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WO2018136089A1 - Procédé et plate-forme de mise en correspondance d'ordres d'achat et de vente - Google Patents

Procédé et plate-forme de mise en correspondance d'ordres d'achat et de vente Download PDF

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Publication number
WO2018136089A1
WO2018136089A1 PCT/US2017/014463 US2017014463W WO2018136089A1 WO 2018136089 A1 WO2018136089 A1 WO 2018136089A1 US 2017014463 W US2017014463 W US 2017014463W WO 2018136089 A1 WO2018136089 A1 WO 2018136089A1
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WO
WIPO (PCT)
Prior art keywords
phase
order
matching
asset
orders
Prior art date
Application number
PCT/US2017/014463
Other languages
English (en)
Inventor
Christopher C. FERRERI
Michael Sacks
Original Assignee
Opendoor Securities, Llc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Opendoor Securities, Llc filed Critical Opendoor Securities, Llc
Priority to PCT/US2017/014463 priority Critical patent/WO2018136089A1/fr
Priority to US15/884,352 priority patent/US20180218444A1/en
Publication of WO2018136089A1 publication Critical patent/WO2018136089A1/fr

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Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; 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
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • G06Q30/08—Auctions
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; 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

Definitions

  • the present invention involves matching buying and selling orders, identifying market gaps and trading assets between or among two or more participants.
  • the assets including, but not limited to, financial assets such as U.S. Treasuries, are traded anonymously.
  • the present invention is not restricted to assets that are financial instruments. It is also applicable to other assets, such as non-financial assets, including, but not limited to, event tickets, art, vehicles and collectables.
  • Executing a transaction in a market typically depends on matching a buyer and seller, or a buying order and selling order, as to, for example, asset, price and amount.
  • a fungible asset efficiently matching a buyer and seller or their respective orders, and realizing the asset's liquidity, is a relatively common occurrence.
  • efficiently matching a buyer and seller or their respective orders, and unlocking liquidity is more challenging.
  • a computer-implemented method conducts an anonymous multiphase, call auction of at least one asset.
  • the method comprises:
  • the foregoing method further comprises filling one or more of the at least one buying order and one or more of the at least one selling order.
  • the method further comprises:
  • the method further comprises:
  • the at least one buying order and the at least one selling order are entered during the breathing phase and assigned a first random stamp and a second random stamp during the breathing phase.
  • the at least one buying order and the at least one selling order are submitted at substantially the same time at the outset of the matching phase.
  • the at least one asset comprises one from the group of Treasuries and other bonds.
  • the at least one asset spans multiple sectors.
  • the matching phase lasts for at least 3 minutes and ends 30 seconds after a last new order is entered.
  • the method further comprises: (h) a last call phase.
  • the method further comprises: (h) an odd lot cleanup phase.
  • pennying by one or more participants is mitigated.
  • the at least one asset is an illiquid asset.
  • the pricing phase includes:
  • any orders entered during the matching phase are prioritized based on price/time priority.
  • the matching phase includes performing a credit check on a participant prior to matching any order submitted by the participant.
  • orders entered during matching phase are matched continuously in real-time.
  • each order is filled at a displayed price or filled at an updated price more favorable to the participant that placed the order.
  • the method further comprises:
  • the auction is all-to-all.
  • a participant can enter, or stage, an order from a platform menu.
  • a participant selects (1) a side (buy or sell), (2) an asset, including, for example, a particular issue or instrument, (3) an amount, or size, of an order and (4) a price; that is, a level or yield spread, where the level or yield spread can be below, at or above a mid.
  • An order below (for example, behind), a mid can include, for example, ten million of the asset at the mid in order to promote liquidity.
  • FIG. 1 is a flow diagram illustrating an exemplary method of matching orders that traditionally would not be matched or not be matched as efficiently.
  • FIG. 2A is a flow diagram illustrating an exemplary Mid- Calibrating Algorithm.
  • FIG. 2B is a flow diagram illustrating an exemplary Pricing Phase
  • FIG. 3 is a flow diagram illustrating an exemplary KeyChain.
  • FIG. 4 is an illustrative screenshot of a Pricing Phase Menu as seen on an exemplary platform.
  • FIG. 5 is an illustrative screenshot of a Breathing Phase Menu as seen on an exemplary platform.
  • FIG. 6 is an illustrative screenshot of a Matching Phase Menu as seen on an exemplary platform.
  • FIG. 7 is an illustrative screenshot of an Order Book as seen on an exemplary platform.
