofFIG. 25 . The method starts atstep 311. Atstep 312,computer 1 retrieves the specified input maximum notional volume credit limit, VMAXN. This is a limit across all instruments in the account. Atstep 312, the total volume, VOL, is also zeroed out. Atstep 313,computer 1 looks for another unsettled flow of any instrument C in account A. Again, “another” is arbitrary. Atstep 314, it is asked whether such another unsettled flow has been found. If “yes”,step 315 is executed; if “no”,step 316 is executed. - Let R be the conversion factor “fixed rate C:N”, where C is the instrument that we are looping through currently. Then, step 315 sets VOL to be the previous VOL plus the quantity R times the flow amount. Step 313 is then entered into. At
step 316, X is set equal to VMAXN minus VOL. Again, X is the limit from just this flowchart. Atstep 317, the maximum excursion of the traded instrument L:Q is set equal to the minimum of the previous value of the maximum excursion of the traded instrument L:Q and X times “fixed rate N:L”, i.e., we are converting from the notional instrument to the lot instrument. Similarly, the minimum excursion of the traded instrument L:Q is set equal to the maximum of the previous version of the minimum excursion of the traded instrument L:Q and minus X times the same conversion factor. The method ends atstep 318. -
FIG. 32 illustrates howcomputer 1 calculates an instrument position limit, i.e., howcomputer 1 performs step 216 ofFIG. 25 . This type of position limit differs from the previous position limit flowcharts (FIGS. 26 and 27 ) in that the guaranteeingagent 5 is specifying that anotheragent 2 cannot trade any more than j L for Q, rather than theother agent 2 can trade no more than jL or jQ. This type of input credit limit is not as common as the ones described in.FIGS. 26 and 27 . If noagent 2 has specified this type of input credit limit, thisflowchart 33 does not have to be executed. (Similarly, if noagent 2 has specified a certain other type of input credit limit, the flowchart corresponding to that credit limit does not have to be executed.) Both the L and the Q have to match in order for thisflowchart 33 to be executed, unlike the flowcharts described inFIGS. 26 and 27 . - The method starts at
step 321. Atstep 322,computer 1 looks up the specified maximum position credit limit for the traded instrument L:Q, PMAX(L,Q), and the specified minimum position credit limit for the traded instrument L:Q, PMIN(L,Q). Instep 322, the total position, POS, is also zeroed out. Instep 323,computer 1 looks for another unsettled flow pair with lot instrument L, quoted instrument Q, and account A. Again, “another” is arbitrary. Atstep 324, it is asked whether such another unsettled flow pair has been found. If “no”, control passes to step 328. If “yes”, control passes to step 325, where it is asked whether the lot instrument flows to account A'sborrower 2. In other words, the calculation is done in terms of the lot instrument to begin with, so that we do not have to convert to the lot instrument at the end of the calculation. If the answer to this question is “yes”,step 326 is executed, where POS is incremented with the lot instrument flow amount. Control then passes to step 323. If the answer to the question posed instep 325 is “no”,step 327 is executed, where POS is decremented by the lot instrument flow amount. Again, control then passes to step 323. Atstep 328, X is set equal to PMAX(L,Q) minus POS, and Y is set equal to PMIN(L,Q) minus POS. Atstep 329, the maximum excursion of the traded instrument L:Q is set equal to the minimum of the previous version of the maximum excursion of the traded instrument L:Q and X; and the minimum excursion of the traded instrument L:Q is set equal to the maximum of the previous value of the minimum excursion of the traded instrument L:Q and Y. The method ends atstep 330. -
FIG. 33 illustrates howcomputer 1 calculates a traded instrument volume limit, i.e., howcomputer 1 performs step 218 ofFIG. 25 . This method is similar to the method described in.FIGS. 28 and 29 , except the limit is on the volume traded of L for Q, not a limit on the volume of L or Q individually. The method starts atstep 341. Instep 342,computer 1 retrieves the specified maximum volume input credit limit for the traded instrument L:Q, VMAX(L,Q). Also instep 342, the total volume VOL is zeroed out. Instep 343,computer 1 looks for another unsettled flow pair with lot instrument L, quoted instrument Q, and account A. Again, “another” is arbitrary. - At
