US2012284160A1PendingUtilityA1
Systems and methods for providing volume-weighted average price auction trading
Individually held — no corporate assignee on recordPriority: Oct 2, 2002Filed: Aug 1, 2011Published: Nov 8, 2012
Est. expiryOct 2, 2022(expired)· nominal 20-yr term from priority
G06Q 30/0605G06Q 30/08G06Q 30/0601G06Q 30/0641G06Q 40/04
60
PatentIndex Score
0
Cited by
0
References
0
Claims
Abstract
Systems and methods for providing traders with an opportunity to trade on the VWAP price are provided. After a trader enters a VWAP auction session, the trader has a predetermined about of time (i.e., the length of the VWAP auction period) to place bids and/or offers on an item. When the VWAP auction period ends, the electronic trading application matches the VWAP orders. The VWAP orders that are not matched are cancelled. The electronic trading application collects trading information (e.g., price, size, etc.) corresponding to the received orders. The collected information is processed to determine the VWAP price. The VWAP price is presented to the trader and the matched VWAP orders are filled based on the determined VWAP price.
Claims
exact text as granted — not AI-modified1 . A method for providing an auction on an item at a VWAP price with an electronic trading system implemented using user computer equipment, the method comprising:
receiving a plurality of orders for the auction from a plurality of traders, wherein each order comprises a side, a price, and a size and wherein the auction has an auction close time; prioritizing the plurality of orders from the plurality of traders based on predetermined criteria after the auction close time has occurred; matching the plurality of orders from the plurality of traders based at least in part on the prioritization of the plurality of orders, wherein a portion of the plurality of orders is matched and a portion of the plurality of orders is unmatched; canceling the portion of the plurality of orders that are unmatched; determining the VWAP price based at least in part on the plurality of orders; and filling the portion of the plurality of orders that are matched based at least in part on the determined VWAP price.
2 . The method of claim 1 wherein the VWAP price is
∑
(
Traded
Price
)
(
Total
Size
at
that
Price
)
∑
Total
Size
of
Trade
during
Designated
Trading
Period
.
3 . The method of claim 1 wherein the determining further comprises:
collecting the price and the size of each order from the plurality of orders that are received; and
determining the VWAP price based at least in part on the collected price and size.
4 . The method of claim 1 wherein the determining further comprises:
collecting bid and offer price data; and
determining the VWAP price based at least in part on collected bid and offer price data.
5 . The method of claim 1 further comprising distributing a notification to the plurality of traders regarding the auction.
6 . The method of claim 1 wherein the predetermined criteria enables the prioritizing to be performed based on a time that each order was received.
7 . The method of claim 1 wherein the predetermined criteria enables the prioritizing to be performed based on an average size of the plurality of orders.
8 . The method of claim 1 wherein the predetermined criteria enables the prioritizing to be performed based on the price of each order received.
9 . The method of claim 1 further comprising rolling over the portion of the plurality of orders that are not matched to a second auction.
10 . The method of claim 1 further comprising receiving a recurring order from a trader such that the order is continuously placed in the auction until the trader cancels the recurring order.
11 . The method of claim 1 further comprising receiving a recurring order from a trader such that the order is continuously place in the auction until the order is filled.
12 . The method of claim 1 wherein the filling further comprises physically delivering the portion of the plurality of orders that are matched.
13 . The method of claim 1 wherein the filling further comprises financially delivering the portion of the plurality of orders that are matched.
14 . The method of claim 1 wherein receiving a plurality of orders for the auction further comprises receiving at least one price-improved order having a price and a size.
15 . The method of claim 1 further comprising providing a notification when the portion of the plurality of orders that are matched have been filled.
16 . A method for providing an auction on an item at the VWAP price with an electronic trading system implemented using user computer equipment, the method comprising:
receiving a plurality of orders for the auction from the plurality of traders, wherein each order comprises a side and a size and wherein the auction has an auction close time; prioritizing the plurality of orders from the plurality of traders based on predetermined criteria after the auction close time; matching the plurality of orders from the plurality of traders based at least in part on the prioritization of the plurality of orders, wherein a portion of the plurality of orders is matched and a portion of the plurality of orders is unmatched; canceling the portion of the plurality of orders that are unmatched; collecting the size of each order from the portion of the plurality of orders that are matched; determining the VWAP price based at least in part on the collected size; and filling the portion of the plurality of matched orders based at least in part on the determined VWAP price.
17 . The method of claim 16 further comprising distributing a notification to the plurality of traders regarding the auction.
18 . The method of claim 16 wherein the predetermined criteria enables the prioritizing to be performed based on a time that each order was received.
19 . The method of claim 16 wherein the predetermined criteria enables the prioritizing to be performed based on an average size of the plurality of orders.
20 . The method of claim 16 further comprising rolling over the portion of the plurality of orders that are not matched to a second auction.
21 . The method of claim 16 further comprising receiving a recurring order from a trader such that the order is continuously placed in the auction until the trader cancels the recurring order.
22 . The method of claim 16 further comprising receiving a recurring order from a trader such that the order is continuously place in the auction until the order is filled.
23 . The method of claim 16 wherein the filling further comprises physically delivering the portion of the plurality of orders that are matched.
24 . The method of claim 16 wherein the filling further comprises financially delivering the portion of the plurality of orders that are matched.