  • FIG. 8 is an illustrative screenshot of a KeyChain Menu as seen on an exemplary platform. Detailed Description of Illustrative Embodiments)
  • a method and platform for anonymously matching buying and selling orders that are not limited to a single asset type can include an all-to-all, call auction of assets, such as, but not limited to:
  • asset type including but not limited to:
  • the method and platform are configured such that participants' trading strategies can be kept anonymous, meaning confidential.
  • assets can be identified by type and/or sector.
  • Sectors can consist of grouping assets by maturity. For example, U.S.
  • Treasuries can be grouped in, among others, 2-year, 3-year, 5-year, 7-year, 10- year and 30-year sectors.
  • TIPS can be grouped in, among others, 5- year, 10-year and 30-year sectors.
  • the present method and platform can unlock liquidity in illiquid or low-liquidity assets, or eliminate, or at least reduce, an asset's illiquidity, by identifying one or more market gaps, which arise when a buy order lacks a matching sell order or vice versa.
  • the present method and platform can combine, two or more orders, which can be a combination of swap orders (swaps) and outright orders, to generate one or more live, executable and non- negotiable orders to fill one or more market gaps.
  • An outright order is an order that involves an asset to be traded or exchanged outright on price or yield.
  • An outright order is not a hedge.
  • the orders are combined according to a price/time priority, which is discussed in detail below.
  • Generating an order forms a KeyChain of at least one buy order and at least one sell order.
  • the KeyChain is a completable chain or at least
  • Each KeyChain order that is executed and completed fills at least one market gap and unlocks liquidity, or eliminates, or at least reduces, illiquidity.
  • the orders are anonymous, meaning that participants cannot view any other participant's orders or identity or the total volume of any asset traded, even if the participant is involved in a completed trade for that asset. Anonymity protects both the identity of the participants and the confidentiality of their trading strategies.
  • a participant cannot see any state of any order book and, at the end of the auction, a participant cannot see the size of any order imbalance. In some embodiments, this trade information can remain confidential even after an auction has ended.
  • the method and platform includes determining whether to hold a call auction. In some embodiments, such a determination is made by assessing whether there is sufficient interest in one or more assets to be auctioned. In some embodiments, if there is sufficient interest in at least one asset, then a call auction will be held; if there is not sufficient interest, then a call auction will not be held.
  • FIG. 1 shows a schematic diagram of an embodiment of the present method for matching orders and unlocking liquidity in illiquid or low-liquidity assets.
  • Method 100 is an all-to-all call auction of assets.
  • method 100 is multi-phase and can involve, but is not limited to, one or more of a Pre-Calibrating Phase 110, a Pricing Phase 120, a Breathing Phase 130, a Matching Phase 140, a Last Call Phase 150, an Odd Lot Cleanup Phase 160, and a Post Trade Phase 170.
  • Pricing Phase 120 can be employed to establish a mid to be employed during the call auction.
  • a call auction is an auction in which two or more participants enter one or more orders to buy and/or sell a certain amount of an asset at a certain level, that is, a certain price or spread, followed by a matching of orders.
  • a mid is calibrated through Mid-Calibrating Algorithm 210.
  • a mid is a price
  • Mid-Calibrating Algorithm 210 involves a Tabulating Step 212, an Averaging Step 214 and a Calibrating Step 216.
  • Tabulating Step 212 involves tabulating any buy and/or sell prices contributed by any sponsors; any buy and/or sell prices contributed by any participants; and any buy and/or sell prices contributed by any third parties. Typically, Tabulating Step 212 will involve at least tabulating prices from sponsors and third parties.
  • Averaging Step 214 involves calculating an arithmetic, or Olympic, average by eliminating a percentage of high and low participant prices and then averaging all remaining prices.
  • Averaging Step 214 involves taking the mean.
  • participants include institutional investors, traders and dealers.
  • sponsors can also be participants.
  • sponsor membership enables end-user access to the platform.
  • Calibrating Step 116 involves calibrating the averages arrived at via Averaging Step 114 based on previous call auction data.
  • Mid-Calibrating Algorithm 110 is designed to produce a robust mid, even in instances where no participant contributes a price during Pricing Phase 120. That is, a participant can, but is not obligated to, contribute one or more prices during Pricing Phase 120. A robust mid is more likely to result in a mutually acceptable price to a buyer and seller during Matching Phase 140.
  • the mid calibrated by Mid-Calibrating the mid calibrated by Mid-Calibrating
  • Algorithm 110 is not displayed to any participants.