step 344, it is asked whether such another unsettled flow pair has been found. If “no”, control passes to step 346. If “yes”, control passes to step 345, where VOL is augmented by the lot instrument flow amount. The calculation is done in the lot instrument, so that we do not have to convert to the lot instrument at the end; and it makes the calculation more stable, because we don't have to worry about fluctuating rates. Control is then passed to step 343. Atstep 346, X is set equal to VMAX(L,Q) minus VOL. Atstep 347, the maximum excursion of the traded instrument L:Q is set equal to the minimum of the previous version of the maximum excursion of the traded instrument L:Q and X. Similarly, the minimum excursion of the traded instrument L:Q is set equal to the maximum of the previous value of the minimum excursion of the traded instrument L:Q and minus X. The method stops atstep 348. -
FIG. 34 illustrates the reporting by computer I of single-hop trades. This method is executed after a match has been made, i.e., after a bid or offer has been taken by acounterparty 2. The method of.FIG. 34 can be done either in real time or in batch mode (i.e., combined with the reporting of other trades). In.FIG. 34 , L is the lot instrument, Q is the quoted instrument, B is theagent 2 who is buying L, S is theagent 2 who is selling L, P is the trade price, FL is the amount of L bought and sold, FQ is P times FL, i.e., the counter-amount in terms of instrument Q, and T is the settlement date and time. - The method starts at
step 351. Atstep 352,central computer 1 issues anelectronic deal ticket 353 to an auditor. The auditor is a trusted third party, e.g., an accounting firm.Ticket 353 has a plaintext portion and an encrypted portion. The plaintext gives the ticket ID, and the time and date that theticket 353 is generated. The encrypted portion states that agent B bought FL for FQ from agent S for settlement atT. Deal ticket 353 is digitally signed bycentral computer 1 for authentication purposes, and encrypted bycentral computer 1 in a way that the auditor can decrypt the message butcentral computer 1 cannot decrypt the message. This is done for reasons of privacy, and can be accomplished bycomputer 1 encrypting the message using the public key of the auditor in a scheme using public key cryptography. - At
step 354,computer 1 issues an “in”flow ticket 355 to buyer B and to the auditor.Flow ticket 355 contains a plaintext portion and an encrypted portion. The plaintext gives the ticket ID, the time and date theticket 355 is generated, and the name of agent B. The encrypted portion states that you, agent B, bought FL for FQ from counterparty S for settlement atT. Ticket 355 is digitally signed bycomputer 1 and encrypted in such a way that it may be decrypted only by agent B and by the auditor, not bycomputer 1. Two different encryptions are done, one for agent B and one for the auditor. - At
step 356,computer 1 issues an “out”flow ticket 357 to seller S and to the auditor. Outflow ticket 357 contains a plaintext portion and an encrypted portion. The plaintext gives the ticket ID, the time and date of issuance, and the 2 name of agent S. The encrypted portion states that you, agent S, sold FL for FQ to counterparty B for settlement atT. Ticket 357 is digitally signed bycomputer 1 and encrypted only to agent S and to the auditor, not tocomputer 1. Two different encryptions are used, one to agent S and one to the auditor. -
Tickets agent 2 whose smartcard was plugged into the agent's computer when the transaction was made. The method ends atstep 358. -
FIG. 35 illustrates howcomputer 1 electronically reports a multi-hop deal. This method is performed after the match has been made and can be done either in real time or in batch mode. Agents B and S do not know each other, as they know the identities of just their nearestneighboring agents 2. The notation for this flowchart is identical to that for.FIG. 34 , except that B is the ultimate buyer of L and S is the ultimate seller of L. - The method begins at
step 361. At step 362,computer 1 issues dealticket 363 to the auditor.Ticket 363 contains a plaintext portion and an encrypted portion.Ticket 363 is digitally signed bycomputer 1 and encrypted only to the auditor. The encrypted portion states that agent B bought FL for FQ from agent S for settlement at T, and that the deal was fulfilled by multiple direct trades in D, the directed deal fulfillment graph, i.e., the type of graph that is illustrated in.FIG. 10 . In other words, the auditor knows everyagent 2 in the chain. - At