25 . The method of claim 16 further comprising providing a notification when the portion of the plurality of orders that are matched have been filled.
26 . An apparatus having a server, the apparatus for providing an auction on an item at a VWAP price with an electronic trading system, the apparatus comprising:
a server storage device; a server processor connected to the server storage device, the server storage device storing a service program for controlling the server processor; and the server processor operative with the server program to:
receive a plurality of orders for the auction from a plurality of traders, wherein each order comprises a side, a price, and a size and wherein the auction has an auction close time;
prioritize the plurality of orders from the plurality of traders based on predetermined criteria after the auction close time has occurred;
match the plurality of orders from the plurality of traders based at least in part on the prioritization of the plurality of orders, wherein a portion of the plurality of orders is matched and a portion of the plurality of orders is unmatched;
cancel the portion of the plurality of orders that are unmatched;
determine the VWAP price based at least in part on the plurality of orders; and
fill the portion of the plurality of orders that are matched based at least in part on the determined VWAP price.
27 . The apparatus of claim 26 wherein the VWAP price is
∑
(
Traded
Price
)
(
Total
Size
at
that
Price
)
∑
Total
Size
of
Trade
during
Designated
Trading
Period
.
28 . The apparatus of claim 26 wherein the server program is further configured to:
collect the price and the size of each order from the portion of the plurality of orders that are matched; and
determine the VWAP price based at least in part on the collected price and size.
29 . The apparatus of claim 26 wherein the server program is further configured to:
collect bid and offer price data; and
determine the VWAP price based at least in part on collected bid and offer price data.
30 . The apparatus of claim 26 wherein the server program is further configured to distribute a notification to the plurality of traders regarding the auction.
31 . The apparatus of claim 26 wherein the predetermined criteria enables the prioritizing to be performed based on a time that each order was received.
32 . The apparatus of claim 26 wherein the predetermined criteria enables the prioritizing to be performed based on an average size of the plurality of orders.
33 . The apparatus of claim 26 wherein the predetermined criteria enables the prioritizing to be performed based on the price of each order received.
34 . The apparatus of claim 26 wherein the server program is further configured to roll over the portion of the plurality of orders that are not matched to a second auction.
35 . The apparatus of claim 26 wherein the server program is further configured to receive a recurring order from a trader such that the order is continuously placed in the auction until the trader cancels the recurring order.
36 . The apparatus of claim 26 wherein the server program is further configured to receive a recurring order from a trader such that the order is continuously place in the auction until the order is filled.
37 . The apparatus of claim 26 wherein the server program is further configured to physically deliver the portion of the plurality of orders that are matched.
38 . The apparatus of claim 26 wherein the server program is further configured to financially deliver the portion of the plurality of orders that are matched.
39 . The apparatus of claim 26 wherein the server program is further configured to receive at least one price-improved order having a price and a size.
40 . The apparatus of claim 26 wherein the server program is further configured to provide a notification when the portion of the plurality of orders that are matched have been filled.
41 . An apparatus having a server, the apparatus for providing an auction on an item at a VWAP price with an electronic trading system, the apparatus comprising:
a server storage device; a server processor connected to the server storage device, the server storage device storing a service program for controlling the server processor; and the server processor operative with the server program to:
receive a plurality of orders for the auction from the plurality of traders, wherein each order comprises a side and a size and wherein the auction has an auction close time;
prioritize the plurality of orders from the plurality of traders based on predetermined criteria after the auction close time;
match the plurality of orders from the plurality of traders based at least in part on the prioritization of the plurality of orders, wherein a portion of the plurality of orders is matched and a portion of the plurality of orders is unmatched;
cancel the portion of the plurality of orders that are unmatched;
collect the size of each order from the portion of the plurality of orders that are matched;
determine the VWAP price based at least in part on the collected size; and
fill the portion of the plurality of matched orders based at least in part on the determined VWAP price.
42 . The apparatus of claim 41 wherein the server program is further configured to distribute a notification to the plurality of traders regarding the auction.
43 . The apparatus of claim 41 wherein the predetermined criteria enables the prioritizing to be performed based on a time that each order was received.
44 . The apparatus of claim 41 wherein the predetermined criteria enables the prioritizing to be performed based on an average size of the plurality of orders.
45 . The apparatus of claim 41 wherein the server program is further configured to roll over the portion of the plurality of orders that are not matched to a second auction.
46 . The apparatus of claim 41 wherein the server program is further configured to receive a recurring order from a trader such that the order is continuously placed in the auction until the trader cancels the recurring order.
47 . The apparatus of claim 41 wherein the server program is further configured to receive a recurring order from a trader such that the order is continuously place in the auction until the order is filled.
48 . The apparatus of claim 41 wherein the server program is further configured to physically deliver the portion of the plurality of orders that are matched.
49 . The apparatus of claim 41 wherein the server program is further configured to financially deliver the portion of the plurality of orders that are matched.
50 . The apparatus of claim 41 wherein the server program is further configured to provide a notification when the portion of the plurality of orders that are matched have been filled.
51 . A method for providing a VWAP price with an electronic trading system implemented using user computer equipment, the method comprising:
receiving a plurality of orders for the item from a plurality of traders during a predetermined period, wherein each order has a price; collecting the price of each order; determining the VWAP price based at least in part on the collected prices; and providing the plurality of traders with the VWAP price.Join the waitlist — get patent alerts
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