  • the mid can be shared with at least one sponsor in order to address information asymmetry that currently exists or may exist on certain third-party platforms.
  • Pricing Phase 120 is confidential such that participants are not shown any pre-calibrated mid curves or any levels contributed by other participants.
  • prices are updated after a given time period.
  • the time period is an hour. In some more preferred embodiments, the time period is a minute. In some preferred embodiments, the time period is a second. In some
  • the time period is designed to enhance actual or potential liquidity of market assets.
  • participant's submission of one or more prices has no bearing on any order or potential to be matched during Matching Phase 140.
  • a pre-calibrated mid is calculated prior to Pricing Phase 120 in Pre-Calibrating Phase 110.
  • the pre-calibrated mid can enable more efficient discarding of out-of-band prices that participants may submit during Pricing Phase 120. For example, in some embodiments, if the difference between a participant's submitted price and the pre-calibrated mid exceeds a configurable or predetermined tolerance, then the participant's price is discarded when the mid is calibrated in Pricing Phase 120. In some embodiments, the participant is not notified that a submitted price has been discarded. In other embodiments, the participant is notified that a submitted price has been discarded.
  • the algorithm employed to determine the pre- calibrated mid is Mid-Calibrating Algorithm 110.
  • the pre-calibrated mid is determined in a different way, including, but not limited to, algorithms other than Mid-Calibrating Algorithm 110.
  • the pre- calibrated mid and calibrated mids are identical.
  • participants are able to view calibrated mids.
  • resulting mids are shared with participants, while maintaining the confidentiality of the sponsor and participant
  • Pricing Phase 120 can include calculation, calibration and publication of one or more robust mid-market level, or mid, curves for assets in the call auction.
  • Breathing Phase 130 follows after Pricing Phase 120.
  • Breathing Phase 130 can include, among other things, an
  • Breathing Phase 130 can involve two or more participants entering one or more orders prior to Matching Phase 140.
  • a participant can enter one or more swaps, one or more outright buy or sell orders or a combination of swaps and outright buy or sell orders.
  • a swap is an order in which an asset is proposed to be traded, switched or exchanged for another asset.
  • a participant can originate (1) an outright, OFTR order on price, in 32nds, or yield and not tied to a benchmark, (2) a swap involving an OFTR, which can be entered in a yield spread tied to (a) the sector benchmark or OTR (for example, buy the OFTR and sell a duration-weighted amount of the OTR), (b) an alternative sector benchmark or OTR or (c) another OFTR (for example, buy one OFTR and sell a duration-weighted amount of another OFTR).
  • a duration- weighted amount is the amount of an asset necessary to balance a hedged transaction.
  • a yield spread is the difference between the quoted rates of return on two different investments, usually of different credit quality.
  • a yield spread is often indication of a risk premium for investing in one asset over another.
  • a yield spread is also known as a credit spread.
  • orders entered during Breathing Phase 130 can be restricted by a minimum fill constraint.
  • an anchor leg of a swap can have a minimum fill constraint.
  • no leg of a swap can have a minimum increment constraint.
  • an asset for which the participant has selected an amount is the anchor.
  • the participant selects a second asset, or leg, in the swap by entering one or more criteria for the second asset, such as a particular issue.
  • the participant is presented with assets having the one or more criteria. Often this information is presented on a screen.
  • the participant can then select the second asset, determine its direction, that is, buy or sell, and the platform can capture a corresponding mid.
  • the participant selects and confirms the level or spread, that is, the difference in value for the second, or hedged, asset, and observes a calculated duration- weighted amount for the second asset.
  • the participant then submits and confirms its order.
  • method 100 allows various buyers and sellers to originate orders during Breathing Phase 130, Matching Phase 140 or both Phases.
  • a buyer or seller may originate the same types of orders described above during either or both of those Phases.
  • two-legged swaps can be executed, as can butterfly or three-legged swaps.
  • orders entered during Breathing Phase 130 receive unique time-stamps prior to Matching Phase 140.
  • the time-stamps are randomized to remove any advantage of being "first in" with an order during Breathing Phase 130.
  • a participant's order book is updated with various order details.
  • Matching Phase 140 involves matching orders. At the outset of Matching Phase 140, all orders previously entered, such as those entered during Breathing Phase 130, are submitted. In some embodiments, most if not all previously entered orders are submitted substantially simultaneously.
