Automated Trading System

Abstract

A computer trading system includes a quote screening function configured to accept quotes specifying a quote amount in a price where the quote amount is greater than a minimum quote amount to produce screen quote messages and to reject quotes specifying a quote amount less than the minimum quote amount. A market view generator generates market views from those quotes which specify an amount greater than or equal to the minimum quote amount. An order screening function only accepts orders specifying an amount less than a maximum transaction amount submitted in response to the market views to produce screened order messages. A transaction processor receives screened quote messages and screened order messages and matches appropriate messages with each other. The minimum quote amount is substantially equal to or greater than the maximum transaction amount whereby a screened order message can be matched entirely with one screened quote message.

What is claimed is: 
     
         1 . A method of matching instruments between counterparties in a computerized trading system having one or more computers, the method comprising:
 receiving quotes specifying a quote amount and a quote price;   identifying, from the received quotes, quotes that specify the quote amount greater than a minimum quote amount, and producing screened quote messages from the identified quotes;   generating market views from the screened quote messages using a processor;   distributing the market views to one or more users of the trading system;   receiving orders after distribution of the market views, each order specifying an order amount and an order price;   screening the received orders so as to produce screened order messages comprising only those received orders specifying the order amount less than a maximum order amount; and   matching screened order messages with appropriate screened quote messages,   wherein the minimum quote amount is substantially equal to or greater than the maximum order amount.   
     
     
         2 . The method according to  claim 1 , further comprising:
 modifying each screened quote message when an order message is matched therewith by decrementing the quote amount specified in each screened quote message; and   removing each screened quote message from the market views when the quote amount specified in each screened quote message is less than the minimum quote amount.   
     
     
         3 . The method according to  claim 1 , wherein the order screening rejects orders specifying an order amount greater than the maximum order amount. 
     
     
         4 . The method according to  claim 1 , wherein the order screening segments an order specifying an order amount greater than the maximum order amount into at least a first reduced value order and a second reduced value order each specifying an order amount which is less than the maximum order amount. 
     
     
         5 . The method according to  claim 4 , wherein the matching of screened order messages comprises matching the screened order message derived from the first reduced value order with an appropriate screened quote message. 
     
     
         6 . The method according to  claim 4 , wherein the order screening rejects at least the second reduced value order. 
     
     
         7 . The method according to  claim 5 , wherein the matching of screened order messages matches the at least second reduced value order with the appropriate screened quote message. 
     
     
         8 . The method according to  claim 1 , further comprising:
 storing the screened quote messages in a quote available store;   decrementing the quote amount specified in a given screened quote message in the quote available store each time a screened order message is matched therewith; and   removing the given screened quote message from the quote available store when the quote amount specified in that given screened quote message falls below the minimum quote amount.   
     
     
         9 . The method according to  claim 8 , wherein matching of screened order messages comprises matching order messages only with those quote messages stored in the quote available store. 
     
     
         10 . The method according to  claim 1 , wherein the screening of quotes is performed, at least in part, on each of a plurality of trader terminals such that quotes specifying an amount less than the minimum quote amount are not transmitted to the trading system. 
     
     
         11 . The method according to  claim 8 , wherein the quotes specifying an amount less than the minimum quote amount are removed from the quote available store. 
     
     
         12 . A computer readable storage medium having stored thereon program code which, when executed on a computer trading system for matching instruments causes the computer to:
 receive quotes specifying a quote amount and a quote price;   identify, from the received quotes, quotes specifying the quote amount greater than a minimum quote amount, and produce screened quote messages from the identified quotes;   generate market views from the screened quote messages using a processor;   distribute the market views to one or more users of the system;   receive orders after distribution of the market views, each order specifying an order amount and an order price;   screening the received orders so as to produce screened order messages comprising only those received orders specifying the order amount less than a maximum order amount; and   matching the screened order messages with appropriate screened quote messages,   wherein the minimum quote amount is substantially equal to or greater than the maximum order amount.   
     
     
         13 . The computer readable storage medium according to  claim 12 , wherein the computer further:
 modifies each screened quote message when an order message is matched therewith by decrementing the quote amount specified in each screened quote message; and   removes each screened quote message from the market views when the quote amount specified in each screened quote message is less than the minimum quote amount.   
     
     
         14 . The computer readable storage medium according to  claim 12 , wherein the order screening rejects orders specifying an order amount greater than the maximum order amount. 
     
     
         15 . The computer readable storage medium according to  claim 12 , wherein the order screening segments an order specifying an order amount greater than the maximum order amount into at least a first reduced value order and a second reduced value order each specifying an order amount which is less than the maximum order amount. 
     
     
         16 . The computer readable storage medium according to  claim 15 , wherein the matching of screened order messages comprises matching the screened order message derived from the first reduced value order with an appropriate screened quote message. 
     
     
         17 . The computer readable storage medium according to  claim 15 , wherein the order screening rejects at least the second reduced value order. 
     
     
         18 . The computer readable storage medium according to  claim 16 , wherein the matching of screened order messages matches the at least second reduced value order with the appropriate screened quote message. 
     
     
         19 . The computer readable storage medium according to  claim 12 , wherein the computer further:
 stores the screened quote messages in a quote available store;   decrements the quote amount specified in a given screened quote message in the quote available store each time a screened order message is matched therewith; and   removes the given screened quote message from the quote available store when the quote amount specified in that given screened quote message falls below the minimum quote amount.   
     
     
         20 . The computer readable storage medium according to  claim 19 , wherein matching of screened order messages comprises matching order messages only with those quote messages stored in the quote available store. 
     
     
         21 . The computer readable storage medium according to  claim 19 , wherein the quotes specifying an amount less than the minimum quote amount are removed from the quote available store.