step 364,computer 1 looks for the next unprocessed agent V in graph D. Again, “next” is arbitrary. Atstep 365, it is asked whether such an unprocessed agent V has been found. If not, the method stops atstep 366. If the answer is “yes”,node loop 370 is entered into. For agent V, this node loop examines the set EV of directededges 3 in D which have agent V as either a source or destination. Eachedge 3 has an amount F that is greater than zero and less than or equal to FL. Note that this verification process is for illustration only; there would not be a match if these constraints were not satisfied. Atstep 367, it is asked whether agent V is the ultimate buyer B of the deal. If “no”, control is passed to step 368. If “yes”, control is passed to step 371. - At
step 368, it is asked whether agent V is the ultimate seller S of the deal. If “no”, control is passed to step 369. If “yes”, control is passed to step 372. Atstep 369,computer 1 concludes that agent V is an incidental participant in the deal, i.e., amiddleman 5. Control is then passed to step 373, which verifies that the sum of theedge 3 amounts having agent V as a source equals the sum of the edge amounts 3 having agent V as a destination. Sums are used because thatagent 5 could haveseveral edges 3 in and out. Therefore, it is known that agent V has no net market position change. - Control is then passed to step 376. At
step 372, it is verified that agent V is the source node 2 (as opposed to the destination node) of alledges 3 in EV. Instep 375, it is verified thatedge 3 amounts in EV sum to FL, the net amount sold. Control is then passed to step 376. - In
step 371, it is verified that agent V is the destination node 2 (as opposed to the source node) of alledges 3 in EV. At step 374, it is verified thatedge 3 amounts in EV sum to FL, the net amount bought. Control is then passed to step 376, wherecomputer 1 looks for the next unprocessed edge in Ev corresponding to account A. Steps 376-382 constitute an edge loop. Account A is any account held by or extended to counterparty X. Counterparty X is thecounterparty 2 to agent V for thatedge 3. Theedge 3 has to have some amount F, where F is greater than 0 and less than or equal to FL, and an implicit counter-amount F times P; otherwise, there would be no way to clear the trade. Again, “next” instep 376 is arbitrary. Control is then passed to step 382. - At
step 382, it is asked whether such a nextunprocessed edge 3 has been found. If not, control is passed to step 364. If “yes”, control is passed to step 381, where it is asked whether agent V is thedestination node 2 for thisedge 3. If “yes”, then step 380 is executed. If “no”, then by definition, agent V is thesource node 2 for thisedge 3, and step 379 is executed. Control is passed to step 376 after either ofstep - At
step 380,computer 1 reports an “in”flow ticket 377 to agent V, because the lot currency is flowing in to agentV. Flow ticket 377 contains a plaintext portion and an encrypted portion. The plaintext includes the ticket ID, the time and date of issuance, and the name of agent V. The encrypted portion states that you, agent V, bought F of L for F times P of Q from counterparty X for settlement at T. In this case, counterparty X is just theimmediate neighbor 2 to agent V, preserving anonymity.Ticket 377 is digitally signed bycomputer 1 and encrypted bycomputer 1 only to agent V and to the auditor, not tocomputer 1. Two encryptions are performed, one to agent V and one to the auditor. - At
step 379,computer 1 generates an “out”flow ticket 378 toagent V. Ticket 378 contains a plaintext portion and an encrypted portion. The plaintext includes the ticket ID, the time and date of issuance, and the name of agent V. The encrypted portion states that you, agent V, sold F of L for F times P of Q to counterparty X for settlement at T. Again, counterparty X is just theimmediate neighbor 2 to agent V, preserving anonymity.Flow ticket 378 is digitally signed bycomputer 1 and encrypted bycomputer 1 only to agent V and to the auditor, not tocomputer 1. Two encryptions are performed, one to agent V and one to the auditor. -
Tickets agent 2 whose smartcard was plugged into the agent's terminal when the transaction was made. - The above description is included to illustrate the operation of the preferred embodiments and is not meant to limit the scope of the invention. The scope of the invention is to be limited only by the following claims. From the above discussion, many variations will be apparent to one skilled in the art that would yet be encompassed by the spirit and scope of the present invention.