  • the present method anonymously identifies one or more market gaps, which arise where a buying order lacks a matching selling order or vice versa, and combines, according to price/time priority, two or more orders, which are a combination of swaps and outright orders, to generate one or more live, executable and non-negotiable orders to fill at least one of the market gap(s).
  • generating the one or more live, executable and non-negotiable orders forms a KeyChain of at least one buying order and at least one selling order.
  • the KeyChain is a completable chain, or completable portion of a chain, of anonymous orders.
  • the orders are prioritized according to price and then time as discussed in detail below.
  • Orders handled via a KeyChain include orders for one or more different asset types, such as, but not limited to, OFTRs, Treasury Inflation- Protected Securities and OTRs.
  • a KeyChain order does not have a minimum fill or minimum increment constraint.
  • a round lot is the minimum amount of an asset that is allowed to be traded on a given platform.
  • amounts other than a round lot can be part of an executable order.
  • a KeyChain order for an odd lot (for example, an amount of an asset that is other than a round lot to the nearest 1,000 units) is calculated to the nearest 1,000 units and a partial order for less, but not more, than the published bid or offer amount is allowed.
  • a participant hits (sells) or lifts (buys) a KeyChain bid or offer, the participant will be notified, for example, via a pop-up message, to specify the amount of an order, but not a price.
  • a participant can specify an amount up to the full amount published, and the order can be filled up to the amount entered.
  • An odd lot of an OTR is adjusted to produce a duration-weighted round lot of an OFTR in order to further enhance liquidity of the OFTR.
  • a KeyChain order that is a spread order is duration-weighted to the corresponding benchmark.
  • Each KeyChain order is non-negotiable as to price.
  • a KeyChain order is not a resting order entered by a participant. Rather, for a KeyChain order, a participant can either sell a bid or buy an offer, but cannot negotiate or counter a price of the KeyChain order.
  • the KeyChain is not and does not provide an order book.
  • a KeyChain order does not have a minimum fill or minimum increment constraint.
  • Each KeyChain order that is executed fills at least one market gap and unlocks liquidity, or eliminates, or at least reduces, illiquidity.
  • at least one published price is updated periodically. In some embodiments, the period is one second. As such, an updated price can be different from a price at which a participant sells a bid or buys an offer.
  • a participant's order is filled at the published price or at a better price. If an updated price is worse than the price a participant hit or lifted, then the participant will be notified by, for example, a pop-up message informing the participant that the price has adversely changed and asking if the participant still wants to execute the trade at the updated price. The execution of the trade depends on the participant's answer. If an updated price has changed in favor of a participant, then the participant's order is simply filled at the more favorable price.
  • a participant can originate any of the same orders, including swaps and outright orders, that a participant can originate during Breathing Phase 130.
  • a participant can specify any of the same constraints available during Breathing Phase 130.
  • Orders entered during Breathing Phase 130 have temporal priority over orders entered during Matching Phase 140. Orders entered during
  • Matching Phase 140 are matched according to price/time prioritization against other orders entered during Matching Phase 140.
  • orders are matched such that both sides of a matched order are substantially simultaneously filled according to price/time priority. In some embodiments, orders are matched in real time and/or continuously.
  • price takes priority over time. In some of these embodiments, if multiple orders have the same price, time takes priority between or among them. In some embodiments, the amount, or size, of an order has no priority. [0082] In other or the same embodiments, orders are credit- verified. In some embodiments, what accounts for a credit-verified order is determined by a counter party credit or credit limit.
  • a participant can increase its odds of being matched if, during
  • Matching Phase 140 it improves its level by, for example, buying at a higher price, lower yield or more aggressive spread or selling at a lower price, higher yield or more aggressive spread.
  • a participant can choose settings that enable it to view indications of participant interest in an asset, as well as trade activity in an asset.
  • no participant can view direction, that is, buy or sell, price or amount of an issue in which it has interest or that it has traded.
  • a participant can view the progress of a filled order in real time.
  • a participant can cancel any unfilled orders individually or can cancel all unfilled orders.
  • an attempt to fill a constrained order (for example, an order with a minimum fill requirement, an order with a minimum increment requirement, a swap or some combination of those constraints) will be made when price and time give the constrained order priority. However, if one or more constraints cannot be satisfied, then an attempt to fill the next prioritized order will be made.
  • a constrained order for example, an order with a minimum fill requirement, an order with a minimum increment requirement, a swap or some combination of those constraints
  • Matching Phase 140 includes one or more matching time slices.
