System and Method for Use in Auditing Financial Transactions

Abstract

A data processing system that records detailed market information for one or more financial markets to facilitate the audit of executed trades for time, quantity, and price as being reasonable. The system receives and records data from financial markets, including the date and time trades are executed and the prices at which the financial instruments traded. The system provides users the ability to compare a particular transaction for a financial instrument to transaction data for the same and/or related financial instruments at around the same time, to determine whether the price paid for the financial instrument is reasonable for the time the trade was executed. A trade confirmation service is also provided to permit traders to verify the parameters of executed transactions.

1 . A data processing system for comparing a trade for a financial instrument against historical transactions to verify that the trade was executed at a reasonable price at the time of execution, said system comprising:
 one or more server computers;   a communication link between said one or more server computers and a plurality of financial markets, wherein transaction data related to the trading of financial instruments is transmitted to said one or more server computers from said financial markets and entered into said database; and   a subscriber terminal in communication with said one or more server computers, wherein said terminal is enabled to transmit to said one or more server computers a request that a transaction be compared against said transaction data stored in said database.   
     
     
         2 . The system of  claim 1 , wherein said transaction to be compared against said transaction data is a transaction that has been executed. 
     
     
         3 . The system of  claim 1 , wherein said transaction to be compared against said transaction data is a transaction that has not been executed. 
     
     
         4 . The system of  claim 1 , wherein said transaction data is transmitted via an application program interface. 
     
     
         5 . The system of  claim 4 , wherein said application program interface defines what transaction data is transmitted to said one or more server computers. 
     
     
         6 . The system of  claim 1 , wherein said financial markets are electronic trading systems. 
     
     
         7 . The system of  claim 1 , wherein said financial markets are non-electronic trading systems. 
     
     
         8 . The system of  claim 1 , where said transaction data is transmitted to said one or more server computers from said financial markets via an electronic message. 
     
     
         9 . The system of  claim 8 , wherein said electronic message contains a marketplace identification, a financial instrument identification, the time of execution of a trade, orders at the best bid, orders as the best offer, the quantity of the financial instrument bid, the quantity of the financial instrument offered, and order book data. 
     
     
         10 . The system of  claim 8 , wherein said transaction data is transmitted to said one or more server computers from said financial markets with each change of information associated with a financial instrument. 
     
     
         11 . The system of  claim 8 , wherein said transaction data is transmitted to said one or more server computers from said financial markets at a specified interval of time. 
     
     
         12 . The system of  claim 8 , wherein said specified interval of time is no greater than ten seconds. 
     
     
         13 . The system of  claim 1 , wherein said transaction data includes the price at which the transactions were executed. 
     
     
         14 . The system of  claim 13 , wherein said transaction data includes the quantity of financial instruments traded. 
     
     
         15 . The system of  claim 13 , wherein said transaction data includes the time at which the transactions were executed. 
     
     
         16 . The system of  claim 1 , wherein said transaction data is stored in said memory in accordance with predetermined parameters. 
     
     
         17 . The system of  claim 16 , wherein said parameters include a definition of data reporting cycles, market hours, and a measure of market depth for a class of financial instruments. 
     
     
         18 . The system of  claim 16 , wherein said parameters define a class of transactions. 
     
     
         19 . The system of  claim 1 , wherein said transaction data is stored according to the type of financial instrument and the time a transaction is executed. 
     
     
         20 . The system of  claim 19 , wherein said transaction data includes the quantity of a financial instrument traded, the average price of the financial instrument traded at the time the trade was executed, and the market depth at the time the trade was executed. 
     
     
         21 . The system of  claim 1 , wherein said one or more server computers are enabled to verify that the buyer and seller in a trade have provided the same transaction data for said trade. 
     
     
         22 . The system of  claim 1 , wherein said one or more server computers provide a trader data related to the offers, bids, and trades of a financial instrument in a financial market at points prior, during, and after the execution of an order by said trader for said financial instrument. 
     
     
         23 . The system of  claim 1 , wherein said one or more server computers compares an executed trade to the transaction data stored in said memory for said financial instrument related to said trade, and said one or more server computers prepares a summary of the comparison. 
     
     
         24 . The system of  claim 23 , wherein said summary of the market includes the time of execution of said trade, the name of the broker on the buying side of said trade, the name of the broker on the selling side of said trade, the name of the actual buyer, the name of the actual seller, the financial instrument traded, the quantity of financial instrument traded, the currency of said trade, the price of said trade, the average price for the financial instrument in the market, the variance in price between the average price for the financial instrument in the market and the price of said trade, and the variance in time between the average time related to the average price for said financial instrument and the time of said trade. 
     
     
         25 . The system of  claim 24 , wherein an allowable variance between the price of said transaction and the expected price range for said transaction is based on a percentage difference specified by said subscriber. 
     
     
         26 . The system of  claim 24 , wherein said allowable variance between the price of said transaction and the expected price range for said transaction is based on a percentage difference determined by said one or more server computers. 
     
     
         27 . The system of  claim 24 , wherein said summary is provided to subscribers at predetermined intervals of time as either a paper report or an electronic message. 
     
     
         28 . The system of  claim 27 , wherein said summary is provided to said subscribers in response to requests automatically sent to said one or more server computers by said subscriber terminals at predetermined intervals. 
     
     
         29 . The system of  claim 24 , wherein said summary can be viewed by a subscriber at said subscriber's terminal. 
     
     
         30 . The system of  claim 1 , wherein said one or more server computers retrieve transaction data in response to a request received from said subscriber terminal. 
     
     
         31 . The system of  claim 30 , wherein said request is a request for said one or more server computers to perform an audit of a transaction. 
     
     
         32 . The system of  claim 30 , wherein said request is a request for said one or more server computers to verify that both parties to a transaction have entered the matching transaction details by comparing the transaction details entered by the parties. 
     
     
         33 . The system of  claim 32 , wherein said one or more server computers determines the difference between the execution times submitted for said transaction by said parties to said transaction to determine whether the execution times exceed a pre-determined threshold. 
     
     
         34 . The system of  claim 32 , wherein said one or more server computers send a report of the transaction detail verification results to said subscriber. 
     
     
         35 . The system of  claim 31 , wherein said one or more server computers apply predetermined audit rules to perform an audit of a transaction in response to said request. 
     
     
         36 . The system of  claim 35 , wherein said one or more server computers utilizes said audit rules to identify and retrieve data from said memory. 
     
     
         37 . The system of  claim 36 , wherein said audit rules specify how said one or more server computers calculate an expected price range for a transaction. 
     
     
         38 . The system of  claim 37 , wherein said audit rules specify an allowable variance between the price of said transaction and said expected price range for said transaction. 
     
     
         39 . The system of  claim 37 , wherein said expected price range of a transaction is a function of a first correction factor for changes in price that occurred between the time of the transaction to be audited and the reported financial market data. 
     
     
         40 . The system of  claim 37 , wherein said expected price range of a transaction is a function of a second correction factor for the size of the transaction to be audited and the effect that transaction size has on the price for said audited transaction. 
     
     
         41 . The system of  claim 39 , wherein said one or more server computers compare said transaction to the expected price range for the transaction. 
     
     
         42 . The system of  claim 41 , wherein if said transaction falls outside of said expected price range, said one or more server computers determine a percentage variance of said transaction from said expected price range and compares said percentage variance to said allowable variance. 
     
     
         43 . The system of  claim 35 , wherein said one or more server computers generates a report of said audit results.