Claims (20)
1. A method, comprising:
storing, by a computer trading system, trading information indicative of limits on trading foreign currency pairs between trading entities, including at least one non-credit-extending entity;
determining, by the computer trading system, respective electronic order books for at least two trading entities, wherein the respective order books include dealable bids and offers that have been individualized using a current set of stored trading limits; and
conveying the respective electronic order books to the at least two trading entities.
2. The method of claim 1 , wherein the respective order books include a first order book conveyed to a first trading entity and a second order book conveyed to a second trading entity substantially concurrently, wherein the first and second order books have been individualized such that they include different current prices for a quantity of a foreign currency pair.
3. The method of claim 1 , wherein the respective order books are individualized such that a bid or offer for a foreign currency pair posted to the computer trading system is conveyed to only a subset of trading entities of the computer trading system.
4. The method of claim 1 , wherein the at least two trading entities includes a non-credit-extending trading entity.
5. The method of claim 1 , wherein the trading information includes first and second trading limits for trades between a credit-extending entity and a non-credit-extending entity, wherein the first trading limit is set by the credit-extending entity, and wherein the second trading limit is set by the non-credit-extending entity.
6. The method of claim 1 , wherein the trading limits include different limits for a first trading entity for different foreign currency pairs.
7. The method of claim 1 , wherein the trading limits include a trading limit indicative of a net position that a first trading entity is permitted to take in the foreign currency pair.
8. The method of claim 1 , wherein the respective order books are individualized based on preference information.
9. The method of claim 1 , wherein the respective order books include a first order book conveyed to a first trading entity and a second order book conveyed to a second trading entity, wherein prices in the first and second order books have been individualized based on different markups associated with the first and second trading entities.
10. The method of claim 1 , wherein the respective order books include prices that are individualized based on a desired arbitrage profit.
11. The method of claim 1 , wherein the computer trading system includes an application programming interface to facilitate automatic trading of foreign currency pairs.
12. A method, comprising:
a trading entity receiving an individualized order book from a computer trading system that facilitates trading between a plurality of trading entities, wherein the received order book includes dealable bids and offers for a foreign currency pair, wherein the received order book has been individualized using a set of trading limits stored by the computer trading system that are specific to the trading entity, and wherein the trading entity is a non-credit-extending entity with respect to the computer trading system.
13. The method of claim 12 , wherein the received order book includes a bid having a price at a specified quantity of the foreign currency pair, and wherein the computer trading system is configured to generate, substantially concurrently, a different individualized order book for another trading entity, wherein the different order book includes a bid having different price at the specified quantity of the foreign currency pair.
14. The method of claim 12 , wherein the order book is individualized based on a settlement cost.
15. The method of claim 12 , wherein the order book includes a bid or offer originating from another trading entity via an indirect line of credit.
16. The method of claim 12 , wherein the individualized order book includes limit orders for spot trades of the foreign currency pair.
17. A trading system, comprising:
one or more computer systems storing program instructions executable to generate a customized limit order book for a non-credit-extending trading entity, wherein the customized limit order book includes bids and/or offers for a currency pair with dealable prices that are customized based in part on an associated trading cost.
18. The trading system of claim 17 , wherein the associated trading cost is a settlement cost.
19. The trading system of claim 17 , wherein the associated trading cost is a markup associated with the non-credit-extending entity.
20. The trading system of claim 17 , wherein the associated trading cost is associated with a trading preference.
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2001
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2006
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US10511520B1 (en) | 2018-05-29 | 2019-12-17 | Ripple Labs Inc. | Multi-hop path finding |
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