  • a matching time slice is an interval of time between a time when a matching engine wakes up, that is, commences matching activity, and a time when the matching engine goes to sleep, or ceases matching activity. Orders filled during a matching time slice are substantially simultaneously filled according to price/time priority.
  • the present method and platform include a look-ahead capability to ensure that all final matches in a matching time slice honor price/time priority.
  • Last Call Phase 150 follows after Matching Phase 140. Last Call Phase 150 is held after Matching Phase 140 is completed. In some embodiments, Last Call Phase 150 is configurable based on prior auction activity. For example, in some embodiments, Last Call Phase 150 can consist of at least a 30-second batch session as opposed to a continuous session. In some embodiments, orders are matched in the same way as described above for Matching Phase 140. In some embodiments, Last Call Phase 150 involves only assets for which a bad mid, or bad mids, was/were calculated.
  • a bad mid exists where there are only offers for an asset through the mid (above the mid) and no offers below or at the mid, or only bids for an asset through the mid (below the mid) and no bids above or at the mid.
  • the mid is a good mid. The fact that an asset does not receive any orders means that there was no participant interest in the asset, but does not mean that the mid is a bad mid.
  • the Last Call Phase 150 is evoked because of a bad mid, there is no requirement that an amount (for example, ten million) of an asset be submitted at a corresponding mid.
  • Odd Lot Cleanup Phase 160 follows after Matching Phase 140. In embodiments with Last Call Phase 150, Odd Lot Cleanup Phase 160 follows after Last Call Phase 150. In some embodiments, mids for Odd Lot Cleanup Phase 160 are the same as the mids published for one or both of Breathing Phase 130 and Matching Phase 140, except that mids for assets which traded during Last Call Phase 150 are the weighted average levels of those trades.
  • Odd Lot Cleanup Phase 160 does not include a requirement that an amount (for example, ten million) at a corresponding mid. In some embodiments, Odd Lot Cleanup Phase 160 does not allow one or more of a minimum fill constraint, a minimum increment constraint, and an order through the mid. In some embodiments, Odd Lot Cleanup Phase 160 does allow an order through a mid.
  • a participant can customize a view of assets in order to focus on one or more assets in one or more sectors in one or more upcoming call auctions or phases.
  • every action taken by every participant is logged.
  • Corresponding data is stored in order to address, for example, actual or potential regulatory concerns or trade disputes.
  • the method described above can be carried out on a platform.
  • This platform can include a group of computers, servers, or both, networked together either physically and/or via the internet.
  • participant access will be able to access the platform via direct access or sponsored access.
  • Sponsored access means that the participant is interacting with the platform via a third party. From a user perspective, in at least some embodiments, a participant using sponsored access will interact with the platform similarly to, or exactly like, a participant directly interacting with the platform via direct access.
  • sponsors include brokers. In some embodiments,
  • sponsors handle post-trade allocations.
  • the platform can allow for simultaneous auctions of multiple sectors. In other embodiments, the platform can have the ability to restrict auctions to various sectors.
  • participants can view, on an Auction Calendar, assets, sectors or a combination of assets and sectors to be auctioned.
  • the Auction Calendar can include auctions that repeat on regular intervals (for example, hourly or daily).
  • the Auction Calendar includes the current date and time, as well as dates and times of upcoming auctions. In certain embodiments, the Auction Calendar includes a countdown clock to an
  • upcoming auction In certain embodiments, participants are notified on the Auction Calendar when an auction is cancelled.
  • the Auction Calendar is interactive, allowing participants to gain more knowledge about upcoming auctions, including, but not limited to, particular assets, sectors, or both, that are to be involved in an auction.
  • the Auction Calendar has the ability to notify participants of upcoming auctions that include assets, such as bonds, that the participant owns, in which it has expressed interest, or both.
  • a participant can request that the platform add a particular asset or sector to an upcoming auction.
  • the platform automatically decides whether to add the participant-requested auction based on various factors, including, but not limited to, the number of other participants requesting an auction for the same asset, sector, or both, the time since the asset, sector, or both, were last auctioned, or some combination thereof.
  • the platform can determine how long auctions will last. In some embodiments, the auction can last 5, 8, 10, 15, 30 or 60 minutes. In certain embodiments, an auction can continue past its time limit if trading is still taking place or one or more orders are still being entered over a certain period of time. For example, in some embodiments the platform can keep the trading open for a given amount of time after a trade has occurred. In certain embodiments, the platform can cancel an auction before its time limit has expired.
