Systems and methods for processing full or partially displayed dynamic peg orders in an electronic trading system

Abstract

A specialized memory structure is provided for storing parts of orders received at an electronic trading system. A received order is divided into a displayed portion and a non-displayed portion, and each portion is allocated to a respective part of the memory structure. The memory structure is configured such that while matching the order with a contra order, priority is given to the displayed portion over the non-displayed portion. If such a match occurs, the displayed portion may be replenished. The matching in the non-displayed portion generally occurs according to rules of applying discretion. The matching in the displayed portion may occur at the displayed price or according to the rules of discretion.

1 . A method for operating a priority queue within an electronic trading system, the method comprising:
 dividing a received dynamic peg order (DPO) for an item of interest into a displayed DPO portion having a display size, and a reserved DPO portion; and   in a queue: (i) maintained in memory, and (ii) having a displayed queue portion prioritized over a non-displayed queue portion, entering:   into the displayed queue portion, the displayed DPO portion at a quoted price, and   into the non-displayed queue portion, the reserved DPO portion.   
     
     
         2 . The method of  claim 1 , wherein at least one of:
 the quoted price comprises a specified price; and   the display size is customizable for the received DPO.   
     
     
         3 . The method of  claim 1 , further comprising computing the quoted prices based on, at least in part, a current national best price. 
     
     
         4 . The method of  claim 1 , wherein the displayed queue portion and the non-displayed queue portion both are individually prioritized by a price of the item of interest in an order portion entered, and then by a time associated with the order portion entered. 
     
     
         5 . The method of  claim 1 , wherein:
 if the received DPO is a buy order, the quoted price is a current national best bid (NBB) price;   otherwise, the received DPO is a sell order and the quoted price is a current national best offer (NBO).   
     
     
         6 . The method of  claim 1 , further comprising:
 matching at least a part of the displayed DPO portion with a contra order;   determining that size of a remainder portion is less than a lot size; and   transferring a part of the reserved DPO portion from the non-displayed queue portion into the displayed queue portion, forming a replenished displayed DPO portion therein, size of the replenished displayed portion not exceeding the display size.   
     
     
         7 . The method of  claim 6 , wherein the matching is performed at the quoted price. 
     
     
         8 . The method of  claim 6 , further comprising, prior to performing the matching step:
 ascertaining that a size of the contra order is at least equal to a minimum number of units to match, as specified in the received DPO.   
     
     
         9 . The method of  claim 6 , wherein the matching is performed at a match price selected by applying a DPO matching rule, applying the DPO matching rule comprising:
 determining by a processor that current time is associated with a period of stability; and   selecting the match price within a range from a national best price through less aggressive of a limit associated with the DPO and a midpoint of national best bid (NBB) and national best offer (NBO) prices, wherein:
 if the received DPO is of type buy, the less aggressive of the limit associated with the DPO and the midpoint is lesser of the limit associated with the DPO and the midpoint; and 
 otherwise, the received DPO is of type sell, and the less aggressive of the limit associated with the DPO and the midpoint is greater of the limit associated with the DPO and the midpoint. 
   
     
     
         10 . The method of  claim 9 , wherein:
 if the received DPO is of type buy, the limit associated with the DPO is a specified number of minimum price variant (MPV) below the midpoint; and   otherwise, the received DPO is of type sell, and the limit associated with the DPO is a specified number of MPV above the midpoint.   
     
     
         11 . The method of  claim 6 , wherein the matching performed at a match price selected by applying a DPO matching rule, applying the DPO matching rule comprising:
 determining by a processor that current time is associated with a period of instability;   if the received DPO is of type buy, a national best bid (NBB) price is selected as the match price; and   otherwise, the received DPO is of type sell, and a national best offer (NBO) price is selected as the match price.   
     
     
         12 . The method of  claim 1 , further comprising updating the quoted price based on an updated current national best price. 
     
     
         13 . The method of  claim 1 , further comprising:
 matching at least a part of the reserved DPO portion with a contra order at a match price selected by applying a DPO matching rule.   
     
     
         14 . The method of  claim 13 , wherein applying the DPO matching rule comprises:
 determining by a processor that current time is associated with a period of stability; and   selecting the match price within a range from a national best price through less aggressive of a limit associated with the DPO and a midpoint of national best bid (NBB) and national best offer (NBO) prices.   
     
     
         15 . The method of  claim 14 , wherein:
 if the received DPO is of type buy, the less aggressive of the limit associated with the DPO and the midpoint is lesser of the limit associated with the DPO and the midpoint; and   otherwise, the received DPO is of type sell, and the less aggressive of the limit associated with the DPO and the midpoint is greater of the limit associated with the DPO and the midpoint.   
     
     
         16 . The method of  claim 14 , wherein:
 if the received DPO is of type buy, the limit associated with the DPO is a specified number of minimum price variant (MPV) below the midpoint; and   otherwise, the received DPO is of type sell, and the limit associated with the DPO is a specified number of MPV above the midpoint.   
     
     
         17 . The method of  claim 13 , wherein applying the DPO matching rule comprises:
 determining by a processor that current time is associated with a period of instability; and   if the received DPO is of type buy, a national best bid (NBB) price is selected as the match price; and   otherwise, the received DPO is of type sell, and a national best offer (NBO) price is selected as the match price.   
     
     
         18 . The method of  claim 13 , further comprising, prior to performing the matching step:
 ascertaining that a size of the contra order is at least equal to a minimum number of units to match, as specified in the received DPO.   
     
     
         19 . A system for operating a priority queue within an electronic trading system, the system comprising:
 a first processor; and   a first memory in electrical communication with the first processor, the first memory comprising instructions which, when executed by a processing unit comprising at least one of the first processor and a second processor, and in electronic communication with a memory module comprising at least one of the first memory and a second memory, program the processing unit to:   divide a received dynamic peg order (DPO) for an item of interest into a displayed DPO portion having a display size, and a reserved DPO portion;   configure a queue in the memory module to have a displayed queue portion prioritized over a non-displayed queue portion; and   and enter:
 into the displayed queue portion, the displayed DPO portion at a quoted price based on a current national best price, and 
 into the non-displayed queue portion, the reserved DPO portion. 
   
     
     
         20 . The system of  claim 19 , wherein at least one of:
 the quoted price comprises a specified price;   the instructions program the processing unit to compute the quoted price based on, at least in part, a current national best price;   the display size is customizable for the received DPO; and   the displayed queue portion and the non-displayed queue portion both are individually prioritized by a price of the item of interest in an order portion entered, and then by a time associated with the order portion entered.