  • Pricing Phase Menu 400 is illustrated in FIG. 4. In certain aspects,
  • the Pricing Phase 120 lasts three minutes, although other durations are possible.
  • participants can enter levels expressed as yield spreads to the sector benchmark or OTR.
  • participants can enter bids, offers or two-way levels.
  • levels are entered in basis points with 1 decimal place of precision (tenths of a basis point).
  • the levels for the benchmarks are snapped at the beginning of Pricing Phase 120 and remain constant throughout Pricing Phase 120.
  • the benchmark levels can be referred to as the "lock" price and yield.
  • the lock price of the benchmarks is displayed in 32nd notation to the nearest 32nd.
  • the lock yield of the benchmarks is displayed as a percent with 3 significant digits.
  • a participant has no ability to view levels entered by other participants during Pricing Phase 120.
  • the platform can notify the participant if they attempt to enter a level significantly out of range (out of band) relative to pre-calibrated mids. Pre-calibrated mid are mids calibrated prior to the start of Pricing Phase 120.
  • the participants can override the notification.
  • the participant will be informed only once if its price is out of range to try and prevent, or at least dissuade, participants from using this information to attempt to determine the pre-calibrated mid.
  • participant can attempt to game the platform by entering prices skewed towards their preferred mid.
  • the platform can detect this gaming and take actions to prevent, or at least mitigate, further gaming.
  • the platform gives participants the ability to import data from various spreadsheet formats, including, but not limited to, Excel and comma-separated values (CSV), to enter pricing data.
  • participants can add, change or remove pricing levels until Pricing Phase 120 ends.
  • the platform has the ability to calculate a mid.
  • the platform employs four different components when calculating the mid: sponsor contributions, participant contributions, calculation of an arithmetic average, and a calibration of that average based on previous auction results. An example of this is illustrated in FIG. 2B.
  • the platform is designed to produce a usable mid even if no participants contribute prices during Pricing Phase 120.
  • the platform can use data from sponsors, third parties or both in calculating the mid.
  • sponsors can provide bids, offers, pricing data or some combination thereof.
  • bids and offers from sponsors can be treated in the same way as pricing data.
  • the platform prior to Pricing Phase 120, performs the mid-calibrating algorithm to compute, or calculate, a pre- calibrated curve of mids.
  • the pre-calibrated mids are not displayed to the participants.
  • the pre-calibrated mids can be shared with sponsors. Sharing the pre-calibrated mids with sponsors can help address information asymmetry.
  • the pre-calibrated mids allow the platform to exclude potentially erroneous, that is, out-of-range data that participants may enter in an attempt to game the platform.
  • the pre-calibrated curve of mids is generated by the identical algorithm that is employed after Pricing Phase 120 has ended. In at least these embodiments, if no participants contribute levels during Pricing Phase 120, the pre-calibrated and post-Pricing-Phase curves are identical. If participants do contribute levels during Pricing Phase 120, their prices are accounted for when calibrating the mids. In at least some
  • the platform attempts to remove data from those trying to game the platform by removing out-of-range prices. In some embodiments, the platform discards the top and bottom X% of participant prices, where X is configurable by the platform. In some embodiments, X is 20%. In some embodiments, where there are few participant prices, the platform can use all of the participants' prices.
  • the platform calibrates each mid.
  • the mid can be calibrated based on data including, but not limited to, the published mid from one or more previous auctions; the volume and the volume- weighted mid of the order imbalance at the end of the previous auction; the volume and the volume-weighted mid of the matches from the Matching Phase 140 of the previous auction or various combinations.
  • Mid- Calibrating Algorithm 210 is employed to obtain a mid.
  • the platform publishes the mid for the participants at the end of Pricing Phase 120, at the beginning of Breathing Phase 130 or at both times.
  • Breathing Phase Menu 500 is illustrated in FIG. 5. After the mids have been calculated and calibrated, the mids are published and viewable by participants and Breathing Phase 130 begins. In certain embodiments, Breathing Phase 130 lasts two minutes, although other durations are possible. In at least some embodiments, Breathing Phase Menu 500 contains a countdown clock that shows when Breathing Phase 130 ends. In certain embodiments, a lock price, a yield tied to a benchmark or both are snapped at the beginning of Breathing Phase 130 and remain constant until the end of Breathing Phase 130.
  • Breathing Phase Menu 500 contains the amount of credit a participant has. In at least some embodiments, submitting an order during Breathing Phase 130 does not affect the participant's credit.
  • orders are not matched during Breathing Phase 130.
  • the orders are assigned a random time stamp to remove advantages for an order that is "first in", including an order that is entered ahead of another order because of a faster typist, a faster internet speed or other similar advantage.
  • Breathing Phase Menu 500 can highlight an asset, such as a bond, for which a participant entered a price level during Pricing Phase 120. In some embodiments, Breathing Phase Menu 500 can indicate how a participant's price level compares to the calibrated mid.
  • participants can enter orders via Breathing Phase Menu 500.
  • a participant can indicate a minimum fill and minimum increment he would accept for buying or selling a given asset.
  • the platform automatically assigns to each criterion a predetermined amount.
  • the platform allows participants to import data from various spreadsheet formats, including, but not limited to, Excel and CSV, to enter ordering data.
  • participants can enter swaps on Breathing Phase Menu 500.
  • the orders entered during Breathing Phase 130 are simultaneously submitted at the start of Matching Phase 140.
  • the platform's matching engine enforces price/time priority.
  • a participant might be motivated to improve its level, by a trivial amount, in order to increase its odds of being matched.
  • Such trivial increases or decreases in price are known as pennying.
  • Some embodiments of the platform include mining data from past and current call auctions, and taking action to prevent a participant from further attempts to game the platform through pennying. In some embodiments, different rules against pennying are applied to different assets.
  • FIG. 6 shows Matching Phase Menu 600.
  • Matching Phase 140 is a continuous matching session during which participants receive real-time notification of their filled orders, but no indication of what other participants have traded or the state of the order book. In other words,
  • Matching Phase 140 is a batch session.
  • Matching Phase 140 After the orders entered during Breathing Phase 130 are entered into an order book, the platform's matching engine attempts to match them. In certain embodiments, Matching Phase 140 lasts for three minutes or until trading activity has abated. In some embodiments, the abatement of trading is determined based on a given time period without any trades or entries or orders. In some embodiments, the platform employs a countdown to indicate the end of Matching Phase 140, regardless of the number of trades made. In some embodiments, the clock is set to 30 seconds. In certain embodiments, Matching Phase Menu 600 can container an Order Book 700, such as the one shown in FIG. 7, which can show, among other things, the orders a participant has entered.
  • participant changes its order parameters, it loses its time priority in the order stack.
  • participants are given real-time notification of filled orders on Matching Phase Menu 600.
  • the platform's matching engine can identify one or more market gaps and generate one or more KeyChain orders to fill the one or more market gaps during Matching Phase 140.
  • the matching engine performs credit checks prior to matching two orders.
  • sponsors assign a credit limit to each of their sponsored client firms and client firms assign a credit limit to each of their traders.
  • the sum of the traders' limits can exceed the credit limit the sponsor has assigned that client, but the smaller limit is enforced.
  • credit limits are defined across the entire platform.
  • the platform evaluates credit by looking at a balance sheet (un-netted) and/or risk (netted).
  • credit is not checked at the time of order entry, but rather, at the time of matching.
  • the ordered is filled up to the credit limit, the participant is sent a notice as to the filled order, or portion thereof, and a remaining order, or portion thereof, is cancelled.
  • firms can prioritize a client's credit limits.
  • the platform will not interact directly with a sponsored client. [0124] In some embodiments, the platform allows one or more of the same types of orders as the above-described method.
  • price always takes priority. If there are multiple orders at the same price, time takes priority among them.
  • size has no priority because a size of an order can be relatively easily gamed and, in the process, undermine the platform's efficiency. Therefore, time trumps size, and price trumps time.
  • the platform attempts to fill a constrained order (for example, an order with a minimum fill requirement, a minimum increment requirement, a swap, or some combination of those constraints) when price and time give them priority.
  • the platform attempts to fill the next prioritized order.
  • Matching Phase 140 is a continuous match session during which the algorithm attempts to match as many orders as possible.
  • the matching engine goes to sleep when it has matched everything it can.
  • the matching engine does not wake up until a new order enters the order book or new levels for the benchmarks are snapped.
  • Matching Phase 140 includes one or more matching time slices.
  • the orders that match engine fills during a matching time slice are filled substantially simultaneously according to price/time priority.
  • Each successive matching time slice has its own time stamp.
  • the matching engine can look ahead in ways that violate time priority so long as the final results from that matching time slice honor price/time priority.
  • the matching algorithm can lead to size-based starvation (for example, a large order with time priority can starve out other orders at the same price). This potential issue can be overcome if a participant improves its price.
  • Matching Phase 140 when Matching Phase 140 has ended, a participant's partial filled orders for the same asset, such as a bond, are aggregated into a single average-price trade. In some embodiments, the platform sends out a trade ticket at the end of Matching Phase 140.
  • Last Call Phase Menu Some platforms utilize a Last Call Phase Menu.
  • the platform may produce a bad mid for one or more assets.
  • Last Call Phase Menu will appear when a bad mid was produced.
  • Last Call Phase 150 lasts thirty seconds, although other durations are possible.
  • Last Call Phase 150 is a batch auction and follows after the same procedure as Matching Phase 140, with the exception that the platform's matching engine does not run until the end of Last Call Phase 150. At the end of Last Call Phase 150, all of a participant's filled orders for the same asset are aggregated into a single trade at an average price.
  • Odd Lot Cleanup Phase 160 follows after Last Call Phase 150 or (if there is not a Last Call Phase 150) then Matching Phase 140. In at least some embodiments, this is no minimum size constraint during Odd Lot Cleanup Phase 160. In at least some embodiments, Odd Lot Cleanup Phase 160 employs the same matching algorithm as Matching Phase. In some embodiments, at the end of Odd Lot Cleanup Phase 160, all of a participant's partially filled orders for a single asset are aggregated into a single trade at an average price.
  • the filled orders can be aggregated to produce a single trade at an average price.
  • entering orders off the mid is not allowed in Odd Lot Cleanup Phase 160.
  • certain embodiments of the platform may not employ Odd Lot Cleanup Phase 160.
  • Post Trade Phase 170 follows after one or more of Odd Lot Cleanup Phase 160, Last Call Phase 150 and Matching Phase 140.
  • Post Trade Phase Menu shows, among other things, individual fills, aggregate, average-price trades, fee(s), accrued interest, settlement amount, session duration, trades not filled and/or duration-weighted amount of the hedge.
  • Post Trade Phase Menu also shows a
  • the countdown clock for a next scheduled auction.
  • the countdown clock is specific to a particular sector.
  • Post Trade Phase Menu allows participants to download auction results into a CSV file.
  • the platform may allow OTR-only auctions.
  • OTR-only auctions are separate auction from auctions that include OFTR's, TIPS, or both OFTRS and TIPS.
  • the only bonds in an OTR-only auctions are one of more of the six OTR's.
  • Each published mid is the arithmetic mid of the sponsor feeds.
  • the published mid is the yield spread between the mid yields of two bonds.
  • the mids can be updated every second.
  • the minimum order size is typically 10 million. Because all orders are swaps, every participant must accept odd lots.
  • a minimum fill constraint is allowed.
  • a minimum increment constraint is not allowed.
  • the platform can log each action taken by each participant.

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Abstract

L'invention concerne un procédé et une plate-forme mis en œuvre par ordinateur, qui permettent une vente aux enchères par appels à phases multiples, de tous à tous, pour au moins un actif. Le procédé et la plate-forme font intervenir les étapes consistant à lancer les enchères pour au moins un actif; à réaliser une phase de formation de prix pendant une première période; à calculer et à publier une courbe moyenne étalonnée pour l'actif ou les actifs; à réaliser une phase de relâche pendant une deuxième période, au cours de laquelle un ou plusieurs participants peuvent évaluer la courbe moyenne étalonnée et au moins un ordre d'achat est saisi et au moins un ordre de vente est saisi; lancer une phase de mise en correspondance et déposer l'ordre ou les ordres d'achat et l'ordre ou les ordres de vente; réaliser la phase de mise en correspondance sur une troisième période; identifier un créneau de marché inoccupé; générer un ordre KeyChain; et notifier un ordre exécuté à l'acheteur et au vendeur.
PCT/US2017/014463 2017-01-20 2017-01-20 Procédé et plate-forme de mise en correspondance d'ordres d'achat et de vente WO2018136089A1 (fr)

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PCT/US2017/014463 WO2018136089A1 (fr) 2017-01-20 2017-01-20 Procédé et plate-forme de mise en correspondance d'ordres d'achat et de vente
US15/884,352 US20180218444A1 (en) 2017-01-20 2018-01-30 Method And Platform For Matching Buy And Sell Orders

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US20030120585A1 (en) * 2001-12-21 2003-06-26 Richard Rosenblatt Confidential electronic trading and matching system incorporating execution via an auction market
US20040254804A1 (en) * 2002-10-30 2004-12-16 Boston Options Exchange Group, Llc Price improvement processor for electronic trading of financial instruments
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